Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/102738
Authors: 
Horváth, Roman
Maršál, Aleš
Year of Publication: 
2014
Series/Report no.: 
FinMaP-Working Paper 22
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
Appears in Collections:

Files in This Item:
File
Size
537.34 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.