The New Area-Wide Model of the Euro Area: A Micro-Founded Open-Economy Model for Forecasting and Policy Analysis

By K. Christoffel, Guenter Coenen, A. Warne. Social Science Research Network, 2008

490 citations recorded by the source corpus.

In this paper, we outline a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the (Broad) Macroeconomic Projection Exercises regularly undertaken by ECB/Eurosystem staff. We present estimation results for the NAWM that are obtained by employing Bayesian inference methods and document the properties of the estimated model by reporting its impulse-response functions and forecast-error-variance decompositions, by inspecting the model-based sample moments, and by examining the model’s forecasting performance relative to a number of benchmarks, including a Bayesian VAR. We finally consider several applications to illustrate the potential contributions the NAWM can make to forecasting and policy analysis. JEL Classification: C11, C32, E32, E37

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/67e84dcc3620e5818a05e5cddd648f325846c12c

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Citations in the corpus

Forecasting with DSGE Models (2010, unknown): “The NAWM is a micro-founded open-economy model of the euro area designed for use in the ECB/Eurosystem staff projections and for policy analysis; see Christoffel, Coenen, and Warne (2008) for a detailed description of the NAWM’s structure.”
Keynesian Government Spending Multipliers and Spillovers in the Euro Area (2011, unknown): “…that models which allow for an important influence of forward-looking decision-making by households and firms have fared better in terms of fitting euro area inflation and output dynamics since the start of monetary union. and Wouters and EU-Quest models (see Christoffel, Coenen, and Warne (2008)).”
Fiscal policy and the Great Recession in the Euro Area (2012, unknown): “(14)In addition, see Christoffel et al. (2008), we account for measurement error in extra-euro area trade data as they are prone to sizeable revisions.”
The EAGLE: A Model for Policy Analysis of Macroeconomic Interdependence in the Euro Area (2012, unknown): “[6] Christoffel, K.”
A Tale of Two Decades: The Ecb's Monetary Policy at 20 (2019, background): “137 See Christoffel et al. (2008) for a detailed description of the model and its use for forecasting and policy analysis.”