About: Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession

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About: Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf
Description	In this paper, we study the changes in the structure and behaviour of the Czech economy in a period of the Great Recession and subsequent return to the long-run equilibrium. This small open economy is represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator. The development of time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of nonlinear particle filter. Analogous model was estimated for the economy of the euro area. It is our goas to identify the most important changes in behaviour and underlying structure of the Czech economy. In order to distinguish the country specific changes from Europe-wide trends we also compare the time-varying estimates of the Czech economy and the euro area. We focus on the subset of parameters that are generally considered deep, i.e. time-invariant. In this paper, we study the changes in the structure and behaviour of the Czech economy in a period of the Great Recession and subsequent return to the long-run equilibrium. This small open economy is represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator. The development of time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of nonlinear particle filter. Analogous model was estimated for the economy of the euro area. It is our goas to identify the most important changes in behaviour and underlying structure of the Czech economy. In order to distinguish the country specific changes from Europe-wide trends we also compare the time-varying estimates of the Czech economy and the euro area. We focus on the subset of parameters that are generally considered deep, i.e. time-invariant. (en)
Title	Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession (en)
skos:prefLabel	Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession Nonlinear DSGE model of a small open economy with time-varying parameters: Czech economy in a period of recession (en)
skos:notation	RIV/00216224:14560/14:00076432!RIV15-MSM-14560___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Vašíček, Osvald Tvrz, Stanislav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Masarykova univerzita / Ekonomicko-správní fakulta
http://linked.open...dnocenehoVysledku	32785
http://linked.open...ai/riv/idVysledku	RIV/00216224:14560/14:00076432
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	DSGE model; Great Recession; deep parameters; time-varying parameters; nonlinear particle filter; unscented particle filter (en)
http://linked.open.../riv/klicoveSlovo	time-varying parameters Great Recession DSGE model unscented particle filter deep parameters nonlinear particle filter
http://linked.open...ontrolniKodProRIV	[7B98138D37CB]
http://linked.open...v/mistoKonaniAkce	Olomouc
http://linked.open...i/riv/mistoVydani	Olomouc
http://linked.open...i/riv/nazevZdroje	Proceedings of the 32nd International Conference Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Vašíček, Osvald Tvrz, Stanislav
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2014-01-01 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Palacký university
https://schema.org/isbn	9788024442099
http://localhost/t...ganizacniJednotka	14560

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