A Proposal for a Flexible Trend Specification in DSGE Models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00089309" target="_blank" >RIV/00216224:14560/16:00089309 - isvavai.cz</a>
Result on the web
<a href="http://nho.econ.muni.cz/2-2016/proposal-flexible-trend-specification-dsge-models" target="_blank" >http://nho.econ.muni.cz/2-2016/proposal-flexible-trend-specification-dsge-models</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/revecp-2016-0006" target="_blank" >10.1515/revecp-2016-0006</a>

Result language
angličtina
Original language name
A Proposal for a Flexible Trend Specification in DSGE Models
Original language description
In this paper I propose a flexible trend specification for estimating DSGE models on log differences. I demonstrate this flexible trend specification on a New Keynesian DSGE model of two economies, which I consequently estimate on data from the Czech economy and the euro area, using Bayesian techniques. The advantage of the trend specification proposed is that the trend component and the cyclical component are modelled jointly in a single model. The proposed trend specification is flexible in the sense that smoothness of the trend can be easily modified by different calibration of some of the trend parameters. The results suggest that this method is capable of finding a very reasonable trend in the data. Moreover, comparison of forecast performance reveals that the proposed specification offers more reliable forecasts than the original variant of the model.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50200 - Economics and Business

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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