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@misc{962563,
author = {Vašíček, Osvald and Motl, Tomáš},
address = {Brno},
keywords = {DSGE models; business cycles; shocks decomposition},
language = {eng},
location = {Brno},
publisher = {Centrum výzkumu konkurenční schopnosti české ekonomiky},
title = {A DSGE Model View of the Czech Business Cycle},
url = {http://is.muni.cz/do/econ/soubory/oddeleni/centrum/papers/WP-final.pdf},
year = {2011}
}
TY - GEN
ID - 962563
AU - Vašíček, Osvald - Motl, Tomáš
PY - 2011
TI - A DSGE Model View of the Czech Business Cycle
VL - CVKSCE Working Papers, 1/2011
PB - Centrum výzkumu konkurenční schopnosti české ekonomiky
CY - Brno
KW - DSGE models
KW - business cycles
KW - shocks decomposition
UR - http://is.muni.cz/do/econ/soubory/oddeleni/centrum/papers/WP-final.pdf
N2 - This paper uses a simple New Keynesian DSGE model as a means to examine the sources of the Czech business cycle from 1996 to 2010, focusing on the output gap. We estimate the DSGE model in order to obtain trajectories of exogenous shocks. Based on the model, we decompose the deviation of Czech output from trend into contributions of these shocks. We show that since 2000, the foreign demand shock and 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 find that the Czech economy is sensitive to the exchange rate movements, as documented by the year 2002.
ER -
VAŠÍČEK, Osvald and Tomáš MOTL. \textit{A DSGE Model View of the Czech Business Cycle}. Brno: Centrum výzkumu konkurenční schopnosti české ekonomiky, 2011, 29 pp. CVKSCE Working Papers, 1/2011. ISSN~1801-4496.
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