A Stochastic Estimated Version of the Italian Dynamic General Equilibrium Model (IGEM)
Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 3
47 Pages Posted: 1 May 2018
Date Written: April 9, 2018
We estimate with Bayesian techniques the Italian dynamic General Equilibrium Model (IGEM), which has been developed at the Italian Treasury Department, Ministry of Economy and Finance, to assess the effects of alter-native policy interventions. We analyze and discuss the estimated effects of various shocks on the Italian economy. Compared to the calibrated version used for policy analysis, we find a lower wage rigidity and higher adjustment costs. The degree of prices and wages indexation to past inflation is much smaller than the indexation level assumed in the calibrated model. No substantial difference is found in the estimated monetary parameters. Estimated fiscal multipliers are slightly smaller than those obtained from the calibrated version of the model.
Keywords: Dynamic General Equilibrium Model, Bayesian estimation, Simulation Analysis, Italy
JEL Classification: E27, E30, E60
Suggested Citation: Suggested Citation