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Statements

Subject Item
n2:RIV%2F00216224%3A14560%2F14%3A00076470%21RIV15-MSM-14560___
rdf:type
n10:Vysledek skos:Concept
rdfs:seeAlso
http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf
dcterms:description
In this paper, we study a model of a small open economy and its behavior with respect to the period of the global recession and the subsequent recovery. As an example, the dynamic stochastic model of a general equilibrium of the Czech real economy is used. In the rst part of the paper a model with the constant parameters is estimated. We use historic shock decomposition of the main macroeconomic variables to identify shocks, which played the most signicant role in the recession. In the subsequent analysis we use the same model, but we relax the typical assumption about structural parameters and we let them to vary in time. Their changes would imply, that the global recession had an in uence on the structure of the economy. The economy is represented by the second order approximation of a non{linear DSGE model. The unscented particle lter is used to identify the trajectories of the time{varying parameters. In this paper, we study a model of a small open economy and its behavior with respect to the period of the global recession and the subsequent recovery. As an example, the dynamic stochastic model of a general equilibrium of the Czech real economy is used. In the rst part of the paper a model with the constant parameters is estimated. We use historic shock decomposition of the main macroeconomic variables to identify shocks, which played the most signicant role in the recession. In the subsequent analysis we use the same model, but we relax the typical assumption about structural parameters and we let them to vary in time. Their changes would imply, that the global recession had an in uence on the structure of the economy. The economy is represented by the second order approximation of a non{linear DSGE model. The unscented particle lter is used to identify the trajectories of the time{varying parameters.
dcterms:title
Small open economy in period of recession: Nonlinear DSGE approach. Small open economy in period of recession: Nonlinear DSGE approach.
skos:prefLabel
Small open economy in period of recession: Nonlinear DSGE approach. Small open economy in period of recession: Nonlinear DSGE approach.
skos:notation
RIV/00216224:14560/14:00076470!RIV15-MSM-14560___
n3:aktivita
n20:S
n3:aktivity
S
n3:dodaniDat
n11:2015
n3:domaciTvurceVysledku
n5:7195710 n5:1581678
n3:druhVysledku
n13:D
n3:duvernostUdaju
n8:S
n3:entitaPredkladatele
n7:predkladatel
n3:idSjednocenehoVysledku
45389
n3:idVysledku
RIV/00216224:14560/14:00076470
n3:jazykVysledku
n16:eng
n3:klicovaSlova
small open economy; shock decomposition; nonlinear DSGE model; time varying parameters; unscented particle filter
n3:klicoveSlovo
n9:small%20open%20economy n9:nonlinear%20DSGE%20model n9:unscented%20particle%20filter n9:shock%20decomposition n9:time%20varying%20parameters
n3:kontrolniKodProRIV
[A41545813F15]
n3:mistoKonaniAkce
Olomouc
n3:mistoVydani
Olomouc
n3:nazevZdroje
32nd International Conference Mathematical Methods in Eocnomics Conference Proceedings.
n3:obor
n21:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n11:2014
n3:tvurceVysledku
Vašíček, Osvald Súkupová, Karolína
n3:typAkce
n18:WRD
n3:zahajeniAkce
2014-01-01+01:00
s:numberOfPages
6
n12:hasPublisher
Univerzita Palackého v Olomouci
n14:isbn
9788024442099
n19:organizacniJednotka
14560