Estimation bayésienne d'un modèle DSGE pour une petite économie ouverte: Cas de la RD Congo

Bayesian estimation of a DSGE model for a small open economy: Case of DR Congo

Gilles Bertrand Umba

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this work was to estimate a DSGE-SOE model for the DR Congo by referring to the Bayesian techniques for the quarterly data from 2002q1 to 2016q4 in order to analyze the relations between the main macroeconomic variables and to simulate the " impact of some major shocks on their evolution. The results of model estimation were generally satisfactory, especially with respect to the convergence tests of Brooks and Gelman (1998). The results of the analysis of historical decomposition have revealed the influence of exchange rate and output shocks on internal and external productivity shocks as the main determinants of the policy rate and interest rate movements. domestic inflation. An analysis of the historical decomposition of the rate of exchange rate depreciation has indicated the notorious influence of exchange rate and monetary policy shocks in the explanation of exchange rate depreciation during the last three quarters of the year 2016.

Keywords: Open economy; Dynamic stochastic general equilibrium models; Bayesian techniques; New Keynesian models (search for similar items in EconPapers)
JEL-codes: C32 C51 E52 F41 (search for similar items in EconPapers)
Date: 2017-09-09
New Economics Papers: this item is included in nep-dge and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Estimation bayésienne d’un modèle DSGE pour une petite économie ouverte: Cas de la RD Congo (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:81324

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