SIGMA: A New Open Economy Model for Policy Analysis

Christopher John Erceg, Luca Guerrieri () and Christopher Gust
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Christopher Gust: Federal Reserve Board

International Journal of Central Banking, 2006, vol. 2, issue 1

Abstract: In this paper, we describe a new multicountry open economy SDGE model named "SIGMA" that we have developed as a quantitative tool for policy analysis. We compare SIGMA's implications to those of an estimated large-scale econometric policy model (the FRB/Global model) for an array of shocks that are often examined in policy simulations. We show that SIGMA's implications for the near-term responses of key variables are generally similar to those of FRB/Global. Nevertheless, some quantitative disparities between the two models remain due to certain restrictive aspects of SIGMA's optimization-based framework. We conclude by using long-term simulations to illustrate some areas of comparative advantage of our SDGE modeling framework.

JEL-codes: E32 F41 (search for similar items in EconPapers)
Date: 2006
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Related works:
Working Paper: SIGMA: A New Open Economy Model for Policy Analysis (2006)
Working Paper: SIGMA: a new open economy model for policy analysis (2006)
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