Financial Frictions Relevance during the Crisis: Czech Case

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Authors	TONNER Jaromír VAŠÍČEK Osvald
Year of publication	2011
Type	Article in Proceedings
Conference	Advances in Applied Economics, Business and Development
MU Faculty or unit	Faculty of Economics and Administration
Citation
Web	http://www.springerlink.com/content/u1351q80n835lg6v/
Field	Economy
Keywords	DSGE models; Financial accelerator; Bayesian methods
Description	In this paper, we estimate a small open economy dynamic stochastic general equilibrium model with financial accelerator. Our aim is to find a satellite model with financial block for imposing judgments on comprehensive models which lack direct financial variables. We choose the model originally developed by Mohamad Hasni Shaari [5] as our starting point. After the basic introduction to the model, we show results for a Bayesian estimation and a recursive Bayesian estimation on Czech data. Finally, we carry out an experiment which shows us that the reducing interest rates would probably be faster, bigger and longer lasting with a model, which in itself contains financial frictions. On the other hand, the risk of such a decision stems from the instability of estimated parameters.
Related projects:	Research Centre for the Competitiveness of the Czech Economy