SLOVAK ECONOMY IN A PERIOD OF RECESSION: NONLINEAR DSGE MODEL WITH TIME-VARYING PARAMETERS

• Authors: Tvrz Stanislav , Osvald Vašíček
• Languages of publication: EN

Abstracts

EN

In this paper, we study the dramatic changes in the structure and behaviour of the Slovak economy in a period of the accession to the Euro area and the Great Recession and subsequent return to the long-run growth equilibrium. This small and very 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 goal to identify the most important changes in behaviour and underlying structure of the Slovak economy. In order to distinguish the country specific changes from broader Europe-wide trends we also compare the time-varying estimates of the Slovak economy and the Euro area.

Keywords

EN

NONLINEAR DSGE MODEL; MONETARY UNION; TIME VARYING PARAMETER; NONLINEAR PARTICLE FILTER; APPROXIMATION; RECESSION; SLOVAK ECONOMY

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2015
• Volume: 63
• Issue: 1
• Pages: 34 – 50

Contributors

author

Tvrz Stanislav

• National Bank of Slovakia, Economic and Monetary Analyses Department, Imricha Karvaša 1, 813 25 Bratislava, Slovak Republic

author

Osvald Vašíček