Kalibruotas lietuvos ekonomikos dinaminis stochastinis bendrosios pusiausvyros modelis

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Mokslo publikacijos / Scientific publications
Document Type:
Straipsnis / Article
Lietuvių kalba / Lithuanian
Kalibruotas lietuvos ekonomikos dinaminis stochastinis bendrosios pusiausvyros modelis
Alternative Title:
Calibrated dsge model for the lithuanian economy
In the Journal:
Pinigų studijos. 2008, Nr. 2, p. 22-46
Įmonės. Bendrovės / Companies. Enterprises; Vartojimas / Consumption.
Summary / Abstract:

LTŠiame straipsnyje išsamiai aprašomas Lietuvos ekonomikai pritaikytas dinaminis stochastinis bendrosios pusiausvyros modelis, pateikiamas modelį sudarančių lygčių sistemos sprendimas. Modelio parametrai kalibruojami taip, kad atitiktų 2005–2006 m. pabaigos Lietuvos ekonominius rodiklius. Modelis apima penkis ekonominius sektorius: namų ūkių, tarpinius produktus gaminančių įmonių, galutinius produktus gaminančių įmonių, valiutų valdybos sąlygomis veikiančio centrinio banko ir valdžios sektorių. Pateikiamas modelis tinka Lietuvos verslo ciklams, ekonominių rodiklių reakcijai į šokus analizuoti ir kitiems tikslams. Modelio tinkamumą Lietuvos ekonomikos analizei lemia jo struktūra ir priimtinas kalibravimas. [Iš leidinio]Reikšminiai žodžiai: Ekonomika; Įmonė; Namų ūkis; Vartojimas; Modelis; Economics; Enterprises; Household; Consumption; Model.

ENDuring the last decade, dynamic stochastic general equilibrium (DSGE) models became very popular among central banks worldwide. The central banks of many developed countries are currently using DSGE models to generate forecasts and policy scenarios that provide the basis for interest rate decisions. Several central banks (e.g. the Bank of England and the Bank of Finland) use dynamic general equilibrium models as their main forecasting tools. The main advantage of DSGE models against the alternative models is their microeconomic foundations. This paper develops and calibrates a small open economy DSGE model with sticky prices and nominal wages for Lithuania. The model incorporates some other empirically important features such as habit formation and costs of adjustment in capital accumulation. The developed model has five sectors: households, intermediate goods producers, final good producers, fiscal and monetary authorities. The economy produces a homogeneous non-tradable final good and a continuum of tradable intermediate goods. International trade takes place in intermediate goods. Households maximize the intertemporal utility as a function of consumption and leisure, subject to an intertemporal budget constraint and taking as given the external consumption habit. Each household is a monopolistic supplier of a differentiated labor service. This leads to an explicit wage equation with Calvo stickiness. Households own all domestic capital stock and rent capital to the domestic firms (intermediate goods producers) and decide how much to invest in the capital stock given certain investment adjustment costs. Labor and capital are used in the production of intermediate goods and are perfectly immobile internationally. Intermediate goods producers aggregate and sell differentiated intermediate goods under monopolistic competition to final goods producers at home and abroad.Producers of intermediate goods reoptimise prices infrequently à la Calvo, but can set different prices in the domestic and foreign market. Domestic final goods producer transforms the intermediate product into a homogeneous final good and sells it in a perfectly competitive market. Fiscal authority collects three types of distortionary taxes: labor tax, capital tax and consumption tax. In the model all kinds of taxes are exogenous. Fiscal authority has two kinds of expenditure: transfers to households (exogenous) and government consumption (endogenous). The latter is used to equalize the fiscal authority’s incomes with expenditure. The monetary policy features the fixed exchange rate regime. The interest rate at which households can borrow funds abroad depends on foreign interest rate and a risk premium which is an increasing function of net foreign debt. The developed model is solved following the procedure documented in Harald Uhlig. The latter procedure consists of several steps and leads to the calculation of impulse responses, simulations and second moments. First of all, one gathers the equations that define the equilibrium of the model including constraints, identities, first order conditions, exogenous processes and other necessary equations. Second, I solve for the steady state, i.e. I will provide the formulas for selected ratios. At last, I obtain the log-linearized equations and using the method of undetermined coefficients and the Toolkit I will get impulse responses and second moments.The model is calibrated to match the most recent Lithuanian data and to use standard parameter values whenever possible. The appropriate structure of the model and proper calibration ensure that the developed model is suitable for the analysis of Lithuanian economy. Since the model contains rather rich fiscal sector, the model is suitable for the analysis the fiscal policy’s instruments, and allows to avoid the flaws generated by the traditional econometrical models. [From the publication]

1392-2637; 1648-8970
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2018-12-17 12:10:51
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