An estimated dynamic stochastic general equilibrium model for Estonia
AbstractThis paper presents an estimated open economy dynamic stochastic general equilibrium model for Estonia. The model is designed to highlight the main driving forces behind the Estonian business cycle and to understand how euro area economic shocks and its monetary policy affect the small open economy of Estonia. The model described in this paper is a two-area DSGE model incorporating New Keynesian features such as nominal price and wage rigidity, variable capital utilization, investment adjustment costs, as well as other typical features - both for the domestic and euro area part of the model. It is rich in structural shocks such as technology, consumption preference, mark-up, etc. The model is estimated by Bayesian techniques using a quarterly data sample that covers main macroeconomic aggregates of Estonia and the euro area. The ultimate goal of the new model is for it to be used in simulation exercises, policy advice and forecasting at the Bank of Estonia
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Bibliographic InfoPaper provided by Bank of Estonia in its series Bank of Estonia Working Papers with number 2009-5.
Date of creation: 30 Dec 2009
Date of revision: 30 Dec 2009
Postal: Estonia bld. 13, 15095 Tallinn, ESTONIA
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- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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- Viktors Ajevskis & Kristine Vitola, 2011. "Fixed Exchange Rate Versus Inflation Targeting: Evidence from DSGE Modelling," Working Papers 2011/02, Latvijas Banka.
- PIROVANO, Mara, 2013.
"Household and firm leverage, capital flows and monetary policy in a small open economy,"
2013014, University of Antwerp, Faculty of Applied Economics.
- Mara Pirovano, 2013. "Household and firm leverage, capital flows and monetary policy in a small open economy," Working Paper Research 246, National Bank of Belgium.
- Boris Blagov, 2013. "Financial crises and time- varying risk premia in a small open economy: a Markov-Switching DSGE model for Estonia," Bank of Estonia Working Papers wp2013-8, Bank of Estonia, revised 09 Dec 2013.
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