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Econometric Modelling at the Bank of Greece

Author

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  • Nicholas G. Zonzilos

    (Bank of Greece, Economic Research Department)

Abstract

At the Bank of Greece econometric modelling started in 1975 when the Bank’s first model of the Greek economy was developed under the leadership of the now Governor of the Bank Nicholas C. Garganas. The model was extensively used for many years in forecasting as well as in policy analysis and proved to be an indispensable tool for the policy decisions of the Bank over a broad spectrum of issues. Model development at the Bank of Greece is an ongoing activity fuelled by the changes in the economy as well as by modelling theoretical advances. This paper describes and documents the use as well as the properties (through a set of standard simulation results) of the current version of the Bank of Greece model.

Suggested Citation

  • Nicholas G. Zonzilos, 2004. "Econometric Modelling at the Bank of Greece," Working Papers 14, Bank of Greece.
    • Handle: RePEc:bog:wpaper:14
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    File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper200414.pdf
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    References listed on IDEAS

    as
    1. Sophocles N. Brissimis & George Hondroyiannis & P. A. V. B. Swamy & George S. Tavlas, 2003. "Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 605-628, December.
    2. Brissimis, Sophocles N. & Magginas, Nicholas S., 2005. "Changes in financial structure and asset price substitutability: A test of the bank lending channel," Economic Modelling, Elsevier, vol. 22(5), pages 879-904, September.
    3. Stephen G. Hall & Nicholas G. Zonzilos, 2003. "An Indicator Measuring Underlying Economic Activity in Greece," Working Papers 04, Bank of Greece.
    4. Papazoglou, Christos & Pentecost, Eric J., 2004. "The dynamic adjustment of a transition economy in the early stages of transformation," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 547-561, September.
    5. Heather D. Gibson & Euclid Tsakalotos, 2004. "Capital flows and speculative attacks in prospective EU member states," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 12(3), pages 559-586, September.
    6. Alexandros E. Milionis, 2003. "Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach," Working Papers 07, Bank of Greece.
    7. Nicos C. Kamberoglou & Elias Liapis & George T. Simigiannis & Panagiota Tzamourani, 2004. "Cost Efficiency in Greek Banking," Working Papers 09, Bank of Greece.
    8. Sophia Lazaretou, 2005. "Greek Monetary Economics in Retrospect: The Adventures of the Drachma," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(3), pages 331-370, November.
    9. Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank.
    10. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2003. "The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates," Working Papers 08, Bank of Greece.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. George A. Christodoulakis & Stephen E Satchell, 2006. "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers 32, Bank of Greece.
    2. Otmar Issing, 2006. "Europe's Hard Fix: The Euro Area," Working Papers 39, Bank of Greece.
    3. P. Swamy & George Tavlas, 2007. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(2), pages 293-306, May.
    4. Theodore M. Mitrakos, 2004. "Education and economic inequalities," Economic Bulletin, Bank of Greece, issue 23, pages 27-46, July.
    5. Hans Genberg, 2006. "Exchange-rate arrangements and financial integration in East Asia: on a collision course?," International Economics and Economic Policy, Springer, vol. 3(3), pages 359-377, December.
    6. Darracq Pariès, Matthieu & Notarpietro, Alessandro & Kilponen, Juha & Papadopoulou, Niki & Zimic, Srečko & Aldama, Pierre & Langenus, Geert & Alvarez, Luis Julian & Lemoine, Matthieu & Angelini, Elena, 2021. "Review of macroeconomic modelling in the Eurosystem: current practices and scope for improvement," Occasional Paper Series 267, European Central Bank.
    7. Theodoros S. Papaspyrou, 2004. "EMU strategies for new Member States: the role of Exchange Rate Mechanism II," Economic Bulletin, Bank of Greece, issue 23, pages 7-25, July.
    8. Eleni Angelopoulou, 2005. "The Comparative Performance of Q-type and Dynamic Models of Firm Investment: Empirical Evidence from the UK," Working Papers 27, Bank of Greece.
    9. Evangelia Papapetrou, 2004. "Gender Wage Differentials in Greece," Economic Bulletin, Bank of Greece, issue 23, pages 47-64, July.

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    More about this item

    Keywords

    Econometric Modelling; Cointegration Techniques; Simulation Results;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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