2024-03-28T09:05:39Zhttps://repositorio.bde.es/oai/requestoai:repositorio.bde.es:123456789/69142023-12-28T13:35:24Zcom_123456789_5661com_123456789_21col_123456789_5690
Andrés, Javier
Restoy, Fernando
2019-08-10T17:50:11Z
2019-08-10T17:50:11Z
2007-06-27
ISSN: 0213-2710 (en papel)
ISSN: 1579-8666 (en línea)
https://repositorio.bde.es/handle/123456789/6914
000190950
DTRA-200718-eng
We analyse the likely effects of changes in the monetary and financial regimes of EMU countries on the dynamics of output and inflation. In particular, we evaluate the impact of the regime shift on the forecasting performance of reduced-form models. Data for both the pre-EMU and the EMU regimes are generated by a relatively standard open-economy-DSGE model with sticky prices and wages and restricted access to financial markets for some individuals. We find that the effects of the shift in the monetary regime on the processes followed by macroeconomic variables depend on the nature of the shocks hitting the economy. For plausible shocks distributions the reduction in the accuracy of VAR-based inflation forecasts is relatively large and significant. The effect of the regime shift on output forecasts seem rather more modest and statistically insignificant. The impact on ouput forecasting accuracy would be comparatively much larger if the new monetary union regime is accompanied by a moderate relaxation of constraints affecting financial market access
eng
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Forecasting
General equilibrium models
Monetary Union
Inflation and output dynamics
Macroeconomic modelling in EMU : how relevant is the change in regime?
Documento de trabajo