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The Halle Economic Projection Model

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

Abstract

In this paper we develop an 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 published by Carabenciov et al. (2008a,b,c). Our main contribution is that we model the Euro area countries separately. In doing so, we consider Germany, France, and Italy which represent together about 70% of Euro area GDP. The model combines core equations of the New-Keynesian standard DSGE model with empirically useful ad-hoc equations. We estimate this model using Bayesian techniques and evaluate the forecasting properties. Additionally, we provide an impulse response analysis and historical shock decomposition.

Suggested Citation

  • Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2012. "The Halle Economic Projection Model," Economic Modelling, Elsevier, vol. 29(4), pages 1461-1472.
    • Handle: RePEc:eee:ecmode:v:29:y:2012:i:4:p:1461-1472
    DOI: 10.1016/j.econmod.2012.02.010
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    Cited by:

    1. Drygalla, Andrej & Holtemöller, Oliver & Lindner, Axel, 2017. "Internationale Konjunkturprognose und konjunkturelle Szenarien für die Jahre 2016 bis 2021," IWH Online 3/2017, Halle Institute for Economic Research (IWH).
    2. Brautzsch, Hans-Ulrich & Dany-Knedlik, Geraldine & Drygalla, Andrej & Gebauer, Stefan & Holtemöller, Oliver & Kämpfe, Martina & Lindner, Axel & Michelsen, Claus & Rieth, Malte & Schlaak, Thore, 2019. "Kurzfristige ökonomische Effekte eines "Brexit" auf die deutsche Wirtschaft: Studie im Auftrag des Bundesministeriums für Wirtschaft und Energie," IWH Online 3/2019, Halle Institute for Economic Research (IWH).
    3. Lindner, Axel & Drygalla, Andrej, 2015. "Internationale Konjunkturprognose und konjunkturelle Stressszenarien für die Jahre 2014 bis 2018," IWH Online 3/2015, Halle Institute for Economic Research (IWH).
    4. Projektgruppe Gemeinschaftsdiagnose, 2014. "Joint Economic Forecast Spring 2014: Upturn in German Economy, but Economic Policy Creates Headwind," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 67(08), pages 03-64, April.
    5. Holtemöller, Oliver & Lindner, Axel & Drygalla, Andrej, 2013. "Internationale Konjunkturprognose und konjunkturelle Stressszenarien für die Jahre 2013 bis 2015," IWH Online 6/2013, Halle Institute for Economic Research (IWH).
    6. Nikolay Hristov, 2016. "The Ifo DSGE Model for the German Economy," ifo Working Paper Series 210, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    7. Holtemöller, Oliver & Lindner, Axel & Giesen, Sebastian, 2013. "Internationale Konjunkturprognose und konjunkturelle Stressszenarien für die Jahre 2012 bis 2014," IWH Online 1/2013, Halle Institute for Economic Research (IWH).
    8. Drygalla, Andrej & Holtemöller, Oliver & Lindner, Axel, 2021. "Internationale Konjunkturprognose und konjunkturelle Szenarien für die Jahre 2020 bis 2025," IWH Studies 2/2021, Halle Institute for Economic Research (IWH).
    9. Holtemöller, Oliver & Brautzsch, Hans-Ulrich & Drechsel, Katja & Drygalla, Andrej & Giesen, Sebastian & Hennecke, Peter & Kiesel, Konstantin & Loose, Brigitte & Meier, Carsten-Patrick & Zeddies, Götz, 2015. "Ökonomische Wirksamkeit der Konjunktur stützenden finanzpolitischen Maßnahmen der Jahre 2008 und 2009. Forschungsvorhaben im Auftrag des Bundesministeriums der Finanzen," IWH Online 4/2015, Halle Institute for Economic Research (IWH).
    10. Holtemöller, Oliver & Drygalla, Andrej & Lindner, Axel, 2016. "Internationale Konjunkturprognose und konjunkturelle Stressszenarien für die Jahre 2015 bis 2020," IWH Online 4/2016, Halle Institute for Economic Research (IWH).

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    More about this item

    Keywords

    Medium scale DSGE model; International business cycles; Bayesian estimation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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