SIGMA: A New Open Economy Model for Policy Analysis

Christopher Erceg, Luca Guerrieri and Christopher Gust

No 835, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this paper, we describe a new multi-country open economy SDGE model named \"SIGMA\" that we have developed as a quantitative tool for policy analysis. We compare SIGMA's implications to those of an estimated large scale econometric policy model (the FRB/Global model) for an array of shocks that are often examined in policy simulations. We show that SIGMA?s implications for the near-term responses of key variables are generally similar to those of FRB/Global. Nevertheless, some quantitative disparities between the two models remain due to certain restrictive aspects of SIGMA?s optimization-based framework. We conclude by using long-term simulations to illustrate some areas of comparative advantage of our SDGE modeling framework.

Keywords: SDGE model; open economy macroeconomics (search for similar items in EconPapers)
JEL-codes: E32 F41 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2005-07
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (263)

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Related works:
Journal Article: SIGMA: A New Open Economy Model for Policy Analysis (2006)
Working Paper: SIGMA: A New Open Economy Model for Policy Analysis (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:835

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