Financial accelerator mechanism in a small open economy: 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%2F12%3A00060933" target="_blank" >RIV/00216224:14560/12:00060933 - 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 accelerator mechanism in a small open economy: DSGE model of the Czech economy
Original language description
Our research is motivated by current experience of worldwide economic difficulties that suggests that it could be the banking sector that can to a certain extent cause and exacerbate economic recessions. In this paper we focus on the effects of financialaccelerator mechanism in the Czech economy in recent period of unstable financial sector and the debt crisis in the EU. In order to be able to assess the importance of the financial frictions in this particular economy, a DSGE model of a small open economy is estimated. Model framework containing financial accelerator mechanism proposed by Bernanke, Gertler and Gilchrist (1999) is used for the analysis. The original model speciffication is slightly altered by adding a shock in entrepreneurial net-worth. Also, we decided to model the foreign sector as a VAR block, which enables us to impose more structure on foreign variables than independent AR processes. Quarterly data from period 1999 to 2011 are used for the estimation.
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
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
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 30th International Conference Mathematical Methods in Economics
ISBN
9788072487790
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
944-949
Publisher name
Silesian University, School of Business
Place of publication
Karviná
Event location
Karviná
Event date
Jan 1, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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