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A small continuous time macro-econometric model of the Czech Republic

Emil Stavrev ()

Empirical Economics, 2001, vol. 26, issue 4, 673-705

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

Keywords: macro-econometric model; nominal equilibrium exchange rate; effectiveness of monetary and fiscal policies. (search for similar items in EconPapers)
JEL-codes: C51 C52 C53 E17 E50 (search for similar items in EconPapers)
Date: 2001-12-05
Note: received: November 1999/Final version received: November 2000
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