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A small continuous time macro-econometric model of the Czech Republic

Author

Listed:
  • Emil Stavrev

    (International Monetary Fund, 700 19th Street, N.W., EU2 Department, Washington D.C. 20431, USA .)

Abstract

In this paper we estimate a continuous time macro-econometric model of the Czech economy. The model is built as a system of twelve non-linear differential equations. We illustrate how the model can be used to determine the nominal equilibrium exchange rate of the Czech koruna in a macro-economic framework. The paper also investigates the effectiveness of monetary and fiscal policies in the presence of a fixed exchange rate regime and massive capital inflows. The search for an equilibrium path is outlined and stability and sensitivity analyses are provided, along with in-sample static and dynamic predictions with the approximate discrete analogue.

Suggested Citation

  • Emil Stavrev, 2001. "A small continuous time macro-econometric model of the Czech Republic," Empirical Economics, Springer, vol. 26(4), pages 673-705.
    • Handle: RePEc:spr:empeco:v:26:y:2001:i:4:p:673-705
    Note: received: November 1999/Final version received: November 2000
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    References listed on IDEAS

    as
    1. Giancarlo Gandolfo & Pier Carlo Padoan & Giuseppe Arcangelis, 1993. "The Theory of Exchange Rate Determination, and Exchange Rate Forecasting," International Economic Association Series, in: Helmut Frisch & Andreas Wörgötter (ed.), Open-Economy Macroeconomics, chapter 18, pages 332-352, Palgrave Macmillan.
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    Cited by:

    1. Stavrev, Emil, 2000. "A Comparative Analysis of the Czech Republic and Hungary. Using small Continuous-Time Macroeconometric Models," Transition Economics Series 19, Institute for Advanced Studies.

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    More about this item

    Keywords

    macro-econometric model; nominal equilibrium exchange rate; effectiveness of monetary and fiscal policies.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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