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Noname - A new quarterly model for Belgium

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  • Philippe Jeanfils

    ()
    (National Bank of Belgium, Research Department)

  • Koen Burggraeve

    ()
    (National Bank of Belgium, Research Department)

Abstract

This paper gives an overview of the present version of the quarterly model for the Belgian economy built at the National Bank of Belgium (NBB). This model can provide quantitative input into the policy analysis and projection processes within a framework that has explicit micro-foundations and expectations. This new version is also compatible with the ESA95 national accounts. This model called Noname is relatively compact. The intertemporal optimisation problem of households and firms is subject to polynomial adjustment costs, which yields richer dynamic specifications than the more usual quadratic cost function. Other characteristics are: pricing-to-market and hence flexible mark-ups and incomplete pass-through, a CES production function with an elasticity of substitution between capital and labour below one, time-dependent wage contracting à la Dotsey, King and Wollman. Most of the equations taken individually have acceptable statistical properties and diagnostic simulations suggest that the impulse responses of the model to exogenous shocks are reasonable. Its structure allows simulations to be conducted under the assumption of rational expectations as well as under alternative expectations formations.

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Bibliographic Info

Paper provided by National Bank of Belgium in its series Working Paper Research with number 68.

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Length: 71 pages
Date of creation: May 2005
Date of revision:
Handle: RePEc:nbb:reswpp:200505-2

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Keywords: Econometric modelling; Pricing-to-market; CES production function; Wage bargaining; Polynomial adjustment costs; Rational expectations.;

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References

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  1. Bergin, Paul R., 2003. "A model of relative national price levels under pricing to market," European Economic Review, Elsevier, vol. 47(3), pages 569-586, June.
  2. Karanassou, Marika & Sala, Hector & Snower, Dennis J., 2003. "Unemployment in the European Union: Institutions, Prices, and Growth," IZA Discussion Papers 899, Institute for the Study of Labor (IZA).
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  5. Philippe Jeanfils, 2000. "A model with explicit expectations for Belgium," Working Paper Research 04, National Bank of Belgium.
  6. Kozicki, Sharon & Tinsley, P. A., 1999. "Vector rational error correction," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1299-1327, September.
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  8. Tinsley, P A, 2002. "Rational Error Correction," Computational Economics, Society for Computational Economics, vol. 19(2), pages 197-225, April.
  9. Bergin, Paul R. & Feenstra, Robert C., 2000. "Staggered price setting, translog preferences, and endogenous persistence," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 657-680, June.
  10. Frank Smets & Raf Wouters, 2002. "An estimated dynamic stochastic general equilibrium model of the euro area," Working Paper Research 35, National Bank of Belgium.
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  14. Klump, Rainer & Preissler, Harald, 2000. " CES Production Functions and Economic Growth," Scandinavian Journal of Economics, Wiley Blackwell, vol. 102(1), pages 41-56, March.
  15. repec:nbr:nberre:0126 is not listed on IDEAS
  16. Francesco Zanetti, 2003. "Non-Walrasian Labor Market and the European Business Cycle," Boston College Working Papers in Economics 574, Boston College Department of Economics, revised 20 May 2004.
  17. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
  18. Susanto Basu & Miles S. Kimball, 1997. "Cyclical Productivity with Unobserved Input Variation," NBER Working Papers 5915, National Bureau of Economic Research, Inc.
  19. Layard, Richard & Nickell, Stephen & Jackman, Richard, 1991. "Unemployment: Macroeconomic Performance and the Labour Market," OUP Catalogue, Oxford University Press, number 9780198284345.
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Citations

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Cited by:
  1. F. De Sloover & K. Burggraeve & L. Dresse, 2012. "Belgian business investment in the context of the crisis," Economic Review, National Bank of Belgium, issue II, pages 29-44, September.
  2. Frédéric Lagneaux, 2005. "Importance économique du Port Autonome de Liège: rapport 2003," Working Paper Document 75, National Bank of Belgium.
  3. Frédéric Lagneaux, 2008. "Economic Importance of Belgian Transport Logistics," Working Paper Document 125, National Bank of Belgium.
  4. Nancy Masschelein, 2007. "Monitoring pro-cyclicality under the capital requirements directive : preliminary concepts for developing a framework," Working Paper Document 120, National Bank of Belgium.
  5. Janet Mitchell, 2005. "Financial intermediation theory and implications for the sources of value in structured finance markets," Working Paper Document 71, National Bank of Belgium.
  6. Devriese, Johan & Mitchell, Janet, 2005. "Liquidity Risk in Securities Settlement," CEPR Discussion Papers 5123, C.E.P.R. Discussion Papers.
  7. Joachim Keller, 2008. "Agency problems in structured finance – a case study of European CLOs," Working Paper Document 137, National Bank of Belgium.
  8. Helga De Doncker, 2006. "Crédits aux particuliers - Analyse des données de la Centrale des Crédits aux Particuliers," Working Paper Document 78, National Bank of Belgium.
  9. V. Baugnet & L. Dresse, 2011. "Developments in private consumption over the past three years," Economic Review, National Bank of Belgium, issue II, pages 47-58, September.

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