Financial frictions during the period of the global economic recession: A DSGE model of the Czech economy
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00053324" target="_blank" >RIV/00216224:14560/11:00053324 - isvavai.cz</a>
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 during the period of the global economic recession: A DSGE model of the Czech economy
Original language description
This paper deals with analysis of financial market frictions of Czech economy using DSGE model framework. The methodology is borrowed from Alpanda, Koetze, Woglom (2010) who based their model on Justiniano, Preston (2009) and specifics of the financial market during global economic crisis are examined. This model features staggered wages and prices, incomplete pass-through of exchange rate and incomplete international asset markets. Czech economy from year 1996 till the end of 2010 is analyzed by DSGE model with financial accelerator using shock decompositions. This gives us a prove about impact of risk premium and financial accelerator on the output. Furthermore, it determines also effect of shocks on observed variables. The method of recursive estimations is used. Thus, we are able to study quantity of financial accelerator and other parameters which are now changing across the time. Those parameters change the structure of model and influence development of the economy.
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
<a href="/en/project/1M0524" target="_blank" >1M0524: Research center on competitiveness of Czech economy</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>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
Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011
ISBN
978-80-7431-058-4
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
169-175
Publisher name
Professional Publishing
Place of publication
Praha
Event location
Jánská Dolina
Event date
Jan 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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