SIGMA: A New Open Economy Model for Policy Analysis

Christopher Erceg, Luca Guerriei and Christopher Gust

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we describe a new multicountry open economy SDGE model named "SIGMA" that we have developed as a quantitative tool for policy analysis. We compare SIGMA's implications to those of an estimated large-scale econometric policy model (the FRB/Global model) for an array of shocks that are often examined in policy simulations. We show that SIGMA's implications for the near-term responses of key variables are generally similar to those of FRB/Global. Nevertheless, some quantitative disparities between the two models remain due to certain restrictive aspects of SIGMA's optimization-based framework. We conclude by using long-term simulations to illustrate some areas of comparative advantage of our SDGE modeling framework.

JEL-codes: G0 G00 (search for similar items in EconPapers)
Date: 2006-01-13
New Economics Papers: this item is included in nep-cba, nep-cmp, nep-dge and nep-mac
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Citations: View citations in EconPapers (320)

Published in International Journal of Central Banking Number 1.Volume(2006): pp. 1-50

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Related works:
Journal Article: SIGMA: A New Open Economy Model for Policy Analysis (2006)
Working Paper: SIGMA: A New Open Economy Model for Policy Analysis (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:813

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