Long-Run Sructural Modelling of the Czech Macroeconomy

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079506" target="_blank" >RIV/61989100:27510/11:86079506 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Long-Run Sructural Modelling of the Czech Macroeconomy
Original language description
The aim of this paper is to modify and empirically verify the modelling strategy developed by Garratt, Lee, Pesaran and Shin (2006). The strategy provides a practical approach to incorporating theoretic long-run relationships of a small open economy through a structural vector error correction model (VECM). The basic macroeconomic framework is a core small open economy model consisting of five long-run relationships. This leads to five expected long-run equations: the relative purchasing power parity (PPP), the real money market equilibrium condition (MD), the output gap (OG), the interest rate parity (IRP) and the interest rate relationship ? Fisher inflation parity (FIP). We apply this modelling strategy to the Czech economy (Q1_1999 -Q4_2010). We are able to identify the long-run structure amongst those variables and to test over-identifying restrictions on the cointegrating vectors.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA402%2F08%2F1015" target="_blank" >GA402/08/1015: Macroeconomic Models of the Cyech Economy and Economies of the other EU Countries</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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