Series: IMF Working Papers
Author(s): Silvia Sgherri , and Alessandro Galesi
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 February 2009
Keywords: Global VAR, Macro-Financial Linkages, International Financial Spillovers, equity prices, statistics, error variance, cointegration, bootstrap,
The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of in...