ECB macroeconometric models for forecasting and policy analysis

Matteo Ciccarelli, Matthieu Darracq Paries, Romanos Priftis, Elena Angelini, Marta Banbura, Nikola Bokan, Gabriel Fagan, José Emilio Gumiel, Antoine Kornprobst, Magdalena Lalik, Carlos Montes-Galdón, Georg Müller, Joan Paredes, Sergio Santoro, Anders Warne, Srečko Zimic, Rodolfo Dinis Rigato, Hanno Kase, Iason Koutsoulis, Stella Brunotte, Sara Cocchi, Alessandro Giammaria, Marco Invernizzi and Eliott Von-Pine

No 344, Occasional Paper Series from European Central Bank

Abstract: This paper takes stock of the ECB’s macroeconometric modelling strategy by focusing on the models and applications used in the Forecasting and Policy Modelling Division. We focus on the guiding principles underpinning the current portfolio of the main macroeconomic models and illustrate how they can in principle be used for economic forecasting, scenario and risk analyses. We also discuss the modelling agenda which is currently under development, focusing notably on heterogeneity, machine learning, expectation formation and climate change. The paper makes it clear that the large macroeconometric models typically developed in central banks remain stylised descriptions of our modern economies and can fail to predict or assess the nature of economic events (especially when big crises arise). But even in highly uncertain economic conditions, they can still provide a meaningful contribution to policy preparation. We conclude the paper with a roadmap which will allow the ECB and the Eurosystem to exploit technological advances and cooperation across institutions as a useful means of ensuring that the modelling framework is not only resilient to disruptive events but also innovative. JEL Classification: C30, C53, C54, E52

Keywords: economic models; forecasting; macroeconometrics; monetary policy (search for similar items in EconPapers)
Date: 2024-03
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-mon
Note: 224580
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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