Czech and Slovak economy during the Great Recession through the
lens of a DSGE model

D 2014

Czech and Slovak economy during the Great Recession through the lens of a DSGE model

TVRZ, Stanislav

Základní údaje

Originální název

Czech and Slovak economy during the Great Recession through the lens of a DSGE model

Autoři

TVRZ, Stanislav

Vydání

Bratislava, Proceedings of the 5th International Scientific Conference Economic Theory & Economic Reality ETER 2014, od s. nestránkováno, 11 s. 2014

Nakladatel

University of Economics

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Slovensko

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

elektronická verze "online"

Odkazy

conference proceedings

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/14:00078711

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-225-3884-8

Klíčová slova anglicky

DSGE model; Great Recession; monetary union; time-varying parameters; particle filter

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 27. 1. 2015 10:33, Mgr. Ing. Stanislav Tvrz, Ph.D.

Anotace

V originále

In this paper, we compare the changes in the structure and behaviour of the Czech and Slovak economy in a turbulent period of the Great recession and subsequent return to the long-run growth equilibrium. While the structure of both economies is very similar, there are also important differences that became more pronounced during the recession period, when Slovakia entered the euro area. It is our goal to identify the most important changes in behaviour and underlying structure of the two economies and to outline the implications for further development. Both small open economies are represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator. In order to capture the Slovak accession to the euro area, deterministic regime switch is implemented in the model of the Slovak economy. The development of the time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of Bayesian methods, and in particular, nonlinear particle filter.

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

Přiložené soubory

Tvrz.pdf

Požádat o autorskou verzi souboru

Citovat

TVRZ, Stanislav. Czech and Slovak economy during the Great Recession through the lens of a DSGE model. Online. In Ivan Brezina a kol. Proceedings of the 5th International Scientific Conference Economic Theory & Economic Reality ETER 2014. Bratislava: University of Economics, 2014, s. nestránkováno, 11 s. ISBN 978-80-225-3884-8.

@inproceedings{1218728,
   author = {Tvrz, Stanislav},
   address = {Bratislava},
   booktitle = {Proceedings of the 5th International Scientific Conference Economic Theory & Economic Reality ETER 2014},
   editor = {Ivan Brezina a kol.},
   keywords = {DSGE model; Great Recession; monetary union; time-varying parameters; particle filter},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Bratislava},
   isbn = {978-80-225-3884-8},
   pages = {nestránkováno},
   publisher = {University of Economics},
   title = {Czech and Slovak economy during the Great Recession through the lens of a DSGE model},
   url = {http://eter.nhf.euba.sk/docs/eter-2014-conference-proceedings.pdf},
   year = {2014}
}

TY  - CONF
ID  - 1218728
AU  - Tvrz, Stanislav
PY  - 2014
TI  - Czech and Slovak economy during the Great Recession through the lens of a DSGE model
PB  - University of Economics
CY  - Bratislava
SN  - 9788022538848
KW  - DSGE model
KW  - Great Recession
KW  - monetary union
KW  - time-varying parameters
KW  - particle filter
UR  - http://eter.nhf.euba.sk/docs/eter-2014-conference-proceedings.pdf
L2  - http://eter.nhf.euba.sk/docs/eter-2014-conference-proceedings.pdf
N2  - In this paper, we compare the changes in the structure and behaviour of the Czech and Slovak economy in a turbulent period of the Great recession and subsequent return to the long-run growth equilibrium. While the structure of both economies is very similar, there are also important differences that became more pronounced during the recession period, when Slovakia entered the euro area. It is our goal to identify the most important changes in behaviour and underlying structure of the two economies and to outline the implications for further development. Both small open economies are represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator. In order to capture the Slovak accession to the euro area, deterministic regime switch is implemented in the model of the Slovak economy. The development of the time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of Bayesian methods, and in particular, nonlinear particle filter.
ER  -

TVRZ, Stanislav. Czech and Slovak economy during the Great Recession through the lens of a DSGE model. Online. In Ivan Brezina a kol. \textit{Proceedings of the 5th International Scientific Conference Economic Theory \&{} Economic Reality ETER 2014}. Bratislava: University of Economics, 2014, s.~nestránkováno, 11 s. ISBN~978-80-225-3884-8.

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