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The OECD's New Global Model

  • Karine Hervé
  • Nigel Pain
  • Pete Richardson
  • Franck Sédillot
  • Pierre-Olivier Beffy

This paper provides a summary of the OECD’s new global macroeconometric model, including an overview of model structure and a selection of simulations illustrating its main properties. Compared with its predecessors, the new model is more compact and regionally aggregated, but gives more weight to the focus of policy interests in global trade and financial linkages. The country model structures typically combine short-term Keynesian-type dynamics with a consistent long-run neo-classical supply-side. While retaining a conventional treatment of international trade and payments linkages, the model has a greater degree of stock-flow consistency, with explicit modelling of domestic and international assets, liabilities and associated income streams. Account is also taken of the influence of financial and housing market developments on asset valuation and domestic expenditures via house and equity prices, interest rates and exchange rates. As a result, the model gives more prominence to wealth and wealth effects in determining longer-term outcomes and the role of asset prices in the transmission of international shocks both to goods and financial markets. Le nouveau modèle global de l'OCDE Ce document de travail présente un résumé du nouveau modèle macro-économétrique de l’OCDE, incluant une vue d’ensemble de la structure du modèle et une sélection de simulations qui illustrent ses principales propriétés. Comparé aux modèles antérieurs, le nouveau modèle est plus compact et agrégé par région, mais donne plus de poids aux politiques économiques portant sur les interactions entre le commerce mondial et les marchés financiers. Les structures du modèle par pays combinent des dynamiques de court terme de type Keynésien avec un côté de l’offre à long terme néo-classique consistant. Alors qu’il conserve un traitement conventionnel des interactions enter le commerce international et les secteurs financiers, le modèle a un meilleur degré de consistance des stocks et des flux, avec une modélisation explicite des actifs domestiques et internationaux et des flux des actions et des revenus qui en découlent. On tient compte aussi de l’influence du développement des marchés financier et immobilier sur les valorisations d’actifs et les dépenses domestiques à travers les prix des maisons et des titres, des taux d’intérêt et des taux de change. En conséquence, le modèle donne plus d’importance à la richesse et aux effets de richesse dans les résultats à long terme des simulations, ainsi qu’au rôle du prix des actifs dans la transmission des chocs internationaux entre les biens et les marchés financiers.

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Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 768.

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Date of creation: 05 May 2010
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Handle: RePEc:oec:ecoaaa:768-en
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