Bayesian estimation of model with financial frictions on Czech data
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00053250" target="_blank" >RIV/00216224:14560/11:00053250 - isvavai.cz</a>
Alternative codes found
RIV/61384399:31140/11:00040447
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Bayesian estimation of model with financial frictions on Czech data
Original language description
As the global economy seems to be recovering from 2009 financial crisis, we find it desirable to look back and analyze Czech economy ex post. We work with Swedish New Keynesian model of a small open economy which embeds financial frictions in light of financial accelerator literature. Without explicitly modeling the banking sector, this model serves as a tool to understand how a negative financial shock may spread into real economy and how monetary policy may react. Financial variables turn out to be asignificant driver in explaining the business cycle dynamics. We use Bayesian techniques to re-estimate original model parameters to adjust the model structure closer to evidence stemming from Czech data. Our attention focuses on a series of experimentsin which we generate ex post forecasts of the economy prior to 2009 crisis and illustrate that monetary policy response to upcoming crisis in case of the Czech Republic might have been even more aggressive in terms of policy rate cut.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
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
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 29th International Conference on Mathematical Methods in Economics
ISBN
978-80-7431-058-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
611-616
Publisher name
Professional Publishing
Place of publication
Praha
Event location
Liptovský Ján
Event date
Jan 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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