An Area Wide Model (Awm) for the Euro Area
An Area Wide Model (Awm) for the Euro Area
复制标题
欧元区区域广域模型 (Awm)
DOI：
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发表时间：
2001
期刊：
影响因子：
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通讯作者：
R. Mestre
中科院分区：
文献类型：
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作者：
G. Fagan;J. Henry;R. Mestre
本文提出了一个季度估计的结构性宏观经济模型，欧元区，表示区域范围的模型（AWM）。该模型的开发考虑了四个用途：评估该地区的经济状况，宏观经济预测，政策分析和加深对欧元区经济运作的理解。该模型的五个主要特点突出。首先，它将欧元区视为一个单一经济体。第二，这是一个中等规模的模型，虽然对大多数目的来说足够详细，但在预测和模拟练习的背景下，它足够小，可以管理。第三，该模型的目的是有一个长期的均衡与古典经济理论相一致，而其短期动态需求驱动。第四，目前版本的AWM大多是向后看的，即通过包含滞后变量来反映预期。最后，AWM使用季度数据，可以更丰富地处理动态，并且主要是根据历史数据进行估计（而不是校准）。该文件包括以下内容。首先，提供了一个一般性的概述模型的结构及其长期和短期的属性，特别强调模型如何达到其稳定状态。随后审查了关键的行为方程，例如，显示了标准行为方程在多大程度上能够拟合已经构建的欧元区历史数据。最后，从两个说明性的模拟结果，即财政支出冲击和利率的变化。附在正文中的是计量经济学结果的完整列表，数据库的详细描述和随机长期模拟的结果。此外，还提供了一个配套文件，其中包括作为AWM基础的所有季度时间序列。
This paper presents a quarterly estimated structural macroeconomic model for the euro area, denoted area-wide model (AWM). This model has been developed with four uses in mind: the assessment of economic conditions in the area, macroeconomic forecasting, policy analysis and deepening understanding of the functioning of euro area economy. Five key features of the model are highlighted. First, it treats the euro area as a single economy. Second, it is a medium sized model which, while detailed enough for most purposes, is nonetheless sufficiently small to be manageable in the context of forecasting and simulation exercises. Third, the model is designed to have a long run equilibrium consistent with classical economic theory, while its short run dynamics are demand driven. Fourth, the current version of the AWM is mostly backward-looking, i.e. expectations are reflected via the inclusion of lagged variables. Finally, the AWM uses quarterly data, allowing for a richer treatment of the dynamics, and is mostly estimated on the basis of historical data (rather than calibrated). The paper comprises the following elements. First, a general overview of the structure of the model and of its long-run and short-run properties is provided, with particular emphasis on how the model reaches its steady state. This is followed by a review of the key behavioural equations, showing e.g. the extent to which the standard behavioural equations are capable of fitting the historical euro area data which has been constructed. Finally results from two illustrative simulations are provided, i.e. a fiscal expenditure shock and a change in interest rates. Appended to the main text are the full list of econometric results, the detailed description of the database and the results of stochastic long run simulations. In addition, a companion file comprising all of the quarterly time series underlying the AWM is made available.