Structural Differences in DSGE Models with Nominal Rigidities

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F10%3A00044751" target="_blank" >RIV/00216224:14560/10:00044751 - 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

Structural Differences in DSGE Models with Nominal Rigidities

Popis výsledku v původním jazyce

The goal of this paper is to evaluate whether there exist some structural differences in Czech economy and Euroarea economy, concerning modelling business cycles using DSGE approach. This paper estimates several versions of a small open economy DSGE model with nominal rigidities and these versions differ in assumptions about some structural parameters. These parameters can be assumed as common for both economies or as different in these economies. Structural differences in economies can be seen as significant differences in values of these parameters. Difference is regarded as significant, if data fit of models which allow for different values of these parameters are better than data fit of those models with the common values of these parameters. All models are estimated using Bayesian techniques, particularly Metropolis-Hastings algorithm (using Dynare toolbox for Matlab). The data fit measure is a Bayes factor calculated from marginal likelihood, acquired from Bayesian estimation.

Název v anglickém jazyce

Structural Differences in DSGE Models with Nominal Rigidities

Popis výsledku anglicky

The goal of this paper is to evaluate whether there exist some structural differences in Czech economy and Euroarea economy, concerning modelling business cycles using DSGE approach. This paper estimates several versions of a small open economy DSGE model with nominal rigidities and these versions differ in assumptions about some structural parameters. These parameters can be assumed as common for both economies or as different in these economies. Structural differences in economies can be seen as significant differences in values of these parameters. Difference is regarded as significant, if data fit of models which allow for different values of these parameters are better than data fit of those models with the common values of these parameters. All models are estimated using Bayesian techniques, particularly Metropolis-Hastings algorithm (using Dynare toolbox for Matlab). The data fit measure is a Bayes factor calculated from marginal likelihood, acquired from Bayesian estimation.

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)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics 2010

ISBN

978-80-7394-218-2

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

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Název nakladatele

University of South Bohemia, Faculty of Economics

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

1. 1. 2010

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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