Like QUEST, GM belongs to the class of New-Keynesian Dynamic Stochastic General Equilibrium (DSGE) models. These models are core workhorses in international institutions and central banks as well as academic research.
The GM model offers flexible multi-country configurations. A GM2 version features the euro area (EA) and the rest-of-the-world (RoW); GM3-EMU versions focus on one of the four largest euro area economies together with rest-of-the-EA and the RoW; the GM3 model covers the EA, the US, and the RoW.
Bayesian estimation techniques combine a micro-founded model structure useful for policy analysis with a good probabilistic description of the observed data and forecasting performance. Recent extensions focus on macroeconomic nonlinearities, energy price dynamics, and the economic impact of the pandemic.
- Since 2015, the GM model is regularly applied at all stages of DG ECFIN's forecast. For example, it assesses revisions of external assumptions (such as oil prices) or provides alternative projections such as upside and downside scenarios during the pandemic. It also provides projections for macroeconomic aggregates and fiscal variables.
- The GM model is used for shock decompositions, for example, to assess the main drivers of growth, inflation, and imbalances in historical data and current economic forecasts.
- GM-based results have been published in peer-reviewed academic journals, fostering links to academia and the research community.
GM bibliography
- Bertoldi, M., Eriksgaard, A., Orsini, K., & Pfeiffer, P. (2023). Where is the EU Economy Headed? The International Dimension. Journal of Policy Modeling.
- Cardani, R., Pfeiffer, P., Ratto, M., & Vogel, L. (2023). The COVID crisis on both sides of the Atlantic: A model-based comparison. European Economic Review.
- Cardani, R., Croitorov, O., Giovannini, M., Pfeiffer, P., Ratto, M., & Vogel, L. (2022). The Euro Area’s pandemic recession: A DSGE interpretation. Journal of Economic Dynamics and Control, 143.
- Cardani, R., Hohberger, S., Pfeiffer, P., & Vogel, L. (2022). Domestic versus foreign drivers of trade (im)balances: How robust is evidence from estimated DSGE models?Journal of International Money and Finance, 121(C).
- Cozzi, G., Pataracchia, B., Pfeiffer, P., & Ratto, M. (2021). How much Keynes and how much Schumpeter?European Economic Review, 133.
- Burgert, M., Pfeiffer, P., & Roeger, W. (2021). Fiscal policy in a monetary union with downward nominal wage rigidity. Swiss National Bank Working Papers, 2021-16.
- Hohberger, S., Priftis, R., & Vogel, L. (2020). The distributional effects of conventional monetary policy and quantitative easing: Evidence from an estimated DSGE model. Journal of Banking & Finance, 113(C).
- Hohberger, S., Ratto, M., & Vogel, L. (2020). The euro exchange rate and Germany's trade surplus. International Finance, 23(1), 85-103.
- Croitorov, O., Giovannini, M., Hohberger, S., Ratto, M., & Vogel, L. (2020). Financial spillover and global risk in a multi-region model of the world economy. Journal of Economic Behavior and Organization, 177, 185-218.
- Hohberger, S., Priftis, R., & Vogel, L. (2019). The macroeconomic effects of quantitative easing in the euro area: Evidence from an estimated DSGE model. Journal of Economic Dynamics and Control, 108(C).
- Giovannini, M., Hohberger, S., Kollmann, R., Ratto, M., Roeger, W., & Vogel, L. (2019). Euro Area and US external adjustment: The role of commodity prices and Emerging Market shocks. Journal of International Money and Finance, 94(C), 183-205.
- Kollmann, R., Pataracchia, B., Raciborski, R., Ratto, M., Roeger, W., & Vogel, L. (2016). The post-crisis slump in the Euro Area and the US: Evidence from an estimated three-region DSGE model. European Economic Review, 88, 21-41.