Detail publikace

The Term Structure of Interest Rates in Small Open Economy DSGE Model

Autor: Ing. Aleš Maršál ,
Typ: IES Working Papers
Rok: 2011
Číslo: 7
ISSN / ISBN:
Publikováno v: IES Working Papers 7/2011
Místo vydání: Prague
Klíčová slova: DSGE small open economy model, term structure of interest rates, perturbation method, second order approximation
JEL kódy: G12, E17
Citace: Maršál, A. (2011). “The Term Structure of Interest Rates in Small Open Economy DSGE Model” IES Working Paper 7/2011. IES FSV. Charles University.
Abstrakt: I lay out small open economy model with nominal rigidities to study the implication of model dynamics on the term structure of interest rates. It has been shown that in order to obtain at least moderate match simultaneously of the macro and finance data, one has to introduce long-memory habits in consumption together with a large number of highly persistent exogenous shocks. These elements of the model however worsen the fit of macro data. I find that in the open economy framework the foreign demand channel allows us to match some of the data features even without including habits and a large number of exogenous shocks.
Ke stažení: WP 2011_07_Marsal

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