A DSGE Model View of the Czech Business Cycle

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00054466" target="_blank" >RIV/00216224:14560/11:00054466 - 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

A DSGE Model View of the Czech Business Cycle

Popis výsledku v původním jazyce

This paper uses a simple New Keynesian DSGE model as a means to examine the sources of the Czech business cycle from 1996 to 2010, focusing on the output gap. We estimate the DSGE model in order to obtain trajectories of exogenous shocks. Based on the model, we decompose the deviation of Czech output from trend into contributions of these shocks. We show that since 2000, the foreign demand shock and exchange rate shock have been increasingly important for the domestic business cycle. Overall, domestic shocks account for more than a half of the variance in the domestic output gap. We contrast the recession of 1997-1998, caused primarily by domestic shocks, to the recession of 2009, which was caused by a drop in the foreign demand. We also find that theCzech economy is sensitive to the exchange rate movements, as documented by the year 2002.

Název v anglickém jazyce

A DSGE Model View of the Czech Business Cycle

Popis výsledku anglicky

This paper uses a simple New Keynesian DSGE model as a means to examine the sources of the Czech business cycle from 1996 to 2010, focusing on the output gap. We estimate the DSGE model in order to obtain trajectories of exogenous shocks. Based on the model, we decompose the deviation of Czech output from trend into contributions of these shocks. We show that since 2000, the foreign demand shock and exchange rate shock have been increasingly important for the domestic business cycle. Overall, domestic shocks account for more than a half of the variance in the domestic output gap. We contrast the recession of 1997-1998, caused primarily by domestic shocks, to the recession of 2009, which was caused by a drop in the foreign demand. We also find that theCzech economy is sensitive to the exchange rate movements, as documented by the year 2002.

Druh

O - Ostatní výsledky

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