Parameter drifting in the second order approximated model

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00054465" target="_blank" >RIV/00216224:14560/11:00054465 - 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

Parameter drifting in the second order approximated model

Popis výsledku v původním jazyce

We investigate the possible drifting of structural parameters in an estimated small open economy DSGE model. We run a particle filter on the second-order approximated model. Nonlinear filtration is necessary for model agents to capture nontrivial influence of structural changes on model agents' behaviour. In our previous work we found out that models designed for monetary policy analysis and forecasting of an economy that is undergoing structural changes must include time-varying parameters. These parameters can be either structural parameters or other exogenous processes (technologies) showing the specific characteristics of individual sectors. From the perspective of monetary policy analysis and forecasting, it seems more convenient to assume that the structural parameters are stable and use sectoral technologies owing to their aggregate form. In this work, we confirm the previous results but on the second-order approximated model.

Název v anglickém jazyce

Parameter drifting in the second order approximated model

Popis výsledku anglicky

We investigate the possible drifting of structural parameters in an estimated small open economy DSGE model. We run a particle filter on the second-order approximated model. Nonlinear filtration is necessary for model agents to capture nontrivial influence of structural changes on model agents' behaviour. In our previous work we found out that models designed for monetary policy analysis and forecasting of an economy that is undergoing structural changes must include time-varying parameters. These parameters can be either structural parameters or other exogenous processes (technologies) showing the specific characteristics of individual sectors. From the perspective of monetary policy analysis and forecasting, it seems more convenient to assume that the structural parameters are stable and use sectoral technologies owing to their aggregate form. In this work, we confirm the previous results but on the second-order approximated model.

Druh

O - Ostatní výsledky

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