Comparing the fit of New Keynesian DSGE models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F10%3A00044815" target="_blank" >RIV/00216224:14560/10:00044815 - 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

Comparing the fit of New Keynesian DSGE models

Popis výsledku v původním jazyce

The paper is focused on an analysis of model fit of DSGE models following NOEM. Unlike most of the literature on the topic,this paper does not use posterior odds to analyze model fit to data;it uses alternative tools instead. In order to compare the results of the alternative tools to the standard posterior odds ratio, this paper uses the findings of Slanicay and Vašíček (2009)[SV2009],who compared model fit to data of several models with posterior odds. The goal of the paper is to verify the results ofSV2009 with different criteria than posterior odds. The tools for the analysis are criteria based on RMSE and tools from the Global Sensitivity Analysis toolbox. Conclusions of this paper are the following: Habit persistence in consumption is found to be important and price indexation unimportant as in SV2009. Furthermore,model variants with exogenous foreign economy always perform better than the ones with structurally modeled foreign economy. This finding is in contradiction to the re

Název v anglickém jazyce

Comparing the fit of New Keynesian DSGE models

Popis výsledku anglicky

The paper is focused on an analysis of model fit of DSGE models following NOEM. Unlike most of the literature on the topic,this paper does not use posterior odds to analyze model fit to data;it uses alternative tools instead. In order to compare the results of the alternative tools to the standard posterior odds ratio, this paper uses the findings of Slanicay and Vašíček (2009)[SV2009],who compared model fit to data of several models with posterior odds. The goal of the paper is to verify the results ofSV2009 with different criteria than posterior odds. The tools for the analysis are criteria based on RMSE and tools from the Global Sensitivity Analysis toolbox. Conclusions of this paper are the following: Habit persistence in consumption is found to be important and price indexation unimportant as in SV2009. Furthermore,model variants with exogenous foreign economy always perform better than the ones with structurally modeled foreign economy. This finding is in contradiction to the re

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

2010

Kód důvěrnosti údajů

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

Název periodika

Ekonomická revue

ISSN

1212-3951

e-ISSN

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Svazek periodika

13

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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