Econometric Models of the Euro-area Central Banks

Econometric Models of the Euro-area Central Banks

Edited by Gabriel Fagan and Julian Morgan

This book provides a description of the main macroeconomic models used by the European Central Bank and the euro area national central banks (Eurosystem). These models are used to help prepare economic projections and scenario analysis for individual countries and the euro area as a whole.

Chapter 5: EUROMON: a macroeconometric multi-country model of the world economy from the Nederlandsche Bank

Peter van Els

Subjects: economics and finance, econometrics, money and banking


Peter van Els 1 INTRODUCTION EUROMON was originally developed at De Nederlandsche Bank (DNB), in the 1990s but has recently undergone a large number of changes, including an overall respecification and re-estimation of many of the model’s equations. This was partly due to the advent of EMU but was also intended to strengthen the long-run simulation properties of the model. Further changes are yet to be implemented. The present version of the model is documented in Demertzis, et al. (2003).1 2 THE USES OF THE MODEL EUROMON is used in forecasting, in conducting policy and scenario analyses, and in counterfactual simulation exercises. In the period 1996–8 EUROMON projections for several EU countries were published biannually in DNB’s Quarterly Bulletin but the publication of such projections was stopped with the start of EMU in 1999. However topical policy and scenario analyses based on simulations with EUROMON are still being presented regularly in the Quarterly Bulletin. In the internal process of policy preparation EUROMON projections continue to play their usual role, but the emphasis is gradually shifting towards using the model as a tool for policy analysis and research. Projections are a combination of model-generated and judgmental information. Judgmental sources include available off-model information taken from new releases of cyclical and price indicators or from predictions based on other in-house or external models. 89 90 Econometric models of the euro-area central banks 3 A BIRD’S EYE VIEW OF EUROMON EUROMON is an estimated multi-country model. The current version...

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