A DSGE Model with Financial Dollarization - the Case of Serbia

Mirko Djukic, Tibor Hledik, Jiri Polansky, Ljubica Trajcev and Jan Vlcek

Working Papers from Czech National Bank, Research and Statistics Department

Abstract: We amend a DSGE model of a small open economy by adding financial euroization in order to capture the main channels of the monetary transmission mechanism in match the Serbian data. In contrast to the standard DSGE workhorse, the model encompasses commercial banks and foreign-exchange-denominated deposits and loans. Given these features, the model is well suited to evaluating effects of the nominal exchange rate on the financial wealth and consumption of households. The model structure, including optimization problems and first-order conditions, is provided in the paper. The model properties are tested to match the stylized facts of dollarized economies. Specifically, the model is calibrated to the Serbian data, and a model-consistent multivariate filter is used to identify unobserved trends and gaps.

Keywords: DSGE model; financial dollarization (search for similar items in EconPapers)
JEL-codes: E44 F41 F47 (search for similar items in EconPapers)
Date: 2017-06
New Economics Papers: this item is included in nep-dge, nep-mac and nep-tra
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Citations: View citations in EconPapers (1)

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Working Paper: A DSGE Model with Financial Dollarization – the Case of Serbia (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2017/02

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