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AQM-06: The Macro economic Model of the OeNB

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Abstract

This paper gives an overview of the current version of the quarterly macroeconomic model of the Oesterreichische Nationalbank for Austria. The model is a small to medium size macroeconomic model. It is in the tradition of the neoclassical synthesis and is therefore in line with most models used by euro system central banks. The model has been extended in several ways compared with the previous version. The most important changes concern the use of oil and import competitor’s prices in the supply block, a more detailed treatment of government receipts, the use of tax rates as policy instruments as well as a dynamic import demand indicator. In the empirical part, the paper presents some simulation results to show the impact of tax increases on the Austrian economy and the reaction of the model to five standard macroeconomic shocks: Increases of the value added tax, the personal income tax and the corporate income tax by the same amount have different effects on the Austrian economy. The reaction of the model to macroeconomic shocks is characterized by a high demand multiplier and a low negative impact of price competitiveness on exports.

Suggested Citation

  • Markus Leibrecht & Martin Schneider, 2006. "AQM-06: The Macro economic Model of the OeNB," Working Papers 132, Oesterreichische Nationalbank (Austrian Central Bank).
    • Handle: RePEc:onb:oenbwp:132
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    File URL: https://www.oenb.at/dam/jcr:44792030-38b0-4e42-ab64-0eabdb0d6162/wp132_tcm16-46515.pdf
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    References listed on IDEAS

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    1. Angeloni,Ignazio & Kashyap,Anil K. & Mojon,Benoît (ed.), 2003. "Monetary Policy Transmission in the Euro Area," Cambridge Books, Cambridge University Press, number 9780521828642, Enero.
    2. Richard L. Johnson, 2001. "Fiscal reaction rules in numerical macro models," Research Working Paper RWP 01-01, Federal Reserve Bank of Kansas City.
    3. Estrada, Ángel & Willman, Alpo, 2002. "The Spanish block of the ESCB-multi-country model," Working Paper Series 149, European Central Bank.
    4. Gerhard Fenz & Martin Spitzer, 2005. "AQM – The Austrian Quarterly Model of the Oesterreichische Nationalbank," Working Papers 104, Oesterreichische Nationalbank (Austrian Central Bank).
    5. Yanjun Liu & Nell Hamalainen & Bing-Sun Wong, "undated". "Economic Analysis and Modelling Using Fisher Chain Data," Working Papers-Department of Finance Canada 2003-13, Department of Finance Canada.
    6. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    7. Gabriel Fagan & Julian Morgan (ed.), 2005. "Econometric Models of the Euro-area Central Banks," Books, Edward Elgar Publishing, number 3918.
    8. Josef Baumgartner & Fritz Breuss & Serguei Kaniovski, 2004. "WIFO-Macromod. An Econometric Model of the Austrian Economy," WIFO Working Papers 241, WIFO.
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    Citations

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    Cited by:

    1. Christian Ragacs & Klaus Vondra, 2009. "Economic Crisis Unleashes Deep Recession in Austria – Stabilization Expected at Year-End," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 6-40.
    2. International Monetary Fund, 2014. "Austria: Publication of Financial Sector Assessment Program Documentation—Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2014/016, International Monetary Fund.
    3. Doris Prammer & Lukas Reiss, 2014. "Fiscal Projections by the Oesterreichische Nationalbank: Methods and Motives," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 31-48.
    4. Csilla Königswieser & Benjamin Neudorfer & Martin Schneider, 2021. "Supplement to “OeNB climate risk stress test – modeling a carbon price shock for the Austrian banking sector”," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 42.
    5. Emanuel Kopp & Christian Ragacs & Stefan W. Schmitz, 2010. "The Economic Impact of Measures Aimed at Strengthening Bank Resilience – Estimates for Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 20, pages 86-114.
    6. Ulrich Gunter & Gerald Krenn & Michael Sigmund, 2013. "Macroeconomic, Market and Bank-Specific Determinants of the Net Interest Margin in Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 87-101.
    7. 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.
    8. repec:onb:oenbwp:y:2008:i:15:b:1 is not listed on IDEAS
    9. Christian Ragacs & Martin Schneider, 2009. "Why did we fail to predict GDP during the last cycle? A breakdown of forecast errors for Austria," Working Papers 151, Oesterreichische Nationalbank (Austrian Central Bank).
    10. Gerhard Fenz & Christian Ragacs & Martin Schneider & Klaus Vondra & Walter Waschiczek, 2015. "Causes of declining investment activity in Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 12-34.
    11. Lukas Reiss, 2009. "The Effectiveness of Fiscal Stimulus Packages in Times of Crisis," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 78-99.
    12. Martin Guth & Jannika Hesse & Csilla Königswieser & Gerald Krenn & Christian Lipp & Benjamin Neudorfer & Martin Schneider & Philipp Weiss, 2021. "OeNB climate risk stress test – modeling a carbon price shock for the Austrian banking sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 42, pages 27-45.
    13. Gerhard Fenz & Lukas Reiss & Martin Schneider, 2012. "A structural interpretation of the impact of the great recession on the Austrian economy using an estimated DSGE model," Working Papers 177, Oesterreichische Nationalbank (Austrian Central Bank).

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    More about this item

    Keywords

    Macroeconometric Model; AUstria;

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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