GVAR 2023 Vintage
Global VAR (GVAR) Quarterly Dataset (1979Q2-2023Q3)

Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2023Q3, with Mehdi Raissi (2024), University of Cambridge: Judge Business School (mimeo).

Abstract: This is the latest version of the GVAR dataset---a global modelling framework for analyzing the international macroeconomic transmission of shocks while accounting for drivers of economic activity, interlinkages and spillovers between different countries, and the effects of unobserved or observed common factors. This dataset includes quarterly macroeconomic variables for 33 economies (log real GDP, y, the rate of inflation, dp, short-term interest rate, r, long-term interest rate, lr, the log deflated exchange rate, ep, and log real equity prices, eq, as well as quarterly data on commodity prices (oil prices, poil, agricultural raw material, pmat, and metals prices, pmetal), from 1979Q2 to 2023Q3. These 33 countries cover more than 90% of world GDP. The updated database can be download from here. It would be appreciated if use of the updated dataset could be acknowledged as: “Mohaddes, K. and M. Raissi (2024). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2023Q3. University of Cambridge: Judge Business School (mimeo)”.

The GVAR dataset: Click here for the latest version of the Global VAR (GVAR) dataset as well as a description of the compilation, revision and updating of the GVAR Database.

Important note for GVAR Toolbox users of MATLAB 2021 and later versions: The GVAR Toolbox 2.0 contains code that is no longer supported in MATLAB versions from 2021 onwards. Users of MATLAB versions post-2021 may encounter compatibility issues. To resolve these, please implement the modifications here.

Download the GVAR Toolbox: Visit the GVAR Toolbox webpage to download the lastest version of the Toolbox by Vanessa Smith and Alessandro Galesi as well as a detailed document describing how to run and use the GVAR Toolbox 2.0, with the aim of building a global VAR model that allows for global interlinkages. In addition, the document contains details of the underlying econometric and computing methods. See also the GVAR Toolbox webpage for the earlier vintages (2006, 2009, 2011, 2013, and 2016) of the GVAR dataset and click here for the 2019 Vintage.