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The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

Phuong Van Nguyen

No 56, Dynare Working Papers from CEPREMAP

Abstract: The primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, we develop a small open economy New Keynesian Dynamic Stochastic General Equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through, the failures of the law of one price and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1 − 2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt on developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

Keywords: International macroeconomics; international spillover; Vietnamese economy; New Keynesian DSGE model; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: E12 E31 E32 E47 E52 F41 F43 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2020-02
New Economics Papers: this item is included in nep-dge, nep-mac, nep-opm, nep-sea and nep-tra
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