The Halle Economic Projection Model

Sebastian Giesen, Oliver Holtemöller, Juliane Scharff and Rolf Scheufele

Economic Modelling, 2012, vol. 29, issue 4, 1461-1472

Abstract: In this paper we develop an 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 published by Carabenciov et al. (2008a,b,c). Our main contribution is that we model the Euro area countries separately. In doing so, we consider Germany, France, and Italy which represent together about 70% of Euro area GDP. The model combines core equations of the New-Keynesian standard DSGE model with empirically useful ad-hoc equations. We estimate this model using Bayesian techniques and evaluate the forecasting properties. Additionally, we provide an impulse response analysis and historical shock decomposition.

Keywords: Medium scale DSGE model; International business cycles; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C32 C53 E37 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:4:p:1461-1472

DOI: 10.1016/j.econmod.2012.02.010

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