Habit Formation and Price Indexation in DSGE Models with Nominal Rigidities

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F09%3A00036678" target="_blank" >RIV/00216224:14560/09:00036678 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Habit Formation and Price Indexation in DSGE Models with Nominal Rigidities
Original language description
The goal of this paper is to evaluate some characteristics commonly used in New Keynesian DSGE models, such as habit formation in consumption, full price indexation and partial price indexation. This paper estimates six DSGE models in order to determine,which model provides better data fit. The models were estimated on data of US economy. All models were estimated using Bayesian techniques, particularly Metropolis-Hastings algorithm (using Dynare toolbox for Matlab). The data fit measure is posterior odds calculated from marginal likelihood, acquired from Bayesian estimation. Results suggest that including habit formation improves significantly the data fit of the models, whereas including price indexation does not.
Czech name
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Czech description
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Project
<a href="/en/project/1M0524" target="_blank" >1M0524: Research center on competitiveness of Czech economy</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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