Survey_CCW_2008

Abstract

In estimating the NAWM, we use times series for 18 macroeconomic variables which feature prominently in the ECB/Eurosystem staff projections: • real GDP (Y ) • total employment (E) • private consumption (C) • compensation per head (W) • total investment (I) • nominal interest rate (R) • government consumption (G) • nominal effective exchange rate (S) • extra-euro area exports (X) • foreign demand (Y d,? ) † • extra-euro area imports (IM) • foreign prices (P ? Y ) † • GDP deflator (PY ) • foreign interest rate (R? ) † • consumption deflator (PC) • competitors’ export prices (P c,? X ) † • extra-euro area import deflator (PIM) • oil prices (PO) † All time series are taken from an updated version of the AWM database (see Fagan, Henry and Mestre, 2001), except for the time series of extra-euro area trade data the construction of which is detailed in Dieppe and Warmedinger (2007). The sample period ranges from 1985Q1 to 2006Q4 (using the period 1980Q2 to 1984Q4 as training sample). The times series marked with a dagger (‘†’) are modelled using a structural vector-autoregressive (SVAR) model, the estimated parameters of which are kept fixed throughout the estimation of the NAWM.31 Similarly, government consumption is specified by means of a univariate autoregressive (AR) model with fixed estimated parameters.