Czech and Slovak economy during the Great Recession through the lens of a DSGE model
| Autoři | |
|---|---|
| Rok publikování | 2014 |
| Druh | Článek ve sborníku |
| Konference | Proceedings of the 5th International Scientific Conference Economic Theory & Economic Reality ETER 2014 |
| Fakulta / Pracoviště MU | |
| Citace | |
| www | conference proceedings |
| Obor | Ekonomie |
| Klíčová slova | DSGE model; Great Recession; monetary union; time-varying parameters; particle filter |
| Přiložené soubory | |
| Popis | In this paper, we compare the changes in the structure and behaviour of the Czech and Slovak economy in a turbulent period of the Great recession and subsequent return to the long-run growth equilibrium. While the structure of both economies is very similar, there are also important differences that became more pronounced during the recession period, when Slovakia entered the euro area. It is our goal to identify the most important changes in behaviour and underlying structure of the two economies and to outline the implications for further development. Both small open economies are represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator. In order to capture the Slovak accession to the euro area, deterministic regime switch is implemented in the model of the Slovak economy. The development of the time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of Bayesian methods, and in particular, nonlinear particle filter. |
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