Publication details

Financial Frictions Relevance during the Crisis: Czech Case



Year of publication 2011
Type Article in Proceedings
Conference Advances in Applied Economics, Business and Development
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords DSGE models; Financial accelerator; Bayesian methods
Description In this paper, we estimate a small open economy dynamic stochastic general equilibrium model with financial accelerator. Our aim is to find a satellite model with financial block for imposing judgments on comprehensive models which lack direct financial variables. We choose the model originally developed by Mohamad Hasni Shaari [5] as our starting point. After the basic introduction to the model, we show results for a Bayesian estimation and a recursive Bayesian estimation on Czech data. Finally, we carry out an experiment which shows us that the reducing interest rates would probably be faster, bigger and longer lasting with a model, which in itself contains financial frictions. On the other hand, the risk of such a decision stems from the instability of estimated parameters.
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