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A macroeconometric model for the Euro economy

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  • Dreger, Christian

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.

Suggested Citation

  • Dreger, Christian, 2003. "A macroeconometric model for the Euro economy," IWH Discussion Papers 181/2003, Halle Institute for Economic Research (IWH).
    • Handle: RePEc:zbw:iwhdps:iwh-181
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    More about this item

    Keywords

    Euro area economy; macroeconometric models; error correction;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F01 - International Economics - - General - - - Global Outlook

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