Financial frictions during the period of the global economic recession: A DSGE model of the Czech economy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00053324" target="_blank" >RIV/00216224:14560/11:00053324 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Financial frictions during the period of the global economic recession: A DSGE model of the Czech economy

Popis výsledku v původním jazyce

This paper deals with analysis of financial market frictions of Czech economy using DSGE model framework. The methodology is borrowed from Alpanda, Koetze, Woglom (2010) who based their model on Justiniano, Preston (2009) and specifics of the financial market during global economic crisis are examined. This model features staggered wages and prices, incomplete pass-through of exchange rate and incomplete international asset markets. Czech economy from year 1996 till the end of 2010 is analyzed by DSGE model with financial accelerator using shock decompositions. This gives us a prove about impact of risk premium and financial accelerator on the output. Furthermore, it determines also effect of shocks on observed variables. The method of recursive estimations is used. Thus, we are able to study quantity of financial accelerator and other parameters which are now changing across the time. Those parameters change the structure of model and influence development of the economy.

Název v anglickém jazyce

Financial frictions during the period of the global economic recession: A DSGE model of the Czech economy

Popis výsledku anglicky

This paper deals with analysis of financial market frictions of Czech economy using DSGE model framework. The methodology is borrowed from Alpanda, Koetze, Woglom (2010) who based their model on Justiniano, Preston (2009) and specifics of the financial market during global economic crisis are examined. This model features staggered wages and prices, incomplete pass-through of exchange rate and incomplete international asset markets. Czech economy from year 1996 till the end of 2010 is analyzed by DSGE model with financial accelerator using shock decompositions. This gives us a prove about impact of risk premium and financial accelerator on the output. Furthermore, it determines also effect of shocks on observed variables. The method of recursive estimations is used. Thus, we are able to study quantity of financial accelerator and other parameters which are now changing across the time. Those parameters change the structure of model and influence development of the economy.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/1M0524" target="_blank" >1M0524: Centrum výzkumu konkurenční schopnosti české ekonomiky</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011

ISBN

978-80-7431-058-4

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

169-175

Název nakladatele

Professional Publishing

Místo vydání

Praha

Místo konání akce

Jánská Dolina

Datum konání akce

1. 1. 2011

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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