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A model with explicit expectations for Belgium

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Philippe Jeanfils () (National Bank of Belgium, Research Department)

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Abstract

This paper presents a new quarterly macroeconometric model of the Belgian economy. It is intended to contribute to existing analytical work covering the specific transmission mechanisms of the euro area monetary policy in the Belgian economy. It also contributes to the forecast exercises and to their risk analysis. Finally it is also used to analyse the consequences of specific Belgian shocks. The model is small-scale and based on recent macroeconomic theory. The model's dynamics not only allow for the lagged adjustments from economic agents due to transaction costs to be taken into consideration, but also for agents to anticipate future developments and policy reactions. In simulations, expectation formation can be assumed either to be model consistent or to be generated by VAR-based extrapolations. On the basis of a few diagnostic simulations it is shown that in the long run the model converges to its steady state, defined by the underlying economic theory.

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Paper provided by National Bank of Belgium in its series Research series with number 200003-3.

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Length: 61 pages
Date of creation: Mar 2000
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Handle: RePEc:nbb:reswpp:200003-3

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  1. Brayton, Flint & Levin, Andrew & Lyon, Ralph & Williams, John C., 1997. "The evolution of macro models at the Federal Reserve Board," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 43-81, December. [Downloadable!] (restricted)
  2. Blanchard, Olivier J, 1985. "Debt, Deficits, and Finite Horizons," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 223-47, April. [Downloadable!] (restricted)
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  3. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc. [Downloadable!]
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  4. Nickell, Stephen, 1985. "Error Correction, Partial Adjustment and All That: An Expository Note," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 47(2), pages 119-29, May.
  5. Robert G. King & Alexander L. Wolman, 1996. "Inflation Targeting in a St. Louis Model of the 21st Century," NBER Working Papers 5507, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Dolado, J. & Galbraith, J.W. & Banerjee, A., 1991. "Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series," Economics Series Working Papers 99111, University of Oxford, Department of Economics.
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  7. Stephen Poloz & David Rose & Robert Tetlow, 1994. "The Bank of Canada's new Quarterly Projection Model (QPM): An introduction," Bank of Canada Review, Bank of Canada, vol. 1994(Autumn), pages 23-38. [Downloadable!]
  8. Rae, David, 1996. "NBNZ-DEMONZ: A dynamic equilibrium model of New Zealand," Economic Modelling, Elsevier, vol. 13(1), pages 91-165, January. [Downloadable!] (restricted)
  9. repec:fth:harver:1435 is not listed on IDEAS
  10. Seater, John J, 1993. "Ricardian Equivalence," Journal of Economic Literature, American Economic Association, vol. 31(1), pages 142-90, March. [Downloadable!] (restricted)
  11. P.A. Tinsley, 1993. "Fitting both data and theories: polynomial adjustment costs and error- correction decision rules," Finance and Economics Discussion Series 93-21, Board of Governors of the Federal Reserve System (U.S.).
  12. Flint Brayton & Eileen Mauskopf & David Reifschneider & Peter Tinsley & John Williams, 1997. "The role of expectations in the FRB/US macroeconomic model," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Apr, pages 227-245. [Downloadable!]
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