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@inproceedings{951140,
author = {Vašíček, Osvald and Motl, Tomáš},
address = {Praha},
booktitle = {Mathematical Methods in Economics 2011},
edition = {1.},
keywords = {DSGE model; business cycle; small open economy; exogenous shocks},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Praha},
isbn = {978-80-7431-058-4},
pages = {248-253},
publisher = {University of Economics in Prague, University of Economics in Bratislava},
title = {Analyzing the Czech Output Gap Using a Small Open Economy DSGE Model},
year = {2011}
}
TY - JOUR
ID - 951140
AU - Vašíček, Osvald - Motl, Tomáš
PY - 2011
TI - Analyzing the Czech Output Gap Using a Small Open Economy DSGE Model
PB - University of Economics in Prague, University of Economics in Bratislava
CY - Praha
SN - 9788074310584
KW - DSGE model
KW - business cycle
KW - small open economy
KW - exogenous shocks
N2 - This contribution uses a simple New Keynesian DSGE model to examine the Czech output gap from 1996 to 2010. We estimate the DSGE model in order to obtain trajectories of exogenous shocks. We test the estimated model for its data-matching properties to show that is sufficiently approximates the real economy. Based on the model, we decompose the deviation of output from trend into contributions of the exogenous shocks. This decomposition allows us to interpret the economic sources of the uctuations in the output gap. We show that since the year 2000, the foreign demand shock and the exchange rate shock have been increasingly important for the domestic business cycle. Overall, domestic shocks account for more than a half of the variance in the domestic output gap. We contrast the recession of 1997-1998, caused primarily by domestic shocks, to the recession of 2009, which was caused by a drop in the foreign demand. We also nd that the Czech economy is sensitive to the exchange rate movements, as documented by year 2002.
ER -
VAŠÍČEK, Osvald a Tomáš MOTL. Analyzing the Czech Output Gap Using a Small Open Economy DSGE Model. In \textit{Mathematical Methods in Economics 2011}. 1. vyd. Praha: University of Economics in Prague, University of Economics in Bratislava, 2011, s.~248-253. ISBN~978-80-7431-058-4.
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