A First Look on the New Halle Economic Projection Model

Sebastian Giesen, Oliver Holtemöller, Juliane Scharff and Rolf Scheufele

No 6/2010, IWH Discussion Papers from Halle Institute for Economic Research (IWH)

Abstract: In this paper we develop a small open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model - the Halle Economic Projection Model (HEPM) - is closely related to studies recently published by the International Monetary Fund (global projection model). Our main contribution is that we model the Euro area countries separately. In this version we consider Germany and France, which represent together about 50 percent of Euro area GDP. The model allows for country specific heterogeneity in the sense that we capture different adjustment patterns to economic shocks. The model is estimated using Bayesian techniques. Out-of-sample and pseudo out-of-sample forecasts are presented.

Keywords: Multi-country model; Forecasting; Bayesian estimation; Mehrländermodell; Prognose; Bayesianische Ökonometrie (search for similar items in EconPapers)
JEL-codes: C32 C53 E37 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwhdps:iwh-6-10

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