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The a/simmetrie annual macroeconometric model of the Italian economy: structure and properties

Author

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  • Alberto Bagnai

    () (Department of Economics, Gabriele d'Annunzio University)

  • Christian Alexander Mongeau Ospina

    () (Italian Association for the Study of Economic Asymmetries)

Abstract

We develop a medium-sized annual macroeconometric model of the Italian economy. The theoretical framework is the usual AS/AD model, where the demand side is specified along Keynesian lines, and the supply side adopts a standard neoclassical technology, with Harrod neutral technological progress. The empirical specification consists of 140 equations, of which 29 stochastic, with 55 exogenous variables. The model structure presents some distinct features, among which the disaggregation of the foreign trade block in seven trade partner regions (thus representing the bilateral imports and exports flows in function of the regional GDP and of the bilateral real exchange rates), and the explicit modelling of the impact of labour market reforms on the wage setting mechanism (which explains the shift in the Phillips curve observed over the last two decades). The model is conceived for the analysis of the medium- to long-run developments of the Italian economy, and as such it adopts econometric methods that allow the researcher to quantify the structural long-run parameters. The equation are estimated over a large sample of annual data (1960-2013), using cointegration techniques that take into account the possible presence of structural breaks in the model parameters. The model overall tracking performance is good. We perform some standard policy experiments in order to show the model’s response to usual shocks: an increase in public expenditure, an exchange rate devaluation, a slowdown in world demand, and an increase in oil prices. The shocks are evaluated by ex post simulation and their impact tracked over a five-year span. The dynamic multipliers appear to be consistent with the economic intuition.

Suggested Citation

  • Alberto Bagnai & Christian Alexander Mongeau Ospina, 2014. "The a/simmetrie annual macroeconometric model of the Italian economy: structure and properties," a/ Working Papers Series 1405, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
  • Handle: RePEc:ais:wpaper:1405
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    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. a/simmetrie vs. IMF: scenari a confronto
      by Alberto Bagnai in Goofynomics on 2014-12-19 05:05:00
    2. a/simmetrie vs IMF: mi piace vincere facile!
      by Alberto Bagnai in Goofynomics on 2014-12-19 16:52:00
    3. Il moltiplicatore del modello di a/simmetrie (KPD5)
      by Alberto Bagnai in Goofynomics on 2014-12-25 13:29:00
    4. Il costo di Monti (KPD6)
      by Alberto Bagnai in Goofynomics on 2014-12-26 19:16:00
    5. Quick post su keynesiani, competitività e lungo periodo (KPD7)
      by Alberto Bagnai in Goofynomics on 2014-12-27 18:03:00
    6. I benefici di Renzi: il piciernile nel modello di a/simmetrie
      by Alberto Bagnai in Goofynomics on 2014-12-30 16:08:00
    7. Troika e disinformazione: quelli che ‘portiamo la democrazia in Europa’
      by Alberto Bagnai in Il Fatto Quotidiano on 2015-02-05 15:41:32
    8. #treciento (la storia continua...)
      by Alberto Bagnai in Goofynomics on 2015-03-06 12:48:00
    9. QED 49: Le riforme non servono
      by Alberto Bagnai in Goofynomics on 2015-05-10 22:34:00
    10. QED 50: "A mme m'ha rovinato 'a Conzurta, se no a quest'ora stavo alle Cayman"
      by Alberto Bagnai in Goofynomics on 2015-05-12 23:11:00
    11. Facciamo i conti...
      by Alberto Bagnai in Goofynomics on 2015-08-10 03:06:00

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    Cited by:

    1. Bagnai, Alberto & Granville, Brigitte & Mongeau Ospina, Christian A., 2017. "Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model," Economic Modelling, Elsevier, vol. 64(C), pages 524-538.
    2. Walter Paternesi Meloni, 2018. "Italy’s Price Competitiveness: An Empirical Assessment Through Export Elasticities," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 4(3), pages 421-462, November.
    3. Jacques Sapir, 2018. "The EMU’s Twisted Foundations: How to Use and Misuse Economic Theory," Studies on Russian Economic Development, Springer, vol. 29(5), pages 497-506, September.
    4. Francesco Zezza & Gennaro Zezza, 2020. "A Stock-Flow Consistent Quarterly Model of the Italian Economy," Economics Working Paper Archive wp_958, Levy Economics Institute.

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    More about this item

    Keywords

    Model construction and estimation; Simulation methods; Quantitative policy modeling; Keynesian model; Fiscal policy; Empirical studies of trade; Open economy macroeconomics; Macroeconomic issues of monetary unions; Forecasting and simulation.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F45 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Macroeconomic Issues of Monetary Unions
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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