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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

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

  • e-ISSN

  • 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