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Features
MEFIM is a structural model of 61 equations and concerns the interrelationship
between Italian and International monetary and financial variables.
The variables are taken on a monthly basis.
The Italian market is divided into 4 sections:
- Inter bank Interest Rates: Overnight; 1,3 and 6 month
Inter bank bid quotes; repo rate.
- Government Securities: BOT yields, 1 to 10-year term structure,
yield on bank bonds (Rendiob); yield on treasury bonds
with more than 1 year maturity (Rendistat).
- Bank
Borrowing and Loan (Lending) Rates in both Marginal and
Average Terms
- Bank
Volumes: loans and deposits both at the total level and
at some main disaggregations.
The exogenous variables are the
REPO rate of the European Central Bank, the Comit Stock
Market Index, the Industrial Production Index and the
Consumer Price Index.
The international market includes the 1 to 10-year Term Structure
for the principal industrialised nations: U.S.A., Germany,
Japan, France and the UK.
The exogenous variables are the intervention
rate of the monetary authorities, the 3-month yield on Eurodeposits,
the Stock Market Index, the Industrial Production Index, the
Consumer Price Index and, for the U.S.A. and Germany, the
Money Supply.
Also
the US Dollar/Euro exchange rate simulations are provided.
In defining the optimum structure, the concepts of economic
and financial theory are empirically tested by means of an econometric
analysis. In particular, through the use of co-integration analysis,
the long term structure that controls interest rates, bank deposits
and loans has been identified so as to permit the insertion
in the model of ECM (Error Correction Mechanism) equations.
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