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December 2017 issue
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D’Agostino, Modugno, Osbat
Sveen, Weinke
Abbink, Bosman, Heijmans, van Winden
Lærkholm Jensen, Lando, Medhat
Behn, Detken, Peltonen, Schudel
Zhang
Meinusch, Tillmann
Philippopoulos, Varthalitis, Vassilatos
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A Global Trade Model for the Euro Area

by Antonello D’Agostinoa, Michele Modugnob and Chiara Osbatc

Abstract

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