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The lithuanian block of the ECSB multi-country model

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  • Vetlov, Igor

Abstract

This paper presents preliminary results of modelling the Lithuanian block of the ESCB Multi-Country Model, LT_MCM.The theoretical structure of the LT_MCM is in line with most current mainstream macro models, i.e. supply factors determine the long-run equilibrium, while output is demand determined in the short run. Starting with a brief overview of the common features and main building blocks of a typical MCM country model block, we report the preliminary results of estimation of the Lithuanian MCM block.To illustrate the main characteristics of the estimated model, some standard shocks are introduced in the model and the responses studied.Compared to other MCM country blocks, we find that the Lithuanian macro model is characterised by relatively large and rapid response to shocks.Model simulation reveals that, compared to domestic prices, GDP is more responsive to shocks in the short run, while investment on average is more volatile than private consumption.The latter findings are similar to those reported for other EU country macro models.

Suggested Citation

  • Vetlov, Igor, 2004. "The lithuanian block of the ECSB multi-country model," BOFIT Discussion Papers 13/2004, Bank of Finland Institute for Emerging Economies (BOFIT).
    • Handle: RePEc:zbw:bofitp:bdp2004_013
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    1. van Els, Peter J. A. & Morgan, Julian & Locarno, Alberto & Villetelle, Jean-Pierre, 2001. "Monetary policy transmission in the euro area: What do aggregate and national structural models tell us?," Working Paper Series 94, European Central Bank.
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    3. Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank.
    4. Kashyap, Anil K. & Mojon, Benoît & Terlizzese, Daniele & Backé, Peter, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 114, European Central Bank.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    1. Skufi, Lorena & Kika, Eglent, 2018. "The Price Formation Process in the Albanian Economy: a macro modelling approach," MPRA Paper 121973, University Library of Munich, Germany, revised 19 Aug 2019.

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    JEL classification:

    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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