Home About Latest Browse RSS Advanced Search

Board of Governors of the Federal Reserve System (U.S.)
International Finance Discussion Papers
SIGMA: A New Open Economy Model for Policy Analysis
Christopher J. Erceg
Luca Guerrieri
Christopher J. Gust
Abstract

In this paper, we describe a new multi-country open economy SDGE model named "SIGMA" that we have developed as a quantitative tool for policy analysis. We compare SIGMA's implications to those of an estimated large scale econometric policy model (the FRB/Global model) for an array of shocks that are often examined in policy simulations. We show that SIGMA’s implications for the near-term responses of key variables are generally similar to those of FRB/Global. Nevertheless, some quantitative disparities between the two models remain due to certain restrictive aspects of SIGMA’s optimization-based framework. We conclude by using long-term simulations to illustrate some areas of comparative advantage of our SDGE modeling framework.


Download Revision
Download Original
Cite this item
Christopher J. Erceg & Luca Guerrieri & Christopher J. Gust, SIGMA: A New Open Economy Model for Policy Analysis, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 835, Jul 2005, revised Jan 2006.
More from this series
JEL Classification:
Subject headings:
Keywords: SDGE model; Open-economy macroeconomics
For corrections, contact Ryan Wolfslayer ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal