Sigma: A New Open Economy Model for Policy Analysis
Sigma: A New Open Economy Model for Policy Analysis
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Sigma：用于政策分析的新开放经济模型
DOI：
10.2139/ssrn.781404
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发表时间：
2005
影响因子：
1.2
通讯作者：
Christopher Gust
中科院分区：
文献类型：
--
作者：
C. Erceg;L. Guerrieri;Christopher Gust
在本文中，我们描述了一个新的多国开放经济SDGE模型命名为“SIGMA”，我们已经开发出作为定量工具的政策分析。我们比较SIGMA的影响，估计大规模的计量经济学政策模型（FRB/全球模型）的一系列冲击，经常在政策模拟检查。我们发现，SIGMA的影响，关键变量的近期反应一般是类似的FRB/全球。然而，由于SIGMA基于优化的框架的某些限制性方面，两种模型之间仍然存在一些数量上的差异。最后，我们使用长期模拟来说明我们的SDGE建模框架的一些比较优势。
In this paper, we describe a new multicountry open economy SDGE model named "SIGMA" that we have developed as a quantitative tool for policy analysis. We compare SIGMA's implications to those of an estimated large-scale econometric policy model (the FRB/Global model) for an array of shocks that are often examined in policy simulations. We show that SIGMA's implications for the near-term responses of key variables are generally similar to those of FRB/Global. Nevertheless, some quantitative disparities between the two models remain due to certain restrictive aspects of SIGMA's optimization-based framework. We conclude by using long-term simulations to illustrate some areas of comparative advantage of our SDGE modeling framework.