This paper presents and estimates a dynamic stochastic general equilibrium (DSGE) small-open-economy model for the Hungarian economy. The model features different types of frictions, real and nominal rigidities which are necessary to replicate the empirical persistence of Hungarian data....

Die Wahl des richtigen Wechselkursregimes hängt für Volkswirtschaften im Transformationsprozess von einer Reihe von Faktoren ab. Hierzu zählen die Liberalisierung der Handels- und Kapitalströme, reforminduzierte inflationäre Tendenzen, die Restrukturierung von Produktion und Export, die...

Using Hungarian macroeconomic and financial data, we estimate a Bayesian structural VAR model suitable for macroprudential simulations. We identify standard macroeconomic and credit supply shocks by sign and zero restrictions. In contrast to the previous literature, different types of credit...

The lessons of the financial and macroeconomic crisis of 2007-2008 made the development of a new macroeconomic forecasting model necessary in the MNB. The model represents a small open economy. It is based on the DSGE philosophy but it deviates from it at several points. The new features of the...

It is frequently claimed that the expected yield on emerging market bonds commands a premium. Here we investigate the sources of this phenomenon. A stochastic general equilibrium model of a small open economy is analyzed numerically to derive conditions for interest rate premia. The novelty of...