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Introducing Exchange-Rate Equations Into a World Econometric Model

Published online by Cambridge University Press:  26 March 2020

Simon Wren-Lewis
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Extract

In this Review the Institute's world economic forecasts are for the first time produced with the aid of a large quarterly econometric model. The general features of this model are described in an Appendix to the World Economy chapter in this Review. The model is based on the WEP (World Economic Prospects) model which has been operated and developed by economists in HM Treasury for more than a decade. However, exchange rates in WEP are exogenous, and this article discusses the estimation of an exchange-rate system for the model, and its implications in terms of overall model properties.

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Articles
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National Institute Economic Review , Volume 119 , February 1987 , pp. 57 - 67
Copyright
Copyright © 1987 National Institute of Economic and Social Research

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References

Currie, D. and Hall, S. (1986), ‘A stock/flow model of the determination of the UK effective exchange rate’, National Institute Discussion Paper, no. 124.Google Scholar
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Horton, G. (1984), ‘Modelling the world economy’, Treasury Working Paper no. 33.Google Scholar