A DSGE Model with Financial Dollarization – the Case of Serbia

Mirko Ðukic, Tibor Hlédik, Jirí Polanský, Ljubica Trajcev and Jan Vlcek, Mirko Ðukic, Tibor Hlédik, Jirí Polanský, Ljubica Trajcev and Jan Vlcek
Additional contact information
Mirko Ðukic: National Bank of Serbia
Tibor Hlédik: Czech National Bank
Jirí Polanský: Czech National Bank
Ljubica Trajcev: National Bank of Serbia

Working Papers Bulletin from National Bank of Serbia

Abstract: We modify 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 matching with 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)
Pages: 40 pages
Date: 2021-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.nbs.rs/documents-eng/publikacije/wp_bulletin/wp_bulletin_09_21_2.pdf Full text (application/pdf)

Related works:
Working Paper: A DSGE Model with Financial Dollarization - the Case of Serbia (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nsb:bilten:3

Access Statistics for this paper

More papers in Working Papers Bulletin from National Bank of Serbia Contact information at EDIRC.
Bibliographic data for series maintained by Marko Miseljic ().