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The Greek Model of the European System of Central Banks Multi-Country Model

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Author Info

  • Dimitrios Sideris

    (Bank of Greece, Economic Research Department and University Ioannina, Department of Economics)

  • Nicholas G. Zonzilos

    ()
    (Bank of Greece, Economic Research Department)

Abstract

The present paper presents a quarterly econometric model for the Greek economy, the GR-MCM model. The model has been developed as part of a larger project within the European System of Central Banks (ESCB), the Multi-Country Model (MCM). The model combines short-run Keynesian dynamics determined by demand with a neoclassical steady state driven by supply factors. A well-specified long-run supply side is fully and simultaneously estimated. As far as the econometric methodology is concerned, the equilibrium relationships are estimated using cointegration analysis, whereas the dynamic equations are specified as error correction models. Standard simulations result in plausible short to long-run responses to exogenous shocks, thus indicating that the model can be useful for policy analysis experiments.

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Bibliographic Info

Paper provided by Bank of Greece in its series Working Papers with number 20.

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Length: 55 pages
Date of creation: Feb 2005
Date of revision:
Handle: RePEc:bog:wpaper:20

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Web page: http://www.bankofgreece.gr
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Related research

Keywords: Econometric Modelling; Cointegration Techniques; Simulation Results;

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References

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  1. Hondroyiannis, George & Lazaretou, Sophia, 2004. "Inflation persistence during periods of structural change: an assessment using Greek data," Working Paper Series 0370, European Central Bank.
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Cited by:
  1. Rasmus Kattai, 2005. "EMMA - A Quarterly Model of the Estonian Economy," Bank of Estonia Working Papers 2005-12, Bank of Estonia, revised 12 Dec 2005.
  2. Hans Genberg, 2006. "Exchange-Rate Arrangements and Financial Integration in East Asia: On a Collision Course?," Working Papers 152006, Hong Kong Institute for Monetary Research.
  3. Grech, Aaron George & Grech, Owen & Micallef, Brian & Rapa, Noel & Gatt, William, 2013. "A Structural Macro-Econometric Model of the Maltese Economy," MPRA Paper 46128, University Library of Munich, Germany.
  4. O'Donnell, Nuala, 2005. "Re-Estimation of the Trade Block in the Banks Quarterly Econometric Model," Quarterly Bulletin Articles, Central Bank of Ireland, pages 97-117, July.
  5. Otmar Issing, 2006. "Europe's Hard Fix: The Euro Area," Working Papers 39, Bank of Greece.
  6. Eleni Angelopoulou, 2005. "The Comparative Performance of Q-type and Dynamic Models of Firm Investment: Empirical Evidence from the UK," Working Papers 27, Bank of Greece.
  7. George A. Christodoulakis & Stephen E Satchell, 2006. "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers 32, Bank of Greece.
  8. George S. Tavlas & P.A.V.B. Swamy, 2006. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Working Papers 34, Bank of Greece.

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