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A macroeconometric model for the Euro economy

Listed author(s):
  • Christian Dreger

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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File URL: http://www.iwh-halle.de/d/publik/disc/181.pdf
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Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 181.

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Date of creation: Oct 2003
Handle: RePEc:iwh:dispap:181
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