Analysis of Structural Differences and Asymmetry of Shocks using Posterior Distributions

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00069278" target="_blank" >RIV/00216224:14560/13:00069278 - 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

Analysis of Structural Differences and Asymmetry of Shocks using Posterior Distributions

Popis výsledku v původním jazyce

The goal of this paper is to examine asymmetry of shocks and structural differences between the Czech economy and the euro area. For this purpose I use New Keynesian DSGE model of two economies which I estimate on the data of the Czech economy and the euro area, using Bayesian techniques. The applied method examines differences in values of the parameters by comparison of their posterior distributions. Results suggest that the main differences are in volatility, persistence, and timing of macroeconomicshocks. There are also several structural differences. It seems that the ECB smooths less the interest rate and reacts more to the development in output and inflation than the CNB. It also seems that prices in the Czech economy are more sticky than prices in the euro area, especially in the non-tradable sector. Results also suggest that domestic households are less willing to smooth consumption over the time then their foreign counterparts.

Název v anglickém jazyce

Analysis of Structural Differences and Asymmetry of Shocks using Posterior Distributions

Popis výsledku anglicky

The goal of this paper is to examine asymmetry of shocks and structural differences between the Czech economy and the euro area. For this purpose I use New Keynesian DSGE model of two economies which I estimate on the data of the Czech economy and the euro area, using Bayesian techniques. The applied method examines differences in values of the parameters by comparison of their posterior distributions. Results suggest that the main differences are in volatility, persistence, and timing of macroeconomicshocks. There are also several structural differences. It seems that the ECB smooths less the interest rate and reacts more to the development in output and inflation than the CNB. It also seems that prices in the Czech economy are more sticky than prices in the euro area, especially in the non-tradable sector. Results also suggest that domestic households are less willing to smooth consumption over the time then their foreign counterparts.

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)

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of 31st International Conference Mathematical Methods in Economics

ISBN

9788087035764

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

820-825

Název nakladatele

College of Polytechnics Jihlava

Místo vydání

Jihlava

Místo konání akce

Jihlava

Datum konání akce

1. 1. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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