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

D 2014

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

SÚKUPOVÁ, Karolína and Osvald VAŠÍČEK

Basic information

Original name

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

Authors

SÚKUPOVÁ, Karolína (203 Czech Republic, belonging to the institution) and Osvald VAŠÍČEK (203 Czech Republic, belonging to the institution)

Edition

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

Publisher

Palacký University

Other information

Language

English

Type of outcome

Proceedings paper

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

is not subject to a state or trade secret

Publication form

storage medium (CD, DVD, flash disk)

References:

Conference proceedings

RIV identification code

RIV/00216224:14560/14:00076470

Organization unit

Faculty of Economics and Administration

ISBN

978-80-244-4209-9

UT WoS

000356417900171

Keywords in English

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

Abstract

In the original language

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.

Links

MUNI/A/0808/2013, interní kód MU

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

Investor: Masaryk University, Category A

Cite

SÚKUPOVÁ, Karolína and Osvald VAŠÍČEK. Small open economy in period of recession: Nonlinear DSGE approach. (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, p. 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 and Osvald VAŠÍČEK. Small open economy in period of recession: Nonlinear DSGE approach. (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, p.~997-1002. ISBN~978-80-244-4209-9.

Přehled o publikaci