2024-09-09-IMF-北马其顿经济新校准DSGE模型概述（英）_42页_2mb

Overview of New DSGE Model for North Macedonia Economy

Purpose

• The paper introduces a calibrated Dynamic Stochastic General Equilibrium (DSGE) model for North Macedonia, developed with technical assistance from the IMF and Czech National Bank.
• It aims to complement the existing MAKPAM model for policy analysis and forecasting, providing a micro-founded framework for understanding business cycle drivers.

Key Model Features

• Structure: A small open economy model with a fixed exchange rate regime, accounting for structural changes over time.
• Calibration: Includes explicit treatment of sector-specific technological trends and wedges, such as the Balassa-Samuelson effect, to capture non-stationary trends and great ratios.
• Theoretical Components: Incorporates households' utility maximization, wage and price stickiness, production sectors (final, intermediate, exports, imports), monetary policy with fixed exchange rates, and government fiscal rules.
• Calibration Process: An iterative, data-driven approach focused on aligning model dynamics (e.g., impulse responses) with stylized facts, without formal estimation.

Model Diagnostics and Results

• Impulse Response Functions: Analysis shows intuitive dynamics for monetary shocks (e.g., risk premium increases interest rates, reducing consumption and investment), with limited effects on inflation in a fixed exchange rate regime.
• Shock Decompositions: Demand-side shocks dominate investment fluctuations. Productivity and supply shocks influence inflation, with limited demand shock contributions. Foreign shocks explain export volatility.
• Historical Simulations: In-sample forecasts generally follow observed trends, capturing turning points, but with some discrepancies (e.g., under/over-predicting investment and interest rates). The model performs well for imports and inflation during crises but needs refinement.

Conclusion

• The DSGE model effectively enhances policy analysis by quantifying structural changes and improving story-telling for monetary decision-making.
• Future extensions aim to incorporate a more detailed financial sector and improve forecasting accuracy, though the model is not yet used for regular forecasts.
• It underscores the importance of explicit trend handling in DSGE models for emerging economies undergoing structural shifts.