Forecasting with a DSGE model of a small open economy within the monetary union

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F14%3A00430012" target="_blank" >RIV/00216208:11640/14:00430012 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1002/for.2306" target="_blank" >http://dx.doi.org/10.1002/for.2306</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1002/for.2306" target="_blank" >10.1002/for.2306</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Forecasting with a DSGE model of a small open economy within the monetary union

Popis výsledku v původním jazyce

In this paper we lay out a two-region dynamic stochastic general equilibrium (DSGE) model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and nominal rigidities such as habitformation in consumption, price and wage stickiness as well as rich stochastic structure. The framework also incorporates the theory of unemployment, small open economy aspects and a nominal interest rate that is set exogenously by the area-wide monetaryauthority. As an illustration, the model is estimated on Luxembourgish data. We evaluate the properties of the estimated model and assess its forecasting performance relative to reduced-form model such as vector autoregression (VAR). In addition, we study the empirical validity of the DSGE model restrictions by applying a DSGE-VAR approach.

Název v anglickém jazyce

Forecasting with a DSGE model of a small open economy within the monetary union

Popis výsledku anglicky

In this paper we lay out a two-region dynamic stochastic general equilibrium (DSGE) model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and nominal rigidities such as habitformation in consumption, price and wage stickiness as well as rich stochastic structure. The framework also incorporates the theory of unemployment, small open economy aspects and a nominal interest rate that is set exogenously by the area-wide monetaryauthority. As an illustration, the model is estimated on Luxembourgish data. We evaluate the properties of the estimated model and assess its forecasting performance relative to reduced-form model such as vector autoregression (VAR). In addition, we study the empirical validity of the DSGE model restrictions by applying a DSGE-VAR approach.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Forecasting

ISSN

0277-6693

e-ISSN

—

Svazek periodika

33

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

24

Strana od-do

315-338

Kód UT WoS článku

000340355100001

EID výsledku v databázi Scopus

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