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A stochastic estimated version of the Italian dynamic General Equilibrium Model (IGEM)

Author

Listed:
  • Nicola Acocella
  • Giorgio Alleva
  • Elton Beqiraj
  • Giovanni Di Bartolomeo
  • Fabio Di Dio
  • Marco Di Pietro
  • Francesco Felici
  • Brunero Liseo

Abstract

We estimate with Bayesian techniques the Italian dynamic General Equilibrium Model (IGEM), which has been developed at the Italian Treasury Department, Ministry of Economy and Finance, to assess the effects of alter-native policy interventions. We analyze and discuss the estimated effects of various shocks on the Italian economy. Compared to the calibrated version used for policy analysis, we find a lower wage rigidity and higher adjustment costs. The degree of prices and wages indexation to past inflation is much smaller than the indexation level assumed in the calibrated model. No substantial difference is found in the estimated monetary parameters. Estimated fiscal multipliers are slightly smaller than those obtained from the calibrated version of the model.

Suggested Citation

  • Nicola Acocella & Giorgio Alleva & Elton Beqiraj & Giovanni Di Bartolomeo & Fabio Di Dio & Marco Di Pietro & Francesco Felici & Brunero Liseo, 2018. "A stochastic estimated version of the Italian dynamic General Equilibrium Model (IGEM)," Working Papers 3, Department of the Treasury, Ministry of the Economy and of Finance.
  • Handle: RePEc:itt:wpaper:2018-3
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Dynamic General equilibrium model; Bayesian estimation; simulation analysis; Italy;

    JEL classification:

    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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