Introducing Macro-Financial Variables into Semi-Structural Model

Dominika Ehrenbergerová, Simona Malovaná

This paper outlines a flexible and consistent model-based framework suitable for forecasting selected macro-financial variables of the Czech economy and conducting policy analysis to support the decision-making process. We enhance an existing semi-structural model of the Czech economy in order to replicate some of the characteristics of the financial cycle, i.e. co-movement between credit and house prices, higher persistence of respective macro-financial variables and a pronounced impact of shocks on the business cycle.

JEL codes: C32, E47, E58, G21

Keywords: Financial cycle, forecasting, macro-financial variables, semi-structural model

Issued: December 2019

Download: CNB WP No. 6/2019 (pdf, 582 kB)