Estimating Structural Shocks with the GVAR-DSGE Model: Pre- and Post-Pandemic
Abstract
:1. Introduction
2. Methodology
3. Data
4. Estimating the GVAR Model
5. Empirical Results and Long-Run Forecasts
6. DSGE-GVAR Model
7. Model Estimation
8. Shock Analysis
- Global Demand on oil price
- Oil Price shock on real exchange rate
- US rate on inflation
- Global demand on inflation
- Global demand on output
- Global supply on output
- Additional negative shocks
9. Comparison with the DSGE Literature
10. Conclusions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
Appendix A
p | q | |
ARGENTINA | 2 | 1 |
AUSTRALIA | 1 | 1 |
AUSTRIA | 1 | 1 |
BELGIUM | 1 | 1 |
BRAZIL | 2 | 1 |
CANADA | 1 | 1 |
CHINA | 2 | 1 |
CHILE | 2 | 1 |
FINLAND | 2 | 1 |
FRANCE | 2 | 1 |
GERMANY | 2 | 1 |
INDIA | 2 | 1 |
INDONESIA | 2 | 1 |
ITALY | 2 | 1 |
JAPAN | 2 | 1 |
KOREA | 2 | 1 |
MALAYSIA | 1 | 1 |
MEXICO | 1 | 1 |
NETHERLANDS | 2 | 1 |
NORWAY | 2 | 1 |
NEW ZEALAND | 2 | 1 |
PERU | 2 | 1 |
PHILIPPINES | 2 | 1 |
SOUTH AFRICA | 2 | 1 |
SAUDI ARABIA | 2 | 1 |
SINGAPORE | 2 | 1 |
SPAIN | 2 | 1 |
SWEDEN | 2 | 1 |
SWITZERLAND | 1 | 1 |
THAILAND | 2 | 1 |
TURKEY | 2 | 1 |
UNITED KINGDOM | 2 | 1 |
USA | 2 | 1 |
Country | # Cointegrating Relations |
ARGENTINA | 2 |
AUSTRALIA | 5 |
AUSTRIA | 3 |
BELGIUM | 2 |
BRAZIL | 2 |
CANADA | 4 |
CHINA | 2 |
CHILE | 2 |
FINLAND | 2 |
FRANCE | 3 |
GERMANY | 3 |
INDIA | 2 |
INDONESIA | 3 |
ITALY | 2 |
JAPAN | 2 |
KOREA | 4 |
MALAYSIA | 2 |
MEXICO | 3 |
NETHERLANDS | 2 |
NORWAY | 5 |
NEW ZEALAND | 3 |
PERU | 4 |
PHILIPPINES | 3 |
SOUTH AFRICA | 3 |
SAUDI ARABIA | 3 |
SINGAPORE | 2 |
SPAIN | 3 |
SWEDEN | 2 |
SWITZERLAND | 3 |
THAILAND | 3 |
TURKEY | 1 |
UNITED KINGDOM | 1 |
USA | 2 |
Fcrit_0.05 | y | Dp | eq | ep | r | lr | ||
ARGENTINA | F(4,140) | 2.44 | 1.16 | 0.98 | 1.05 | 0.75 | 0.89 | |
AUSTRALIA | F(4,142) | 2.44 | 2.69 | 0.35 | 0.20 | 1.90 | 3.16 | 1.23 |
AUSTRIA | F(4,144) | 2.43 | 3.86 | 1.34 | 3.29 | 3.18 | 0.68 | 7.25 |
BELGIUM | F(4,145) | 2.43 | 2.47 | 1.96 | 1.48 | 5.03 | 5.36 | 1.92 |
BRAZIL | F(4,141) | 2.44 | 2.77 | 2.28 | 0.63 | 1.09 | ||
CANADA | F(4,143) | 2.43 | 1.24 | 2.20 | 1.80 | 3.85 | 2.93 | 1.08 |
CHINA | F(4,141) | 2.44 | 3.97 | 4.28 | 1.09 | 6.00 | ||
CHILE | F(4,140) | 2.44 | 1.12 | 2.29 | 1.27 | 2.14 | 0.34 | |
FINLAND | F(4,140) | 2.44 | 1.37 | 4.98 | 2.33 | 1.52 | 1.80 | |
FRANCE | F(4,138) | 2.44 | 1.39 | 3.50 | 0.34 | 0.26 | 2.31 | 3.02 |
GERMANY | F(4,138) | 2.44 | 1.81 | 0.31 | 0.51 | 1.46 | 0.48 | 1.22 |
INDIA | F(4,139) | 2.44 | 0.87 | 3.27 | 1.30 | 1.04 | 1.13 | 0.18 |
INDONESIA | F(4,140) | 2.44 | 2.06 | 3.86 | 2.35 | 3.02 | ||
ITALY | F(4,139) | 2.44 | 4.00 | 2.12 | 1.04 | 0.59 | 2.05 | 2.40 |
JAPAN | F(4,139) | 2.44 | 1.65 | 0.20 | 0.53 | 4.27 | 1.37 | 2.39 |
KOREA | F(4,137) | 2.44 | 3.41 | 4.00 | 2.00 | 2.27 | 0.47 | 1.61 |
MALAYSIA | F(4,145) | 2.43 | 0.71 | 0.19 | 1.91 | 3.82 | 2.84 | |
MEXICO | F(4,144) | 2.43 | 2.35 | 1.27 | 1.18 | 2.21 | ||
NETHERLANDS | F(4,139) | 2.44 | 0.99 | 0.69 | 1.90 | 1.99 | 3.19 | 2.32 |
NORWAY | F(4,136) | 2.44 | 2.36 | 1.64 | 1.25 | 1.43 | 1.99 | 3.50 |
NEW ZEALAND | F(4,138) | 2.44 | 1.09 | 3.72 | 2.21 | 2.28 | 3.53 | 5.67 |
PERU | F(4,139) | 2.44 | 2.56 | 4.69 | 3.02 | 6.10 | ||
PHILIPPINES | F(4,139) | 2.44 | 4.10 | 1.29 | 0.42 | 0.07 | 3.11 | |
SOUTH AFRICA | F(4,138) | 2.44 | 3.73 | 2.98 | 1.07 | 2.30 | 1.02 | 0.79 |
SAUDI ARABIA | F(4,141) | 2.44 | 19.56 | 1.21 | 0.78 | |||
SINGAPORE | F(4,140) | 2.44 | 2.32 | 2.21 | 2.12 | 1.48 | 3.86 | |
SPAIN | F(4,138) | 2.44 | 4.07 | 3.01 | 1.01 | 1.80 | 1.63 | 1.45 |
SWEDEN | F(4,139) | 2.44 | 0.99 | 4.96 | 4.09 | 1.89 | 2.03 | 3.07 |
SWITZERLAND | F(4,144) | 2.43 | 5.93 | 4.06 | 1.37 | 2.00 | 1.01 | 1.68 |
THAILAND | F(4,139) | 2.44 | 0.75 | 3.10 | 1.06 | 2.45 | 0.67 | |
TURKEY | F(4,142) | 2.44 | 1.15 | 2.65 | 0.78 | 2.63 | ||
UNITED KINGDOM | F(4,140) | 2.44 | 1.56 | 1.98 | 0.67 | 2.79 | 1.21 | 0.66 |
USA | F(4,142) | 2.44 | 1.05 | 1.45 | 0.99 | 4.59 | 0.50 |
Supply_Supply | Supply_Demand | Supply_MP | Supply_RE | Supply_Oil | Demand_Demand | Demand_MP | Demand_RE | Demand_Oil | MP_MP | MP_RE | MP_Oil | RE_RE | RE_Oil | Oil_Oil | |
OIL | 1 | ||||||||||||||
USA | 0.31 | 0.11 | 0.22 | 0.04 | −0.03 | 0.04 | 0.05 | −0.07 | 0.42 | 0.27 | −0.05 | 0.10 | |||
CHINA | 0.02 | 0.01 | −0.08 | −0.07 | −0.01 | 0.07 | 0.07 | 0.00 | 0.02 | 0.09 | 0.03 | 0.20 | −0.04 | 0.01 | |
JAPAN | 0.57 | 0.22 | 0.04 | 0.02 | −0.05 | 0.09 | 0.13 | 0.02 | 0.14 | 0.26 | −0.03 | −0.05 | −0.15 | 0.26 | |
UNITED KINGDOM | 0.62 | 0.25 | 0.04 | 0.03 | −0.18 | 0.23 | 0.05 | 0.02 | −0.14 | 0.29 | 0.00 | 0.09 | −0.01 | −0.27 | |
AUSTRIA | 0.62 | 0.24 | 0.02 | 0.04 | −0.15 | 0.19 | 0.04 | 0.01 | −0.11 | 0.34 | 0.00 | 0.19 | −0.02 | 0.11 | |
BELGIUM | 0.62 | 0.25 | 0.03 | 0.03 | −0.18 | 0.21 | 0.05 | 0.03 | −0.13 | 0.32 | 0.00 | 0.00 | −0.01 | 0.10 | |
FINLAND | 0.62 | 0.25 | 0.04 | 0.03 | −0.17 | 0.05 | 0.01 | −0.05 | −0.13 | 0.30 | 0.01 | 0.01 | −0.02 | 0.16 | |
FRANCE | 0.63 | 0.25 | 0.05 | 0.03 | −0.15 | 0.13 | 0.08 | 0.00 | −0.05 | 0.31 | 0.00 | −0.05 | −0.03 | 0.06 | |
GERMANY | 0.07 | 0.03 | 0.00 | 0.00 | 0.42 | 0.01 | 0.02 | −0.01 | 0.08 | 0.30 | 0.00 | 0.02 | −0.01 | 0.13 | |
ITALY | 0.44 | 0.15 | 0.06 | 0.03 | 0.10 | 0.07 | 0.11 | 0.03 | 0.05 | 0.28 | 0.05 | −0.09 | 0.01 | −0.21 | |
NETHERLANDS | 0.51 | 0.18 | 0.03 | 0.03 | 0.01 | 0.06 | 0.02 | 0.00 | −0.12 | 0.31 | 0.00 | 0.09 | −0.05 | −0.18 | |
SPAIN | 0.62 | 0.24 | 0.05 | 0.03 | −0.09 | 0.06 | 0.05 | 0.02 | −0.19 | 0.23 | 0.04 | −0.09 | 0.03 | −0.12 | |
NORWAY | 0.53 | 0.20 | 0.03 | 0.01 | −0.08 | 0.00 | 0.00 | 0.03 | −0.02 | 0.11 | 0.01 | −0.02 | 0.04 | −0.23 | |
SWEDEN | 0.62 | 0.25 | 0.04 | 0.03 | −0.20 | 0.21 | 0.05 | 0.02 | −0.14 | 0.24 | 0.01 | 0.10 | 0.05 | −0.31 | |
SWITZERLAND | 0.62 | 0.25 | 0.03 | 0.03 | −0.18 | 0.04 | 0.05 | 0.02 | 0.05 | 0.10 | −0.02 | 0.09 | 0.00 | 0.16 | |
AUSTRALIA | 0.60 | 0.24 | 0.03 | 0.02 | −0.11 | 0.05 | 0.05 | −0.02 | 0.04 | 0.12 | 0.00 | −0.01 | 0.09 | −0.46 | |
CANADA | 0.60 | 0.24 | 0.05 | 0.02 | −0.09 | 0.10 | 0.10 | −0.03 | 0.03 | 0.24 | −0.04 | 0.11 | 0.09 | −0.50 | |
NEW ZEALAND | 0.62 | 0.24 | 0.04 | 0.03 | −0.16 | 0.06 | 0.09 | 0.03 | −0.04 | 0.09 | 0.01 | −0.04 | 0.09 | −0.33 | |
ARGENTINA | 0.10 | 0.04 | 0.04 | −0.01 | −0.06 | −0.03 | −0.04 | 0.00 | 0.09 | 0.07 | 0.03 | 0.01 | −0.04 | −0.08 | |
BRAZIL | 0.47 | 0.18 | 0.00 | 0.00 | −0.12 | 0.08 | 0.04 | 0.05 | −0.03 | 0.01 | 0.03 | −0.07 | 0.06 | −0.19 | |
CHILE | 0.29 | 0.07 | 0.06 | 0.02 | 0.04 | 0.01 | 0.05 | 0.05 | −0.09 | 0.06 | 0.00 | −0.09 | 0.09 | −0.18 | |
MEXICO | 0.16 | 0.04 | 0.00 | 0.07 | −0.17 | 0.00 | 0.10 | −0.03 | 0.13 | 0.09 | 0.01 | 0.01 | 0.11 | −0.47 | |
PERU | −0.03 | 0.00 | 0.00 | 0.01 | 0.09 | 0.04 | 0.05 | −0.01 | −0.06 | −0.08 | −0.03 | 0.00 | 0.01 | 0.14 | |
INDONESIA | −0.06 | −0.03 | −0.02 | −0.01 | −0.02 | 0.11 | 0.10 | −0.01 | −0.05 | 0.12 | 0.01 | 0.07 | −0.01 | −0.10 | |
KOREA | 0.62 | 0.24 | 0.05 | 0.03 | −0.18 | 0.01 | −0.04 | −0.02 | 0.11 | 0.13 | 0.02 | −0.04 | 0.04 | −0.31 | |
MALAYSIA | 0.62 | 0.25 | 0.02 | 0.02 | −0.16 | 0.07 | 0.07 | −0.05 | 0.05 | 0.06 | −0.01 | 0.04 | 0.09 | −0.08 | |
PHILIPPINES | 0.62 | 0.25 | 0.03 | 0.03 | −0.19 | 0.05 | −0.02 | −0.03 | 0.10 | 0.13 | −0.01 | −0.02 | 0.06 | −0.08 | |
SINGAPORE | 0.56 | 0.23 | 0.05 | 0.02 | −0.05 | 0.10 | −0.03 | −0.01 | −0.12 | 0.22 | 0.00 | 0.07 | 0.06 | −0.20 | |
THAILAND | 0.62 | 0.25 | 0.02 | 0.02 | −0.13 | 0.00 | 0.00 | −0.04 | 0.04 | 0.20 | −0.04 | 0.11 | 0.03 | 0.14 | |
INDIA | −0.13 | −0.06 | −0.11 | −0.01 | 0.02 | 0.02 | −0.09 | 0.01 | 0.04 | 0.10 | 0.02 | −0.13 | 0.03 | 0.28 | |
SOUTH AFRICA | 0.18 | 0.05 | 0.10 | 0.01 | 0.14 | 0.06 | 0.02 | 0.03 | −0.06 | 0.09 | 0.01 | −0.18 | 0.01 | −0.12 | |
SAUDI ARABIA | −0.13 | −0.05 | −0.08 | −0.01 | 0.04 | 0.00 | 0.06 | 0.01 | 0.11 | −0.04 | 0.37 | ||||
TURKEY | 0.49 | 0.21 | −0.02 | 0.02 | −0.20 | 0.16 | −0.01 | 0.03 | 0.03 | 0.03 | 0.02 | −0.13 | 0.02 | 0.01 |
Country | Dp_c | y_c | r_c | ep_c |
ARGENTINA | 0.010 | 0.010 | 0.010 | 0.010 |
AUSTRALIA | 0.015 | 0.015 | 0.015 | 0.015 |
AUSTRIA | 0.006 | 0.006 | 0.006 | 0.006 |
BELGIUM | 0.007 | 0.007 | 0.007 | 0.007 |
BRAZIL | 0.035 | 0.035 | 0.035 | 0.035 |
CANADA | 0.024 | 0.024 | 0.024 | 0.024 |
CHINA | 0.134 | 0.134 | 0.136 | 0.134 |
CHILE | 0.004 | 0.004 | 0.004 | 0.004 |
FINLAND | 0.003 | 0.003 | 0.004 | 0.003 |
FRANCE | 0.039 | 0.039 | 0.039 | 0.039 |
GERMANY | 0.054 | 0.054 | 0.054 | 0.054 |
INDIA | 0.059 | 0.059 | 0.059 | 0.059 |
INDONESIA | 0.016 | 0.016 | 0.016 | 0.016 |
ITALY | 0.035 | 0.035 | 0.035 | 0.035 |
JAPAN | 0.081 | 0.081 | 0.082 | 0.081 |
KOREA | 0.024 | 0.024 | 0.025 | 0.024 |
MALAYSIA | 0.007 | 0.007 | 0.007 | 0.007 |
MEXICO | 0.028 | 0.028 | 0.029 | 0.028 |
NETHERLANDS | 0.012 | 0.012 | 0.012 | 0.012 |
NORWAY | 0.005 | 0.005 | 0.005 | 0.005 |
NEW ZEALAND | 0.002 | 0.002 | 0.002 | 0.002 |
PERU | 0.004 | 0.004 | 0.004 | 0.004 |
PHILIPPINES | 0.006 | 0.006 | 0.006 | 0.006 |
SOUTH AFRICA | 0.009 | 0.009 | 0.009 | 0.009 |
SAUDI ARABIA | 0.011 | 0.011 | 0.011 | |
SINGAPORE | 0.004 | 0.004 | 0.004 | 0.004 |
SPAIN | 0.026 | 0.026 | 0.027 | 0.026 |
SWEDEN | 0.006 | 0.006 | 0.006 | 0.006 |
SWITZERLAND | 0.006 | 0.006 | 0.006 | 0.006 |
THAILAND | 0.010 | 0.010 | 0.010 | 0.010 |
TURKEY | 0.018 | 0.018 | 0.018 | 0.018 |
UNITED KINGDOM | 0.040 | 0.040 | 0.041 | 0.040 |
USA | 0.260 | 0.260 | 0.263 | 0.260 |
Region | Country | Dp_c | y_c | r_c | ep_c |
japan | japan | 1.00 | 1.00 | 1.00 | 1.00 |
la | arg | 0.12 | 0.12 | 0.12 | 0.12 |
la | bra | 0.43 | 0.43 | 0.43 | 0.43 |
la | chl | 0.05 | 0.05 | 0.05 | 0.05 |
la | mex | 0.35 | 0.35 | 0.35 | 0.35 |
la | per | 0.05 | 0.05 | 0.05 | 0.05 |
odc | nor | 0.08 | 0.08 | 0.08 | 0.08 |
odc | swe | 0.11 | 0.11 | 0.11 | 0.11 |
odc | switz | 0.10 | 0.10 | 0.10 | 0.10 |
odc | austlia | 0.26 | 0.26 | 0.26 | 0.26 |
odc | can | 0.41 | 0.41 | 0.41 | 0.41 |
odc | nzld | 0.04 | 0.04 | 0.04 | 0.04 |
restworld | safrc | 0.24 | 0.24 | 0.33 | 0.24 |
restworld | sarbia | 0.28 | 0.28 | 0.28 | |
restworld | turk | 0.48 | 0.48 | 0.67 | 0.48 |
uk | uk | 1 | 1 | 1 | 1 |
usa | usa | 1 | 1 | 1 | 1 |
euro | austria | 0.032 | 0.032 | 0.032 | 0.032 |
euro | bel | 0.038 | 0.038 | 0.038 | 0.038 |
euro | fin | 0.019 | 0.019 | 0.019 | 0.019 |
euro | france | 0.214 | 0.214 | 0.214 | 0.214 |
euro | germ | 0.295 | 0.295 | 0.295 | 0.295 |
euro | italy | 0.190 | 0.190 | 0.190 | 0.190 |
euro | neth | 0.067 | 0.067 | 0.067 | 0.067 |
euro | spain | 0.145 | 0.145 | 0.145 | 0.145 |
restasia | indns | 0.061 | 0.061 | 0.061 | 0.061 |
restasia | kor | 0.094 | 0.094 | 0.094 | 0.094 |
restasia | mal | 0.026 | 0.026 | 0.026 | 0.026 |
restasia | phlp | 0.022 | 0.022 | 0.022 | 0.022 |
restasia | sing | 0.017 | 0.017 | 0.017 | 0.017 |
restasia | thai | 0.038 | 0.038 | 0.038 | 0.038 |
restasia | india | 0.226 | 0.226 | 0.226 | 0.226 |
restasia | china | 0.517 | 0.517 | 0.517 | 0.517 |
Country | Yvar | Xvar1 | coeffs1 | se1 | t-ratio1 | se_NW1 | t-ratioNW1 | LM_CHSQ(4) | GRsq |
OIL | poil_c | poil_c(-1) | 0.47 | 0.08 | 5.66 | 0.12 | 3.89 | 7.11 | 0.40 |
Country | coeffs1 | coeffs2 | coeffs3 | t-ratio1 | t-ratio2 | t-ratio3 |
USA | 0.06 | 0.91 | 0.14 | 0.55 | 4.77 | 3.09 |
CHINA | 0.47 | 0.21 | 0.14 | 5.51 | 2.74 | 1.58 |
JAPAN | 0.00 | 0.99 | 0.02 | |||
UNITED KINGDOM | 0.16 | 0.79 | 0.12 | 1.67 | 6.51 | 4.36 |
AUSTRIA | 0.06 | 0.93 | 0.05 | |||
BELGIUM | 0.04 | 0.95 | 0.11 | |||
FINLAND | 0.35 | 0.62 | 0.04 | 4.05 | 5.16 | 2.65 |
FRANCE | 0.09 | 0.86 | 0.06 | 0.76 | 6.24 | 2.27 |
GERMANY | 0.04 | 0.00 | 0.09 | |||
ITALY | 0.18 | 0.81 | 0.00 | |||
NETHERLANDS | 0.18 | 0.57 | 0.07 | 1.95 | 3.89 | 2.18 |
SPAIN | 0.08 | 0.91 | 0.04 | 0.69 | 6.08 | 1.78 |
NORWAY | 0.06 | 0.93 | 0.03 | |||
SWEDEN | 0.04 | 0.87 | 0.15 | 0.36 | 5.64 | 3.38 |
SWITZERLAND | 0.28 | 0.71 | 0.11 | |||
AUSTRALIA | 0.06 | 0.78 | 0.19 | 0.54 | 3.97 | 2.49 |
CANADA | 0.16 | 0.74 | 0.08 | 1.69 | 6.67 | 2.88 |
NEW ZEALAND | 0.00 | 0.99 | 0.10 | |||
ARGENTINA | 0.01 | 0.98 | 0.00 | |||
BRAZIL | 0.25 | 0.74 | 0.13 | |||
CHILE | 0.30 | 0.65 | 0.00 | |||
MEXICO | 0.41 | 0.58 | 0.00 | |||
PERU | 0.26 | 0.49 | 0.00 | |||
INDONESIA | 0.38 | 0.59 | 0.00 | |||
KOREA | 0.19 | 0.80 | 0.14 | |||
MALAYSIA | 0.03 | 0.96 | 0.04 | |||
PHILIPPINES | 0.29 | 0.70 | 0.16 | |||
SINGAPORE | 0.15 | 0.70 | 0.05 | 1.59 | 3.72 | 1.88 |
THAILAND | 0.18 | 0.81 | 0.02 | |||
INDIA | 0.13 | 0.50 | 0.00 | |||
SOUTH AFRICA | 0.07 | 0.92 | 0.00 | |||
SAUDI ARABIA | 0.35 | 0.29 | 0.00 | |||
TURKEY | 0.11 | 0.74 | 0.27 | 0.93 | 1.64 | 1.28 |
Country | coeffs1 | coeffs2 | coeffs3 | coeffs4 | coeffs5 | coeffs6 |
USA | 0.69 | −0.01 | 0.01 | |||
CHINA | 0.64 | −0.43 | 0.43 | 0.00 | 0.00 | 0.22 |
JAPAN | 0.71 | −0.34 | 0.34 | −0.05 | 0.05 | 0.27 |
UNITED KINGDOM | 0.29 | −0.49 | 0.49 | 0.09 | −0.09 | 1.08 |
AUSTRIA | 0.18 | −0.49 | 0.49 | −0.14 | 0.14 | 1.06 |
BELGIUM | 0.15 | −0.13 | 0.13 | −0.11 | 0.11 | 1.00 |
FINLAND | 0.09 | 0.00 | 0.00 | 0.12 | −0.12 | 1.32 |
FRANCE | 0.27 | 0.00 | 0.00 | −0.04 | 0.04 | 0.73 |
GERMANY | 0.06 | −0.07 | 0.07 | −0.05 | 0.05 | 1.27 |
ITALY | 0.08 | 0.00 | 0.00 | −0.21 | 0.21 | 0.57 |
NETHERLANDS | 0.07 | −0.03 | 0.03 | 0.00 | 0.00 | 0.82 |
SPAIN | 0.24 | 0.00 | 0.00 | −0.17 | 0.17 | 0.71 |
NORWAY | −0.09 | 0.00 | 0.00 | −0.06 | 0.06 | 0.52 |
SWEDEN | 0.04 | −0.32 | 0.32 | 0.08 | −0.08 | 1.21 |
SWITZERLAND | 0.01 | 0.00 | 0.00 | −0.03 | 0.03 | 0.79 |
AUSTRALIA | 0.19 | 0.00 | 0.00 | −0.01 | 0.01 | 0.53 |
CANADA | 0.51 | 0.00 | 0.00 | −0.02 | 0.02 | 0.81 |
NEW ZEALAND | 0.03 | 0.00 | 0.00 | −0.04 | 0.04 | 0.54 |
ARGENTINA | 0.46 | 0.00 | 0.00 | 0.00 | 0.00 | 0.64 |
BRAZIL | 0.09 | −0.01 | 0.01 | −0.04 | 0.04 | 1.20 |
CHILE | 0.20 | −0.29 | 0.29 | −0.32 | 0.32 | 1.10 |
MEXICO | 0.32 | −0.15 | 0.15 | −0.02 | 0.02 | 1.01 |
PERU | 0.57 | 0.00 | 0.00 | −0.02 | 0.02 | 0.32 |
INDONESIA | 0.64 | 0.00 | 0.00 | −0.11 | 0.11 | 1.23 |
KOREA | 0.46 | 0.00 | 0.00 | 0.01 | −0.01 | 0.39 |
MALAYSIA | 0.20 | 0.00 | 0.00 | 0.00 | 0.00 | 1.52 |
PHILIPPINES | 0.72 | 0.00 | 0.00 | 0.04 | −0.04 | 0.63 |
SINGAPORE | 0.06 | −0.11 | 0.11 | 0.12 | −0.12 | 1.46 |
THAILAND | 0.67 | 0.00 | 0.00 | 0.04 | −0.04 | 1.38 |
INDIA | 0.27 | 0.00 | 0.00 | −0.12 | 0.12 | 0.00 |
SOUTH AFRICA | 0.56 | 0.00 | 0.00 | −0.12 | 0.12 | 0.57 |
SAUDI ARABIA | 0.50 | 0.00 | −0.15 | 0.15 | 0.34 | |
TURKEY | −0.01 | −0.22 | 0.22 | −0.15 | 0.15 | 1.40 |
Country | coeffs1 | coeffs2 | coeffs3 | se1 | se2 | se3 | t-ratio1 | t-ratio2 | t-ratio3 |
---|---|---|---|---|---|---|---|---|---|
USA | 0.92 | 0.15 | 0.02 | 0.03 | 0.05 | 0.01 | 34.94 | 3.00 | 1.77 |
CHINA | 0.85 | 0.03 | 0.02 | 0.07 | 0.03 | 0.02 | 12.53 | 1.10 | 1.16 |
JAPAN | 0.91 | 0.16 | 0.00 | 0.03 | 0.05 | 34.97 | 3.28 | ||
UNITED KINGDOM | 0.83 | 0.28 | 0.00 | 0.03 | 0.05 | 26.16 | 5.47 | ||
AUSTRIA | 0.96 | 0.00 | 0.03 | 0.03 | 0.06 | 31.14 | 0.50 | ||
BELGIUM | 0.94 | 0.11 | 0.03 | 0.03 | 0.06 | 0.01 | 30.14 | 1.81 | 2.15 |
FINLAND | 0.90 | 0.20 | 0.02 | 0.03 | 0.05 | 0.01 | 34.26 | 4.22 | 2.43 |
FRANCE | 0.84 | 0.24 | 0.03 | 0.04 | 0.06 | 0.01 | 23.69 | 4.08 | 2.17 |
GERMANY | 0.85 | 0.10 | 0.03 | 0.04 | 0.07 | 0.01 | 20.95 | 1.47 | 2.98 |
ITALY | 0.84 | 0.23 | 0.03 | 0.04 | 0.09 | 0.02 | 19.86 | 2.71 | 1.30 |
NETHERLANDS | 0.95 | 0.02 | 0.04 | 0.03 | 0.06 | 0.01 | 28.82 | 0.27 | 3.40 |
SPAIN | 0.92 | 0.09 | 0.01 | 0.04 | 0.07 | 0.02 | 24.23 | 1.24 | 0.57 |
NORWAY | 0.84 | 0.11 | 0.04 | 0.07 | 0.06 | 0.03 | 12.79 | 1.70 | 1.41 |
SWEDEN | 0.92 | 0.10 | 0.01 | 0.03 | 0.05 | 0.02 | 27.49 | 1.87 | 0.69 |
SWITZERLAND | 0.49 | 0.03 | 0.07 | 0.06 | 0.04 | 0.01 | 8.73 | 0.67 | 6.50 |
AUSTRALIA | 0.42 | 0.12 | 0.14 | 0.05 | 0.03 | 0.02 | 9.04 | 4.43 | 8.66 |
CANADA | 0.80 | 0.29 | 0.00 | 0.04 | 0.05 | 22.38 | 5.49 | ||
NEW ZEALAND | 0.49 | 0.33 | 0.18 | 0.05 | 0.04 | 0.04 | 9.33 | 7.66 | 5.11 |
ARGENTINA | −0.27 | 0.28 | 0.00 | 0.12 | 0.12 | −2.27 | 2.34 | ||
BRAZIL | −0.61 | 1.51 | 0.00 | 0.14 | 0.22 | −4.37 | 6.88 | ||
CHILE | 0.40 | 0.63 | 0.01 | 0.11 | 0.18 | 0.04 | 3.56 | 3.49 | 0.33 |
MEXICO | 0.01 | 0.37 | 0.06 | 0.04 | 0.02 | 0.02 | 0.33 | 18.22 | 2.48 |
PERU | −0.19 | 0.39 | 0.04 | 0.18 | 0.11 | 0.22 | −1.03 | 3.52 | 0.19 |
INDONESIA | 0.67 | 0.22 | 0.10 | 0.04 | 0.04 | 0.02 | 16.27 | 4.88 | 4.69 |
KOREA | 0.72 | 0.20 | 0.09 | 0.06 | 0.06 | 0.03 | 12.40 | 3.35 | 3.16 |
MALAYSIA | 0.54 | 0.00 | 0.01 | 0.07 | 0.02 | 7.96 | 0.15 | ||
PHILIPPINES | 0.73 | 0.22 | 0.01 | 0.05 | 0.05 | 0.02 | 15.57 | 4.60 | 0.59 |
SINGAPORE | 0.97 | 0.06 | 0.02 | 0.02 | 0.04 | 0.01 | 47.89 | 1.42 | 3.62 |
THAILAND | 0.81 | 0.13 | 0.00 | 0.04 | 0.07 | 18.10 | 1.95 | ||
INDIA | 0.49 | 0.16 | 0.00 | 0.12 | 0.08 | 4.01 | 2.06 | ||
SOUTH AFRICA | 0.64 | 0.14 | 0.06 | 0.05 | 0.04 | 0.01 | 12.63 | 3.12 | 7.06 |
TURKEY | 0.64 | 0.12 | 0.09 | 0.06 | 0.05 | 0.03 | 10.98 | 2.51 | 2.74 |
Country | coeffs1 | coeffs2 | coeffs3 | se1 | se2 | t-ratio1 | t-ratio2 |
---|---|---|---|---|---|---|---|
USA | 0.01 | 0.00 | 3.24 | ||||
CHINA | 0.79 | −0.79 | 1.00 | 0.05 | 0.05 | 15.07 | 15.07 |
JAPAN | 0.73 | −0.73 | 1.00 | 0.06 | 0.06 | 12.43 | 12.43 |
UNITED KINGDOM | 0.58 | −0.58 | 1.00 | 0.07 | 0.07 | 7.98 | 7.98 |
AUSTRIA | 0.55 | −0.55 | 1.00 | 0.07 | 0.07 | 7.94 | 7.94 |
BELGIUM | 0.66 | −0.66 | 1.00 | 0.06 | 0.06 | 10.60 | 10.60 |
FINLAND | 0.58 | −0.58 | 1.00 | 0.07 | 0.07 | 8.69 | 8.69 |
FRANCE | 0.39 | −0.39 | 1.00 | 0.08 | 0.08 | 5.02 | 5.02 |
GERMANY | 0.49 | −0.49 | 1.00 | 0.07 | 0.07 | 6.62 | 6.62 |
ITALY | 0.49 | −0.49 | 1.00 | 0.07 | 0.07 | 6.55 | 6.55 |
NETHERLANDS | 0.73 | −0.73 | 1.00 | 0.06 | 0.06 | 12.52 | 12.52 |
SPAIN | 0.84 | −0.84 | 1.00 | 0.05 | 0.05 | 17.99 | 17.99 |
NORWAY | 0.42 | −0.42 | 1.00 | 0.08 | 0.08 | 5.64 | 5.64 |
SWEDEN | 0.71 | −0.71 | 1.00 | 0.06 | 0.06 | 12.19 | 12.19 |
SWITZERLAND | 0.49 | −0.49 | 1.00 | 0.07 | 0.07 | 6.70 | 6.70 |
AUSTRALIA | 0.59 | −0.59 | 1.00 | 0.07 | 0.07 | 8.94 | 8.94 |
CANADA | 0.84 | −0.84 | 1.00 | 0.04 | 0.04 | 19.33 | 19.33 |
NEW ZEALAND | 0.35 | −0.35 | 1.00 | 0.07 | 0.07 | 4.90 | 4.90 |
ARGENTINA | 0.54 | −0.54 | 1.00 | 0.07 | 0.07 | 7.46 | 7.46 |
BRAZIL | 0.28 | −0.28 | 1.00 | 0.09 | 0.09 | 3.15 | 3.15 |
CHILE | 0.52 | −0.52 | 1.00 | 0.07 | 0.07 | 7.04 | 7.04 |
MEXICO | 0.69 | −0.69 | 1.00 | 0.06 | 0.06 | 11.84 | 11.84 |
PERU | 0.59 | −0.59 | 1.00 | 0.07 | 0.07 | 8.64 | 8.64 |
INDONESIA | 0.48 | −0.48 | 1.00 | 0.07 | 0.07 | 6.88 | 6.88 |
KOREA | 0.73 | −0.73 | 1.00 | 0.05 | 0.05 | 14.37 | 14.37 |
MALAYSIA | 0.53 | −0.53 | 1.00 | 0.07 | 0.07 | 7.60 | 7.60 |
PHILIPPINES | 0.71 | −0.71 | 1.00 | 0.06 | 0.06 | 11.80 | 11.80 |
SINGAPORE | 0.66 | −0.66 | 1.00 | 0.06 | 0.06 | 10.36 | 10.36 |
THAILAND | 0.56 | −0.56 | 1.00 | 0.07 | 0.07 | 8.02 | 8.02 |
INDIA | 0.29 | −0.29 | 1.00 | 0.08 | 0.08 | 3.66 | 3.66 |
SOUTH AFRICA | 0.68 | −0.68 | 1.00 | 0.06 | 0.06 | 11.56 | 11.56 |
SAUDI ARABIA | 0.82 | −0.82 | 1.00 | 0.05 | 0.05 | 16.54 | 16.54 |
TURKEY | 0.20 | −0.20 | 1.00 | 0.10 | 0.10 | 1.98 | 1.98 |
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Demand | Monetary | Real Ex | Oil | |
---|---|---|---|---|
Supply | 0.160 | 0.026 | 0.018 | −0.069 |
Demand | - | 0.039 | 0.000 | 0.001 |
Monetary | - | - | 0.003 | 0.009 |
Model Name | Type | Period | Countries | Number of Shocks | Additional Shocks | Remarks |
---|---|---|---|---|---|---|
DPSS | DSGE-GVAR | 1980Q2–2006Q4 | 26 | 4-Oil, Demand, Supply and Monetary. | Reference model | |
M1 | DSGE-GVAR | 1984Q2–2019Q4 | 33—(8 regions) | 5-Oil, Demand, Supply, Monetary and Exchange rate. | GVAR estimation. Most shocks are stable. | |
M2 | DSGE-GVAR | 1986Q2–2020Q4 | 33—(8 regions) | 5-Oil, Demand, Supply, Monetary and Exchange rate. | Negative shock to global interest rates. Model includes short term rates from Saudi Arabia (derived from repo rates). | GVAR estimation. Some shocks are not stable. |
H1 | DSGE-HP | 1987Q2–2019Q4 | 33—(8 regions) | 5-Oil, Demand, Supply, Monetary and Exchange rate. | HP estimation. Most shocks are stable. | |
H2 | DSGE-HP | 1988Q2–2020Q4 | 33—(8 regions) | 5-Oil, Demand, Supply, Monetary and Exchange rate. | HP estimation. Most shocks are not stable. |
Coefficients | Phillips Curve | IS Equation | Taylor Rule |
---|---|---|---|
Lubik and Schorfheide (2007) 1 (LS) | 0.99 | 0.52 −0.42 | 0.69 |
Smets and Wouters (2007) 2 (SW) | 0.99 | N/A | 0.96 |
Dées et al., 2014 (1980Q2/2011Q20) p. 840 3 (DPSS) | 0.94 | 0.33 −0.13 | 0.65 |
GVAR-NK 1986Q2_2019Q4 4 (M1) | 0.89 | 0.30 −0.09 | 0.63 |
GVAR-NK 1986Q2_2020Q4 (M2) | 0.84 | 0.26 −0.16 | 0.64 |
HP-NK 1987Q2–2019Q2 (H1) | 0.97 | 0.66 −0.18 | 0.82 |
HP-NK 1988Q2–2020Q2 (H2) | 0.95 | 0.43 −0.18 | 0.81 |
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Kwok, C. Estimating Structural Shocks with the GVAR-DSGE Model: Pre- and Post-Pandemic. Mathematics 2022, 10, 1773. https://doi.org/10.3390/math10101773
Kwok C. Estimating Structural Shocks with the GVAR-DSGE Model: Pre- and Post-Pandemic. Mathematics. 2022; 10(10):1773. https://doi.org/10.3390/math10101773
Chicago/Turabian StyleKwok, Chunyeung. 2022. "Estimating Structural Shocks with the GVAR-DSGE Model: Pre- and Post-Pandemic" Mathematics 10, no. 10: 1773. https://doi.org/10.3390/math10101773
APA StyleKwok, C. (2022). Estimating Structural Shocks with the GVAR-DSGE Model: Pre- and Post-Pandemic. Mathematics, 10(10), 1773. https://doi.org/10.3390/math10101773