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A First Look on the New Halle Economic Projection Model

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Author Info

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

Abstract

In this paper we develop a small 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 recently published by the International Monetary Fund (global projection model). Our main contribution is that we model the Euro area countries separately. In this version we consider Germany and France, which represent together about 50 percent of Euro area GDP. The model allows for country specific heterogeneity in the sense that we capture different adjustment patterns to economic shocks. The model is estimated using Bayesian techniques. Out-of-sample and pseudo out-of-sample forecasts are presented.

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File URL: http://www.iwh-halle.de/d/publik/disc/6-10.pdf
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Bibliographic Info

Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 6.

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Date of creation: Mar 2010
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Handle: RePEc:iwh:dispap:6-10

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Postal: Kleine Märkerstrasse 8, 06108 Halle (Saale)
Phone: (0345) 7753-60
Fax: (0345) 7753-820
Web page: http://www.iwh-halle.de
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Keywords: multi-country model; forecasting; bayesian estimation;

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