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Analysis of the open macroeconomy model with rational expectations


  • Stanislav David
  • Osvald Vašíček


The article focuses on the multiple-equations closed-economy macroeconomic model to illustrate the impact of the rational expectation hypothesis. The first stage of the analysis introduces a theoretical model. It contains Phillips curve, IS curve and Taylor policy rule. The second stage of the analysis estimates the states and parameters of the model on the quarterly data of the Czech economy. The third stage of the analysis focuses on the theoretical approach, how to compute rational expectations. In the final stage, the article demonstrates implications of the hypothesis through the response of the model. This shows response on the outputs of the macroeconomic model to anticipated and unanticipated shocks.

Suggested Citation

  • Stanislav David & Osvald Vašíček, 2004. "Analysis of the open macroeconomy model with rational expectations," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 11(20).
  • Handle: RePEc:czx:journl:v:11:y:2004:i:20:id:135

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    More about this item


    Macroeconomic model; stability; zeros and poles; rational expectations;

    JEL classification:

    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General


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