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An Estimated Dynamic Stochastic General Equilibrium Model for Armenian Economy

Author

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  • Barseghyan Gayane
Abstract
The paper develops and estimates a microfounded small open economy new Keynesian dynamic stochastic general equilibrium (DSGE) model for Armenian economy. To capture empirical persistence in Armenian macroeconomic data the model features number of frictions. Estimation of structural parameters of the DSGE model is performed on Armenian quarterly data from 2000 to 2012, using Bayesian full-system estimation techniques. The estimation shows that the model is able to replicate Armenian quarterly data. Moreover, the paper finds that the estimated model provides competing out-of-sample forecast compared with VAR and random walk models.

Suggested Citation

  • Barseghyan Gayane, 2013. "An Estimated Dynamic Stochastic General Equilibrium Model for Armenian Economy," EERC Working Paper Series 13/11e, EERC Research Network, Russia and CIS.
    • Handle: RePEc:eer:wpalle:13/11e
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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