A Stochastic Estimated Version of the Italian Dynamic General Equilibrium Model (IGEM)

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 3

47 Pages Posted: 1 May 2018

See all articles by Nicola Acocella

Nicola Acocella

University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF)

Giorgio Alleva

University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF)

Elton Beqiraj

Sapienza University of Rome, Department of Public Economics

Giovanni Di Bartolomeo

Sapienza University of Rome, Department of Economics and Law

Fabio Di Dio

Sogei S.p.a.

Marco Di Pietro

Sapienza University of Rome

Francesco Felici

Government of the Italian Republic (Italy) - Ministry of Economy and Finance - Department of the Treasury

Brunero Liseo

University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF)

Date Written: April 9, 2018

Abstract

We estimate with Bayesian techniques the Italian dynamic General Equilibrium Model (IGEM), which has been developed at the Italian Treasury Department, Ministry of Economy and Finance, to assess the effects of alter-native policy interventions. We analyze and discuss the estimated effects of various shocks on the Italian economy. Compared to the calibrated version used for policy analysis, we find a lower wage rigidity and higher adjustment costs. The degree of prices and wages indexation to past inflation is much smaller than the indexation level assumed in the calibrated model. No substantial difference is found in the estimated monetary parameters. Estimated fiscal multipliers are slightly smaller than those obtained from the calibrated version of the model.

Keywords: Dynamic General Equilibrium Model, Bayesian estimation, Simulation Analysis, Italy

JEL Classification: E27, E30, E60

Suggested Citation

Acocella, Nicola and Alleva, Giorgio and Beqiraj, Elton and Di Bartolomeo, Giovanni and Di Dio, Fabio and Di Pietro, Marco and Felici, Francesco and Liseo, Brunero, A Stochastic Estimated Version of the Italian Dynamic General Equilibrium Model (IGEM) (April 9, 2018). Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 3. Available at SSRN: https://ssrn.com/abstract=3161355 or http://dx.doi.org/10.2139/ssrn.3161355

Nicola Acocella (Contact Author)

University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF) ( email )

Via del Castro Laurenziano 9
Roma, Roma 00161
Italy
+390649766359 (Phone)

HOME PAGE: http://www.memotef.uniroma1.it/newdip/utenti/acocellanicola/

Giorgio Alleva

University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF) ( email )

Via del Castro Laurenziano 9
Roma, Roma 00161
Italy

Elton Beqiraj

Sapienza University of Rome, Department of Public Economics ( email )

Via del Castro Laurenziano 9
Rome
Italy

Giovanni Di Bartolomeo

Sapienza University of Rome, Department of Economics and Law ( email )

via Castro del Laurenziano 9
Roma, 00191
Italy

Fabio Di Dio

Sogei S.p.a. ( email )

Via Mario Carucci n. 99 e 85
Roma, 00143
Italy
+39068544 9092 (Phone)

Marco Di Pietro

Sapienza University of Rome ( email )

Piazzale Aldo Moro, 5
Rome, 00185
Italy

HOME PAGE: http://https://sites.google.com/a/uniroma1.it/marcodipietro/

Francesco Felici

Government of the Italian Republic (Italy) - Ministry of Economy and Finance - Department of the Treasury ( email )

Via XX Settembre, 97
Rome, 00187
Italy
00390647614197 (Phone)

Brunero Liseo

University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF) ( email )

Via del Castro Laurenziano 9
Roma, Roma 00161
Italy

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