DNB's Econometric Models

On this page, you will find information on the models that are regularly used at DNB in the policy preparation process. A large variety of models is used that can be grouped into three categories:

1) macro models used for the baseline projections;
2) models used for scenario and policy analyses around the baseline projections; and
3) other models used for policy analysis and research.

Having a multitude of models at our disposal allows us to provide a broad assessment of the economic outlook and obtain a better understanding the mechanisms underlying the propagation of shocks hitting the economy.

Macroeconomic models for baseline projections

• DNB’s main macroeconomic model used for the projections is DELFI. DELFI is an estimated semi-structural quarterly macroeconomic model of the Dutch economy. It is used to provide the biannual macroeconomic projections published by DNB (see Economic Developments and Outlook).
• For (very) short-term inflation forecasting model averaging is employed, based on two models for monthly data: a linear model for the five main sub-components of the Harmonized Index of Consumer Prices (HICP) and a SARIMA model for individual COICOP-items of the HICP.
• The now-casting model DFROG is a dynamic factor model used for short-term forecasting GDP-growth based on a large set of series consisting of indicators of real activity, surveys, prices, and financial developments.
• The DNB Business Cycle Indicator signals turning points in the growth of real GDP.
• DNB uses the so-called FiSI-indicator, which is a tool developed for short-term forecasting annual GDP-growth based on financial sentiment information.

Macroeconomic models for scenario and policy analysis around the baseline projection

• DELFI is also the main tool for scenario simulations around the baseline projections and for policy simulations relevant for the Dutch economy. For simulations and scenarios that require global inputs DNB uses NiGEM, the global multi-country model of the UK’s National Institute of Economic and Social Research.

Other models regularly used for policy analysis and research

In addition to providing macroeconomic projections, DNB is also engaged in extensive policy analysis and research to broaden our understanding of the macro-economy and macro-economic policies. To this end, a wide range of (empirical and theoretical) models is used, which can be grouped into the following three sub-categories:

• Various DSGE models for scenario and counterfactual analyses. The list of models consists of both closed and open economy structures, among which the EAGLE model;
• Models for the assessment of inflation developments and its drivers;
• An input-output model that emphasizes the developments and challenges at the sectoral level;
• Cassandra, a top-down stress test model that is used to assess vulnerabilities in the financial system under tail-risk events

Finally, DNB staff also develops ad hoc models, i.e. those that are not used regularly, to address very specific policy questions. Some examples are:

• potential growth models
• epidemiology-macroeconomic models (along the lines of Eichenbaum, Rebelo and Trabandt, 2020)
• topic models (inspired by recent developments in econometrics and data science)