IDEAS home Printed from https://ideas.repec.org/p/zag/wpaper/1607.html
   My bibliography  Save this paper

Does the Foreign Income Shock in a Small Open Economy DSGE Model Fit Croatian Data?

Author

Listed:
  • Vladimir Arčabić

    () (Faculty of Economics and Business, University of Zagreb)

  • Tomislav Globan

    () (Faculty of Economics and Business, University of Zagreb)

  • Ozana Nadoveza

    () (Faculty of Economics and Business, University of Zagreb)

  • Lucija Rogić Dumančić

    () (Faculty of Economics and Business, University of Zagreb)

  • Josip Tica

    () (Faculty of Economics and Business, University of Zagreb)

Abstract

The paper compares theoretical impulse response functions from a DSGE model for a small open economy with an empirical VAR model estimated for the Croatian economy. The theoretical model fits the data well as long as monetary policy is modelled as a fixed exchange rate regime. The paper considers only a foreign output gap shock. A positive foreign shock increases domestic GDP and prices and decreases terms of trade, which is in compliance with theoretical assumptions. Interest rates behave differently than suggested by the estimated DSGE model, which could be explained with an unconventional interest rate transmission channel in Croatia.

Suggested Citation

  • Vladimir Arčabić & Tomislav Globan & Ozana Nadoveza & Lucija Rogić Dumančić & Josip Tica, 2016. "Does the Foreign Income Shock in a Small Open Economy DSGE Model Fit Croatian Data?," EFZG Working Papers Series 1607, Faculty of Economics and Business, University of Zagreb.
  • Handle: RePEc:zag:wpaper:1607
    as

    Download full text from publisher

    File URL: http://web.efzg.hr/repec/pdf/Clanak%2016-07.pdf
    File Function: First version, 2016
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    DSGE; foreign income shocks; exchange rate; Croatia; gross domestic product; Eurozone;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zag:wpaper:1607. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (WPS) The email address of this maintainer does not seem to be valid anymore. Please ask WPS to update the entry or send us the correct email address. General contact details of provider: http://edirc.repec.org/data/fefzghr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.