Slovak Economy in a Period of Recession: Nonlinear DSGE Model
with Time-varying Parameters

J 2015

Slovak Economy in a Period of Recession: Nonlinear DSGE Model with Time-varying Parameters

TVRZ, Stanislav a Osvald VAŠÍČEK

Základní údaje

Originální název

Slovak Economy in a Period of Recession: Nonlinear DSGE Model with Time-varying Parameters

Autoři

TVRZ, Stanislav (203 Česká republika, garant) a Osvald VAŠÍČEK (203 Česká republika, domácí)

Vydání

Ekonomický časopis, Bratislava, SAP - Slovak Academic Press, 2015, 0013-3035

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Slovensko

Utajení

není předmětem státního či obchodního tajemství

Odkazy

obsah časopisu, roč. 63, číslo 1

Impakt faktor

Impact factor: 0.606

Kód RIV

RIV/00216224:14560/15:00082435

Organizační jednotka

Ekonomicko-správní fakulta

UT WoS

000351890200003

Klíčová slova anglicky

nonlinear DSGE model; Great Recession; monetary union; time-varying parameters; nonlinear particle filter; second order approximation

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 3. 8. 2015 21:05, Mgr. Ing. Stanislav Tvrz, Ph.D.

Anotace

V originále

In this paper, we study the dramatic changes in the structure and behaviour of the Slovak economy in a period of the accession to the Euro area and the Great Recession and subsequent return to the long-run growth equilibrium. This small and very 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 goal to identify the most important changes in behaviour and underlying structure of the Slovak economy. In order to distinguish the country specific changes from broader Europe-wide trends we also compare the time-varying estimates of the Slovak economy and the Euro area.

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

TVRZ, Stanislav a Osvald VAŠÍČEK. Slovak Economy in a Period of Recession: Nonlinear DSGE Model with Time-varying Parameters. Ekonomický časopis. Bratislava: SAP - Slovak Academic Press, 2015, roč. 63, č. 1, s. 34-50. ISSN 0013-3035.

@article{1228012,
   author = {Tvrz, Stanislav and Vašíček, Osvald},
   article_location = {Bratislava},
   article_number = {1},
   keywords = {nonlinear DSGE model; Great Recession; monetary union; time-varying parameters; nonlinear particle filter; second order approximation},
   language = {eng},
   issn = {0013-3035},
   journal = {Ekonomický časopis},
   title = {Slovak Economy in a Period of Recession: Nonlinear DSGE Model with Time-varying Parameters},
   url = {http://www.ekonom.sav.sk/sk/casopis/rocnik/1-2015},
   volume = {63},
   year = {2015}
}

TY  - JOUR
ID  - 1228012
AU  - Tvrz, Stanislav - Vašíček, Osvald
PY  - 2015
TI  - Slovak Economy in a Period of Recession: Nonlinear DSGE Model with Time-varying Parameters
JF  - Ekonomický časopis
VL  - 63
IS  - 1
SP  - 34-50
EP  - 34-50
PB  - SAP - Slovak Academic Press
SN  - 00133035
KW  - nonlinear DSGE model
KW  - Great Recession
KW  - monetary union
KW  - time-varying parameters
KW  - nonlinear particle filter
KW  - second order approximation
UR  - http://www.ekonom.sav.sk/sk/casopis/rocnik/1-2015
L2  - http://www.ekonom.sav.sk/sk/casopis/rocnik/1-2015
N2  - In this paper, we study the dramatic changes in the structure and behaviour of the Slovak economy in a period of the accession to the Euro area and the Great Recession and subsequent return to the long-run growth equilibrium. This small and very 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 goal to identify the most important changes in behaviour and underlying structure of the Slovak economy. In order to distinguish the country specific changes from broader Europe-wide trends we also compare the time-varying estimates of the Slovak economy and the Euro area.
ER  -

TVRZ, Stanislav a Osvald VAŠÍČEK. Slovak Economy in a Period of Recession: Nonlinear DSGE Model with Time-varying Parameters. \textit{Ekonomický časopis}. Bratislava: SAP - Slovak Academic Press, 2015, roč.~63, č.~1, s.~34-50. ISSN~0013-3035.

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