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A macroeconometric model for the Euro economy

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  • Christian Dreger

Abstract

In this paper a structural macroeconometric model for the Eurozone is presented. In opposite to the multi country modelling approach, the model relies on aggregate data on the supra-national level. Due to nonstationarity, all equations are estimated in an 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 two simulation exercises. In particular the implications of a lower economic recovery in the US and a shock in the nominal Euro area interest rate are discussed.

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Bibliographic Info

Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 181.

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Date of creation: Oct 2003
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Handle: RePEc:iwh:dispap:181

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Keywords: Euro area economy; macroeconometric models; error correction;

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  8. Bagnai, Alberto & Carlucci, Francesco, 2003. "An aggregate model for the European Union," Economic Modelling, Elsevier, vol. 20(3), pages 623-649, May.
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Cited by:
  1. Jérôme Creel & Bruno Ducoudré & Catherine Mathieu & Henri Sterdyniak, 2005. "Doit-on oublier la politique budgétaire ?. Une analyse critique de la nouvelle théorie anti-keynésienne des finances publiques," Revue de l'OFCE, Presses de Sciences-Po, vol. 92(1), pages 43-97.
  2. Rolf Scheufele, 2008. "Das makroökonometrische Modell des IWH: Eine angebotsseitige Betrachtung," IWH Discussion Papers 9, Halle Institute for Economic Research.
  3. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
  4. Rebeca Albacete & Antoni Espasa, 2005. "Forecasting Inflation In The Euro Area Using Monthly Time Series Models And Quarterly Econometric Models," Statistics and Econometrics Working Papers ws050401, Universidad Carlos III, Departamento de Estadística y Econometría.
  5. Klein, Lawrence R. & Kushnirsky, Fyodor I. & Maksymenko, Svitlana V., 2012. "Macroeconometric study of Ukraine's growth and reform," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 325-340.
  6. Salami, Habibollah & Shahnooshi, Naser & Thomson, Kenneth J., 2009. "The economic impacts of drought on the economy of Iran: An integration of linear programming and macroeconometric modelling approaches," Ecological Economics, Elsevier, vol. 68(4), pages 1032-1039, February.

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