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An Estimated Dynamic Stochastic General Equilibrium Model for Armenian Economy

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  • Barseghyan Gayane

    ()

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    The paper develops and estimates a microfounded small open economy new Keynesian dynamic stochastic general equilibrium (DSGE) model for Armenian economy. To capture empirical persistence in Armenian macroeconomic data the model features number of frictions. Estimation of structural parameters of the DSGE model is performed on Armenian quarterly data from 2000 to 2012, using Bayesian full-system estimation techniques. The estimation shows that the model is able to replicate Armenian quarterly data. Moreover, the paper finds that the estimated model provides competing out-of-sample forecast compared with VAR and random walk models.

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    Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 13/11e.

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    Date of creation: 10 Oct 2013
    Handle: RePEc:eer:wpalle:13/11e
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