IDEAS home Printed from https://ideas.repec.org/p/wop/ccsowp/0024.html
   My bibliography  Save this paper

VAR-ing the economy of the Netherlands

Author

Listed:
  • Jan Jacobs
  • Albert van der Horst,

Abstract

This paper adopts the vector autoregression (VAR) approach to modelling the economy of the Netherlands. A VAR system with four endogenous variables---gross domestic product, inflation, the capital market interest rate and the money market interest rate---is built. The small, open character of the Dutch economy suggests the inclusion of foreign exogenous variables, so we also construct a VARX system (with world trade and the German capital market and money market rates as exogenous variables). Both the VAR system and the VARX system are estimated with error-correction mechanisms to take proper account of the non-stationarity of the variables. The VAR system and the VARX system are compared to the IBS-CCSO model, a structural macroeconometric model of the economy of the Netherlands. Compared to the IBS-CCSO model, the VAR system gives better results for production and inflation, whereas the structural macroeconometric IBS-CCSO model is to be preferred for the interest rates. The VARX system outperforms not only the VAR system but also the IBS-CCSO model.

Suggested Citation

  • Jan Jacobs & Albert van der Horst,, 1996. "VAR-ing the economy of the Netherlands," Working Papers 24, Centre for Economic Research, University of Groningen and University of Twente.
  • Handle: RePEc:wop:ccsowp:0024
    as

    Download full text from publisher

    File URL: http://www.eco.rug.nl/ccso/zip-file/ccso24.zip
    Download Restriction: no

    References listed on IDEAS

    as
    1. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
    2. Litterman, Robert B, 1986. "A Statistical Approach to Economic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 1-4, January.
    3. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, pages 277-304.
    4. Wallis, Kenneth F & Whitley, John D, 1991. " Large-Scale Econometric Models of National Economies," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 283-314.
    5. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    7. John W. Keating, 1992. "Structural approaches to vector autoregressions," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 37-57.
    8. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-273.
    9. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    10. Ingram, Beth F. & Whiteman, Charles H., 1994. "Supplanting the 'Minnesota' prior: Forecasting macroeconomic time series using real business cycle model priors," Journal of Monetary Economics, Elsevier, vol. 34(3), pages 497-510, December.
    11. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    12. Jacobs, Jan & Sterken, Elmer, 1995. "The IBS-CCSO quarterly model of the Netherlands Specification, simulation and analysis," Economic Modelling, Elsevier, vol. 12(2), pages 111-163, April.
    13. Gerlach, Stefan & Smets, Frank, 1995. "The Monetary Transmission Mechanism: Evidence from the G-7 Countries," CEPR Discussion Papers 1219, C.E.P.R. Discussion Papers.
    14. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    16. Jakob De Haan & Jan Egbert Sturm, 1995. "Is it real? The relationship between real deficits and real growth: new evidence using long-run data," Applied Economics Letters, Taylor & Francis Journals, vol. 2(4), pages 98-102.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    vector autoregression; forecast comparison;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wop:ccsowp:0024. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel). General contact details of provider: http://edirc.repec.org/data/sorugnl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.