Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00076432" target="_blank" >RIV/00216224:14560/14:00076432 - isvavai.cz</a>
Result on the web
<a href="http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf" target="_blank" >http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession
Original language description
In this paper, we study the changes in the structure and behaviour of the Czech economy in a period of the Great Recession and subsequent return to the long-run equilibrium. This small open economy is represented by nonlinear dynamic stochastic model ofa general equilibrium with financial accelerator. The development of time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of nonlinear particle filter. Analogous model was estimated for the economy of the euro area. It is our goas to identify the most important changes in behaviour and underlying structure of the Czech economy. In order to distinguish the country specific changes from Europe-wide trends we also compare the time-varying estimates of the Czech economy and the euro area. We focus on the subset of parameters that are generally considered deep, i.e. time-invariant.
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
2014
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 32nd International Conference Mathematical Methods in Economics
ISBN
9788024442099
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
1068-1073
Publisher name
Palacký university
Place of publication
Olomouc
Event location
Olomouc
Event date
Jan 1, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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