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

D 2014

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

SÚKUPOVÁ, Karolína a Osvald VAŠÍČEK

Základní údaje

Originální název

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

Autoři

SÚKUPOVÁ, Karolína a Osvald VAŠÍČEK

Vydání

Olomouc, 32nd International Conference Mathematical Methods in Eocnomics Conference Proceedings. od s. 997-1002, 6 s. 2014

Nakladatel

Palacký University

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

paměťový nosič (CD, DVD, flash disk)

Odkazy

Conference proceedings

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/14:00076470

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-244-4209-9

UT WoS

000356417900171

Klíčová slova anglicky

small open economy; shock decomposition; nonlinear DSGE model; time varying parameters; unscented particle filter

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 12. 8. 2020 14:10, Mgr. Michal Petr

Anotace

V originále

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.

Návaznosti

MUNI/A/0808/2013, interní kód MU

Název: Analýza chování ekonomiky a hospodářské politiky v období recese: DSGE modely malých otevřených ekonomik s finančními frikcemi a frikcemi trhu práce (Akronym: DSGE modely otevřených ekonomik v období recese)

Investor: Masarykova univerzita, Analýza chování ekonomiky a hospodářské politiky v období recese: DSGE modely malých otevřených ekonomik s finančními frikcemi a frikcemi trhu práce, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

SÚKUPOVÁ, Karolína a Osvald VAŠÍČEK. Small open economy in period of recession: Nonlinear DSGE approach. In Talašová, J., Stoklasa, J., Talášek, T. 32nd International Conference Mathematical Methods in Eocnomics Conference Proceedings. Olomouc: Palacký University, 2014, s. 997-1002. ISBN 978-80-244-4209-9.

@inproceedings{1198043,
   author = {Súkupová, Karolína and Vašíček, Osvald},
   address = {Olomouc},
   booktitle = {32nd International Conference Mathematical Methods in Eocnomics Conference Proceedings.},
   editor = {Talašová, J., Stoklasa, J., Talášek, T.},
   keywords = {small open economy; shock decomposition; nonlinear DSGE model; time varying parameters; unscented particle filter},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Olomouc},
   isbn = {978-80-244-4209-9},
   pages = {997-1002},
   publisher = {Palacký University},
   title = {Small open economy in period of recession: Nonlinear DSGE approach.},
   url = {http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf},
   year = {2014}
}

TY  - CONF
ID  - 1198043
AU  - Súkupová, Karolína - Vašíček, Osvald
PY  - 2014
TI  - Small open economy in period of recession: Nonlinear DSGE approach.
PB  - Palacký University
CY  - Olomouc
SN  - 9788024442099
KW  - small open economy
KW  - shock decomposition
KW  - nonlinear DSGE model
KW  - time varying parameters
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 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.
ER  -

SÚKUPOVÁ, Karolína a Osvald VAŠÍČEK. Small open economy in period of recession: Nonlinear DSGE approach. In Talašová, J., Stoklasa, J., Talášek, T. \textit{32nd International Conference Mathematical Methods in Eocnomics Conference Proceedings.}. Olomouc: Palacký University, 2014, s.~997-1002. ISBN~978-80-244-4209-9.

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