A prediction of long-run macroeconomic relations and investigation of domestic shock effects in the Czech economy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86078948" target="_blank" >RIV/61989100:27510/11:86078948 - 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

A prediction of long-run macroeconomic relations and investigation of domestic shock effects in the Czech economy

Popis výsledku v původním jazyce

The aim of the paper is to estimate a macroeconomic model of the Czech economy which will be used for the investigation of impulse response function to domestic and external shocks and a macroeconomic development prediction will be compared with the realCzech economy development. The macroeconomic model uses a modification of the modelling strategy developed by Garratt, Lee, Pesaran and Shin (2006). The strategy provides a practical approach to incorporating theoretic long-run relationships of a smallopen economy through a structural vector error correction model (VECM). The data are quarterly and run from the first quarter 1996 to the fourth quarter of 2010. We are able to identify the long-run structure amongst those variables and to test over-identifying restrictions on the cointegrating vectors. We analyse the consequences of imposing the long-run restrictions for the impulse response functions. The estimated macroeconomic model has been used for the prediction.

Název v anglickém jazyce

A prediction of long-run macroeconomic relations and investigation of domestic shock effects in the Czech economy

Popis výsledku anglicky

The aim of the paper is to estimate a macroeconomic model of the Czech economy which will be used for the investigation of impulse response function to domestic and external shocks and a macroeconomic development prediction will be compared with the realCzech economy development. The macroeconomic model uses a modification of the modelling strategy developed by Garratt, Lee, Pesaran and Shin (2006). The strategy provides a practical approach to incorporating theoretic long-run relationships of a smallopen economy through a structural vector error correction model (VECM). The data are quarterly and run from the first quarter 1996 to the fourth quarter of 2010. We are able to identify the long-run structure amongst those variables and to test over-identifying restrictions on the cointegrating vectors. We analyse the consequences of imposing the long-run restrictions for the impulse response functions. The estimated macroeconomic model has been used for the prediction.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F1015" target="_blank" >GA402/08/1015: Makroekonomické modely české ekonomiky a dalších ekonomik zemí EU</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Models and Methods in Modern Science

ISBN

978-1-61804-055-8

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

15-20

Název nakladatele

WSEAS Press

Místo vydání

Puerto De La Cruz

Místo konání akce

Puerto De La Cruz, Tenerife

Datum konání akce

10. 12. 2011

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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