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Economie et Statistique
Paru le : 01/02/2004
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MZE, a Macroeconometric Model for the Euro Zone

Pierre-Olivier Beffy, Xavier Bonnet,Brieuc Monfort et Matthieu Darracq-Pariès (un commentaire de Jérôme Henry - MZE et la modélisation de la zone euro)

We build a macroeconometric model from Eurostat's quarterly euro zone accounts with the aim of enhancing the zone's economic forecasting and analytic tools. Some crucial missing data have to be reconstructed from incomplete data provided by Eurostat (capital, households' disposable income and trade within the zone). The model's structure is neoclassical in the long run and neo-Keynesian in the short run. This version of the model takes a Cobb-Douglas production function as its reference for the goods supply. The labour supply is modelled either by a Phillips curve or by a WS function and a labour force participation rate depending on the unemployment rate. The short run entails adjustment costs modelled ad hoc by error correction models. The short-run and long-run variantial effects are fairly similar. The economy's long-run prospects seem to depend on the working-age population, total factor pro-ductivity, the real cost of capital, and possibly terms of trade and payroll taxation. The model can now be used for rational expectations to study changes in exchange rates and long-term rates. An exercise is conducted to select a monetary reaction function to illustrate the questions that the model can address.

Economie et Statistique
No 367
Paru le : 01/02/2004