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dc.contributor.authorBrzoza-Brzezina, Michał
dc.contributor.authorKotłowski, Jacek
dc.date.accessioned2023-08-01T08:01:58Z
dc.date.available2023-08-01T08:01:58Z
dc.date.issued2018-05
dc.identifier.citationBrzoza-Brzezina M., Kotłowski J., The non-linear nature of country risk and its implications for DSGE models, SGH KAE Working Papers, 2018, nr 2018/035, s. 1-33en
dc.identifier.urihttp://hdl.handle.net/20.500.12182/1163
dc.description.abstractCountry risk premia can substantially affect macroeconomic dynamics. We concentrate on one of their most important determinants - a country’s net foreign asset position and - in contrast to the existing research - investigate its nonlinear link to risk premia. The importance of this particular non-linearity is twofold. First, it allows to identify the NFA level above which the elasticity becomes much (possibly dangerously) higher. Second, such a non-linear relationship is a standard ingredient of DSGE models, but its proper calibration/ estimation is missing. Our estimation shows that indeed the link is highly nonlinear and helps to identify the NFA position where the non-linearity kicks in at approximately -70% to -75% of GDP. We also provide a proper calibration of the risk premium - NFA relationship which can be used in DSGE models and demonstrate that its slope matters significantly for economic dynamics in such a model.en
dc.language.isoen
dc.rightsDozwolony użytek*
dc.subjectrisk premiumen
dc.subjectPSTR modelen
dc.subjectopen economy DSGE modelen
dc.subject.classificationC23en
dc.subject.classificationE43en
dc.subject.classificationE44en
dc.titleThe non-linear nature of country risk and its implications for DSGE modelsen
dc.typeworkingPaperen
dc.description.number2018/035en
dc.description.physical1-33en
dc.description.seriesSGH KAE Working Papers Seriesen
dc.identifier.urlpublisherhttp://wydawnictwo.sgh.waw.plen


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