Analysis of Structural Differences and Asymmetry of Shocks using Posterior Distributions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00069278" target="_blank" >RIV/00216224:14560/13:00069278 - 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
Analysis of Structural Differences and Asymmetry of Shocks using Posterior Distributions
Original language description
The goal of this paper is to examine asymmetry of shocks and structural differences between the Czech economy and the euro area. For this purpose I use New Keynesian DSGE model of two economies which I estimate on the data of the Czech economy and the euro area, using Bayesian techniques. The applied method examines differences in values of the parameters by comparison of their posterior distributions. Results suggest that the main differences are in volatility, persistence, and timing of macroeconomicshocks. There are also several structural differences. It seems that the ECB smooths less the interest rate and reacts more to the development in output and inflation than the CNB. It also seems that prices in the Czech economy are more sticky than prices in the euro area, especially in the non-tradable sector. Results also suggest that domestic households are less willing to smooth consumption over the time then their foreign counterparts.
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)
Others
Publication year
2013
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 31st International Conference Mathematical Methods in Economics
ISBN
9788087035764
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
820-825
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Jan 1, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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