A global trade model for the euro area

Chiara Osbat, Antonello D'Agostino and Michele Modugno

No 1986, Working Paper Series from European Central Bank

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. JEL Classification: F17, F47, C38

Keywords: conditional forecast; euro area; factor models; news; now-cast; trade (search for similar items in EconPapers)
Date: 2016-12
New Economics Papers: this item is included in nep-eec and nep-int
Note: 261931
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Related works:
Journal Article: A Global Trade Model for the Euro Area (2017)
Working Paper: A Global Trade Model for the Euro Area (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161986

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