Date: 2007
Type: Article
A macroeconometric model for the Euro economy
Journal of policy modeling, 2007, Vol. 29, No. 1, pp. 1-13
DREGER, Christian, MARCELLINO, Massimiliano, A macroeconometric model for the Euro economy, Journal of policy modeling, 2007, Vol. 29, No. 1, pp. 1-13
- https://hdl.handle.net/1814/42717
Retrieved from Cadmus, EUI Research Repository
In this paper a structural macroeconometric model for the Euro area is presented. In contrast to the multi-country modelling approach, the model relies on aggregate data on the supra-national level. Due to non-stationarity, all equations are estimated in error correction form. The cointegrating relations are derived jointly with the short-run dynamics, avoiding the finite sample bias of the two-step Engle Granger procedure. The validity of the aggregated approach is confirmed by out-of-sample forecasts and several simulation exercises. Several shocks are considered, and their implications for Euro area growth and inflation are examined. In particular, shocks to US growth, the nominal interest rate and the exchange rate of the Euro against the US dollar are discussed.
Cadmus permanent link: https://hdl.handle.net/1814/42717
Full-text via DOI: 10.1016/j.jpolmod.2006.01.007
ISSN: 0161-8938
Keyword(s): C3 C5 F01 Euro area economy Macroeconometric models Policy simulation
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