Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00076432" target="_blank" >RIV/00216224:14560/14:00076432 - isvavai.cz</a>

Výsledek na webu

<a href="http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf" target="_blank" >http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession

Popis výsledku v původním jazyce

In this paper, we study the changes in the structure and behaviour of the Czech economy in a period of the Great Recession and subsequent return to the long-run equilibrium. This small open economy is represented by nonlinear dynamic stochastic model ofa general equilibrium with financial accelerator. The development of time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of nonlinear particle filter. Analogous model was estimated for the economy of the euro area. It is our goas to identify the most important changes in behaviour and underlying structure of the Czech economy. In order to distinguish the country specific changes from Europe-wide trends we also compare the time-varying estimates of the Czech economy and the euro area. We focus on the subset of parameters that are generally considered deep, i.e. time-invariant.

Název v anglickém jazyce

Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession

Popis výsledku anglicky

In this paper, we study the changes in the structure and behaviour of the Czech economy in a period of the Great Recession and subsequent return to the long-run equilibrium. This small open economy is represented by nonlinear dynamic stochastic model ofa general equilibrium with financial accelerator. The development of time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of nonlinear particle filter. Analogous model was estimated for the economy of the euro area. It is our goas to identify the most important changes in behaviour and underlying structure of the Czech economy. In order to distinguish the country specific changes from Europe-wide trends we also compare the time-varying estimates of the Czech economy and the euro area. We focus on the subset of parameters that are generally considered deep, i.e. time-invariant.

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

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 32nd International Conference Mathematical Methods in Economics

ISBN

9788024442099

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

1068-1073

Název nakladatele

Palacký university

Místo vydání

Olomouc

Místo konání akce

Olomouc

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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