The relevance of financial frictions in V4 countries from the
DSGE perspective

J 2015

The relevance of financial frictions in V4 countries from the DSGE perspective

TVRZ, Stanislav

Základní údaje

Originální název

The relevance of financial frictions in V4 countries from the DSGE perspective

Autoři

TVRZ, Stanislav

Vydání

Ekonomická revue, Ostrava, Vysoká škola báňská-Technická univerzita Ostrava, 2015, 1212-3951

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

obsah čísla časopisu, text článku

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/15:00086861

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

DSGE model; financial accelerator; financial frictions; Great Recession

Příznaky

Recenzováno

Změněno: 11. 5. 2016 15:07, Mgr. Ing. Stanislav Tvrz, Ph.D.

Anotace

V originále

In this paper, the importance of the financial frictions in the countries of the Visegrád Group is compared using a set of estimated DSGE models with a financial accelerator. The results of the Bayesian estimation confirm the overall similarity of the V4 economies, with some notable differences. The estimates of the financial friction parameters are very similar across the V4 economies, which may be explained by the fact that most commercial banks operating in these economies are subsidiaries of large international groups, which treat the V4 markets in similar ways. According to the historical shock decomposition, the importance of the net worth shock for the development of real output is comparable to that of the domestic productivity shock or the total of foreign shocks. In the case of the inflation rate, the importance of the net worth shock is comparable to the sum of the foreign shocks. Since the net worth shock directly affects the development of the interest rate spread between the policy interest rate and the client interest rates, the financial frictions can have important implications for the monetary policy. Thus, the monetary authority should take into account the factors that can affect the development of the interest rate spread in the economy and potentially reduce the efficiency of the monetary transmission.

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

TVRZ, Stanislav. The relevance of financial frictions in V4 countries from the DSGE perspective. Ekonomická revue. Ostrava: Vysoká škola báňská-Technická univerzita Ostrava, 2015, roč. 18, č. 3, s. 111-118. ISSN 1212-3951.

@article{1337952,
   author = {Tvrz, Stanislav},
   article_location = {Ostrava},
   article_number = {3},
   keywords = {DSGE model; financial accelerator; financial frictions; Great Recession},
   language = {eng},
   issn = {1212-3951},
   journal = {Ekonomická revue},
   title = {The relevance of financial frictions in V4 countries from the DSGE perspective},
   url = {http://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/cisla/vol18num3/dokumenty/VOL18NUM03PAP01_1.pdf},
   volume = {18},
   year = {2015}
}

TY  - JOUR
ID  - 1337952
AU  - Tvrz, Stanislav
PY  - 2015
TI  - The relevance of financial frictions in V4 countries from the DSGE perspective
JF  - Ekonomická revue
VL  - 18
IS  - 3
SP  - 111-118
EP  - 111-118
PB  - Vysoká škola báňská-Technická univerzita Ostrava
SN  - 12123951
KW  - DSGE model
KW  - financial accelerator
KW  - financial frictions
KW  - Great Recession
UR  - http://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/cisla/vol18num3/dokumenty/VOL18NUM03PAP01_1.pdf
L2  - http://www.ekf.vsb.cz/cerei/cs/cisla/vol18num3/
N2  - In this paper, the importance of the financial frictions in the countries of the Visegrád Group is compared using a set of estimated DSGE models with a financial accelerator. The results of the Bayesian estimation confirm the overall similarity of the V4 economies, with some notable differences. The estimates of the financial friction parameters are very similar across the V4 economies, which may be explained by the fact that most commercial banks operating in these economies are subsidiaries of large international groups, which treat the V4 markets in similar ways. According to the historical shock decomposition, the importance of the net worth shock for the development of real output is comparable to that of the domestic productivity shock or the total of foreign shocks. In the case of the inflation rate, the importance of the net worth shock is comparable to the sum of the foreign shocks. Since the net worth shock directly affects the development of the interest rate spread between the policy interest rate and the client interest rates, the financial frictions can have important implications for the monetary policy. Thus, the monetary authority should take into account the factors that can affect the development of the interest rate spread in the economy and potentially reduce the efficiency of the monetary transmission.
ER  -

TVRZ, Stanislav. The relevance of financial frictions in V4 countries from the DSGE perspective. \textit{Ekonomická revue}. Ostrava: Vysoká škola báňská-Technická univerzita Ostrava, 2015, roč.~18, č.~3, s.~111-118. ISSN~1212-3951.

Přehled o publikaci