Interdependence of Real, Financial and Export Import Indicators in a DSGE Model of Multiple Countries (original) (raw)

2017

Abstract

Interdependence, which is a consequence of the international division of labor and use of the world’s natural resources, increases at the global level. Macroeconomic indicators of each country are more exposed to shocks arising in the country and in partner countries. In this paper, we propose a model of dynamic stochastic general equilibrium (DSGE) of many countries. For each country, the variables of output, inflation, interest rate, exchange rate, terms of trade, as well as exports and imports for each pair of countries are included in the model. In accordance with the number of countries the model contains equations of dynamic IS and New Keynesian Phillips curves and equations of monetary policy. The estimation of the model was implemented for the economies of Kazakhstan, Russia and the EU. An asymmetrical interaction of large and small economies is taken into account. The analysis of the impact of internal and external shocks on the macroeconomic variables is performed for each...

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