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The Lithuanian block of the ESCB multi-country model

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  • Vetlov, Igor

    () (Bank of Lithuania,)

Abstract

This paper presents preliminary results of modelling the Lithuanian block of the ESCB Multi-Country Model, LT_MCM. The theoretical structure of the LT_MCM is in line with most current mainstream macro models, i.e. supply factors determine the long-run equilibrium, while output is demand determined in the short run. Starting with a brief overview of the common features and main building blocks of a typical MCM country model block, we report the preliminary results of estimation of the Lithuanian MCM block. To illustrate the main characteristics of the estimated model, some standard shocks are introduced in the model and the responses studied. Compared to other MCM country blocks, we find that the Lithuanian macro model is characterised by relatively large and rapid response to shocks. Model simulation reveals that, compared to domestic prices, GDP is more responsive to shocks in the short run, while investment on average is more volatile than private consumption. The latter findings are similar to those reported for other EU country macro models.

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File URL: http://www.suomenpankki.fi/bofit_en/tutkimus/tutkimusjulkaisut/dp/Documents/dp1304.pdf
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Bibliographic Info

Paper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 13/2004.

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Length: 66 pages
Date of creation: 28 Jun 2004
Date of revision:
Handle: RePEc:hhs:bofitp:2004_013

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Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
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Web page: http://www.suomenpankki.fi/bofit_en/
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Related research

Keywords: macro model; Lithuania;

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References

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  1. Julian Benedict Morgan & Alberto Locarno & Jean-Pierre Villetelle & Peter van Els, 2001. "Monetary policy transmission in the Euro area: what do aggregate and national structural models tell us?," Working Paper Series 094, European Central Bank.
  2. Ignazio Angeloni & Benoit Mojon & Anil K. Kashyap & Daniele Terlizzese, 2002. "Monetary transmission in the Euro Area: where do we stand?," Working Paper Series 114, European Central Bank.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  4. Alpo Willman & Ángel Estrada, 2002. "The Spanish block of the ESCB-Multi-Country model," Banco de España Working Papers 0212, Banco de España.
  5. Gabriel Fagan & Jérôme Henry & Ricardo Mestre, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank.
  6. Matteo Ciccarelli & Elena Angelini & Frédéric Boissay, 2006. "The Dutch block of the ESCB multi-country model," Working Paper Series 646, European Central Bank.
  7. Frédéric Boissay & Jean-Pierre Villetelle, 2005. "The French block of the ESCB multi-country model," Working Paper Series 456, European Central Bank.
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Citations

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Cited by:
  1. Tomas Ramanauskas, 2011. "What Caused the Recent Boom-And-Bust Cycle in Lithuania? Evidence from a Macromodel with the Financial Sector," Bank of Lithuania Working Paper Series 10, Bank of Lithuania.
  2. Titarenko, Deniss, 2008. "Investīcijas kā Latvijas ekonomikas izaugsmes faktors
    [Investments as a Growth Factor of the Latvian Economy]    ," MPRA Paper 16775, University Library of Munich, Germany.
  3. 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.
  4. Aleksejs Melihovs & Gundars Davidsons, 2006. "The Role of Production Progress and Human Capital in the Economic Growth of Latvia," Working Papers 2006/03, Latvijas Banka.

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