Research article Special Issues

Economic Covid-19 effects analysed by macro econometric models—the case of Norway

  • Received: 30 November 2022 Revised: 10 January 2023 Accepted: 12 January 2023 Published: 18 January 2023
  • JEL Codes: C32, C53, C54, E17, E27, E32, E37, E65

  • Counterfactual analysis of the impact of Covid-19 can be based on a solution of a macroeconomic model for a scenario without the coronavirus interfering with the macroeconomic system. Two measures of impact are introduced with the aid of a simple theoretical model, and then used in the empirical analysis: (Ⅰ) The difference between the counterfactual without Covid-19 and a baseline model solution. (Ⅱ) The difference between the counterfactual and the actual development of the economy. In order to analyze the impact on GDP we use two model categories. First, empirical final form model equations, which were purpose-built with the aid of a machine learning algorithm. Second, an operational multiple-equation model of the Norwegian macroeconomic system. Empirically, we find a significant impact of Covid-19 on the GDP Mainland Norway in 2020. For some of the estimator/model combinations, the impacts are also significant in the two first quarters of 2021. Using the multiple-equation model, the assessment is extended to the impact of Covid-19 on value added in four Mainland Norway industries, on imports and exports, and on final consumption expenditure and gross capital formation.

    Citation: Ragnar Nymoen. Economic Covid-19 effects analysed by macro econometric models—the case of Norway[J]. National Accounting Review, 2023, 5(1): 1-22. doi: 10.3934/NAR.2023001

    Related Papers:

  • Counterfactual analysis of the impact of Covid-19 can be based on a solution of a macroeconomic model for a scenario without the coronavirus interfering with the macroeconomic system. Two measures of impact are introduced with the aid of a simple theoretical model, and then used in the empirical analysis: (Ⅰ) The difference between the counterfactual without Covid-19 and a baseline model solution. (Ⅱ) The difference between the counterfactual and the actual development of the economy. In order to analyze the impact on GDP we use two model categories. First, empirical final form model equations, which were purpose-built with the aid of a machine learning algorithm. Second, an operational multiple-equation model of the Norwegian macroeconomic system. Empirically, we find a significant impact of Covid-19 on the GDP Mainland Norway in 2020. For some of the estimator/model combinations, the impacts are also significant in the two first quarters of 2021. Using the multiple-equation model, the assessment is extended to the impact of Covid-19 on value added in four Mainland Norway industries, on imports and exports, and on final consumption expenditure and gross capital formation.



    加载中


    [1] Bårdsen G, Eitrheim Ø, Jansen ES, et al. (2005) The Econometrics of Macroeconomic Modelling. Oxford University Press, Oxford.
    [2] Bårdsen G, Fisher PG (1999) Economic Theory and Econometric Dynamics in Modelling Wages and Prices in the United Kingdom. Empir Econ 24: 483–507. https://doi.org/10.1007/s001810050068 doi: 10.1007/s001810050068
    [3] Bårdsen G, Fisher PG, Nymoen R (1998) Business Cycles: Real Facts or Fallacies? In: Strøm, S. (ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Cambridge: Cambridge University Press, 499–527. https://doi.org/10.1017/CCOL521633230.016
    [4] Bårdsen G, Jansen ES, Nymoen R (2003) Econometric Inflation Targeting. Econom J 6: 429–460.
    [5] Bårdsen G, Klovland JT (2000) Shaken or Stirred? Financial Deregulation and the Monetary Transmission Mechanism in Norway. Scand J Econ 102: 563–583. https://doi.org/10.1111/1467-9442.00215 doi: 10.1111/1467-9442.00215
    [6] Bårdsen G, Nymoen R (2003) Testing Steady-State Implications for the NAIRU. Rev Econ Stat 85: 1070–1075. https://doi.org/10.2139/ssrn.223428 doi: 10.2139/ssrn.223428
    [7] Bårdsen G, Nymoen R (2009) Macroeconometric Modelling for Policy. In: Mills, T., Patterson, K. (eds.), Palgrave Handbook of Econometrics, London: Palgrave Mac-Millan, 851–916.
    [8] Bårdsen G, Nymoen R (2022) Documentation of Norwegian Aggregate Model, NAM. Available from: Https://normetrics.no/nam/.
    [9] Bjertnæs GHM, von Brasch T, Cappelen Å, et al. (2021) COVID-19, tapt verdiskaping og finanspolitikkens rolle. Utredning for Koronakommisjonen. RAPPORTER/REPORTS 2021/13, Statistisk sentralbyrå, Statistics Norway, Oslo-Kongsvinger.
    [10] Blytt JP, Bougroug A, Sletten P (2022) Økonomisk utvikling gjennom Covid19. En oppdatert sammenligning av Norge, Sverige og Danmark. RAPPORTER/REPORTS 2022/14, Statistisk sentralbyrå, Statistics Norway, Oslo-Kongsvinger.
    [11] Castle L, Doornik JJ, Hendry D (2012) Model Selection When There are Multiple Breaks. J Econom 169: 239–247. https://doi.org/10.1016/j.jeconom.2012.01.026 doi: 10.1016/j.jeconom.2012.01.026
    [12] Clements MP, Hendry DF (1998) Forecasting Economic Time Series. Cambridge University Press, Cambridge.
    [13] Doornik JA (2009) Autometrics. In: Castle, J., Shephard, N (eds.), The Methodology and Practice of Econometrics, Oxford: Oxford University Press. 88–121.
    [14] Doornik JA, Hendry DF (2018a) Empirical Econometric Modelling PcGive 15. Volume 1. Timberlake Consultants, London.
    [15] Doornik JA, Hendry DF (2018b) Modelling Dynamic Systems PcGive 15. Volume 2. Timberlake Consultants, London.
    [16] Engle RF (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50: 987–1007. https://doi.org/10.2307/1912773 doi: 10.2307/1912773
    [17] Engle RF, Yoo BS (1987) Forecasting and Testing in Co-integrated Systems. J Econom 35: 143–159. https://doi.org/10.1016/0304-4076(87)90085-6 doi: 10.1016/0304-4076(87)90085-6
    [18] Epprect C, Guegan D, Veiga A (2013) Comparing variable selection techniques for linear regression: LASSO and Autometrics. Tech. rep., Centre d'Economie de la Sorbonne.
    [19] Granger CWJ (1966) The Typical Spectral Shape of an Economic Variable. Econometrrica 34: 150–161.
    [20] Granger CWJ (1992) Fellow's Opinion: Evaluating Economic Theory. Journal of Econometrics 51: 3–5.
    [21] Granger CWJ, Newbold P (1986) Forecasting Economic Time Series. Academic Press, San Diego.
    [22] Harvey AC (1981) The Econometric Analysis of Time Series. Philip Allan, Oxford.
    [23] Hendry DF (1995) Econometrics and Business Cycle Empirics. Econ J 105: 1622–1636. https://doi.org/10.2307/2235123 doi: 10.2307/2235123
    [24] Hendry DF, Doornik JA (2014) Empirical Model Discovery and Theory Evaluation. Automatic Selection Methods in Econometrics. Arne Ryde Memorial Lectures. MIT Press, Cambridge, Mass.
    [25] Hendry DF, Johansen S, Santos C (2008) Automatic Selection of Indicators in a Fully Saturated Regression. Comput Stat, 23: 317–335 and Erratum 337–339. https://doi.org/10.1007/s00180-007-0054-z doi: 10.1007/s00180-007-0054-z
    [26] Hendry DF, Pagan AR, Sargan JD (1984) Dynamic Specification. In: Griliches, Z.M.D.I. (ed.), Handbook og Econometrics, vol. Ⅱ, chap. 18. North-Holland.
    [27] Jarque CM, Bera AK (1980) Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals. Econ Lett 6: 255–259. https://doi.org/10.1016/0165-1765(80)90024-5 doi: 10.1016/0165-1765(80)90024-5
    [28] Johansen S (2004) Cointegration: An overview. Manuscript, Unversity of Copenhagen, Department of Applied Mathematics and Stastiics.
    [29] Johansen S, Nielsen B (2009) Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator. In: Castle, J.L., Shephard, N. (eds.), The Methodology and Practise of Econometrics, Oxford: Oxford University Press.
    [30] Kolsrud D, Nymoen R (2014) Macroeconomic Stability or Cycles? The Role of the Wage-Price Spiral. Aust Econ Pap 53: 41–68. https://doi.org/10.1111/1467-8454.12020. doi: 10.1111/1467-8454.12020
    [31] Muhammadullah S, Urooj A, Kahn F, et al. (2022) Comparison of Weighted Lag Adaptive LASSO with Autometrics for Covariate Selection and Forecasting Using Time-Series Data. Complexity, 1–10. https://doi.org/10.1155/2022/2649205 doi: 10.1155/2022/2649205
    [32] Nymoen R (1989a) Modelling Wages in the Small Open Economy: An Error-Correction Model of Norwegian Manufacturing Wages. Oxf Bull Econ Stat 51: 239–258. https://doi.org/10.1111/j.1468-0084.1989.mp51003002.x doi: 10.1111/j.1468-0084.1989.mp51003002.x
    [33] Nymoen R (1989b) Wages and the Length of the Working Day. A Empirical Test Based on Norwegian Quarterly Manufacturing Data. Scand J Econ 91: 599–612. https://doi.org/10.2307/3440087 doi: 10.2307/3440087
    [34] Nymoen R (1991) A Small Linear Model of Wage- and Price-Inflation in the Norwegian Economy. J Appl Econ 6: 255–269. https://doi.org/10.1002/jae.3950060304 doi: 10.1002/jae.3950060304
    [35] Nymoen R (2017) Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation. Econometrics 5: 1–54. https://doi.org/10.3390/econometrics5010006. doi: 10.3390/econometrics5010006
    [36] Nymoen R (2019) Dynamic Econometrics for Empirical Macroeconomic Modelling. World Scientific, Boston.
    [37] Nymoen R (2021) The role of wage formation in empirical macroeconometric models., Oxford Research Encyclopedia of Economics and Finance. Oxford University Press, 1–29. Https://doi.org/10.1093/acrefore/9780190625979.013.641
    [38] Padhan R, Prabheesh HP (2021) The Economics of COVID-19 pandemic: A Survey. Econ Anal Policy 70: 220–237. https://doi.org/10.1016/j.eap.2021.02.012 doi: 10.1016/j.eap.2021.02.012
    [39] Pesaran MH, Smith RP (2016) Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing. Res Econ 70: 262–280. https://doi.org/10.1016/j.rie.2016.01.004 doi: 10.1016/j.rie.2016.01.004
    [40] Rio-Chanona RM, Mealy P, Pichler A, et al. (2020) Supply and demand shocks in the COVID-19 pandemic: an industry and occupation perspective. Oxford Review of Economic Policy 36: S94–S137.
    [41] Rungcharoenkitkul P (2021) Macroeconomic effects of Covid-19: a mid-term review. Pac Econ Rev 20: 439–458. https://doi.org/10.1111/1468-0106.12372 doi: 10.1111/1468-0106.12372
    [42] Spanos A (2021) Methodology of Macroeconometrics. Oxford Research Encyclopedias. Https://doi.org/10.1093/acrefore/9780190625979.013.175.
    [43] Susskind D, Vines D (2020) The economics of the COVID-19 pandemic: an assessment. Oxford Rev Econ Policy 36: S1–S13. https://doi.org/10.1093/oxrep/graa036 doi: 10.1093/oxrep/graa036
    [44] Vines D, Wills S (2020) The Rebuilding of Macroeconomic Theory Project Part Ⅱ:Multiple Equilbria, Toy Models and Policy Models in a New Macroeconomic Paradigm. Oxford Rev Econ Policy 36: 427–497. Https://doi.org/10.1093/oxrep/graa066. doi: 10.1093/oxrep/graa066
    [45] Visco I (2005) From Theory to Practice in Macroeconomic Models: Post Keynesian Eclecticism. BNL Q Rev LVIII(233-234): 67–90.
    [46] von Brasch T, Cappelen Å, Holden S, et al. (2022) COVID-19, tapt verdiskaping og finanspolitikkens rolle. Utredning for Koronakommisjonen. RAPPORTER/REPORTS 2022/15, Statistisk sentralbyrå, Statistics Norway, Oslo-Kongsvinger.
    [47] Wallis KF (1977) Multiple time series analysis and the final form of econometric models. Econometrica 45: 1481–97.
  • Reader Comments
  • © 2023 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
通讯作者: 陈斌, bchen63@163.com
  • 1. 

    沈阳化工大学材料科学与工程学院 沈阳 110142

  1. 本站搜索
  2. 百度学术搜索
  3. 万方数据库搜索
  4. CNKI搜索

Metrics

Article views(531) PDF downloads(58) Cited by(0)

Article outline

Figures and Tables

Tables(5)

Other Articles By Authors

/

DownLoad:  Full-Size Img  PowerPoint
Return
Return

Catalog