Artikel
DSGE models and their use at the ECB
Bayesian dynamic stochastic general equilibrium (DSGE) models combine microeconomic behavioural foundations with a full-system Bayesian likelihood estimation approach using key macro-economic variables. Because of the usefulness of this class of models for addressing questions regarding the impact and consequences of alternative monetary policies they are nowadays widely used for forecasting and policy analysis at central banks and other institutions. In this paper we provide a brief description of the two main aggregate euro area models at the ECB. Both models share a common core but their detailed specification differs reflecting their specific focus and use. The New Area Wide Model (NAWM) has a more elaborate international block, which is useful for conditioning the euro area projections on assumptions about foreign economic activity, prices and interest rates and to widen the scope for scenario analysis. The Christiano, Motto and Rostagno (CMR) model instead has a more developed financial sector, which allows it to be used for monetary and financial scenarios and for cross checking. Based on the comparison of two models we find a broad agreement on the qualitative predictions they make, although, in quantitative terms, there are some differences. However, the perspectives provided by the two models are often complementary, rather than conflicting.
- Language
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Englisch
- Bibliographic citation
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Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 1 ; Year: 2010 ; Issue: 1/2 ; Pages: 51-65 ; Heidelberg: Springer
- Classification
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Wirtschaft
Business Fluctuations; Cycles
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
- Subject
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DSGE models
central banks
monetary policy
Geldpolitik
Dynamisches Gleichgewicht
Bayes-Statistik
EU-Staaten
- Event
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Geistige Schöpfung
- (who)
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Smets, Frank
Christoffel, Kai
Coenen, Günter
Motto, Roberto
Rostagno, Massimo
- Event
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Veröffentlichung
- (who)
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Springer
- (where)
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Heidelberg
- (when)
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2010
- DOI
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doi:10.1007/s13209-010-0020-9
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Smets, Frank
- Christoffel, Kai
- Coenen, Günter
- Motto, Roberto
- Rostagno, Massimo
- Springer
Time of origin
- 2010
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