DNB's Econometric Models

Introduction Text

The Netherlands has the longest tradition in using econometric models in policy analyses. The first macroeconomic model ever, build by Jan Tinbergen in 1936, referred to the Dutch economy and was developed to answer the question of whether the government should leave the Gold standard and devaluate the Dutch guilder. In the seventies and eighties, model building became popular in many institutes and universities. At DNB model building started in 1971 and never stopped since.

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DELFI: a model of the Dutch economy

The modelling of the economy in DELFI combines the neoclassical approach to economics - with optimizing rational economic agents and clearing markets - with new-Keynesian elements, in which imperfections and frictions affect the short-run dynamics of product,  labour market and financial markets. The new, extended version – DELFI 2.0 - includes a detailed sub-model of both the banking and pension sectors, this offers an elaborate framework for analyzing the linkages between the financial sector and the real economy.

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DSGE model of the Dutch economy

DNB has constructed a new-Keynesian DSGE model tailored to the Netherlands. It is a multivariate unobserved components model in which three major stochastic trends in the data are identified—trends in general-purpose technology, investment-specific technology, and labor supply—which are modeled formally in the theoretical set-up.

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Inflation model

The forecasting model to predict the inflation of the Harmonised Index of Consumer Prices (HICP) for the Netherlands provides point forecasts and prediction intervals for both the components of the HICP and the aggregated HICP-index itself.

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DFROG: Dutch Forecasting Model for Real Time Output Growth

DFROG is a dynamic factor model used to make short-term forecasts for quarterly GDP growth in the Netherlands.

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DNB Business Cycle indicator

The DNB business cycle indicator consists of two series: the realisation of the business cycle and its expected development in the near future.

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Asset price based leading indicators of GDP

Leading indicator models of GDP growth based on asset prices for the euro zone (q-o-q and y-o-y), the US (y-o-y) and the Netherlands (y-o-y).

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Pension model

The Pension Model is a stochastic simulation model for collective defined contribution occupational pension contracts.

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BLS model for supply of business lending

The Bank Lending Standards (BLS) model is a bank-level panel data model used to analyze the influence of changes in the level of bank lending standards on the supply of business lending in The Netherlands.

Read more about: BLS model for supply of business lending