Financial Frictions Relevance during the Crisis: Czech Case
Result description
In this paper, we estimate a small open economy dynamic stochastic general equilibrium model with financial accelerator. Our aim is to find a satellite model with financial block for imposing judgments on comprehensive models which lack direct financialvariables. We choose the model originally developed by Mohamad Hasni Shaari [5] as our starting point. After the basic introduction to the model, we show results for a Bayesian estimation and a recursive Bayesian estimation on Czech data. Finally, we carry out an experiment which shows us that the reducing interest rates would probably be faster, bigger and longer lasting with a model, which in itself contains financial frictions. On the other hand, the risk of such a decision stems from the instabilityof estimated parameters.
Keywords
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Financial Frictions Relevance during the Crisis: Czech Case
Original language description
In this paper, we estimate a small open economy dynamic stochastic general equilibrium model with financial accelerator. Our aim is to find a satellite model with financial block for imposing judgments on comprehensive models which lack direct financialvariables. We choose the model originally developed by Mohamad Hasni Shaari [5] as our starting point. After the basic introduction to the model, we show results for a Bayesian estimation and a recursive Bayesian estimation on Czech data. Finally, we carry out an experiment which shows us that the reducing interest rates would probably be faster, bigger and longer lasting with a model, which in itself contains financial frictions. On the other hand, the risk of such a decision stems from the instabilityof estimated parameters.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Advances in Applied Economics, Business and Development
ISBN
978-3-642-23019-6
ISSN
1865-0929
e-ISSN
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Number of pages
6
Pages from-to
339-344
Publisher name
Springer
Place of publication
Neuveden
Event location
Dalian
Event date
Jan 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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Result type
D - Article in proceedings
CEP
AH - Economics
Year of implementation
2011