Multiple constraints applied into the DSGE model: The case of unconventional monetary easing in the Czech economy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00090019" target="_blank" >RIV/00216224:14560/16:00090019 - 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

Multiple constraints applied into the DSGE model: The case of unconventional monetary easing in the Czech economy

Popis výsledku v původním jazyce

In this paper, we deal with the nonlinear constraints applied into the standard small open economy DSGE model. As a real economy example, we study a case of the zero lower bound on the interest rate and the lower bound on the foreign exchange rate. We analyze the simulated trajectories of the model variables that represent the economy during a period of low interest rates that reach the zero lower bound. The second constraint represents the usage of the foreign exchange rate as an unconventional tool for monetary easing. The tool used for our analysis is called DynareOBC and it was developed by Tom Holden. Its basic principle is based on the quadratic optimization. The toolbox is an extension of well-known toolbox Dynare and it is suitable for using under computational system Matlab. The results suggest that the foreign exchange rate may substitute the interest rate as a monetary tool when necessary.

Název v anglickém jazyce

Multiple constraints applied into the DSGE model: The case of unconventional monetary easing in the Czech economy

Popis výsledku anglicky

In this paper, we deal with the nonlinear constraints applied into the standard small open economy DSGE model. As a real economy example, we study a case of the zero lower bound on the interest rate and the lower bound on the foreign exchange rate. We analyze the simulated trajectories of the model variables that represent the economy during a period of low interest rates that reach the zero lower bound. The second constraint represents the usage of the foreign exchange rate as an unconventional tool for monetary easing. The tool used for our analysis is called DynareOBC and it was developed by Tom Holden. Its basic principle is based on the quadratic optimization. The toolbox is an extension of well-known toolbox Dynare and it is suitable for using under computational system Matlab. The results suggest that the foreign exchange rate may substitute the interest rate as a monetary tool when necessary.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the International Scientific Conference QUANTITATIVE METHODS IN ECONOMICS Multiple Criteria Decision Making XVIII. Vrátna, Slovakia, 2016

ISBN

9788097232801

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

356-361

Název nakladatele

University of Economics, Bratislava

Místo vydání

Bratislava

Místo konání akce

Vrátna, Slovakia

Datum konání akce

1. 1. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000394099300058