Parameter drifting in the second order approximated model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00054465" target="_blank" >RIV/00216224:14560/11:00054465 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Parameter drifting in the second order approximated model
Original language description
We investigate the possible drifting of structural parameters in an estimated small open economy DSGE model. We run a particle filter on the second-order approximated model. Nonlinear filtration is necessary for model agents to capture nontrivial influence of structural changes on model agents' behaviour. In our previous work we found out that models designed for monetary policy analysis and forecasting of an economy that is undergoing structural changes must include time-varying parameters. These parameters can be either structural parameters or other exogenous processes (technologies) showing the specific characteristics of individual sectors. From the perspective of monetary policy analysis and forecasting, it seems more convenient to assume that the structural parameters are stable and use sectoral technologies owing to their aggregate form. In this work, we confirm the previous results but on the second-order approximated model.
Czech name
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Czech description
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Classification
Type
O - Miscellaneous
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