The euro area viewed as a single economy how does it respond to shocks.pdf

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The euro area viewed as a single economy how does it respond to shocks.pdf

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Economic Modelling 21 (2004) 833–875 The euro area viewed as a single economy: how does it respond to shocks?? Alistair Dieppe, Je′ro?me Henry* DG Research – European Central Bank, Kaiserstrasse 29, FrankfurtyMain, Germany Abstract The euro area is a new economic entity, the properties of which are less well known than those of individual countries. Using a recently developed macroeconometric model (AWM), which treats the euro area as a single economy, we document its response to monetary, fiscal, productivity and long-run unemployment shocks. The properties of the estimated model are thereby summarised in terms of these responses. The simulation results and the resulting multipliers appear to be relatively insensitive to the specification of the postulated interest rate setting equation-within the class of functions considered, namely variations around a standard Taylor rule. ? 2003 Elsevier B.V. All rights reserved. JEL classifications: C52; C53; E52 Keywords: Euro area; Macroeconometric modelling; Monetary policy 1. Introduction The area wide model (AWM) employed in this simulation exercise is a slightly amended version of the model originally presented in Fagan et al. (2001). This model offers the particularity of addressing the issue of the euro area macroecono- ? The views expressed in this paper do not necessarily represent those of the ECB. This paper has been prepared in the context of a CEPR project on euro-area macromodel comparisons, organised by A. Hughes Hallet and J. Von Hagen. Preliminary versions benefited from comments by and discussion with G. Fagan, P. Mc Adam, R. Mestre, P. Minford as well as participants in the workshop on Empirical Models of the euro economy held in Bonn in June 2002. *Corresponding author. E-mail address: jerome.henry@ecb.int (J. Henry). 0264-9993/04/$ - see front matter ? 2003 Elsevier B.V. All rights reserved. PII: S 0 2 6 4 - 9 9 9 3 ? 0 3 . 0 0 0 8 4 - 1 834 A. Dieppe, J. Henry / Economic Modelling 21 (2004) 833–875 metri