Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/102738 
Year of Publication: 
2014
Series/Report no.: 
FinMaP-Working Paper No. 22
Publisher: 
Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance, Kiel
Abstract: 
We lay out a small open economy dynamic stochastic general equilibrium (DSGE) model with Markov switching to study the term structure of interest rates. We extend the previous models by opening up the economy and adding a foreign demand channel. As a result, we explain the term structure of Czech interest rates and that the open economy version of the model fits reasonably well the period after the adoption of inflation targeting, which was characterized by two regimes: 1) a disinflation regime and 2) a price stability regime.
Subjects: 
DSGE small open economy model
term structure of interest rates
regime switching
JEL: 
G12
E17
Document Type: 
Working Paper

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