Multiple regions dynamic stochastic general equilibrium model.
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Keywords:
open economy, model of several countries, dynamic equilibrium, stochastic model, monetary policy, macroeconomic shocks.Abstract
In today's world there is interdependency between all economies. We have developed multiple regions dynamic stochastic general equilibrium model, which is the development of a model of two countries (Obstfeld & Rogoff, 2001) and its subsequent variants. In each country domestic and foreign goods are consumed. Price rigidity is modeled by applying the Calvo pricing. Model evaluation and analysis of the impact of internal and external shocks is carried out for the economy of Kazakhstan and its major trading partners.References
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2 Gorsetti C., Pezenty P. (2001). Welfare and Macroeconomic Interdependence // Quarterly Journal of Economics. – Vol.
116. – P. 421-446.
3 3.Kolasa M. Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model// National Bank of Poland. – 2008. – Working Paper No. 49. – 42 p.
4 Gunter U. (2009) Macroeconomic Interdependence in a Two-Country DSGE Model under Diverging Interest-Rate Rules. Austria: University of Vienna. Working Paper No: 0903. – P. 1-38.
5 Smets F., Wouters R. An estimated stochastic dynamic general equilibrium model of the euro area // Journal of the European Economic Association. – 2003. – Vol. 1, No. 5. – P. 123-1175.
6 Kydland F. E., Prescott E. C. Time to build and aggregate fluctuations // Econometrica. – 1982. – Vol. 50. – P. 1345-
1370.
7 Calvo G. Staggered prices in a utility maximizing framework // Journal of Monetary Economics. – 1983. – №12. – P.
383–398.
8 Lucas R. E. Econometric Policy Evaluation: A Critique // Carnegie-Rochester Conference Series on Public Policy. - 1976. – Vol.1. – P. 19-46.
9 Kumhof M., Laxton D., Muir D., Mursula S. The Global Integrated Monetary and Fiscal Model (GIMF) / IMF Working Paper. – 2010. – WP 1034.
10 Dib A. An estimated Canadian DSGE model with nominal and real rigidities // Bank of Canada Working Paper. – 2001.
– 26 p.
11 Medina J., Soto C. The Chilean business cycle through the lens of a stochastic general equilibrium model // Central Bank of Chile Working Papers. – 2007. – No. 457. – P. 1-39.
12 Galí J., Monacelli T. Monetary policy and exchange rate volatility in a small open economy // The Review of Economic Studies. – 2005. – Vol. 72. – No. 3. – P. 707–734.
13 Curdia V., Woodford M. Credit spreads and monetary policy // Journal of Money, Credit and Banking. – 2010. – Vol. 42.
– No.1. – P. 3-35.
14 Taylor J.B. Discretion versus Policy Rules in Practice, Carnegie-Rochester Conference series on Public Policy. – 1993.
– 39. – P. 195-214.
15 Международный Валютный Фонд. http://www.imf.org/ifs.
16 Всемирный Банк. http://www.worldbank.org.
17 Агентство РК по статистике. http://www.stat.gov.kz.
18 Национальный банк Республики Казахстан. http://www.nationalbank.kz.
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Muhamediev, B. (2016). Multiple regions dynamic stochastic general equilibrium model. Journal of Economic Research &Amp; Business Administration, 107(1). Retrieved from https://be.kaznu.kz/index.php/math/article/view/924
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