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Macroeconomic Effects of Productivity Shocks – A VAR Model of a Small Open Economy

Vladimir Arčabić orcid.org/0000-0003-4173-8637 ; Faculty of Economics and Business, University of Zagreb
Tomislav Globan orcid.org/0000-0001-5716-2113 ; Faculty of Economics and Business, University of Zagreb
Ozana Nadoveza orcid.org/0000-0002-3651-7795 ; Faculty of Economics and Business, University of Zagreb
Lucija Rogić Dumančić orcid.org/0000-0002-7963-4166 ; Faculty of Economics and Business, University of Zagreb
Josip Tica orcid.org/0000-0001-7937-1573 ; Faculty of Economics and Business, University of Zagreb

Abstract

The paper compares theoretical impulse response functions from a DSGE model for a small open economy with an empirical five variable VAR model estimated for the Croatian economy. In the paper we analyse the impact of productivity shock on the selected macroeconomic variables: domestic output gap, nominal interest rate, CPI inflation and terms of trade. The impulse responses from the empirical VAR model do not resemble those from the theoretical one for all the variables in any proposed monetary regimes. Results of modelling simultaneous interrelationships between variables also support the results that the productivity shocks do not play a significant role in determining the variation of selected macroeconomic variables in the case of the Croatian economy.

Keywords

DSGE; productivity shocks; small open economy; exchange rate; Croatia

Hrčak ID:

166247

URI

https://hrcak.srce.hr/166247

Publication date:

21.9.2016.

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