Review of Macroeconomic Modelling in the Eurosystem: Current Practices and Scope for Improvement

193 Pages Posted: 23 Sep 2021 Last revised: 18 Nov 2021

See all articles by Matthieu Darracq Paries

Matthieu Darracq Paries

European Central Bank (ECB)

Alessandro Notarpietro

Bank of Italy

Juha Kilponen

Bank of Finland - Research

Niki Papadopoulou

Central Bank of Cyprus

Srecko Zimic

European Central Bank (ECB) - Directorate General Research

Pierre Aldama

Banque de France

Geert Langenus

National Bank of Belgium

Matthieu Lemoine

Banque de France

Elena Angelini

European Central Bank (ECB)

Matija Lozej

European Central Bank (ECB); Central Bank of Ireland; University of Primorska

Robert-Paul Berben

De Nederlandsche Bank - Monetary and Economic Policy Department

Fulvia Marotta

European Central Bank (ECB)

Alice Carroy

European Central Bank (ECB)

Julien Matheron

Banque de France

Kai Philipp Christoffel

European Central Bank (ECB)

Carlos Montes-Galdón

European Central Bank

Matteo Ciccarelli

European Central Bank (ECB)

Joan Paredes

European Central Bank

Agostino Consolo

ECB; European Central Bank; Bocconi University

Massimiliano Pisani

Bank of Italy

Pietro Cova

Bank of Italy

Michaela Elfsbacka Schmöller

Bank of Finland

Milan Damjanović

Bank of Slovenia

Andra Smadu

De Nederlandsche Bank - Research Department

Gregory Walque

National Bank of Belgium

Béla Szörfi

European Central Bank (ECB)

Stéphane Dupraz

Banque de France

Harri Turunen

Bank of Finland

José Emilio Gumiel

European Central Bank (ECB)

Fabio Verona

Bank of Finland - Research

Thomas Haertel

Deutsche Bundesbank

Igor Vetlov

Deutsche Bundesbank - Economics Department

Samuel Hurtado

Banco de España

Anders Warne

European Central Bank (ECB)

Paulo Júlio

Bank of Portugal

Anastasia Zhutova

Université Paris I Panthéon-Sorbonne

Date Written: September, 2021

Abstract

This paper provides an assessment of the macroeconomic models regularly used for forecasting and policy analysis in the Eurosystem. These include semi-structural, structural and time-series models covering specific jurisdictions and the euro area within a closed economy, small open economy, multi-country or global setting. Models are used as analytical frameworks for building baseline projections and for supporting the preparation of monetary policy decisions. The paper delivers four main contributions. First, it provides a survey of the macroeconomic modelling portfolios currently used or under development within the Eurosystem. Second, it explores the analytical gaps in the Eurosystem models and investigates the scope for further enhancement of the main projection and policy models, and the creation of new models. Third, it reviews current practices in model-based analysis for monetary policy preparation and forecasting and provides recommendations and suggestions for improvement. Finally, it reviews existing cooperation modalities on model development and proposes alternative sourcing and organisational strategies to remedy any knowledge or analytical gaps identified.

Keywords: central banking., econometric modelling, forecasting and simulation, monetary policy

JEL Classification: C5, E47, E52, E58, F4

Suggested Citation

Darracq Paries, Matthieu and Notarpietro, Alessandro and Kilponen, Juha and Papadopoulou, Niki and Zimic, Srecko and Aldama, Pierre and Langenus, Geert and Lemoine, Matthieu and Angelini, Elena and Lozej, Matija and Lozej, Matija and Berben, Robert-Paul and Marotta, Fulvia and Carroy, Alice and Matheron, Julien and Christoffel, Kai Philipp and Montes-Galdón, Carlos and Ciccarelli, Matteo and Paredes, Joan and Consolo, Agostino and Consolo, Agostino and Pisani, Massimiliano and Cova, Pietro and Elfsbacka Schmöller, Michaela and Damjanović, Milan and Smadu, Andra and Walque, Gregory and Szörfi, Béla and Dupraz, Stéphane and Turunen, Harri and Gumiel, José Emilio and Verona, Fabio and Haertel, Thomas and Vetlov, Igor and Hurtado, Samuel and Warne, Anders and Júlio, Paulo and Zhutova, Anastasia, Review of Macroeconomic Modelling in the Eurosystem: Current Practices and Scope for Improvement (September, 2021). ECB Occasional Paper No. 2021267, Available at SSRN: https://ssrn.com/abstract=3928288 or http://dx.doi.org/10.2139/ssrn.3928288

Matthieu Darracq Paries (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+496913446631 (Phone)
+496913447604 (Fax)

Alessandro Notarpietro

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Juha Kilponen

Bank of Finland - Research ( email )

P.O. Box 160
FIN-00101 Helsinki
Finland
+358 10 831 2847 (Phone)
+358 10 831 2294 (Fax)

HOME PAGE: http://www.bof.fi/en/suomen_pankki/organisaatio/asiantuntijoita/kilponen_juha/

Niki Papadopoulou

Central Bank of Cyprus ( email )

80 Kennedy Ave
1076 Nicosia
Cyprus

Srecko Zimic

European Central Bank (ECB) - Directorate General Research ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

Pierre Aldama

Banque de France ( email )

Paris
France

Geert Langenus

National Bank of Belgium ( email )

Brussels, B-1000
Belgium

Matthieu Lemoine

Banque de France ( email )

Paris
France

Elena Angelini

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
49 69 1344 7912 (Phone)
44 69 1344 6575 (Fax)

Matija Lozej

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Central Bank of Ireland ( email )

Dame Street
Dublin, 2
Ireland

University of Primorska ( email )

Glagoljaska 8
Koper, SI-6000
Slovenia

Robert-Paul Berben

De Nederlandsche Bank - Monetary and Economic Policy Department ( email )

Westeinde 1
P.O. Box 98
1017 ZN Amsterdam
Netherlands

Fulvia Marotta

European Central Bank (ECB)

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Alice Carroy

European Central Bank (ECB)

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Julien Matheron

Banque de France ( email )

Paris
France

Kai Philipp Christoffel

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Carlos Montes-Galdón

European Central Bank ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

Matteo Ciccarelli

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Joan Paredes

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Agostino Consolo

ECB ( email )

Sonnemannstrasse 22
Frankfurt am Main, Hessen 60314
Germany

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, Hessen 60314
Germany

Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

Massimiliano Pisani

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Pietro Cova

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Michaela Elfsbacka Schmöller

Bank of Finland ( email )

P.O. Box 160
Helsinki 00101
Finland

Milan Damjanović

Bank of Slovenia

Slovenska cesta 35
Slovenija, 1505
Slovenia

Andra Smadu

De Nederlandsche Bank - Research Department ( email )

P.O. Box 98
1000 AB Amsterdam
Netherlands

Gregory Walque

National Bank of Belgium

Brussels, B-1000
Belgium

Béla Szörfi

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Stéphane Dupraz

Banque de France ( email )

Paris
France

Harri Turunen

Bank of Finland ( email )

P.O. Box 160
Helsinki 00101
Finland

José Emilio Gumiel

European Central Bank (ECB)

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Fabio Verona

Bank of Finland - Research ( email )

P.O. Box 160
FIN-00101 Helsinki
Finland

HOME PAGE: http://bofcris.solenovo.fi/crisyp/disp/_/en/cr_redir_all/fet/fet/sea?direction=3&id=3827426

Thomas Haertel

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Igor Vetlov

Deutsche Bundesbank - Economics Department ( email )

Wilhelm-Epstein-Strasse 14
60431 Frankfurt am Main
Germany

Samuel Hurtado

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

HOME PAGE: http://www.bde.es

Anders Warne

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Paulo Júlio

Bank of Portugal ( email )

Rua Francisco Ribeiro, 2
Lisbon, 1150-165
Portugal

Anastasia Zhutova

Université Paris I Panthéon-Sorbonne ( email )

17, rue de la Sorbonne
Paris, IL 75005
France

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