Financial accelerator mechanism in a small open economy: DSGE model of the Czech economy

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Financial accelerator mechanism in a small open economy: DSGE model of the Czech economy

Popis výsledku v původním jazyce

Our research is motivated by current experience of worldwide economic difficulties that suggests that it could be the banking sector that can to a certain extent cause and exacerbate economic recessions. In this paper we focus on the effects of financialaccelerator mechanism in the Czech economy in recent period of unstable financial sector and the debt crisis in the EU. In order to be able to assess the importance of the financial frictions in this particular economy, a DSGE model of a small open economy is estimated. Model framework containing financial accelerator mechanism proposed by Bernanke, Gertler and Gilchrist (1999) is used for the analysis. The original model speciffication is slightly altered by adding a shock in entrepreneurial net-worth. Also, we decided to model the foreign sector as a VAR block, which enables us to impose more structure on foreign variables than independent AR processes. Quarterly data from period 1999 to 2011 are used for the estimation.

Název v anglickém jazyce

Financial accelerator mechanism in a small open economy: DSGE model of the Czech economy

Popis výsledku anglicky

Our research is motivated by current experience of worldwide economic difficulties that suggests that it could be the banking sector that can to a certain extent cause and exacerbate economic recessions. In this paper we focus on the effects of financialaccelerator mechanism in the Czech economy in recent period of unstable financial sector and the debt crisis in the EU. In order to be able to assess the importance of the financial frictions in this particular economy, a DSGE model of a small open economy is estimated. Model framework containing financial accelerator mechanism proposed by Bernanke, Gertler and Gilchrist (1999) is used for the analysis. The original model speciffication is slightly altered by adding a shock in entrepreneurial net-worth. Also, we decided to model the foreign sector as a VAR block, which enables us to impose more structure on foreign variables than independent AR processes. Quarterly data from period 1999 to 2011 are used for the estimation.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of 30th International Conference Mathematical Methods in Economics

ISBN

9788072487790

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

944-949

Název nakladatele

Silesian University, School of Business

Místo vydání

Karviná

Místo konání akce

Karviná

Datum konání akce

1. 1. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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