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Review of macroeconomic modelling in the Eurosystem: current practices and scope for improvement

Author

Listed:
  • Darracq Pariès, Matthieu
  • Notarpietro, Alessandro
  • Kilponen, Juha
  • Papadopoulou, Niki
  • Zimic, Srečko
  • Aldama, Pierre
  • Langenus, Geert
  • Alvarez, Luis Julian
  • Lemoine, Matthieu
  • Angelini, Elena
  • Lozej, Matija
  • Berben, Robert-Paul
  • Marotta, Fulvia
  • Carroy, Alice
  • Matheron, Julien
  • Christoffel, Kai
  • Montes-Galdón, Carlos
  • Ciccarelli, Matteo
  • Paredes, Joan
  • Consolo, Agostino
  • Pisani, Massimiliano
  • Cova, Pietro
  • Elfsbacka Schmöller, Michaela
  • Damjanović, Milan
  • Smadu, Andra
  • de Walque, Gregory
  • Szörfi, Béla
  • Dupraz, Stéphane
  • Turunen, Harri
  • Gumiel, José Emilio
  • Verona, Fabio
  • Haertel, Thomas
  • Vetlov, Igor
  • Hurtado, Samuel
  • Warne, Anders
  • Júlio, Paulo
  • Zhutova, Anastasia
  • Kühl, Michael

Abstract

This paper provides an assessment of the macroeconomic models regularly used for forecasting and policy analysis in the Eurosystem. These include semi-structural, structural and time-series models covering specific jurisdictions and the euro area within a closed economy, small open economy, multi-country or global setting. Models are used as analytical frameworks for building baseline projections and for supporting the preparation of monetary policy decisions. The paper delivers four main contributions. First, it provides a survey of the macroeconomic modelling portfolios currently used or under development within the Eurosystem. Second, it explores the analytical gaps in the Eurosystem models and investigates the scope for further enhancement of the main projection and policy models, and the creation of new models. Third, it reviews current practices in model-based analysis for monetary policy preparation and forecasting and provides recommendations and suggestions for improvement. Finally, it reviews existing cooperation modalities on model development and proposes alternative sourcing and organisational strategies to remedy any knowledge or analytical gaps identified. JEL Classification: C5, E47, E52, E58, F4

Suggested Citation

  • Darracq Pariès, Matthieu & Notarpietro, Alessandro & Kilponen, Juha & Papadopoulou, Niki & Zimic, Srečko & Aldama, Pierre & Langenus, Geert & Alvarez, Luis Julian & Lemoine, Matthieu & Angelini, Elena, 2021. "Review of macroeconomic modelling in the Eurosystem: current practices and scope for improvement," Occasional Paper Series 267, European Central Bank.
  • Handle: RePEc:ecb:ecbops:2021267
    Note: 604093
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    1. Carola Conces Binder & Rodrigo Sekkel, 2023. "Central Bank Forecasting: A Survey," Staff Working Papers 23-18, Bank of Canada.

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    Keywords

    central banking.; econometric modelling; forecasting and simulation; monetary policy;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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