IDEAS home Printed from https://ideas.repec.org/p/fip/fedgif/293.html
   My bibliography  Save this paper

The structure and properties of the FRB multicountry model.Part I: Model description and simulation results

Author

Listed:
  • Hali J. Edison
  • Jaime R. Marquez
  • Ralph W. Tryon

Abstract

The FRB Multicountry Model (MCM) is a linked system of five quarterly national macroeconometric models of the United States, Canada, Germany, Japan, and the United Kingdom. The MCM emphasizes international linkages, and has equations for trade in goods and services, investment income flows, and exchange rates. This paper documents the current version of the MCM. The paper describes the theoretical structure of the model, and presents the empirical estimation results. The paper also describes a series of simulations of fiscal and monetary policy scenarios and external shocks. A complete listing of the model is given in an appendix.

Suggested Citation

  • Hali J. Edison & Jaime R. Marquez & Ralph W. Tryon, 1986. "The structure and properties of the FRB multicountry model.Part I: Model description and simulation results," International Finance Discussion Papers 293, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgif:293
    as

    Download full text from publisher

    File URL: http://www.federalreserve.gov/pubs/ifdp/1986/293/default.htm
    Download Restriction: no
    File URL: http://www.federalreserve.gov/pubs/ifdp/1986/293/ifdp293.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Deborah J. Danker & Richard A. Haas, 1985. "Small empirical models of exchange market intervention : applications to Germany, Japan, and Canada," Staff Studies 135, Board of Governors of the Federal Reserve System (U.S.).
    2. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
    3. Jeffrey A. Frankel, 1986. "The Sources of Disagreement Among International Macro Models and Implications for Policy Coordination," NBER Working Papers 1925, National Bureau of Economic Research, Inc.
    4. Hooper, Peter & Morton, John, 1982. "Fluctuations in the dollar: A model of nominal and real exchange rate determination," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 39-56, January.
    5. Hali J. Edison & Ralph W. Tryon, 1986. "An empirical analysis of policy coordination in the United States, Japan and Europe," International Finance Discussion Papers 286, Board of Governors of the Federal Reserve System (U.S.).
    6. Hooper, Peter, 1986. "Exchange rate simulation properties of the MCM," European Economic Review, Elsevier, vol. 30(1), pages 171-198, February.
    7. Helliwell, John F. & Padmore, Tim, 1985. "Empirical studies of macroeconomic interdependence," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 21, pages 1107-1151, Elsevier.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Agnès Bénassy & Henri Sterdyniak, 1992. "La détermination des taux de change dans les modèles multinationaux : l'état de l'art," Économie et Prévision, Programme National Persée, vol. 104(3), pages 39-71.
    2. Malley, James R. & Hady, Thomas F., 1988. "A Simple Forecasting Model Linking Macroeconomic Policy To Industrial Employment Demand," Staff Reports 278020, United States Department of Agriculture, Economic Research Service.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Meese, Richard & Rogoff, Kenneth, 1986. "Was it real? The exchange rate -- Interest differential relation: 1973-1984," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 297-298, June.
    2. Miksjuk Alexei, 2011. "Study the relation between monetary and exchange rate policy: The case of Belarus," EERC Working Paper Series 11/16e, EERC Research Network, Russia and CIS.
    3. Obstfeld, Maurice, 1983. "Exchange rates, inflation, and the sterilization problem: Germany, 1975-1981," European Economic Review, Elsevier, vol. 21(1-2), pages 161-189.
    4. Threemonkong, Attapol, 1992. "An intertemporal-optimizing general equilibrium model of exchange rates and external imbalances," ISU General Staff Papers 1992010108000012961, Iowa State University, Department of Economics.
    5. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
    6. Kristinn Hermannsson & Patrizio Lecca, 2016. "Human Capital in Economic Development: From Labour Productivity to Macroeconomic Impact," Economic Papers, The Economic Society of Australia, vol. 35(1), pages 24-36, March.
    7. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    8. Timothy Erickson & Toni M. Whited, 2000. "Measurement Error and the Relationship between Investment and q," Journal of Political Economy, University of Chicago Press, vol. 108(5), pages 1027-1057, October.
    9. Athanasios Geromichalos & Lucas Herrenbrueck, 2022. "The Liquidity-Augmented Model of Macroeconomic Aggregates: A New Monetarist DSGE Approach," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 134-167, July.
    10. Rodrigo Cerda & Felipe Larraín, 2005. "Inversión Privada e Impuestos Corporativos: Evidencia para Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(126), pages 257-281.
    11. Toshio Watanabe, 2020. "Financial Instability and Effects of Monetary Policy," Bulletin of Political Economy, Bulletin of Political Economy, vol. 14(1), pages 117-145, June.
    12. Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
    13. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
    14. Athanasios Orphanides, 2021. "The Power of Central Bank Balance Sheets," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 39, pages 35-54, November.
    15. Perego, Erica, 2020. "Sovereign risk and asset market dynamics in the euro area," Journal of International Money and Finance, Elsevier, vol. 109(C).
    16. Robert E. Hall, 2002. "Industry Dynamics with Adjustment Costs," NBER Working Papers 8849, National Bureau of Economic Research, Inc.
    17. Abel, Andrew B & Blanchard, Olivier J, 1986. "The Present Value of Profits and Cyclical Movements in Investment," Econometrica, Econometric Society, vol. 54(2), pages 249-273, March.
    18. Dirk Niepelt, 2020. "Monetary Policy with Reserves and CBDC: Optimality, Equivalence, and Politics," Working Papers 20.05, Swiss National Bank, Study Center Gerzensee.
    19. Poterba, James M. & Summers, Lawrence H., 1983. "Dividend taxes, corporate investment, and `Q'," Journal of Public Economics, Elsevier, vol. 22(2), pages 135-167, November.
    20. Axel Börsch‐Supan & Alexander Ludwig & Joachim Winter, 2006. "Ageing, Pension Reform and Capital Flows: A Multi‐Country Simulation Model," Economica, London School of Economics and Political Science, vol. 73(292), pages 625-658, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgif:293. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ryan Wolfslayer ; Keisha Fournillier (email available below). General contact details of provider: https://edirc.repec.org/data/frbgvus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.