Arbeitspapier
The term structure of interest rates in small open economy DSGE model
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.
- Language
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Englisch
- Bibliographic citation
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Series: IES Working Paper ; No. 7/2011
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
General Aggregative Models: Forecasting and Simulation: Models and Applications
- Subject
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DSGE small open economy model
term structure of interest rates
perturbation method
second order approximation
- Event
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Geistige Schöpfung
- (who)
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Maršál, Aleš
- Event
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Veröffentlichung
- (who)
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Charles University in Prague, Institute of Economic Studies (IES)
- (where)
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Prague
- (when)
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2011
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Maršál, Aleš
- Charles University in Prague, Institute of Economic Studies (IES)
Time of origin
- 2011
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