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THE GREEK MODEL OF THE EUROPEAN SYSTEM OF CENTRAL BANKS MULTI-COUNTRY MODEL

Dimitrios Sideris

University of Ioannina, Department of Economics,

and Bank of Greece, Economic Research Department

Nicholas G. Zonzilos

Bank of Greece, Economic Research Department

ABSTRACT

The present paper presents a quarterly econometric model for the Greek economy, the GR-MCM model. The model has been developed as part of a larger project within the European System of Central Banks (ESCB), the Multi-Country Model (MCM). The model combines short-run Keynesian dynamics determined by demand with a neoclassical steady state driven by supply factors. A well-specified long-run supply side is fully and simultaneously estimated. As far as the econometric methodology is concerned, the equilibrium relationships are estimated using cointegration analysis, whereas the dynamic equations are specified as error correction models. Standard simulations result in plausible short to long-run responses to exogenous shocks, thus indicating that the model can be useful for policy analysis experiments.

Keywords: Econometric Modelling; Cointegration Techniques; Simulation Results.

JEL classification: C50; E17.

Acknowledgements
The advice and comments of Heather Gibson, Stephen Hall, George Tavlas as well as of the ECB staff and especially of Jerome Henry, Thomas Karlsson and Thomas Warmedinger during the construction of the Greek MCM are gratefully acknowledged. The usual disclaimer applies.

Address for correspondence:

Nicholas G. Zonzilos,
Economic Research Department
Bank of Greece, 21 El. Venizelou St.,
102 50 Athens, Greece
Tel. +30210-3202374, Fax +30210-3233025
Email: nzonzhlos@bankofgreece.gr


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