Non–linear restrictions in DSGE models: The effect of foreign
exchange interventions in Czech economy

D 2015

Non–linear restrictions in DSGE models: The effect of foreign exchange interventions in Czech economy

SÚKUPOVÁ, Karolína a Osvald VAŠÍČEK

Základní údaje

Originální název

Non–linear restrictions in DSGE models: The effect of foreign exchange interventions in Czech economy

Autoři

SÚKUPOVÁ, Karolína (203 Česká republika, domácí) a Osvald VAŠÍČEK (203 Česká republika, garant, domácí)

Vydání

Plzeň, Proceedings of the 33rd International Conference Mathematical Methods in Economics, od s. 761-766, 6 s. 2015

Nakladatel

University of West Bohemia

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

URL

Kód RIV

RIV/00216224:14560/15:00083834

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-261-0539-8

UT WoS

000387898900130

Klíčová slova anglicky

unconventional monetary policy; exchange rate intervention; DSGE models; Zero Lower Bound

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 12. 8. 2020 14:06, Mgr. Michal Petr

Anotace

V originále

In this paper we deal with zero lower bound on interest rates and implementing this restriction into the DSGE models. As an example, we apply the zero lower bound into the relation for interest rates in the estimated DSGE model based on Czech data. Besides that, we study the foreign exchange interventions used by Czech National Bank as an unconventional monetary policy tool, when interest rates cannot be used. We implement the foreign exchange intervention function into the model and study impact of intervention on the behaviour of economy represented by model. In the first section, we describe the method and its application into the model. In the second section, we verify its robustness and consistence simulating the impulse responses to model innovations and paths of model variables for stochastically generated sets of model parameters. In the third section, we discuss results of these simulations and compare behaviour of economy represented by model with economic reality.

Návaznosti

MUNI/A/1235/2014, interní kód MU

Název: Aktuální přístupy k tvorbě a implementaci dynamických stochastických modelů všeobecné rovnováhy (Akronym: Aktuální přístupy k DSGE modelům)

Investor: Masarykova univerzita, Aktuální přístupy k tvorbě a implementaci dynamických stochastických modelů všeobecné rovnováhy, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

SÚKUPOVÁ, Karolína a Osvald VAŠÍČEK. Non–linear restrictions in DSGE models: The effect of foreign exchange interventions in Czech economy. In Martinčík, D., Ircingová, J., Janeček, P. Proceedings of the 33rd International Conference Mathematical Methods in Economics. Plzeň: University of West Bohemia, 2015, s. 761-766. ISBN 978-80-261-0539-8.

@inproceedings{1311128,
   author = {Súkupová, Karolína and Vašíček, Osvald},
   address = {Plzeň},
   booktitle = {Proceedings of the 33rd International Conference Mathematical Methods in Economics},
   editor = {Martinčík, D., Ircingová, J., Janeček, P.},
   keywords = {unconventional monetary policy; exchange rate intervention; DSGE models; Zero Lower Bound},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Plzeň},
   isbn = {978-80-261-0539-8},
   pages = {761-766},
   publisher = {University of West Bohemia},
   title = {Non–linear restrictions in DSGE models: The effect of foreign exchange interventions in Czech economy},
   url = {http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf},
   year = {2015}
}

TY  - JOUR
ID  - 1311128
AU  - Súkupová, Karolína - Vašíček, Osvald
PY  - 2015
TI  - Non–linear restrictions in DSGE models: The effect of foreign exchange interventions in Czech economy
PB  - University of West Bohemia
CY  - Plzeň
SN  - 9788026105398
KW  - unconventional monetary policy
KW  - exchange rate intervention
KW  - DSGE models
KW  - Zero Lower Bound
UR  - http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf
L2  - http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf
N2  - In this paper we deal with zero lower bound on interest rates and implementing this restriction into the DSGE models. As an example, we apply the zero lower bound into the relation for interest rates in the estimated DSGE model based on Czech data. Besides that, we study the foreign exchange interventions used by Czech National Bank as an unconventional monetary policy tool, when interest rates cannot be used. We implement the foreign exchange intervention function into the model and study impact of intervention on the behaviour of economy represented by model. In the first section, we describe the method and its application into the model. In the second section, we verify its robustness and consistence simulating the impulse responses to model innovations and paths of model variables for stochastically generated sets of model parameters. In the third section, we discuss results of these simulations and compare behaviour of economy represented by model with economic reality.
ER  -

SÚKUPOVÁ, Karolína a Osvald VAŠÍČEK. Non–linear restrictions in DSGE models: The effect of foreign exchange interventions in Czech economy. In Martinčík, D., Ircingová, J., Janeček, P. \textit{Proceedings of the 33rd International Conference Mathematical Methods in Economics}. Plzeň: University of West Bohemia, 2015, s.~761-766. ISBN~978-80-261-0539-8.

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