Estimate of the Czech National Bank's Preferences in NOEM DSGE model

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F09%3A00038077" target="_blank" >RIV/00216224:14560/09:00038077 - 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

Estimate of the Czech National Bank's Preferences in NOEM DSGE model

Popis výsledku v původním jazyce

This article deals with estimation of preferences of the Czech National Bank. New Keynesian small open economy model developed by Gali and Monacelli with optimal commitment monetary policy is considered in order to estimate them. The article uses the solution for optimal commitment policy proposed by R. Dennis. Estimates of the model parameters are obtained by Bayesian estimation technique with use of the Metropolis-Hastings algorithm and the Kalman filter. The diagnostics proposed by Brooks and Gelmanand Geweke are carried out to examine the convergence of the Markov chain. We found out that the Czech National Bank pays a little attention to output stabilization in comparison to its concern over inflation targeting. The results indicates that the Czech National Bank's most important objective is inflation targeting. This result is in accordance with proclaimed monetary policy of the Czech National Bank.

Název v anglickém jazyce

Estimate of the Czech National Bank's Preferences in NOEM DSGE model

Popis výsledku anglicky

This article deals with estimation of preferences of the Czech National Bank. New Keynesian small open economy model developed by Gali and Monacelli with optimal commitment monetary policy is considered in order to estimate them. The article uses the solution for optimal commitment policy proposed by R. Dennis. Estimates of the model parameters are obtained by Bayesian estimation technique with use of the Metropolis-Hastings algorithm and the Kalman filter. The diagnostics proposed by Brooks and Gelmanand Geweke are carried out to examine the convergence of the Markov chain. We found out that the Czech National Bank pays a little attention to output stabilization in comparison to its concern over inflation targeting. The results indicates that the Czech National Bank's most important objective is inflation targeting. This result is in accordance with proclaimed monetary policy of the Czech National Bank.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

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)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2009

Kód důvěrnosti údajů

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

Název periodika

Bulletin of the Czech Econometric Society

ISSN

1212-074X

e-ISSN

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Svazek periodika

16

Číslo periodika v rámci svazku

26

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

21

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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