gvar2019: Global VAR Database (1979Q2-2019Q4)

In franzmohr/bgvars: Bayesian Inference of Global Vector Autoregressive and Gloal Vector Error Correction Models

Global VAR Database (1979Q2-2019Q4)

Description

The data set of Mohaddes and Raissi (2020) contains economic time series for 33 countries and 3 commodities from 1979Q2 to 2019Q4.

Usage

data("gvar2019")

Format

A named list containing the following elements:

country_data

A named list of 33 time-series objects with 163 quarterly observations from 1979Q2 to 2019Q4 of the following variables:

• y: log real GDP

• Dp: rate of inflation

• r: short-term interest rate

• lr: long-term interest rate

• ep: log deflated exchange rate

• eq: log real equity prices

The variables are available for the following countries

Country	Code	y	Dp	r	lr	ep	eq
Argentina	AR	x	x	x		x	x
Australia	AU	x	x	x	x	x	x
Austria	AT	x	x	x	x	x	x
Belgium	BE	x	x	x	x	x	x
Brazil	BR	x	x	x		x
Canada	CA	x	x	x	x	x	x
China	CN	x	x	x		x
Chile	CL	x	x	x		x	x
Finland	FI	x	x	x		x	x
France	FR	x	x	x	x	x	x
Germany	DE	x	x	x	x	x	x
India	IN	x	x	x	x	x	x
Indonesia	ID	x	x	x		x
Italy	IT	x	x	x	x	x	x
Japan	JP	x	x	x	x	x	x
Korea	KR	x	x	x	x	x	x
Malaysia	MY	x	x	x		x	x
Mexico	MX	x	x	x		x
Netherlands	NL	x	x	x	x	x	x
Norway	NO	x	x	x	x	x	x
New Zealand	NZ	x	x	x	x	x	x
Peru	PE	x	x	x		x
Philippines	PH	x	x	x		x	x
South Africa	ZA	x	x	x	x	x	x
Saudi Arabia	SA	x	x			x
Singapore	SG	x	x	x		x	x
Spain	ES	x	x	x	x	x	x
Sweden	SE	x	x	x	x	x	x
Switzerland	CH	x	x	x	x	x	x
Thailand	TH	x	x	x		x	x
Turkey	TR	x	x	x		x
United Kingdom	GB	x	x	x	x	x	x
USA	US	x	x	x	x		x

global_data

A time-series object containing 163 quarterly observations from 1979Q2 to 2019Q4 of the following variables

• poil: log of oil prices

• pmat: log of agricultural raw material prices

• pmetal: log of metals prices

region_weights

A time-series object containing annual data on PPP-GDP from 1990 to 2018 for the countries listed above.

weight_data

A named list of time-series objects containing annual data on trade flows from 1980 to 2016 for the countries listed above.

Details

The variables in country_data were constructed as

• y: y_{it} = ln(GDP_{it})

• Dp: Dp_{it} = p_{it} - p_{it-1} with p_{it} = ln(CPI_{it})

• r: r_{it} = 0.25 ln(1 + R_{it}^{S} / 100)

• lr: r_{it} = 0.25 ln(1 + R_{it}^{L} / 100)

• ep: ep_{it} = ln(E_{it} / CPI_{it})

• eq: eq_{it} = ln(EQ_{it} / CPI_{it})

where GDP_{it} is real gross domestic product at time t for country i, CPI_{it} is the consumer price index, E_{it} is the nominal exchange rate in terms of US dollar, EQ_{it} is the nominal equity price index, and R_{it}^{S} and R_{it}^{L} are short-term and long-term interest rates, respectively.

See Mohaddes and Raissi (2020) for further details on the sources and compilation of the data set.

References

Mohaddes, K., & Raissi, M. (2020). Compilation, revision and updating of the global VAR (GVAR) database, 1979Q2–2019Q4 (mimeo). University of Cambridge: Judge Business School. The paper and dataset can be downloaded from https://www.mohaddes.org/gvar.

franzmohr/bgvars documentation built on Sept. 2, 2023, 12:45 p.m.