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A macroeconometric model for the Euro economy

  • Dreger, Christian
  • Marcellino, Massimiliano

In this paper a structural macroeconometric model for the Eurozone is presented. In opposite to the multi country modelling approach, the model relies on aggregate data on the supra-national level. Due to nonstationarity, all equations are estimated in an error correction form. The cointegrating relations are derived jointly with the short-run dynamics, avoiding the finite sample bias of the two step Engle Granger procedure. The validity of the aggregated approach is confirmed by out-of-sample forecasts and two simulation exercises. In particular the implications of a lower economic recovery in the US and a shock in the nominal Euro area interest rate are discussed.

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Article provided by Elsevier in its journal Journal of Policy Modeling.

Volume (Year): 29 (2007)
Issue (Month): 1 ()
Pages: 1-13

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Handle: RePEc:eee:jpolmo:v:29:y:2007:i:1:p:1-13
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505735

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