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ECB macroeconometric models for forecasting and policy analysis

Author

Listed:
  • Ciccarelli, Matteo
  • Darracq Pariès, Matthieu
  • Priftis, Romanos
  • Angelini, Elena
  • Bańbura, Marta
  • Bokan, Nikola
  • Fagan, Gabriel
  • Gumiel, José Emilio
  • Kornprobst, Antoine
  • Lalik, Magdalena
  • Montes-Galdón, Carlos
  • Müller, Georg
  • Paredes, Joan
  • Santoro, Sergio
  • Warne, Anders
  • Zimic, Srečko
  • Rigato, Rodolfo Dinis
  • Kase, Hanno
  • Koutsoulis, Iason
  • Brunotte, Stella
  • Cocchi, Sara
  • Giammaria, Alessandro
  • Invernizzi, Marco
  • Von-Pine, Eliott
Abstract
This paper takes stock of the ECB’s macroeconometric modelling strategy by focusing on the models and applications used in the Forecasting and Policy Modelling Division. We focus on the guiding principles underpinning the current portfolio of the main macroeconomic models and illustrate how they can in principle be used for economic forecasting, scenario and risk analyses. We also discuss the modelling agenda which is currently under development, focusing notably on heterogeneity, machine learning, expectation formation and climate change. The paper makes it clear that the large macroeconometric models typically developed in central banks remain stylised descriptions of our modern economies and can fail to predict or assess the nature of economic events (especially when big crises arise). But even in highly uncertain economic conditions, they can still provide a meaningful contribution to policy preparation. We conclude the paper with a roadmap which will allow the ECB and the Eurosystem to exploit technological advances and cooperation across institutions as a useful means of ensuring that the modelling framework is not only resilient to disruptive events but also innovative. JEL Classification: C30, C53, C54, E52

Suggested Citation

  • Ciccarelli, Matteo & Darracq Pariès, Matthieu & Priftis, Romanos & Angelini, Elena & Bańbura, Marta & Bokan, Nikola & Fagan, Gabriel & Gumiel, José Emilio & Kornprobst, Antoine & Lalik, Magdalena & Mo, 2024. "ECB macroeconometric models for forecasting and policy analysis," Occasional Paper Series 344, European Central Bank.
    • Handle: RePEc:ecb:ecbops:2024344
    Note: 224580
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    More about this item

    Keywords

    economic models; forecasting; macroeconometrics; monetary policy;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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