A Global Trade Model for the Euro Area
by Antonello D’Agostinoa, Michele Modugnob and Chiara Osbatc
We propose a model for analyzing euro-area trade based on the interaction between macroeconomic and trade variables. First, we show that macroeconomic variables are necessary to
generate accurate short-term trade forecasts; this result can be explained by the high correlation between trade and macroeconomic variables, with the latter being released in a more
timely manner. Second, the model tracks well the dynamics of trade variables conditional on the path of macroeconomic variables during the Great Recession; this result makes our model
a reliable tool for scenario analysis.
JEL Codes: F17, F47, C38.
Full article (PDF, 34 pages, 1537 kb)
a Rokos Capital Management
b Federal Reserve Board
c European Central Bank