A macroeconometric model for the Euro economy

Christian Dreger

No 181/2003, IWH Discussion Papers from Halle Institute for Economic Research (IWH)

Abstract: In this paper a structural macroeconometric model for the Eurozone is presented. In opposite to the multi country modelling approach, the model relies on aggregate data on the supra-national level. Due to nonstationarity, all equations are estimated in an error correction form. The cointegrating relations are derived jointly with the short-run dynamics, avoiding the finite sample bias of the two step Engle Granger procedure. The validity of the aggregated approach is confirmed by out-of-sample forecasts and two simulation exercises. In particular the implications of a lower economic recovery in the US and a shock in the nominal Euro area interest rate are discussed.

Keywords: Euro area economy; macroeconometric models; error correction (search for similar items in EconPapers)
JEL-codes: C3 C5 F01 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Journal Article: A macroeconometric model for the Euro economy (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwhdps:iwh-181

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