GVAR 2019 Vintage
for the latest version of the GVAR database click here

Global VAR (GVAR) Quarterly Dataset (1979Q2-2019Q4)

Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4, with Mehdi Raissi (2020), University of Cambridge: Judge Business School (mimeo).

Abstract: This is the latest version of the Global VAR (GVAR) dataset. The GVAR is a global modelling framework for analyzing the international macroeconomic transmission of shocks, taking into account 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), over the 1979Q2 to 2019Q4 period. These 33 countries cover more than 90% of world GDP. You can download the data, as well as a description of the compilation, revision and updating of the GVAR Database, from here. It would be appreciated if use of the updated dataset could be acknowledged as: “Mohaddes, K. and M. Raissi (2020). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4. 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.

The GVAR interface file including the updated data: Click here to download an example GVAR interface file containing the latest version of the GVAR dataset (1979Q2-2019Q4) together with the corresponding trade flows file.

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.