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ECB-BASIR: A primer on the macroeconomic implications of the Covid-19 pandemic

Angelini, Elena; Damjanovi´c, Milan; Darracq Pariès, … - 2020

central bank modelling apparatus to the new economic landscape. We augment the ECB-BASE model with the predictive dynamics of …

Persistent link: https://www.econbiz.de/10012422093

Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE approach

Smets, Frank; Wouters, Raf - 2004

This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in...

Persistent link: https://www.econbiz.de/10011604437

Firm-specific production factors in a DSGE model with Taylor price setting

de Walque, Gregory; Smets, Frank; Wouters, Raf - 2006

This paper compares the Calvo model with a Taylor contracting model in the context of the Smets-Wouters (2003) Dynamic Stochastic General Equilibrium (DSGE) model. In the Taylor price setting model, we introduce firm-specific production factors and discuss how this assumption can help to reduce...

Persistent link: https://www.econbiz.de/10011604694

Ecb-Basir : A Primer on the Macroeconomic Implications of the Covid-19 Pandemic

Angelini, Elena - 2020

central bank modelling apparatus to the new economic landscape. We augment the ECB-BASE model with the predictive dynamics of …

Persistent link: https://www.econbiz.de/10012829746

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models

Huber, Florian - 2019

Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...

Persistent link: https://www.econbiz.de/10012860054

Imposing Parsimony in Cross-Country Growth Regressions

Jarocinski, Marek - 2021

The number of variables related to long-run economic growth is large compared with the number of countries. Bayesian model averaging is often used to impose parsimony in the cross-country growth regression. The underlying prior is that many of the considered variables need to be excluded from...

Persistent link: https://www.econbiz.de/10013316179

The French block of the ESCB multi-country model

Boissay, Frédéric; Villetelle, Jean-Pierre - 2005

This paper presents the French country block of the ESCB Multi-Country Model for the euro area, which has been built in collaboration by the ECB and the Banque de France. The theoretical structure of the model is in line with most current macroeconometric models, i.e. supply factors determine...

Persistent link: https://www.econbiz.de/10011604502

The Dutch block of the ESCB multi-country model

Angelini, Elena; Boissay, Frédéric; Ciccarelli, Matteo - 2006

The paper presents the Dutch country block of the ESCB Multi-Country Model (MCM) for the euro area. We show how a theoretical model is translated into an econometric specification and how this specification is in turn estimated and used in the projection exercises of the E(S)CB. The dynamic...

Persistent link: https://www.econbiz.de/10011604692

The German block of the ESCB multi-country model

Vetlov, Igor; Warmedinger, Thomas - 2006

The paper presents the German block of the ESCB multi-country model. It builds on previous modelling work on the Area … common modelling approach and the same theoretical framework, the German model has also some unique features for instance … with regard to the modelling of the investment components, imports and employment. The paper provides a brief overview of …

Persistent link: https://www.econbiz.de/10011604700

The Italian block of the ESCB multi-country model

Angelini, Elena; D’Agostino, Antonello; McAdam, Peter - 2006

This paper documents the structure, estimation and simulation properties of the Italian block of the ESCB-multi-country model (MCM). The model is used regularly as an input into Eurosystem projection exercises and, to a lesser extent, in simulation analysis. The specification of the Italian...

Persistent link: https://www.econbiz.de/10011604706

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