Small open economy in period of recession: Nonlinear DSGE approach.

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00076470" target="_blank" >RIV/00216224:14560/14:00076470 - 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

—

Jazyk výsledku

angličtina

Název v původním jazyce

Small open economy in period of recession: Nonlinear DSGE approach.

Popis výsledku v původním jazyce

In this paper, we study a model of a small open economy and its behavior with respect to the period of the global recession and the subsequent recovery. As an example, the dynamic stochastic model of a general equilibrium of the Czech real economy is used. In the rst part of the paper a model with the constant parameters is estimated. We use historic shock decomposition of the main macroeconomic variables to identify shocks, which played the most signicant role in the recession. In the subsequent analysis we use the same model, but we relax the typical assumption about structural parameters and we let them to vary in time. Their changes would imply, that the global recession had an in uence on the structure of the economy. The economy is represented bythe second order approximation of a non{linear DSGE model. The unscented particle lter is used to identify the trajectories of the time{varying parameters.

Název v anglickém jazyce

Small open economy in period of recession: Nonlinear DSGE approach.

Popis výsledku anglicky

In this paper, we study a model of a small open economy and its behavior with respect to the period of the global recession and the subsequent recovery. As an example, the dynamic stochastic model of a general equilibrium of the Czech real economy is used. In the rst part of the paper a model with the constant parameters is estimated. We use historic shock decomposition of the main macroeconomic variables to identify shocks, which played the most signicant role in the recession. In the subsequent analysis we use the same model, but we relax the typical assumption about structural parameters and we let them to vary in time. Their changes would imply, that the global recession had an in uence on the structure of the economy. The economy is represented bythe second order approximation of a non{linear DSGE model. The unscented particle lter is used to identify the trajectories of the time{varying parameters.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

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

32nd International Conference Mathematical Methods in Eocnomics Conference Proceedings.

ISBN

9788024442099

ISSN

—

e-ISSN

—

Počet stran výsledku

6

Strana od-do

997-1002

Název nakladatele

Palacký University

Místo vydání

Olomouc

Místo konání akce

Olomouc

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—