GVAR%20Dataset

Datasets

GVAR Dataset


CODE: IDB-DB-100
AUTHOR(s): Cesa-Bianchi, Ambrogio , Pesaran, M. Hashem , Rebucci, Alessandro , Xu, Teng Teng
PUBLISHED: April 2012
LANGUAGE: English
RELATED TOPICS: Macroeconomics
DOWNLOAD DATASET IN: English

Abstract:

This is the data used for the estimation of the GVAR model as in "China’s Emergence in the World Economy and Business Cycles in Latin America" (IDB-WP-266). The dataset includes quarterly data for twenty-five major advanced and emerging economies plus the euro area, covering more than 90 percent of world GDP. The variables included in the dataset are real GDP, CPI inflation, real equity prices, real exchange rates, short-term and long-term interest rates, and the price of oil. Updates of this dataset –together with the baseline GVAR code- can be found in the Related Links section below. Years covered: 1979 - 2009.

Related links:

Related Research by JEL Codes:
(or click here to find research by JEL Codes)
  • China’s Emergence in the World Economy and Business Cycles in Latin America
    Working Papers
    IDB-WP-266 - September 2011

    This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission of international business cycles to Latin America. Evidence based on a GVAR model for five large Latin American economies shows that the long-term impact of a China GDP shock on the typical Latin American economy has increased three fold since the mid-1990s, t ... (View publication)

  • Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies
    Working Papers
    IDB-WP-640 - December 2015

    Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). This paper documents how these fluctuations correlate strongly with the business cycle in EMEs. A commodity sector is then embedded into a multi-country EMEs business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coe ... (View publication)

  • Global Liquidity, House Prices and the Macroeconomy: Evidence from Advanced and Emerging Economies
    Working Papers
    IDB-WP-576 - March 2015

    This paper first compares house price cycles in advanced and emerging economies using a new quarterly house price dataset covering the period 1990- 2012. It is found that that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across countries than in advanced economies. They also correlate more closely with capital flows than in advanced ... (View publication)

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