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The Halle Economic Projection Model

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  • Giesen, Sebastian
  • Holtemöller, Oliver
  • Scharff, Juliane
  • Scheufele, Rolf

Abstract

In this paper we develop an open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model—the Halle Economic Projection Model (HEPM)—is closely related to studies published by Carabenciov et al. (2008a,b,c). Our main contribution is that we model the Euro area countries separately. In doing so, we consider Germany, France, and Italy which represent together about 70% of Euro area GDP. The model combines core equations of the New-Keynesian standard DSGE model with empirically useful ad-hoc equations. We estimate this model using Bayesian techniques and evaluate the forecasting properties. Additionally, we provide an impulse response analysis and historical shock decomposition.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 29 (2012)
Issue (Month): 4 ()
Pages: 1461-1472

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Handle: RePEc:eee:ecmode:v:29:y:2012:i:4:p:1461-1472

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Medium scale DSGE model; International business cycles; Bayesian estimation;

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Cited by:
  1. Makram El-Shagi & Sebastian Giesen, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19, Halle Institute for Economic Research.

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