Bayesian estimation of model with financial frictions on Czech data

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00053250" target="_blank" >RIV/00216224:14560/11:00053250 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/61384399:31140/11:00040447

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Bayesian estimation of model with financial frictions on Czech data

Popis výsledku v původním jazyce

As the global economy seems to be recovering from 2009 financial crisis, we find it desirable to look back and analyze Czech economy ex post. We work with Swedish New Keynesian model of a small open economy which embeds financial frictions in light of financial accelerator literature. Without explicitly modeling the banking sector, this model serves as a tool to understand how a negative financial shock may spread into real economy and how monetary policy may react. Financial variables turn out to be asignificant driver in explaining the business cycle dynamics. We use Bayesian techniques to re-estimate original model parameters to adjust the model structure closer to evidence stemming from Czech data. Our attention focuses on a series of experimentsin which we generate ex post forecasts of the economy prior to 2009 crisis and illustrate that monetary policy response to upcoming crisis in case of the Czech Republic might have been even more aggressive in terms of policy rate cut.

Název v anglickém jazyce

Bayesian estimation of model with financial frictions on Czech data

Popis výsledku anglicky

As the global economy seems to be recovering from 2009 financial crisis, we find it desirable to look back and analyze Czech economy ex post. We work with Swedish New Keynesian model of a small open economy which embeds financial frictions in light of financial accelerator literature. Without explicitly modeling the banking sector, this model serves as a tool to understand how a negative financial shock may spread into real economy and how monetary policy may react. Financial variables turn out to be asignificant driver in explaining the business cycle dynamics. We use Bayesian techniques to re-estimate original model parameters to adjust the model structure closer to evidence stemming from Czech data. Our attention focuses on a series of experimentsin which we generate ex post forecasts of the economy prior to 2009 crisis and illustrate that monetary policy response to upcoming crisis in case of the Czech Republic might have been even more aggressive in terms of policy rate cut.

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

2011

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 29th International Conference on Mathematical Methods in Economics

ISBN

978-80-7431-058-4

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

611-616

Název nakladatele

Professional Publishing

Místo vydání

Praha

Místo konání akce

Liptovský Ján

Datum konání akce

1. 1. 2011

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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