Modelling of an asymmetric foreign exchange rate commitment in the Czech economy. DSGE model with constraints.

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00090793" target="_blank" >RIV/00216224:14560/16:00090793 - 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

Modelling of an asymmetric foreign exchange rate commitment in the Czech economy. DSGE model with constraints.

Popis výsledku v původním jazyce

In this paper we analyse the use of the foreign exchange rate as an instrument of monetary easing. The asymmetric commitment used by the Czech National Bank is modelled as a constraint in a DSGE model. The model we used for our analysis is based on the concept of Justiniano, Preston (2010) and we redesigned it to use nominal exchange rate in a uncovered interest parity (UIP) condition. We estimated the model using a set of the Czech and Euro area data series and then performed a simulation using the method and tools proposed and developed in Holden (2016). Our aim was to show the impact of a long-term use of asymmetric exchange rate commitment into the economy. To answer this question we analyse the simulated trajectories of an endogenous variables that represent the development of economy. In the first part we described the model structure and we compared the different specifications of UIP condition we used for the analysis.

Název v anglickém jazyce

Modelling of an asymmetric foreign exchange rate commitment in the Czech economy. DSGE model with constraints.

Popis výsledku anglicky

In this paper we analyse the use of the foreign exchange rate as an instrument of monetary easing. The asymmetric commitment used by the Czech National Bank is modelled as a constraint in a DSGE model. The model we used for our analysis is based on the concept of Justiniano, Preston (2010) and we redesigned it to use nominal exchange rate in a uncovered interest parity (UIP) condition. We estimated the model using a set of the Czech and Euro area data series and then performed a simulation using the method and tools proposed and developed in Holden (2016). Our aim was to show the impact of a long-term use of asymmetric exchange rate commitment into the economy. To answer this question we analyse the simulated trajectories of an endogenous variables that represent the development of economy. In the first part we described the model structure and we compared the different specifications of UIP condition we used for the analysis.

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

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

34th International Conference Mathematical Methods in Economics 2016 Conference Proceedings

ISBN

9788074942969

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

797-802

Název nakladatele

Technical University of Liberec

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

1. 1. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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