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A Small Continuous Time Macro-Econometric Model of the Czech Republic

Author

Listed:
  • Stavrev, Emil

    (Economic Modelling Division, Czech National Bank)

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 point is outlined and stability and sensitivity analyses are provided, along with in-sample static and dynamic predictions with the approximate discrete analogue.

Suggested Citation

  • Stavrev, Emil, 2000. "A Small Continuous Time Macro-Econometric Model of the Czech Republic," Transition Economics Series 18, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihstep:18
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    File URL: https://irihs.ihs.ac.at/id/eprint/1275
    File Function: First version, 2000
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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.

    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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