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A macroeconometric model for the Euro economy

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Christian Dreger

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Abstract

In diesem Papier wird ein strukturelles makroökonometrisches Modell präsentiert. Anders als in den Mehr-Länder Modellen wird die Eurozone als Ganzheit betrachtet. Wegen der Nichtstationarität der meisten Niveauvariablen werden die Gleichungen in Fehlerkorrekturform geschätzt. Die Kointegrationsbeziehungen werden gemeinsam mit der kurzfristigen Dynamik ermittelt, um Verzerrungen zu vermeiden, die ansonsten beim Engle-Granger Ansatz aufgrund der kurzen Beobachtungsperiode zu erwarten wären. Die Validität des Ansatzes wird durch out-of-sample Prognosen und zwei Standardsimulationen bestätigt. Dabei werden eine geringere konjunkturelle Erholung in den USA und eine Zinssenkung der ECB betrachtet.

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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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  6. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July. [Downloadable!] (restricted)
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  7. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
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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. [Downloadable!] (restricted)
  9. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December. [Downloadable!] (restricted)
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  11. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
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  12. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October. [Downloadable!] (restricted)
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  13. Bennett T. McCallum, 1994. "A Reconsideration of the Uncovered Interest Parity Relationship," NBER Working Papers 4113, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  14. Jones, Charles I, 1995. "Time Series Tests of Endogenous Growth Models," The Quarterly Journal of Economics, MIT Press, vol. 110(2), pages 495-525, May. [Downloadable!] (restricted)
  15. Gabriel Fagan & Jérôme Henry & Ricardo Mestre, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank. [Downloadable!]
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  1. 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. [Downloadable!]
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