ECB Economic Models

How the ECB's two macroeconomic models inform rate decisions

Deep Analysis of the NAWM and ECB-BASE Macroeconomic Models

Page Overview

This page examines the two macroeconomic models the European Central Bank uses to inform monetary policy: NAWM II (a structural DSGE model for scenario analysis) and ECB-BASE (the primary forecasting engine). Each section presents the model's framework, current input parameters, and derived theoretical policy rate, compared against the actual deposit facility rate. The output gap estimates feeding into these models are discussed on the output gap methodology page, and the Taylor Rule framework that links them to rate recommendations is detailed on the Taylor Rule methodology page.

NAWM II
Active Model

New Area-Wide Model II — a structural model of the euro area economy used to test policy scenarios and analyse transmission mechanisms. It simulates how households, firms, banks, and governments interact, allowing the ECB to run counterfactual experiments before committing to a decision.

Primary role: scenario analysis and policy counterfactuals

Dynamic Stochastic General Equilibrium (DSGE) framework with Bernanke-Gertler-Gilchrist financial accelerator, two-region structure (euro area vs. rest of world), and Bayesian estimation on 1999Q1–present data. Approximately 40 state variables; Calvo pricing with 4–6 quarter average durations.

Primary role: structural analysis, counterfactuals, welfare comparisons

ECB-BASE
Primary Forecasting

Semi-structural forecasting model that produces the ECB's quarterly macroeconomic projections. It blends historical patterns with economic theory and absorbs real-time market signals to predict where inflation, growth, and employment are heading over the next two to three years.

Primary role: quarterly projections and conditional forecasting

Semi-structural model with VAR satellite components, documented in Angelini et al. (2019). Hybrid Phillips curve with survey-based expectations; IS curve incorporating financial conditions index. Equation-by-equation estimation, re-estimated quarterly. Entered operational use in 2019, replacing the NMCM.

Primary role: quarterly projections, nowcasting, scenario generation

NAWM II (New Area-Wide Model II)

The ECB's theoretical framework for understanding economic relationships

Advanced DSGE model with multi-country framework and financial frictions

What Is NAWM II?

If the ECB raises interest rates today, what happens to employment in Spain six months from now? How do prices in Germany respond? Will French manufacturers cut production? These are the questions NAWM II — the New Area-Wide Model, version two — is designed to answer before the Governing Council has to commit to a decision.

NAWM II is essentially a simulation of the euro area economy. It models how households, firms, banks, and governments interact, allowing ECB staff to test policy options and trace their consequences across borders — without risking real outcomes for 340 million Europeans.

Why This Matters

Every ECB rate change ripples through mortgage costs, hiring decisions, and consumer prices across the eurozone. NAWM II helps the Governing Council map these ripple effects in advance. It is not perfect — no model is — but it disciplines the discussion in ways that judgment alone cannot. The model's Taylor Rule specification translates its output directly into a recommended policy rate, which can then be compared against the actual deposit facility rate.

The Four Sectors in the Model

NAWM II simulates how four groups of economic actors behave and interact:

Households

The model captures how consumers respond to economic changes — adjusting spending as prices, wages, and interest rates shift. These individual decisions, aggregated across millions of households, shape the trajectory of the entire economy.

Firms

Businesses continuously weigh pricing, hiring, and investment decisions against changing costs, demand, and financing conditions. When firms retrench, unemployment rises and the output gap widens — signalling the need for policy adjustment.

Banks

The financial sector connects savers to borrowers. When banks tighten lending — as during 2008 or the euro area sovereign debt crisis — the real economy contracts even if the policy rate has not changed. NAWM II models these "financial frictions" explicitly.

Governments

Fiscal policy — spending, taxation, and borrowing — interacts with monetary policy through its effects on demand, interest rates, and debt sustainability. The model captures these channels, including the fiscal multipliers that vary depending on the state of the economy.

What Makes NAWM II Different

Several features distinguish the model from simpler analytical tools:

  • Cross-border transmission: The model captures how economic shocks in one member state ripple through the eurozone via trade, investment, and financial linkages. A policy that supports the French economy may have different effects in Portugal — and NAWM II can trace these asymmetries.
  • Financial frictions: After the 2008 crisis demonstrated that banks can amplify economic swings, NAWM II embedded a financial accelerator mechanism. Lending conditions — not just the policy rate — shape real economic outcomes.
  • Theoretical foundations: Unlike purely statistical forecasting tools, NAWM II is grounded in microeconomic theory about how agents optimise. This makes it more reliable when circumstances are novel, because the model's logic holds even when historical patterns break down.
  • Counterfactual experiments: The model can simulate alternative policy histories — for example, what would have happened had the ECB tightened in 2021 rather than waiting? These experiments inform future decisions.

NAWM II: Architecture and Strategic Role

The New Area-Wide Model II emerged from a recognition, sharpened by the 2008–2012 crises, that the ECB's analytical toolkit required substantial upgrades. Its predecessor had treated financial markets as largely frictionless — an assumption that proved inadequate when interbank lending seized up and sovereign spreads widened across the periphery.

NAWM II, documented in Coenen et al. (2018), is a medium-scale DSGE framework embedding Bernanke-Gertler-Gilchrist financial accelerator mechanisms within a two-region structure (euro area versus rest of world). The model contains approximately 40 state variables and is estimated using Bayesian methods on quarterly data from 1999Q1 onwards, with parameter posteriors derived via Metropolis-Hastings sampling. Its Taylor Rule specification provides a direct channel from model outputs to policy rate recommendations.

Core Structural Features

The model's architecture reflects hard-won lessons from the European debt crisis. Three design choices prove particularly consequential for policy analysis:

Financial-real linkages: Unlike first-generation DSGE models where credit conditions were implicitly perfect, NAWM II features entrepreneurs who face external finance premiums that vary with their net worth. When asset prices fall and balance sheets deteriorate, borrowing costs rise endogenously — precisely the amplification mechanism observed during 2008-2009.

Nominal rigidities: Both prices and wages adjust sluggishly via Calvo (1983) contracts, with estimated reset probabilities implying average contract durations of 4-6 quarters. This feature generates realistic inflation persistence and ensures that monetary policy has meaningful short-run output effects.

Open-economy channels: The two-region structure captures how euro area developments transmit abroad and vice versa, with trade elasticities calibrated to match observed import and export responses to exchange rate movements.

Household Optimization and Consumption Dynamics

The representative household's intertemporal optimization yields a standard Euler equation, augmented with habit persistence to match observed consumption smoothing:

Euler Equation with Habit Formation:
$$E_t[\beta(C_{t+1} - hC_t)^{-\sigma}/(C_t - hC_{t-1})^{-\sigma} \cdot (R_{t+1}/\pi_{t+1})] = 1$$
Labor Supply (Wage Phillips Curve implicit form):
$$w_t = \sigma (C_t - hC_{t-1}) + \phi N_t^\nu$$

The habit parameter h, typically estimated between 0.6 and 0.8, captures the empirical observation that households adjust consumption gradually even when permanent income changes. This matters for policy analysis because it implies that interest rate cuts stimulate spending with a lag — a finding confirmed by VAR-based evidence.

β (Discount factor): 0.995-0.999

Implies steady-state real rate of 0.4-2% annualized

σ (Risk aversion): 1.0-3.0

Higher values dampen consumption response to rate changes

h (Habit persistence): 0.6-0.8

Generates observed consumption smoothing patterns

ν (Inverse Frisch elasticity): 1.0-5.0

Governs labor supply responsiveness to wage changes

Price Setting and the Inflation Process

Firms operate under monopolistic competition with Calvo-style price stickiness. Only a fraction (1-θ) of firms can reset prices each period, leading to a forward-looking Phillips curve:

New Keynesian Phillips Curve:
$$\pi_t = \beta E_t[\pi_{t+1}] + \kappa \cdot mc_t$$
where the slope coefficient $\kappa = \frac{(1-\theta)(1-\beta\theta)}{\theta}$

With θ ≈ 0.75 (implying 4-quarter average price durations), κ takes values around 0.03-0.05 — consistent with the relatively flat Phillips curves observed in euro area data since the 1990s.

The flattening of the Phillips curve has profound policy implications. It suggests that generating inflation requires larger output gaps than in earlier decades, while also meaning that overheating produces less inflationary pressure. The 2021–2023 inflation episode, driven largely by supply shocks rather than demand, has prompted ongoing re-evaluation of these parameters.

The Financial Accelerator: Why Balance Sheets Matter
Bernanke-Gertler-Gilchrist Framework in NAWM II

The model's treatment of financial frictions follows the canonical BGG setup, where entrepreneurs finance capital purchases partly through external borrowing. The key insight: lenders cannot costlessly verify borrower outcomes, so they charge a premium that varies inversely with collateral value.

External Finance Premium:
$$E_t[R_{t+1}^k] - R_t = \psi \left(\frac{N_t^e}{Q_t K_t}\right)^{-\chi} + \sigma_{\omega,t}$$

When asset prices (Q) fall, the leverage ratio rises and so does the external finance premium — even if the policy rate remains unchanged. This creates the "financial accelerator" whereby small initial shocks can produce large output swings as deteriorating balance sheets trigger credit tightening, which further depresses asset values.

During the 2008-2009 crisis, the ECB's Governing Council drew heavily on NAWM II simulations showing that without aggressive monetary easing, this feedback loop would have generated a significantly deeper recession. The model suggested that credit spreads were adding the equivalent of 200-300 basis points to effective financing conditions — guidance that supported the case for unconventional measures.

Exchange Rate and International Transmission

The model embeds a modified uncovered interest parity condition that allows for time-varying risk premia:

Exchange Rate Dynamics:
$$E_t[s_{t+1}] - s_t = (R_t - R_t^*) - \rho_t$$

The risk premium shock ρt captures safe-haven flows and broader risk sentiment that drive euro movements beyond interest differentials. Estimated variance decompositions suggest these shocks account for 40-60% of short-term exchange rate volatility — a finding that cautions against over-reliance on interest rate parity in forecasting.

Monetary Policy Specification

The baseline policy rule follows Taylor (1993) with interest rate smoothing, reflecting the ECB's observed gradualism:

Taylor Rule with Smoothing:
$$R_t = \rho_R R_{t-1} + (1-\rho_R)\left[r^* + \pi^* + \phi_\pi(\pi_t - \pi^*) + \phi_y y_t\right] + \varepsilon_{R,t}$$
ρR (Smoothing): 0.85-0.95

High persistence matches observed ECB gradualism

φπ (Inflation response): 1.5-3.0

Well above 1, ensuring determinacy (Taylor principle)

φy (Output gap response): 0.1-0.5

Modest weight on real activity stabilization

π* (Inflation target): ~2%

Symmetric target since 2021 strategy review

Impulse Response Properties: What the Model Tells Us

The practical value of NAWM II lies in its impulse response functions — how the model predicts the economy will evolve following different shocks. These responses have been validated against VAR evidence and form the basis for staff advice on policy calibration:

Shock Type Peak Output Effect Peak Inflation Effect Half-life (quarters) Policy Implication
Monetary tightening (+100bp) -0.8% -0.3% (after 2 years) 8-12 Rate hikes work with long, variable lags
Productivity improvement (+1%) +0.7% (permanent) -0.2% (transitory) 16-20 Supply gains are disinflationary short-term
Financial stress (spread widening) -1.2% -0.4% 12-16 Credit shocks require aggressive response
Fiscal expansion (+1% GDP) +0.5% (year 1) +0.1% (year 1) 6-8 Multipliers are positive but modest

These impulse responses inform the ECB's communication about policy transmission. When President Lagarde states that rate increases will take "18-24 months" to fully impact inflation, she is drawing on precisely this type of model-based analysis.

How ECB Uses NAWM II

Policy Applications and Scenario Analysis

Policy Testing
Structural Analysis
What happens if we change rates?
Deep parameter assessment
Crisis Response
Counterfactuals
How to respond to emergencies
Alternative history analysis
Cross-checks
Model Validation
Double-checking forecasts
Empirical verification

ECB-BASE Model

The ECB's main forecasting tool for economic projections

Semi-structural macroeconomic model with enhanced forecasting capabilities

What Is ECB-BASE?

Four times a year, the ECB publishes forecasts: "Inflation is expected to average 2.3% next year, with GDP growth of 1.1%." These numbers are not conjecture — they are the output of ECB-BASE, the institution's primary forecasting engine.

If NAWM II is the ECB's laboratory for testing policy scenarios, ECB-BASE is its forecasting workhorse. It is designed to do one thing exceptionally well: predict where the European economy is heading over the next two to three years. Those projections then feed into the Taylor Rule framework to generate a recommended policy rate, and the output gap it estimates is a critical input to that calculation.

Why Forecasting Matters

Monetary policy works with a lag. When the ECB raises interest rates, the full effect on inflation may not materialise for 18 months. The Governing Council therefore cannot simply react to current conditions — it must make decisions based on where the economy is heading. ECB-BASE is how the ECB constructs that forward view.

How It Works

ECB-BASE combines two approaches to forecasting:

Historical Patterns

The model examines decades of European economic data to identify reliable relationships. When oil prices spike, what typically happens to inflation three months later? When unemployment falls, how do wages respond? These estimated relationships form the model's empirical backbone.

Economic Theory

Historical patterns can break down. The model therefore also incorporates theoretical constraints — logical rules about how variables should connect. If interest rates rise, borrowing becomes more expensive, so spending should fall. This theoretical backbone prevents the model from producing nonsensical projections.

Real-Time Market Signals

Bond markets, equity prices, and business confidence surveys all contain information about the economy's direction. ECB-BASE absorbs these signals to sharpen its near-term projections — making it responsive to shifts in sentiment and financial conditions.

Expert Judgment

No model captures everything. ECB economists can adjust the projections when they possess information the model lacks — an imminent policy change, a unique shock (such as a pandemic), or intelligence from the ECB's business contacts. The model provides the disciplined starting point; staff refine it.

Why a Formal Model Rather Than Expert Judgment Alone?

Human judgment, however informed, has systematic limitations that a structured model addresses:

  • Internal consistency: ECB-BASE forces forecasters to trace all the connections. A projection of higher growth must imply something for employment, imports, and tax revenues. Economists working without a model often miss these knock-on effects.
  • Systematic improvement: When forecasts prove wrong, the model can be diagnostically updated. Improving an unstructured intuition is considerably harder.
  • Scenario capacity: "What if oil prices double?" "What if Germany enters recession?" The model can rapidly generate projections for hundreds of alternative assumptions — a task beyond any team working without one.
  • Transparency: The model's logic is documented and can be scrutinised. This makes ECB forecasts more credible, because external analysts can examine the reasoning.
An Important Caveat

ECB-BASE is a powerful tool, but economic forecasting remains inherently difficult — the future depends on wars, pandemics, policy surprises, and other unpredictable events. The model's projections come with uncertainty bands that acknowledge this. When the ECB forecasts "inflation of 2.3% next year," internal analysis recognises that the true outcome could easily range from 1.5% to 3.1%. Honest uncertainty is part of professional forecasting.

ECB-BASE: Forecasting Architecture and Operational Design

The development of ECB-BASE, documented in Angelini et al. (2019), reflected a strategic recalibration of the ECB's forecasting infrastructure. Its predecessor, the New Multi-Country Model (NMCM), had served well for analyzing cross-country heterogeneity within the euro area, but its computational demands and rigid theoretical constraints limited its practical utility in the high-frequency projection cycles demanded by modern central banking.

ECB-BASE took a different path: a semi-structural approach that preserves economic interpretability while achieving forecasting performance competitive with purely statistical methods. The model entered operational use in 2019 and now anchors the ECB's quarterly projection exercises published in the Economic Bulletin. Its output gap estimates feed directly into the Taylor Rule calculations that inform rate recommendations.

Design Philosophy

The model's architecture embodies a pragmatic compromise. Pure DSGE models (like NAWM II) offer theoretical coherence but often forecast poorly, particularly at short horizons where their steady-state assumptions bind. Pure VAR models forecast well but provide no structural interpretation — one cannot use them to analyze "what would happen if the ECB pursued a different policy path." ECB-BASE occupies the middle ground:

Behavioral equations with empirical foundations: The core relationships (Phillips curve, IS curve, wage dynamics) are specified according to economic theory but estimated with flexible functional forms that let the data speak.

VAR satellite models: Short-term dynamics are captured by auxiliary VAR components that excel at near-term forecasting, while the behavioral core dominates at longer horizons where economic fundamentals matter more.

Quarterly operational cycle: The model is re-estimated and updated each quarter, incorporating real-time data revisions and allowing parameters to drift as the economic structure evolves.

The Inflation Block: A Hybrid Phillips Curve

Inflation forecasting sits at the heart of central banking, and ECB-BASE devotes considerable attention to getting this right. The specification blends backward-looking persistence with forward-looking expectations:

Hybrid Phillips Curve:
$$\pi_t = \alpha_1 \pi_{t-1} + \alpha_2 E_t[\pi_{t+1}] + \alpha_3 \cdot gap_t + \alpha_4 \pi^{oil}_t + \alpha_5 \pi^{import}_t + \varepsilon^\pi_t$$

The inclusion of both lagged and expected inflation reflects genuine uncertainty about how expectations form. Pure rational expectations (α₂ = 1, α₁ = 0) would imply that only expected future conditions matter — but decades of empirical work suggests inflation exhibits substantial inertia. The estimated weights (α₁ ≈ 0.3-0.5, α₂ ≈ 0.4-0.6) align with evidence from survey-based expectations measures.

Crucially, the specification includes imported inflation and oil price pass-through terms. These channels proved essential for understanding the 2021-2023 inflation surge, which originated largely in global supply disruptions and energy markets rather than domestic demand pressures. Models lacking these terms badly underpredicted inflation during this episode.

α₁ (Persistence): 0.3-0.5

Inflation inertia from indexation and sticky expectations

α₂ (Forward-looking): 0.4-0.6

Weight on expectations; implies partial anchoring

α₃ (Slack sensitivity): 0.1-0.3

Flat curve consistent with post-1990s evidence

α₄ (Energy pass-through): 0.02-0.05

Oil price effects; key during supply shocks

The Output Block: IS Curve and Financial Conditions

Real activity is modeled through an IS-curve specification that links the output gap to real interest rates, credit conditions, and external demand:

Forward-Looking IS Curve:
$$gap_t = \beta_1 gap_{t-1} + \beta_2 E_t[gap_{t+1}] + \beta_3 (r_t - r^*) + \beta_4 FCI_t + \beta_5 gap^{world}_t + \varepsilon^y_t$$

The financial conditions index (FCI) merits attention. Unlike models that route monetary policy solely through short-term interest rates, ECB-BASE acknowledges that actual borrowing conditions depend on credit spreads, bank lending standards, and asset prices. During the 2011-2012 sovereign debt crisis, the policy rate was low, but tight credit conditions meant that effective financing costs for Southern European firms remained punishingly high. The FCI term captures this wedge.

Expectations Formation: Neither Fully Rational Nor Fully Naive
Hybrid Expectations:
$$E_t[x_{t+1}] = \lambda \cdot E^{model}_t[x_{t+1}] + (1-\lambda) \cdot E^{survey}_t[x_{t+1}]$$

The treatment of expectations represents a departure from both purely rational (model-consistent) and purely adaptive approaches. In practice, ECB-BASE uses a weighted average that draws on survey data (from the ECB's Survey of Professional Forecasters, ZEW, and Ifo indices) alongside model-implied paths. The weight λ varies by variable and horizon — short-term inflation expectations lean heavily on surveys, while longer-horizon growth expectations rely more on model fundamentals.

This hybrid approach addresses a genuine dilemma. Rational expectations assume agents know the true model of the economy, which is heroic. But purely adaptive expectations fail when regime changes occur — agents who only extrapolate the past would have been blindsided by the ECB's 2022 pivot to aggressive tightening. The blend aims to capture the structured-but-imperfect nature of real-world forecasting.

Financial Sector Integration
Term Structure and Bank Lending Channels

Post-crisis central banking has taught that the short-term policy rate is just the beginning of monetary transmission. ECB-BASE includes explicit modeling of how policy rates translate into the lending rates that households and firms actually face:

Lending Rate Pass-Through:
$$R^{lending}_t = R^{policy}_t + TP_t + spread_t(capital_t, NPL_t)$$

The spread term depends on banking sector health indicators — capitalization ratios, non-performing loan shares, and market stress measures. During 2020, for instance, the model correctly predicted that despite rate cuts, bank lending would tighten as loan-loss provisions climbed. This feature proved essential for calibrating the PEPP asset purchase response.

Forecast Performance: The Evidence

Models should be judged by their track records. ECB-BASE's performance since 2019 has been systematically evaluated against benchmarks:

Variable ECB-BASE RMSE vs. AR(1) Benchmark vs. Survey Consensus Directional Accuracy
HICP Inflation (1Y ahead) 0.34pp -22% (better) Comparable 78%
GDP Growth (1Y ahead) 0.58pp -35% (better) Slightly better 82%
Unemployment (1Y ahead) 0.21pp -18% (better) Better in turning points 85%
Core Inflation (1Y ahead) 0.28pp -25% (better) Similar 75%

The performance during 2020-2023 — a period of exceptional volatility — deserves particular scrutiny. The model underestimated the inflation surge of 2021-2022, as did virtually all institutional forecasters. However, it correctly identified the turning point in late 2023 and the subsequent disinflation trajectory ahead of many private-sector forecasts. This asymmetry — missing the magnitude but capturing the direction — is characteristic of conditional forecasting when unprecedented shocks occur.

Model Strengths
  • Conditional forecasting: Superior for scenario analysis ("if oil reaches $120...")
  • Nowcasting integration: Absorbs high-frequency indicators effectively
  • Financial-real linkages: Captures credit channel disruptions
  • Computational tractability: Full projection round in hours, not days
Known Limitations
  • Supply shock identification: Less reliable when cost-push dominates
  • Expectation anchoring: May miss de-anchoring dynamics
  • Structural breaks: Requires manual adjustment for regime changes
  • Cross-country detail: Limited relative to predecessor NMCM

How ECB Uses ECB-BASE

Operational Implementation and Projection Process

4x per Year
Quarterly
Official forecasts published
Projection exercises
3 Years
12 Quarters
How far ahead it predicts
Maximum forecast horizon
Real-time
T+2 months
Uses latest data
Data vintage timing
High Accuracy
0.34pp RMSE
Usually gets close to reality
Inflation forecast error

Model Comparison and Complementary Use

Why the ECB Maintains Two Models

The answer reveals a fundamental trade-off in economics: understanding and prediction require different tools. A model that excels at explaining why things happen may forecast poorly, while a model optimised for prediction may offer little structural insight.

NAWM II: The Structural Model

NAWM II excels at answering causal questions that require understanding mechanisms:

  • "If rates rise by 100 basis points, how does employment respond over two years?"
  • "What happens if oil prices spike but the ECB does not respond?"
  • "Would a different policy in 2021 have contained inflation earlier?"

These counterfactual questions require a model grounded in theory about why things connect, not merely the observation that they do.

ECB-BASE: The Forecasting Model

ECB-BASE excels at prediction — determining where the economy is actually heading:

  • "What will inflation be next quarter?"
  • "Is the economy accelerating or slowing?"
  • "How wide is the output gap?"

Prediction does not always require deep structural understanding — sometimes empirical patterns in the data are sufficient. ECB-BASE trades some theoretical depth for better real-world accuracy, particularly at short horizons.

Stronger Together

In practice, the ECB runs both models and compares results. If ECB-BASE projects rising inflation but NAWM II suggests the underlying transmission mechanisms do not support it, that discrepancy triggers further investigation. If both models agree, confidence in the projection increases. This cross-checking catches errors that either model alone would miss.

The Case for Model Diversity

Central banks increasingly recognize that no single model can serve all analytical needs. The ECB's dual-model architecture reflects a deliberate strategic choice: accept that different questions require different tools, and design a workflow that exploits complementary strengths while guarding against shared weaknesses.

The academic literature supports this approach. Timmermann (2006) demonstrates that forecast combinations routinely outperform individual models, particularly when component models capture different aspects of underlying dynamics. Sims (2002) makes a deeper point: DSGE models and reduced-form methods answer fundamentally different questions, and conflating them leads to policy errors.

Comparative Architecture
Dimension NAWM II ECB-BASE Strategic Implication
Theoretical Foundation Fully specified DSGE with microfoundations Semi-structural with behavioral equations NAWM II for counterfactual analysis; ECB-BASE for empirical fit
Identification Strategy Theory-driven (structural shocks) Data-driven with theoretical guidance Different error sources; cross-validation reduces both
Expectations Treatment Fully rational, model-consistent Survey-based with rational anchor ECB-BASE captures empirical deviations from rationality
Financial Channels BGG accelerator (balance sheets) Term structure and credit spreads Complementary: one emphasizes stocks, other flows
Forecasting Performance Weaker at short horizons; stable long-run Strong short-to-medium; convergent long-run ECB-BASE leads projection; NAWM II cross-checks
Computational Burden Heavy (Bayesian estimation) Moderate (equation-by-equation) ECB-BASE enables rapid scenario iteration

Where Each Model Leads

The division of labor within the ECB's modeling infrastructure follows a clear logic:

NAWM II Takes the Lead When...
  • Policy counterfactuals are needed: "What if we had tightened earlier in 2021?" Such questions require structural invariance — the Lucas critique applies forcefully when policy regimes change.
  • Unconventional tools are analyzed: Asset purchase effects, forward guidance, and yield curve control require explicit modeling of expectation channels and portfolio balance effects.
  • Welfare comparisons are required: Only microfounded models can generate welfare-theoretic assessments of policy alternatives.
  • International spillovers matter: The two-region structure captures feedback from global conditions and exchange rate channels.
ECB-BASE Takes the Lead When...
  • Point forecasts are the output: The quarterly projection exercises rely primarily on ECB-BASE because its empirical orientation delivers lower forecast errors.
  • Real-time data is flowing: ECB-BASE's modular structure accommodates high-frequency data releases (PMIs, inflation prints) more gracefully.
  • Conditional scenarios are routine: "Given market expectations for oil and rates, where is inflation heading?" Such exercises run daily in ECB-BASE.
  • Uncertainty quantification is needed: The model's fan charts and density forecasts communicate risk assessment to the Governing Council.

Operational Workflow: From Models to Decisions

The integration of both models into the ECB's projection cycle follows a structured protocol refined over successive forecast rounds:

Quarterly Projection Workflow
  1. Baseline Generation (Week 1-2): ECB-BASE produces initial projections conditioned on technical assumptions (oil prices, exchange rates, market-implied interest rate paths). Staff economists review plausibility and flag anomalies.
  2. Structural Cross-Check (Week 2-3): NAWM II runs parallel scenarios to verify that ECB-BASE projections are consistent with theoretical transmission mechanisms. Material discrepancies trigger deeper investigation.
  3. Scenario Expansion (Week 3): Both models generate alternative scenarios (upside/downside risks) for key assumptions. These feed into the risk assessment presented to the Governing Council.
  4. Policy Counterfactuals (As Needed): When policy alternatives are under active discussion, NAWM II simulates different rate paths to assess trade-offs — information that ECB-BASE cannot provide due to its reduced-form structure.
  5. Final Synthesis (Week 4): Staff judgment integrates model outputs, survey data, and qualitative intelligence into the final projection. The published forecast reflects this synthesis, not raw model output.

This workflow embodies a principle articulated by former ECB Chief Economist Peter Praet: "Models are servants, not masters. They inform judgment but cannot replace it."

Model Validation and Performance

How These Models Are Validated

A complex model is worthless if it does not actually improve decision-making. The ECB takes validation seriously because the stakes are high: poor forecasts lead to poor policy, with real consequences for households and firms across the eurozone.

Three Tests Every Model Must Pass
Back-Testing
Did past predictions hold up?

The model is taken back in time, given only the data available then, and its forecasts are compared against what actually happened. A model that cannot explain the past should not be trusted with the future.

Stress Testing
Does it break under pressure?

The model is fed extreme scenarios — financial crises, oil shocks, pandemics — and its responses are checked for plausibility. A model that produces nonsensical output during crises is dangerous precisely when it is most needed.

Benchmarking
Does it outperform alternatives?

Sophisticated models are compared against simple benchmarks: naive trend extrapolation, random walk forecasts, and consensus estimates. If a complex model cannot beat these simpler methods, its complexity is not justified.

Track Record
Where the Models Perform Well
  • Normal conditions: In typical economic environments, ECB-BASE forecasts are usually within 0.3 percentage points of actual inflation — better than most private-sector forecasters.
  • Directional accuracy: The models correctly predict whether inflation will rise or fall about 80% of the time — valuable even when the precise magnitude is off.
  • Transmission timing: NAWM II correctly predicts that interest rate changes take 12–18 months to fully affect inflation, a finding the Taylor Rule literature confirms.
Where the Models Have Failed

The ECB, like every major central bank, substantially underestimated the 2021–2022 inflation surge. The models had been calibrated on decades of low, stable inflation and could not anticipate the combination of pandemic-era supply disruptions, an energy crisis, and accumulated household savings. This experience has driven significant model revisions, particularly to energy pass-through parameters and expectation dynamics.

The lesson is general: models perform well within the range of historical experience, but genuinely novel situations expose their limits. This is why expert judgment — sceptical, adaptive, and grounded in real-time intelligence — remains essential alongside the formal apparatus.

Validation Methodology and Results

Model validation at the ECB follows a multi-layered protocol that subjects both NAWM II and ECB-BASE to theoretical plausibility checks, empirical accuracy tests, and comparative benchmarking. The underlying philosophy, articulated in ECB Occasional Paper 267, holds that no single validation metric suffices — robustness across multiple dimensions is required.

Impulse Response Validation

For DSGE models like NAWM II, impulse response functions (IRFs) serve as the primary theoretical validation device. The question: when hit by a standardized shock, does the model economy respond in ways consistent with economic logic and VAR-based empirical evidence?

Key IRF Properties (NAWM II)
  • Monetary policy (+100bp): Output peaks at -0.5% after 6 quarters, inflation at -0.25% after 8 quarters. Consistent with VAR evidence from Christiano et al. (2005) and ECB staff estimates.
  • Financial stress shock: Amplification via BGG channel generates output contraction 50% larger than policy shock of equivalent effect — matching 2008-2009 observations.
  • World demand shock (+1%): Euro area exports rise 0.8%, GDP 0.3%. Trade multipliers align with IMF cross-country estimates.
  • Cost-push shock: Inflation spikes immediately but monetary tightening eventually dominates; no permanent inflation effect. Confirms anchored expectations assumption.
Long-Run Properties and Steady-State Calibration

A model's steady state should approximate the historical averages toward which the economy gravitates. Material discrepancies signal potential misspecification in behavioral equations or calibration choices:

Variable Data (2000-2019) ECB-BASE NAWM II Assessment
Consumption/GDP 55.1% 59.8% 56.2% ECB-BASE biased high; NAWM II closer
Investment/GDP 21.9% 20.3% 21.5% Both reasonable; slight low bias
Real GDP Growth 1.8% 1.9% 1.7% Excellent match from both
HICP Inflation 1.7% 2.0% 2.0% Both anchor on target; data below
Equilibrium Real Rate ~0.5% 0.5% 1.2% NAWM II may overstate r*
Out-of-Sample Forecast Evaluation

The definitive test: does the model forecast accurately on data it has never seen? The ECB evaluates this through pseudo-real-time exercises where the model is re-estimated using only data available at each historical forecast date:

Horizon Inflation RMSE GDP RMSE Direction Accuracy
1 Quarter 0.21pp 0.45pp 88%
4 Quarters 0.42pp 0.73pp 78%
8 Quarters 0.51pp 0.89pp 72%
Benchmark Performance Gaps
  • vs. AR(1): 18-25% RMSE reduction — the model adds genuine value over naive extrapolation
  • vs. Random Walk: 35-45% improvement — economic structure helps considerably
  • vs. BVAR: Statistically indistinguishable in normal periods; ECB-BASE outperforms during structural breaks
  • vs. Consensus Economics: Comparable accuracy, but model provides uncertainty bands that surveys lack
The 2021-2023 Inflation Episode: A Humbling Stress Test

No assessment of ECB models can ignore the significant forecast misses during 2021-2023. Staff projections, informed by both NAWM II and ECB-BASE, consistently underpredicted inflation — by over 5 percentage points at some horizons. Several factors contributed:

  • Supply shock magnitude: Energy price spikes exceeded any in the estimation sample. Models trained on post-1999 data had never seen oil at €120/barrel or gas prices quadrupling in months.
  • Pass-through parameters: Estimated on decades of low inflation, energy pass-through coefficients proved too small when firms faced survival-level cost pressures.
  • Expectation dynamics: Both models assumed well-anchored expectations. The speed of wage indexation reactivation in some sectors caught forecasters off-guard.

The ECB has responded with targeted model enhancements: re-estimated energy pass-through, state-dependent expectation parameters, and expanded real-time indicator integration. Whether these fixes prove sufficient awaits the next stress test.

References and Data Sources

Further Reading

For more detail on the frameworks discussed here, see:

ECB Publications
Educational Resources

Technical References and Academic Literature

Primary Model Documentation
  • Coenen, G., P. Karadi, S. Schmidt, and A. Warne (2018): "The New Area-Wide Model II: an extended version of the ECB's micro-founded model for forecasting and policy analysis with a financial sector" - ECB Working Paper No. 2200
  • Angelini, E., N. Bokan, K. Christoffel, M. Ciccarelli, and S. Zimic (2019): "Introducing ECB-BASE: The blueprint of the new ECB semi-structural model for the euro area" - ECB Working Paper No. 2315
  • Dieppe, A., R. Legrand, and B. van Roye (2016): "The BEAR toolbox" - ECB Working Paper No. 1934
  • Fagan, G., J. Henry, and R. Mestre (2005): "An area-wide model for the euro area" - Economic Modelling, Vol. 22, Issue 1
Methodological Contributions
  • Bernanke, B., M. Gertler, and S. Gilchrist (1999): "The financial accelerator in a quantitative business cycle framework" - Handbook of Macroeconomics
  • Christiano, L., M. Eichenbaum, and C. Evans (2005): "Nominal rigidities and the dynamic effects of a shock to monetary policy" - Journal of Political Economy
  • Smets, F. and R. Wouters (2007): "Shocks and frictions in US business cycles: A Bayesian DSGE approach" - American Economic Review, 97(3), 586-606
  • Adolfson, M., S. Laséen, J. Lindé, and M. Villani (2007): "Bayesian estimation of an open economy DSGE model with incomplete pass-through" - Journal of International Economics
  • Christoffel, K., G. Coenen, and A. Warne (2008): "The new area-wide model of the euro area: a micro-founded open-economy model for forecasting and policy analysis" - ECB Working Paper No. 944
  • Banbura, M., D. Giannone, and L. Reichlin (2010): "Large Bayesian vector auto regressions" - Journal of Applied Econometrics
  • Boivin, J. and M. Giannoni (2006): "Has monetary policy become more effective?" - Review of Economics and Statistics
  • Gosselin (2014): "Analyzing and forecasting the Canadian economy through the LENS model" - Bank of Canada model influencing ECB-BASE

Data Sources and Methodology

Model Evolution and Timeline Documentation

  • Fagan, G., J. Henry, and R. Mestre (2001): "An area-wide model (AWM) for the euro area" - Historical foundation
  • Constâncio, V. (2017): "Developing models for policy analysis in central banks" - Strategic vision for ECB-BASE development
  • ECB Annual Report (2019): "Implementation of ECB-BASE in projection exercises"
  • ECB Working Paper Series: Ongoing documentation of model enhancements and applications
Dynamic Data Integration: This page integrates live data from ECB sources and ESTR futures markets. All model calculations and rate derivations are updated through my automated scraper system and reflect current market conditions. Last updated: Loading...

Current Model Applications and Future Developments

From Models to Real-World Decisions

So far, we've discussed how these models work in theory. But how do they actually influence the decisions that affect your life — the interest rate on your future mortgage, whether companies are hiring, how much your savings are worth?

The answer: these models are embedded in every major ECB decision. They're not the only input (thankfully), but they're a central part of the analytical machinery that runs behind every Governing Council meeting.

The Regular Rhythm

Every six weeks, the ECB's Governing Council meets to decide on interest rates. In preparation:

  • ECB-BASE generates forecasts: Where is inflation heading? What about growth and jobs?
  • NAWM II runs scenarios: If we raise rates now vs. wait three months, what's the difference?
  • Staff synthesize: Model outputs, market data, and expert judgment get combined into a coherent story.
  • Council decides: The 26 members debate and vote, informed (but not dictated) by model analysis.
Real Examples
  • March 2020 (COVID-19): Models helped calibrate the massive €1.85 trillion PEPP bond-buying program — showing how much was needed to prevent a depression.
  • 2022-2023 (Inflation fight): NAWM II simulations tested whether rapid rate hikes would cause recession. They suggested the economy could handle it — a call that proved largely correct.
  • 2025+ (Digital Euro): Both models are being adapted to analyze what happens when central bank digital currency becomes reality.
  • Climate integration: New modules are being built to understand how extreme weather and green transition policies affect the economy.
What's Coming Next?

Economic models must evolve with the economy itself. The ECB is actively developing new capabilities to address challenges that didn't exist when these models were first built: climate change, digital currencies, and geopolitical fragmentation. The next few years will see significant model upgrades — and with them, better tools for making policy decisions that affect your future.

Operational Applications: From Theory to Frankfurt

The gap between academic models and policy-relevant tools has historically been wide. The ECB's modeling framework attempts to bridge this divide by ensuring that both NAWM II and ECB-BASE are not merely research artifacts but operational instruments embedded in the policy process.

Unconventional Policy Analysis

The post-2008 era forced central banks into uncharted territory: zero and negative interest rates, massive balance sheet expansion, and explicit forward guidance. The ECB's models have been adapted — sometimes hastily — to analyze these tools:

Key Unconventional Policy Applications

Asset Purchase Programmes:

  • APP (2015-2022): NAWM II simulations suggested €60bn monthly purchases would lower 10-year yields by 30-40bp cumulatively. Realized effects were in this range, validating model calibration.
  • PEPP (2020-2022): €1.85 trillion envelope was calibrated using ECB-BASE to ensure financing conditions remained supportive during the pandemic — successfully preventing a credit crunch.

Forward Guidance:

  • State-contingent guidance: "Rates will remain at present levels until inflation reaches 2%" — NAWM II helped analyze how such commitments affect expectation formation.
  • TLTROs: Targeted lending operations were sized using ECB-BASE estimates of credit gaps in stressed economies like Italy and Spain.
The Research Frontier: Emerging Challenges

Both models are undergoing active development to address phenomena that their original architectures did not anticipate. Three areas dominate the current research agenda:

Climate Transition
How do carbon taxes and stranded assets affect inflation and growth?

ECB staff are building climate modules that simulate both physical risks (extreme weather) and transition risks (policy-induced disruption). Early results suggest green transition could add 0.1-0.3pp to annual inflation for a decade — consequential for price stability.

Digital Euro
What happens when central bank money goes retail?

A digital euro could fundamentally alter monetary transmission — bypassing commercial banks, changing velocity of money, and potentially enabling targeted transfers. NAWM II extensions are exploring these channels; results will inform the ECB's 2025 decision on digital euro launch.

Heterogeneous Agents
Who bears the burden of policy?

Standard models assume a "representative household" — but rate hikes hurt mortgage holders while helping savers. New HANK (Heterogeneous Agent New Keynesian) extensions will allow distributional analysis, critical for political legitimacy of policy.

Model Evolution Roadmap

The ECB has committed to significant model upgrades over 2025-2027, responding to both the 2021-2023 forecast failures and emerging analytical needs:

Development Stream Target Technical Approach Policy Relevance
Climate Integration 2025 H2 Add energy sector, carbon price shock, and physical damage functions Essential for climate stress tests and green policy assessment
Nowcasting Enhancement 2025 Q4 Integrate weekly activity indicators, PMI flows, card transaction data Faster detection of economic turning points
Digital Currency Module 2026 H1 Model CBDC as alternative to deposits; calibrate substitution elasticities Critical for digital euro launch decision
Supply Chain Dynamics 2026 H2 Sectoral input-output structure; inventory dynamics Better analysis of supply shocks (lesson from 2021-2022)
HANK Extensions 2027 Heterogeneous households with idiosyncratic risk and liquidity constraints Distributional impact analysis; political economy considerations
International Model Coordination
Global Central Bank Model Network

The ECB actively collaborates with other central banks to ensure model consistency and cross-validation:

  • Federal Reserve: Joint scenario analysis and spillover studies
  • Bank of England: Brexit impact modeling and coordination
  • Bank of Japan: Global trade and financial linkage modeling
  • BIS: International banking and financial stability analysis
  • IMF: Global economic surveillance support

Live Model Outputs and Market Data

See the Models in Action

Below you can see live data that feeds into these models and some of their current outputs.

Real-Time Integration: This data updates automatically and shows you what the models are "seeing" right now.

Current Model-Based Indicators and Market Signals

The following indicators represent real-time model outputs and market-derived expectations that feed into the ECB's policy framework:

Current ECB Policy Rate
ECB Deposit Facility Rate
Market Expectations for Future Rates
ESTR Futures Implied Rates
Euro Area Inflation Forecast
HICP Inflation: ECB-BASE Model Projections
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Current ECB Rate
Deposit Facility Rate
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Chance of Rate Change
Next Meeting Probability
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Expected Peak Rate
Terminal Rate Estimate
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Inflation Forecast
12M HICP Projection
Disclaimer: This page explains economic models in simplified terms for educational purposes. The actual models are much more complex and are constantly being refined by ECB economists. This documentation represents the current understanding of ECB modeling frameworks as of July 2025. The ECB continues to refine and enhance both active models (NAWM and ECB-BASE). The NMCM model is presented for historical context only, having been replaced by ECB-BASE in 2019. For the most current technical specifications and official projections, please refer to the ECB's official publications and model releases.