Modelling state dependence in cross-country panel data

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The book presents a cross-country data-based econometric analysis exploring how macroeconomic policies are influenced by the prevailing institutional environment. Chapter one constructs indices of governance quality and domestic financial market development for 84 countries from 1970 to 2009, using a dynamic state-space model that incorporates various variables to capture specific governance and financial development aspects. Chapter two investigates the impact of macroeconomic policies on output and the Human Development Index, employing a conditional pooled mean-group panel data model while considering variations across different governance quality and gender inequality environments. In chapter three, the focus shifts to the role of governance quality and financial market development in the growth effects of financial globalization, again utilizing the conditional pooled mean-group panel data model. Finally, chapter four introduces a novel panel vector autoregressive model to analyze how cross-country asymmetries in the monetary transmission mechanism are influenced by differences in financial structure, labor market rigidities, and industry composition. This comprehensive analysis highlights the intricate relationships between institutional factors and macroeconomic outcomes across diverse national contexts.