Informace o publikaci

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



Rok publikování 2014
Druh Článek ve sborníku
Konference 32nd International Conference Mathematical Methods in Eocnomics Conference Proceedings.
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

www Conference proceedings
Obor Ekonomie
Klíčová slova small open economy; shock decomposition; nonlinear DSGE model; time varying parameters; unscented particle filter
Popis 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 by the second order approximation of a non{linear DSGE model. The unscented particle lter is used to identify the trajectories of the time{varying parameters.
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