Informace o publikaci

Nonlinear DSGE model of the Czech economy with time-varying parameters


TVRZ Stanislav VAŠÍČEK Osvald

Rok publikování 2013
Druh Článek ve sborníku
Konference Proceedings of the 31st International Conference Mathematical Methods in Economics
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

www conference proceedings
Obor Ekonomie
Klíčová slova nonlinear DSGE model; time-varying parameters; unscented particle filter
Popis In this paper, we study the changes in the structure and behaviour of a small open economy in a period of global recession and subsequent return to the long-run equilibrium. An example of the Czech real economy represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator is employed to explore this problem. 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 unscented particle filter. It is the prim egoal of this paper to identify the most important changes of the structural parameters and interpret them in terms of behaviour of representative economic agents. We focus on the subset of parameters that are generally considered deep, i.e. time-invariant. Changes of these parameters during the period of global recession would imply that the structure of the economy together with its behaviour changed as a consequence of the recession. The changing behaviour of the economy is described by time-varying impulse response functions.
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