Description

This data set contains quarterly observations by country, spanning the period from 1979Q2 to 2019Q4. It can be downloaded from https://www.mohaddes.org/gvar. The country coverage is 33 countries.

Usage

Format

The data loads pesaranData, which is a list object of length N (i.e, the number of countries) and contains the country-level data as described in Mohaddes and Raissi (2020). EAData contains the same data but euro area countries (AT, BE, DE, ES, FI, FR, IT, NL) are aggregated into a euro area block using purchasing power parities (ppp). The countries are abbreviated using ISO-2 codes. Furthermore, we also provide two datasets with first differences of some variables in pesarnDiff and EAdiff. dominant contains data that is considered global. tA is a three-dimensional array that contains N times N annual trade flow matrices over the period from 1980 to 2016. This array can be used to construct weight matrices. For more details, see below:

W.8016

Weight matrix for the pesaran.level and pesaran.diff data sets, based on averaged trade flows covering the period 1980 to 2016 (based on tA).

W.EA.9916

Weight matrix for the EA.level and EA.diff data sets, based on averaged trade flows covering the period 1999 to 2016 (based on tA.EA).

tA

Three-dimensional array that contains the yearly, bilateral trade flows, which were used to construct W.8016.

tA

Three-dimensional array that contains the yearly, bilateral trade flows, which were used to construct W.EA.9916.

peseranData

List object of length N containing

• y Real GDP.

• Dp Consumer price inflation.

• r Short-term interest rate, typically 3-months money market rate.

• lr Long-term interest rate.

• eq Equity prices.

• ep Exchange rate vis a vis the US dollar, deflated by the domestic CPI.

pesaranDiff

List object of length N containing

• y Growth rate of real GDP.

• Dp First differences of consumer price inflation.

• r First differences of short-term interest rate, typically 3-months money market rate.

• lr Long-term interest rate.

• eq Equity prices.

• ep Exchange rate vis a vis the US dollar, deflated by the domestic CPI.

EAData

List object of length N containing

• y Real GDP.

• Dp Consumer price inflation.

• r Short-term interst rate, typically 3-months money market rate.

• lr Long-term interest rate.

• eq Equity prices.

• ep Exchange rate vis a vis the US dollar, deflated by the domestic CPI.

EADiff

List object of length N containing

• y Growth rate of real GDP.

• Dp First differences of consumer price inflation.

• r First differences of short-term interest rate, typically 3-months money market rate.

• lr Long-term interest rate.

• eq Equity prices.

• ep Exchange rate vis a vis the US dollar, deflated by the domestic CPI.

dominant

Data set containing global variables:

• poil Oil prices.

• pmetal Metal price index.

• pmat Agricultural price index.

References

Mohaddes, K. and M. Raissi (2018). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2016Q4. University of Cambridge: Faculty of Economics (mimeo).