The Term Structure of Interest Rates in a Small Open Economy DSGE Model with Markov Switching

0474241 - ÚTIA 2018 SE eng V - Výzkumná zpráva
Horváth, Roman - Maršál, Aleš
The Term Structure of Interest Rates in a Small Open Economy DSGE Model with Markov Switching.
Örebro: Örebro University, 2014. 32 s. FinMaP Working Paper, 22.
Institucionální podpora: RVO:67985556
http://library.utia.cas.cz/separaty/2014/E/horvath-0474241.pdf

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.
Trvalý link: http://hdl.handle.net/11104/0271367