Analýza citlivosti DSGE modelu otevřené ekonomiky s nominálními rigiditami

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F08%3A00026435" target="_blank" >RIV/00216224:14560/08:00026435 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Sensitivity Analysis of DSGE Model of Open Economy with Nominal Rigidities

Popis výsledku v původním jazyce

This paper deals with sensitivity analysis of DSGE model estimated on data of Czech economy using Bayesian techniques. The main goal is comparison of different competing models in terms how they fit the data. The benchmark model includes four types of nominal rigidities which are based on Calvo price setting mechanism. The competing models assume flexibility in some of these prices or combinations of them. The measure of fit depends on marginal likelihood obtained from Bayesian estimation. The emphasisis also put on the sensitivity of estimated parameters for different specifications of the model. The results of estimation show that frictions in import prices and wages play the most significant role in the model of Czech economy. Sticky wages are farmore important than sticky prices. The most sensitive parameters are Frisch elasticity of labor supply and openness of the economy. On the other hand, the measurement errors are quite stable across the models and have negligible effect on

Název v anglickém jazyce

Sensitivity Analysis of DSGE Model of Open Economy with Nominal Rigidities

Popis výsledku anglicky

This paper deals with sensitivity analysis of DSGE model estimated on data of Czech economy using Bayesian techniques. The main goal is comparison of different competing models in terms how they fit the data. The benchmark model includes four types of nominal rigidities which are based on Calvo price setting mechanism. The competing models assume flexibility in some of these prices or combinations of them. The measure of fit depends on marginal likelihood obtained from Bayesian estimation. The emphasisis also put on the sensitivity of estimated parameters for different specifications of the model. The results of estimation show that frictions in import prices and wages play the most significant role in the model of Czech economy. Sticky wages are farmore important than sticky prices. The most sensitive parameters are Frisch elasticity of labor supply and openness of the economy. On the other hand, the measurement errors are quite stable across the models and have negligible effect on

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/1M0524" target="_blank" >1M0524: Centrum výzkumu konkurenční schopnosti české ekonomiky</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2008

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Mathematical Methods in Economics 2008

ISBN

978-80-7372-387-3

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

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Název nakladatele

Technická univerzita v Liberci

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

1. 1. 2008

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000260962300023