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@article{1347555,
author = {Tvrz, Stanislav and Vašíček, Osvald},
article_location = {Praha},
article_number = {3},
keywords = {DSGE model; Great Recession; time-varying parameters; particle filter; financial frictions},
language = {eng},
issn = {0015-1920},
journal = {Finance a úvěr - Czech Journal of Economics and Finance},
title = {The Great Recession in the Non-EMU Visegrád Countries: A Nonlinear DSGE Model with Time-Varying Parameters},
url = {http://journal.fsv.cuni.cz/storage/1355_tvrz.pdf},
volume = {66},
year = {2016}
}
TY - JOUR
ID - 1347555
AU - Tvrz, Stanislav - Vašíček, Osvald
PY - 2016
TI - The Great Recession in the Non-EMU Visegrád Countries: A Nonlinear DSGE Model with Time-Varying Parameters
JF - Finance a úvěr - Czech Journal of Economics and Finance
VL - 66
IS - 3
SP - 207-235
EP - 207-235
PB - UK FSV
SN - 00151920
KW - DSGE model
KW - Great Recession
KW - time-varying parameters
KW - particle filter
KW - financial frictions
UR - http://journal.fsv.cuni.cz/storage/1355_tvrz.pdf
L2 - http://journal.fsv.cuni.cz/storage/1355_tvrz.pdf
N2 - Inspired by the radically different course and aftermath of the Great Recession in the Polish economy and the economies of the Czech Republic and Hungary in contrast to their comparable economic development before the crisis, we investigate the structural stability of these three Central European economies in that period. The question of structural stability is essential for proper application of a standard DSGE model in a given economy. In the case of significant structural changes, these should be incorporated explicitly into the model structure in order to avoid misleading results. Each of the three economies is represented by a nonlinear small open economy dynamic stochastic general equilibrium model with a financial accelerator. First, the DSGE models are estimated using Bayesian methods under the assumption of constant structural parameters. Then the development of time-varying structural parameters is estimated by means of a particle filter using second order approximation of a nonlinear DSGE model. We find several statistically significant structural changes in the Czech and Polish economies. According to the time-varying impulse response functions, the structural changes during the Great Recession curbed the negative impacts of the adverse exogenous shocks to a certain extent in the Czech and Polish economies. By contrast, the vulnerability of the Hungarian economy further increased.
ER -
TVRZ, Stanislav a Osvald VAŠÍČEK. The Great Recession in the Non-EMU Visegrád Countries: A Nonlinear DSGE Model with Time-Varying Parameters. \textit{Finance a úvěr - Czech Journal of Economics and Finance}. Praha: UK FSV, 2016, roč.~66, č.~3, s.~207-235. ISSN~0015-1920.
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