ECB-Global: Introducing the ECB's global macroeconomic model for spillover analysis

摘要

In a highly interlinked global economy a key question is how foreign shocks transmit to the domestic economy, how domestic shocks affect the rest of the world, and how policy actions mitigate or amplify spillovers. For policy analysis in such a context, global multi-country macroeconomic models that allow a structural interpretation are needed. In this paper we introduce the European Central Bank's global macroeconomic model: ECB-Global, a semi-structural, global multi-country model for the euro area, the US, Japan, the UK, China, oil-exporting economies, Emerging Asia and a rest-of-the-world block. ECB-Global features rich channels of international shock propagation through trade, oil prices and global financial markets. We illustrate the range of applications of ECB-Global in the context of policy analysis by presenting its predictions for global spillovers from a US monetary policy tightening, a growth slowdown in China, and a drop in oil prices. In contrast to many existing structural models, ECB-Global implies large spillovers from US monetary policy and oil price shocks, which transmit through trade and financial cross-border interlinkages. Compared to these shocks, ECB-Global does not imply large spillovers from a slowdown in China, primarily because of the latter's still limited integration in global financial markets. We also illustrate how ECB-Global can be modified flexibly in order to address evolving questions relevant for policy makers by adding new features in an ad hoc manner.