A Proposal for a Flexible Trend Specification in DSGE Models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00089309" target="_blank" >RIV/00216224:14560/16:00089309 - isvavai.cz</a>

Výsledek na webu

<a href="http://nho.econ.muni.cz/2-2016/proposal-flexible-trend-specification-dsge-models" target="_blank" >http://nho.econ.muni.cz/2-2016/proposal-flexible-trend-specification-dsge-models</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1515/revecp-2016-0006" target="_blank" >10.1515/revecp-2016-0006</a>

Jazyk výsledku

angličtina

Název v původním jazyce

A Proposal for a Flexible Trend Specification in DSGE Models

Popis výsledku v původním jazyce

In this paper I propose a flexible trend specification for estimating DSGE models on log differences. I demonstrate this flexible trend specification on a New Keynesian DSGE model of two economies, which I consequently estimate on data from the Czech economy and the euro area, using Bayesian techniques. The advantage of the trend specification proposed is that the trend component and the cyclical component are modelled jointly in a single model. The proposed trend specification is flexible in the sense that smoothness of the trend can be easily modified by different calibration of some of the trend parameters. The results suggest that this method is capable of finding a very reasonable trend in the data. Moreover, comparison of forecast performance reveals that the proposed specification offers more reliable forecasts than the original variant of the model.

Název v anglickém jazyce

A Proposal for a Flexible Trend Specification in DSGE Models

Popis výsledku anglicky

In this paper I propose a flexible trend specification for estimating DSGE models on log differences. I demonstrate this flexible trend specification on a New Keynesian DSGE model of two economies, which I consequently estimate on data from the Czech economy and the euro area, using Bayesian techniques. The advantage of the trend specification proposed is that the trend component and the cyclical component are modelled jointly in a single model. The proposed trend specification is flexible in the sense that smoothness of the trend can be easily modified by different calibration of some of the trend parameters. The results suggest that this method is capable of finding a very reasonable trend in the data. Moreover, comparison of forecast performance reveals that the proposed specification offers more reliable forecasts than the original variant of the model.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

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

16

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

13

Strana od-do

73-85

Kód UT WoS článku

000406944800001

EID výsledku v databázi Scopus

2-s2.0-84978954617