A Global Trade Model for the Euro Area

Antonello D’Agostino, Michele Modugno and Chiara Osbat
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Antonello D’Agostino: Rokos Capital Management
Authors registered in the RePEc Author Service: Antonello D'Agostino

International Journal of Central Banking, 2017, vol. 13, issue 4, 1-34

Abstract: We propose a model for analyzing euro-area trade based on the interaction between macroeconomic and trade variables. First, we show that macroeconomic variables are necessary to generate accurate short-term trade forecasts; this result can be explained by the high correlation between trade and macroeconomic variables, with the latter being released in a more timely manner. Second, the model tracks well the dynamics of trade variables conditional on the path of macroeconomic variables during the Great Recession; this result makes our model a reliable tool for scenario analysis.

Date: 2017
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: A global trade model for the euro area (2016)
Working Paper: A Global Trade Model for the Euro Area (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2017:q:4:a:1

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