Financial frictions in Latvia
This paper builds a dynamic stochastic general equilibrium (DSGE) model for Latvia that would be suitable for policy analysis and forecasting purposes at Bank of Latvia. For that purpose, I adapt the DSGE model with financial frictions of Christiano et al. (J Econ Dyn Control 35:1999–2041, 2011 . do...
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| Veröffentlicht in: | Empirical economics 2016-09, Vol.51 (2), p.547-575 |
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| creator | Buss, Ginters |
| description | This paper builds a dynamic stochastic general equilibrium (DSGE) model for Latvia that would be suitable for policy analysis and forecasting purposes at Bank of Latvia. For that purpose, I adapt the DSGE model with financial frictions of Christiano et al. (J Econ Dyn Control 35:1999–2041,
2011
. doi:
10.1016/j.jedc.2011.09.005
) to Latvia’s data, estimate it, and study whether adding the financial frictions block to an otherwise identical (‘baseline’) model is an improvement with respect to several dimensions. The main findings are: (1) The addition of the financial frictions block provides more appealing interpretation for the drivers of economic activity and allows to reinterpret their role; (2) financial frictions played an important part in Latvia’s 2008-recession; (3) the financial frictions model beats both the baseline model and the random walk model in forecasting both CPI inflation and GDP. |
| doi_str_mv | 10.1007/s00181-015-1014-z |
| format | Article |
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2011
. doi:
10.1016/j.jedc.2011.09.005
) to Latvia’s data, estimate it, and study whether adding the financial frictions block to an otherwise identical (‘baseline’) model is an improvement with respect to several dimensions. The main findings are: (1) The addition of the financial frictions block provides more appealing interpretation for the drivers of economic activity and allows to reinterpret their role; (2) financial frictions played an important part in Latvia’s 2008-recession; (3) the financial frictions model beats both the baseline model and the random walk model in forecasting both CPI inflation and GDP.</description><identifier>ISSN: 0377-7332</identifier><identifier>EISSN: 1435-8921</identifier><identifier>DOI: 10.1007/s00181-015-1014-z</identifier><language>eng</language><publisher>Berlin/Heidelberg: Springer Berlin Heidelberg</publisher><subject>Analysis ; Bayesian analysis ; Consumption ; Currency ; Econometrics ; Economic activity ; Economic conditions ; Economic forecasts ; Economic policy ; Economic Theory/Quantitative Economics/Mathematical Methods ; Economics ; Economics and Finance ; Entrepreneurs ; Equilibrium ; Eurozone ; Expected utility ; Expenditures ; Exports ; Finance ; Forecasting ; GDP ; Government spending ; Gross Domestic Product ; Households ; Insurance ; Interest rates ; Investments ; Management ; Monetary policy ; Monopolies ; Random walk theory ; Recessions ; Regression analysis ; Statistics for Business ; Studies</subject><ispartof>Empirical economics, 2016-09, Vol.51 (2), p.547-575</ispartof><rights>European Union 2015</rights><rights>Springer-Verlag Berlin Heidelberg 2016</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c380t-c8acbfa71761f06cc82fbc5148620aa45f69ea40ce6c3af521aa7d6271ab2f2d3</citedby><cites>FETCH-LOGICAL-c380t-c8acbfa71761f06cc82fbc5148620aa45f69ea40ce6c3af521aa7d6271ab2f2d3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s00181-015-1014-z$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s00181-015-1014-z$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,780,784,27923,27924,41487,42556,51318</link.rule.ids></links><search><creatorcontrib>Buss, Ginters</creatorcontrib><title>Financial frictions in Latvia</title><title>Empirical economics</title><addtitle>Empir Econ</addtitle><description>This paper builds a dynamic stochastic general equilibrium (DSGE) model for Latvia that would be suitable for policy analysis and forecasting purposes at Bank of Latvia. For that purpose, I adapt the DSGE model with financial frictions of Christiano et al. (J Econ Dyn Control 35:1999–2041,
2011
. doi:
10.1016/j.jedc.2011.09.005
) to Latvia’s data, estimate it, and study whether adding the financial frictions block to an otherwise identical (‘baseline’) model is an improvement with respect to several dimensions. The main findings are: (1) The addition of the financial frictions block provides more appealing interpretation for the drivers of economic activity and allows to reinterpret their role; (2) financial frictions played an important part in Latvia’s 2008-recession; (3) the financial frictions model beats both the baseline model and the random walk model in forecasting both CPI inflation and GDP.</description><subject>Analysis</subject><subject>Bayesian analysis</subject><subject>Consumption</subject><subject>Currency</subject><subject>Econometrics</subject><subject>Economic activity</subject><subject>Economic conditions</subject><subject>Economic forecasts</subject><subject>Economic policy</subject><subject>Economic Theory/Quantitative Economics/Mathematical Methods</subject><subject>Economics</subject><subject>Economics and Finance</subject><subject>Entrepreneurs</subject><subject>Equilibrium</subject><subject>Eurozone</subject><subject>Expected 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(DSGE) model for Latvia that would be suitable for policy analysis and forecasting purposes at Bank of Latvia. For that purpose, I adapt the DSGE model with financial frictions of Christiano et al. (J Econ Dyn Control 35:1999–2041,
2011
. doi:
10.1016/j.jedc.2011.09.005
) to Latvia’s data, estimate it, and study whether adding the financial frictions block to an otherwise identical (‘baseline’) model is an improvement with respect to several dimensions. The main findings are: (1) The addition of the financial frictions block provides more appealing interpretation for the drivers of economic activity and allows to reinterpret their role; (2) financial frictions played an important part in Latvia’s 2008-recession; (3) the financial frictions model beats both the baseline model and the random walk model in forecasting both CPI inflation and GDP.</abstract><cop>Berlin/Heidelberg</cop><pub>Springer Berlin Heidelberg</pub><doi>10.1007/s00181-015-1014-z</doi><tpages>29</tpages></addata></record> |
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| source | Business Source Complete; SpringerLink Journals - AutoHoldings |
| subjects | Analysis Bayesian analysis Consumption Currency Econometrics Economic activity Economic conditions Economic forecasts Economic policy Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Entrepreneurs Equilibrium Eurozone Expected utility Expenditures Exports Finance Forecasting GDP Government spending Gross Domestic Product Households Insurance Interest rates Investments Management Monetary policy Monopolies Random walk theory Recessions Regression analysis Statistics for Business Studies |
| title | Financial frictions in Latvia |
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