Introducing Macro-Financial Variables into a Semi-Structural Model

Dominika Ehrenbergerova and Simona Malovana
Authors registered in the RePEc Author Service: Dominika Kolcunová

Working Papers from Czech National Bank, Research and Statistics Department

Abstract: This paper outlines a flexible and consistent model-based framework suitable for forecasting selected macro-financial variables of the Czech economy and conducting policy analysis to support the decision-making process. We enhance an existing semi-structural model of the Czech economy in order to replicate some of the characteristics of the financial cycle, i.e. co-movement between credit and house prices, higher persistence of respective macro-financial variables and a pronounced impact of shocks on the business cycle.

Keywords: Financial cycle; forecasting; macro-financial variables; semi-structural model (search for similar items in EconPapers)
JEL-codes: C32 E47 E58 G21 (search for similar items in EconPapers)
Date: 2019-12
New Economics Papers: this item is included in nep-for, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2019/6

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