| TVRZ, Stanislav and Osvald VAŠÍČEK. Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession. Online. In Talašová, J., Stoklasa, J., and Talášek, T. Proceedings of the 32nd International Conference Mathematical Methods in Economics. 1. vyd. Olomouc: Palacký university, 2014, p. 1068-1073. ISBN 978-80-244-4209-9. |
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@inproceedings{1197393,
author = {Tvrz, Stanislav and Vašíček, Osvald},
address = {Olomouc},
booktitle = {Proceedings of the 32nd International Conference Mathematical Methods in Economics},
edition = {1. vyd.},
editor = {Talašová, J., Stoklasa, J., and Talášek, T.},
keywords = {DSGE model; Great Recession; deep parameters; time-varying parameters; nonlinear particle filter; unscented particle filter},
howpublished = {elektronická verze "online"},
language = {eng},
location = {Olomouc},
isbn = {978-80-244-4209-9},
pages = {1068-1073},
publisher = {Palacký university},
title = {Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession},
url = {http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf},
year = {2014}
}
TY - JOUR
ID - 1197393
AU - Tvrz, Stanislav - Vašíček, Osvald
PY - 2014
TI - Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession
PB - Palacký university
CY - Olomouc
SN - 9788024442099
KW - DSGE model
KW - Great Recession
KW - deep parameters
KW - time-varying parameters
KW - nonlinear particle filter
KW - unscented particle filter
UR - http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf
L2 - http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf
N2 - In this paper, we study the changes in the structure and behaviour of the Czech economy in a period of the Great Recession and subsequent return to the long-run equilibrium. This small open economy is represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator. 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 nonlinear particle filter. Analogous model was estimated for the economy of the euro area. It is our goas to identify the most important changes in behaviour and underlying structure of the Czech economy. In order to distinguish the country specific changes from Europe-wide trends we also compare the time-varying estimates of the Czech economy and the euro area. 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.
ER -
TVRZ, Stanislav and Osvald VAŠÍČEK. Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession. Online. In Talašová, J., Stoklasa, J., and Talášek, T. \textit{Proceedings of the 32nd International Conference Mathematical Methods in Economics}. 1. vyd. Olomouc: Palacký university, 2014, p.~1068-1073. ISBN~978-80-244-4209-9.
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