Estimating DSGE model parameters in a small open economy: Do real-time data matter?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00082605" target="_blank" >RIV/00216224:14560/15:00082605 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1515/revecp-2015-0001" target="_blank" >http://dx.doi.org/10.1515/revecp-2015-0001</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1515/revecp-2015-0001" target="_blank" >10.1515/revecp-2015-0001</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Estimating DSGE model parameters in a small open economy: Do real-time data matter?

Popis výsledku v původním jazyce

This paper investigates the differences between parameters estimated using real-time and those estimated with revised data. The models used are New Keynesian DSGE models of the Czech, Polish, Hungarian, Swiss, and Swedish small open economies in interaction with the euro area. The paper also offers an analysis of data revisions of GDP growth and inflation and trend revisions of interest rates. Data revisions are found to be unbiased and not autocorrelated in all countries. Inflation is usually measuredmore accurately in real-time than GDP growth, but this is not the case in the euro area. The results of the core analysis suggest that there are significant differences between parameter estimates using real-time data and those estimated using revised data. The model parameters that are most prone to significant differences between real-time and revised estimations are habit in consumption and persistence of domestic supply, of demand, and of world-wide technology shocks.

Název v anglickém jazyce

Estimating DSGE model parameters in a small open economy: Do real-time data matter?

Popis výsledku anglicky

This paper investigates the differences between parameters estimated using real-time and those estimated with revised data. The models used are New Keynesian DSGE models of the Czech, Polish, Hungarian, Swiss, and Swedish small open economies in interaction with the euro area. The paper also offers an analysis of data revisions of GDP growth and inflation and trend revisions of interest rates. Data revisions are found to be unbiased and not autocorrelated in all countries. Inflation is usually measuredmore accurately in real-time than GDP growth, but this is not the case in the euro area. The results of the core analysis suggest that there are significant differences between parameter estimates using real-time data and those estimated using revised data. The model parameters that are most prone to significant differences between real-time and revised estimations are habit in consumption and persistence of domestic supply, of demand, and of world-wide technology shocks.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Národohospodářský obzor

ISSN

1213-2446

e-ISSN

—

Svazek periodika

15

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

26

Strana od-do

89-114

Kód UT WoS článku

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EID výsledku v databázi Scopus

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