A small continuous time macro-econometric model of the Czech Republic
AbstractIn this paper we estimate a continuous time macro-econometric model of the Czech economy. The model is built as a system of twelve non-linear differential equations. We illustrate how the model can be used to determine the nominal equilibrium exchange rate of the Czech koruna in a macro-economic framework. The paper also investigates the effectiveness of monetary and fiscal policies in the presence of a fixed exchange rate regime and massive capital inflows. The search for an equilibrium path is outlined and stability and sensitivity analyses are provided, along with in-sample static and dynamic predictions with the approximate discrete analogue.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 26 (2001)
Issue (Month): 4 ()
Note: received: November 1999/Final version received: November 2000
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Other versions of this item:
- Stavrev, Emil, 2000. "A Small Continuous Time Macro-Econometric Model of the Czech Republic," Transition Economics Series 18, Institute for Advanced Studies.
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
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- Stavrev, Emil, 2000. "A Comparative Analysis of the Czech Republic and Hungary. Using small Continuous-Time Macroeconometric Models," Transition Economics Series 19, Institute for Advanced Studies.
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