Open AccessBusiness Cycles in Algerian Economy: A Bayesian DSGE Approach
Author(s) -
Abdelsalam BOUKHEROUFA
Publication year - 2018
Publication title -
journal of finance and corporate governance
Language(s) - English
Resource type - Journals
eISSN - 2602-5655
pISSN - 2661-7501
DOI - 10.54960/jfcg.v2i1.20
Subject(s) - dynamic stochastic general equilibrium , business cycle , economics , shock (circulatory) , bayes estimator , bayesian probability , government spending , macroeconomics , government (linguistics) , bayesian vector autoregression , econometrics , aggregate (composite) , monetary economics , estimation , economy , monetary policy , computer science , market economy , philosophy , materials science , medicine , linguistics , management , artificial intelligence , composite material , welfare
The main objective of this paper is to highlight the most important shocks that drives the business cycles in the Algerian economy. Using Bayesian estimation techniques, we estimate a dynamic stochastic general equilibrium model (DSGE) using four time series of the Algerian macroeconomics. Through this estimated model, which succeeded in capturing the dynamics of the Algerian economy data, we found three main results: First, the main causes of business cycle fluctuations in the Algerian economy are aggregate demand shocks. Second, the of government spending shock play the most important role in output fluctuations. Third, empirical results show evidences of procyclical in government spending policies.