文章基本信息

标题：The ECB's New Multi-Country Model for the euro area: NMCM - simulated with rational expectations
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作者：Alistair Dieppe ; Alberto González Pandiella ; Alpo Willman 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：The model presented here is a New estimated medium-scale Multi-Country Model (NMCM) which covers the ve largest euro area countries and is used for forecasting and scenarios analysis at the European Central Bank. The model has a tight theoretical structure which allows for non-unitary elasticity of substitution, non-constant augmenting technical progress and heterogeneous sectors with di¤erentiated price and income elastiticites of demand across sectors. Furthermore, it has the explicit inclusion of expectations on the basis of three optimising private sector decision making units: i.e. rms, trade unions and households, where output is in the short run demand-determined and monopolistically competing rms set prices and factor demands. Labour is indivisible and monopoly-unions set wages and households make consumption/saving decisions. We assume agents optimise under limited information where each agent knows only the pa- rameters related to his/her optimization problem. Therefore we estimate with GMM, which implicitly assumes limited information boundedly rational expectations. In this paper we pro- vide some simulation results under the assumption of model-consistent rational expectations, we show that there is some heterogeneity across countries and that the reactions of the economies to shocks depends strongly on whether the shocks are pre-announced, announced and credible or unannounced and uncredible.
关键词：Macro model; Open-economy macroeconomics; Rational expectations