Ústav teorie informace a automatizace

Jste zde

Bibliografie

Research Report

The Term Structure of Interest Rates in a Small Open Economy DSGE Model with Markov Switching

Horváth Roman, Maršál Aleš

: Örebro University, (Örebro 2014)

: Research Report 22

: http://library.utia.cas.cz/separaty/2014/E/horvath-0474241.pdf

(eng): We lay out a small open economy dynamic stochastic general equilibrium (DSGE) model with\nMarkov switching to study the term structure of interest rates. We extend the previous models by\nopening up the economy and adding a foreign demand channel. As a result, we explain the term\nstructure of Czech interest rates and that the open economy version of the model fits reasonably\nwell the period after the adoption of inflation targeting, which was characterized by two regimes: 1)a disinflation regime and 2) a price stability regime.

07.01.2019 - 08:39