Towards New Open Economy Macroeconometrics

Fabio Ghironi ()

No 469, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: I estimate the structural parameters of a small open economy model using data from Canada and the United States. The model improves upon the recent literature in open economy macroeconomics from an empirical perspective. I estimate parameters by using non-linear least squares at the single-equation level. Estimates of most parameters are characterized by small standard errors and are in line with the findings of other studies. I also develop a plausible way of constructing measures for non-observable variables. To verify if multiple-equation regressions yield significantly different estimates, I run full information maximum likelihood, system-wide regressions. The results of the two procedures are similar. Finally, I illustrate a practical application of the model, showing how a shock to the U.S. economy is transmitted to Canada under an inflation targeting monetary regime.

Keywords: Open economy macroeconometrics; Stationarity; Shocks transmission (search for similar items in EconPapers)
JEL-codes: C51 F41 (search for similar items in EconPapers)
Date: 2000-02-23
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Working Paper: Towards new open economy macroeconometrics (2000)
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