Modelling of an asymmetric foreign exchange rate commitment in the Czech economy. DSGE model with constraints.
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00090793" target="_blank" >RIV/00216224:14560/16:00090793 - 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
Modelling of an asymmetric foreign exchange rate commitment in the Czech economy. DSGE model with constraints.
Original language description
In this paper we analyse the use of the foreign exchange rate as an instrument of monetary easing. The asymmetric commitment used by the Czech National Bank is modelled as a constraint in a DSGE model. The model we used for our analysis is based on the concept of Justiniano, Preston (2010) and we redesigned it to use nominal exchange rate in a uncovered interest parity (UIP) condition. We estimated the model using a set of the Czech and Euro area data series and then performed a simulation using the method and tools proposed and developed in Holden (2016). Our aim was to show the impact of a long-term use of asymmetric exchange rate commitment into the economy. To answer this question we analyse the simulated trajectories of an endogenous variables that represent the development of economy. In the first part we described the model structure and we compared the different specifications of UIP condition we used for the analysis.
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
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
34th International Conference Mathematical Methods in Economics 2016 Conference Proceedings
ISBN
9788074942969
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
797-802
Publisher name
Technical University of Liberec
Place of publication
Liberec
Event location
Liberec
Event date
Jan 1, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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