Douven, Rudy and Peeters, Marga (1998): GDP-spillovers in multi-country models. Published in: Economic Modelling No. 15 : pp. 163-195.
Download (403kB) | Preview
Spillovers resulting from fiscal and monetary policy are compared and analysed in small static, small dynamic and large dynamic multi-country models. To compare the size of the spillovers, we consider simulations in which GDP for a certain number of years is held one percent above base in the country where the shock originates. The results indicate that spillovers are large in size. An important transmission mechanism in the contribution to foreign GDP is found to be the foreign real interest rate, contributions to foreign GDP generated through trade are found to be small. In empirical models with endogenous exchange and interest rates, it was found that under floating exchange rate regimes spillovers are much smaller than under pegged exchange rate regimes. Furthermore, we note that under floating exchange rate regimes, spillovers seem to be larger in small dynamic models than in large empirical models.
|Item Type:||MPRA Paper|
|Original Title:||GDP-spillovers in multi-country models|
|Keywords:||fiscal shock; monetary shock; multi-country model; GDP; spillover; exhange rate regime; econometric modeling;|
|Subjects:||E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook > E62 - Fiscal Policy
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F43 - Economic Growth of Open Economies
|Depositing User:||Marga (H.M.M.) Peeters|
|Date Deposited:||01. Feb 2011 19:35|
|Last Modified:||12. Feb 2013 16:30|
Andrews, M.J., Bell, D.N.F., Fisher, P.G., Wallis, K.F., Whitley, J.D., 1985. Models of the UK economy and the red wage-employment debate. National Institute Economic Review 112, 41-52.
Blanchard, O.J., Kahn, C., 1980. The solution of linear difference models under rational expectations. Econometrica 48, 114-118.
Bryant et al., 1988. Empirical Macroeconomics for Interdependant Economies. The Brookings Institution, Washington.
Douven, R.C., Plasmans, J.E.J., 1996. SLIM a small linear interdependent model of eight EU-Member States. Economic Modelling 13, 185-233.
Fleming, M., 1962. Domestic financial policies under fixed and under floating exchange rates. International Monetary Fund Staff Papers 9, 369-379.
Frankel, J., 1988. Ambiguous policy multipliers in theory and in empirical models. In: Bryant et al. Eds., Empirical Macroeconomics for Interdependant Economies. The Brookings Institution, Washington.
Ghosh, A.R., Masson, P.R., 1991. Model uncertainty, learning and the gains from coordination. American Economic Review 81, 465-479.
Ghosh, A.R., Masson, P.R., 1994. Economic Cooperation in an Uncertain World. Blackwell, Oxford.
Helliwell, J.F., Padmore, T., 1985. Empirical studies of macroeconomic interdependence. Handbook International Economics, North-Holland, Amsterdam 2, 1107-1151.
Krugman, P.R., 1995. What do we need to know about the international monetary system. In: Kenen, P.R. Ed.., Understanding Interdependence. Princeton University Press, 81, pp. 509-529.
Masson, P., Symansky, S., Meredith, G., 1990. MULTIMOD Mark II: A Revised and Extended Model. International Monetary Fund, Washington, D.C.
McKibbin, W.J., Sachs, J.D., 1991. Global Linkages. The Brookings Institution, Washington.
Mitchell, P.R., Sault, J.E., Smith, P.N., Wallis, K.F., 1997. Comparing global economic models. Economic Modeling.
Mundell, R., 1963. Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics Political Sciences 29, 475-485.
NIGEM, 1996. National Institute World Model. National Institute, London.
Papell, D.H., 1989. Monetary policy in the United States under flexible exchange rates. American Economic Review 79, 1106-1116.
Roubini, N., 1991. Leadership and cooperation in the European monetary system: a simulation approach. J. Policy Model. 12, 1-39.
Turner, D.S., Wallis, K.F., Whitley, J.D., 1989. Using macroeconometric models to evaluate policy proposals. In: Britton, A. Ed.. Aldershot Gower, Policymaking with Macroeconomic Models, pp. 103-150.
Wallis, K.F., Andrews, M.J., Bell, D.N.F., Fisher, P.G., Whitley, J.D., 1985. Models of the UK Economy, A Second Review by the ESRC Macroeconomic Modelling Bureau. Oxford University Press.
West, K., 1987. A standard monetary model and the variability of the Deutschmark-Dollar exchange rate. Journal of International Economics 23, 57-76.
Whitley, J.D., 1992a. Comparative simulation analysis of the European multi-country models. Journal of Forecasting 11, 423-458.
Whitley, J.D., 1992b. Macroeconomic policy coordination in Europe. In: Barrell, Whitley, Eds.., Aspects of Monetary Union: Model-based Simulation Results. Sage Publications, London, 11, pp. 102-151.