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Macroeconomic Effects of Productivity Shocks – A VAR Model of a Small Open Economy

Vladimir Arčabić, Tomislav Globan, Ozana Nadoveza, Lucija Rogić Dumančić () and Josip Tica ()
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Lucija Rogić Dumančić: Faculty of Economics and Business, University of Zagreb

No 1606, EFZG Working Papers Series from Faculty of Economics and Business, University of Zagreb

Abstract: The paper compares theoretical impulse response functions from a DSGE model for a small open economy with an empirical five variable VAR model estimated for the Croatian economy. In the paper we analyse the impact of productivity shock on the selected macroeconomic variables: domestic output gap, nominal interest rate, CPI inflation and terms of trade. The impulse responses from the empirical VAR model do not resemble those from the theoretical one for all the variables in any proposed monetary regimes. Results of modelling simultaneous interrelationships between variables also support the results that the productivity shocks do not play a significant role in determining the variation of selected macroeconomic variables in the case of the Croatian economy.

Keywords: DSGE; productivity shocks; small open economy; exchange rate; Croatia (search for similar items in EconPapers)
JEL-codes: D24 E32 F41 (search for similar items in EconPapers)
Pages: 10
Date: 2016-09-21
New Economics Papers: this item is included in nep-dge, nep-mac and nep-opm
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