Forecasting with a DSGE model of a small open economy within the monetary union

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F14%3A00430012" target="_blank" >RIV/00216208:11640/14:00430012 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1002/for.2306" target="_blank" >http://dx.doi.org/10.1002/for.2306</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/for.2306" target="_blank" >10.1002/for.2306</a>

Result language
angličtina
Original language name
Forecasting with a DSGE model of a small open economy within the monetary union
Original language description
In this paper we lay out a two-region dynamic stochastic general equilibrium (DSGE) model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and nominal rigidities such as habitformation in consumption, price and wage stickiness as well as rich stochastic structure. The framework also incorporates the theory of unemployment, small open economy aspects and a nominal interest rate that is set exogenously by the area-wide monetaryauthority. As an illustration, the model is estimated on Luxembourgish data. We evaluate the properties of the estimated model and assess its forecasting performance relative to reduced-form model such as vector autoregression (VAR). In addition, we study the empirical validity of the DSGE model restrictions by applying a DSGE-VAR approach.
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)