In this paper we develop an open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model—the Halle Economic Projection Model (HEPM)—is closely related to studies published by Carabenciov...

The objective of this paper is to examine the government revenue and expenditure relationship in the context of what is known as the soft and hard budget constraint strategy. We adopt a nonlinear framework with structural breaks and focus our empirical analysis in three countries. Two of them...

We propose to produce accurate point and interval forecasts of exchange rates by combining a number of well known fundamental based panel models. Combination of each model utilizes a set of weights computed using a linear mixture of experts's framework, where weights are determined by log scores...

This study develops comprehensive full-sector macro-econometric models for the Nigerian economy with the aim of explaining and providing a long-term solution for the persistent growth–poverty divergence experienced by the country. The models are applied to test the hypothesis of existing...

The paper examines Granger-causality between the producers' and the consumers' price using Australian data within the frequency domain framework. For long run relation, the Johansen and Juselius (1990) maximum likelihood approach to cointegration was utilized. The test is also supplemented by...

This study develops comprehensive full-sector macro-econometric models for the South African economy with the aim of explaining and providing the macroeconomic effects of fiscal policy changes in the country. The models are applied to test the effectiveness of fiscal policy actions in an...

This article assesses the transmission of international shocks to EUA spot, EUA futures, and CER futures carbon prices using a broad dataset that includes 115 macroeconomic, financial and commodities indicators with daily frequency from April 4, 2008 to January 25, 2010 totalling 463...

I investigate macro effects of higher bank capital requirements on the Norwegian economy and their use as a macroprudential policy instrument under Basel III. To this end, I develop a macroeconometric model where the capital adequacy ratio, lending rates, asset prices and credit interact with...

This paper attempts to establish the quantitative importance of the various channels of monetary transmission by constructing, estimating and simulating a small macroeconometric model of Pakistan's monetary sector, while using data from the monetary statistics and the monetary survey of the...

We develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and Global Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions in the euro area and between the euro...