Statistical and Econometric Tools for Economic Analysis

Ziel

Specific Objectives:

1.To perform macroeconomic modelling work in support to the Commission model QUEST II used to gauge the status of the economy of the EU and Candidate Countries. Sensitivity analysis of QUEST II sub-modules. The estimation will improve the simulation performance of the main tool for EU economic policy simulation;
2.To conduct business cycle analysis and contribute to the development of short term indicators of the state of the economy;
3. To perform specific work on internal market indicators (including the internal market scoreboard) and for the Structural Indicators initiative. To conduct basic statistical work on indicators, including composite indicators. To combine formal (such as sensitivity, institutional and multi-criteria analyses) and informal methods (e.g. participatory) for the construction of composite indicators;
4.To use financial econometrics in support to the single market initiatives, in particular the single market for capitals and financial services (Financial Services Action Plan). To perform studies underpinning the Capital Adequacy Directive (CAD) and assessing the implications of the International Accounting Standard (IAS) reform process. To perform studies on credit risk in support to the Financial Services Action Plan.

To publish original work on sensitivity analysis of financial models. Anticipated milestones and schedule Deliverable Milestone Due I - (1) Report QUEST II estimation plus analysis December 2003 I - (2) Presentation to the Economic Policy Committee Working Group on Output Gap of the EU of results for deliverable I(2) above. II - (1) Software Output Gap release July 2003 II - (2) Analysis plus submission to open literature December 2003 II - (3) Shocks - Model specification plus report July 2003 II - (4) Dynamic Factors Model + Training on site December 2003 II - (5) Software FLASH delivery June 2003 II - (6) Model specification plus training September 2003 II - (7).

Short Term Analysis Meeting March 2003 III - (1) Design of indicators and report December 2003 III - (2-3) IMI report September 2003 IV - (1) Analysis and report CAD June 2003 IV - (2) IAS December 2003 IV - (3) Delivery of TPW work to EIB December 2003 IV - (4) Final Version Primer to the Publisher December 2003.
Planned Deliverables:
1.1 Estimation of the QUEST II EU15-US model;
1.2 Analysis on the mid-term forecasting performance of ECFIN production function model;
2.1 GAP program: a software for estimating Output gaps and Unemployment gaps of the EU Member States;
2.2 Bayesian Analysis of Output gap and Unemployment gap models;
2.3 Analysis of economic shocks on Euro area aggregates. Quantitative interpretation of impulse response functions (IRF), confidence intervals for IRF's in over-identified models, implementation of models with GDP growth instead of GDP output gap, variance decomposition analysis;
2.4 Model based on dynamic factor analysis for short-term (two-quarters ahead) forecasts of quarterly GDP. Training on dynamic factor models will be delivered;
2.5 Customised version of the FLASH software for Unit B2 of DG ESTAT (flash estimators of quarterly national accounts for the EURO zone). Dissemination of the BUSY and FLASH software to national statistical institutes and central banks;
2.6 Customised tools on request of ESTAT-F for the estimation of missing data, trends and forecasts of yearly agricultural data;
2.7 Training on time series analysis to DG ESTAT, to the European Central Bank, and to several National Statistical Offices. JRC leads the only EU project to harmonise Business Cycle Analysis methodologies, and is partner in a network for short-term indictors. Workshop on Short Term Analysis with ECFIN, ECB, NSI's, CB's, OECD, as was done in 2002;
3.1 Design of possible indicators for the six themes covered by the structural indicators. Delivery of a report on "Guidelines for Composite Indicator Development;
3.2 Improvement of the methodology to be used to build the Internal Market Index (IMI). Delivery of a report on "Approach used to build the Internal Market Index", for DG MARKT-A;
3.3 Publication of the improved IMI on the Internal Market Scoreboard Issues N. 12 and 13, to appear in 2003, for DG MARKT-A;
4.1 Report on the definition of minimum capital requirements for Operational Risk (OpR) following the Standardised Approach based on business lines;
4.2 Preliminary study on the methodologies to be used to assess the impact of measurements at fair value for financial assets and liabilities within the International Accounting Standards (IAS) financial reporting framework, for the banking and insurance sector;
4.3 Report on long term volatility study, conditional on funding from EIB as detailed in the frame of a bilateral agreement between JRC and EIB;
4.4 Contribution to the literature on sensitivity analysis and on financial modelling. Completion of a primer on sensitivity analysis to appear in 2003. A special issue on sensitivity analysis edited by JRC will appear in Reliability Engineering and System Safety in 2003.
Summary of the Action:

This action blends a mature scientific activity in the field of applied statistics and econometrics with an active and dedicated support to key EU policies, such as the common market for services, the EURO challenge and sustainability, employment and cohesion. It is divided into five main lines. The first one deals with macroeconomic modelling, whereby JRC runs on its computers under TROLL (an operating environment) selected sub-modules of the QUEST II (a macroeconomic analysis tool) to improve their performance. The second one focuses on short- term economic analysis, where JRC is also part of large networks (e.g. on business cycle analysis, on short-term indicators). A third activity constructs statistical indicators. A fourth activity deals with financial econometrics in support to the EC policy for a single market for financial services. The fifth and last activity is sensitivity analysis, where JRC has a leadership position.

This benefits the third and fourth activities and is also put to use in a number of third party works. The JRC is partner in a number of co-operative projects and as such takes fully part in the European Research Area. Rationale The growth and stability pact, the common market for services, and EU enlargement are the key challenges of today's Europe. The present European Commission is in dramatic need of modern econometric and statistical tools to gauge the progresses on these policies. The Joint Research Centre, with its research in applied statistics and econometrics, provides the ideal support to the commission, also when the information dealt with is of a high confidential nature. Examples are the use of Bayesian tools for model identification in economic medium term forecast (DG ECFIN), the use of reverse sensitivity analysis for the Capital Adequacy directive (DG MARKT) and the development of composite indicators to gauge the progresses of the common market (DG MARKT)."

Wissenschaftliches Gebiet

Programm/Programme

FP6-JRC - Specific programme 2002-2006 for research, technological development and demonstration to be carried out by means of direct actions by the Joint Research Centre (JRC).

Thema/Themen

4.1.3 - Economic analysis

Aufforderung zur Vorschlagseinreichung

Data not available

Finanzierungsplan

JRC - Joint Research Centre research

Koordinator

Institute for the Protection and Security of the Citizen

EU-Beitrag

Keine Daten

Adresse

Via E. Fermi 1
I-21020 Ispra
Italien

Gesamtkosten