Nonlinear DSGE model of the Czech economy with time-varying
parameters

D 2013

Nonlinear DSGE model of the Czech economy with time-varying parameters

TVRZ, Stanislav a Osvald VAŠÍČEK

Základní údaje

Originální název

Nonlinear DSGE model of the Czech economy with time-varying parameters

Autoři

TVRZ, Stanislav a Osvald VAŠÍČEK

Vydání

1. vyd. Jihlava, Proceedings of the 31st International Conference Mathematical Methods in Economics, od s. 968-973, 6 s. 2013

Nakladatel

College of Polytechnics Jihlava

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

elektronická verze "online"

Odkazy

conference proceedings

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/13:00069277

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-87035-76-4

UT WoS

000335578000164

Klíčová slova anglicky

nonlinear DSGE model; time-varying parameters; unscented particle filter

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 8. 4. 2015 15:33, Mgr. Daniela Marcollová

Anotace

V originále

In this paper, we study the changes in the structure and behaviour of a small open economy in a period of global recession and subsequent return to the long-run equilibrium. An example of the Czech real economy represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator is employed to explore this problem. The development of time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of unscented particle filter. It is the prim egoal of this paper to identify the most important changes of the structural parameters and interpret them in terms of behaviour of representative economic agents. We focus on the subset of parameters that are generally considered deep, i.e. time-invariant. Changes of these parameters during the period of global recession would imply that the structure of the economy together with its behaviour changed as a consequence of the recession. The changing behaviour of the economy is described by time-varying impulse response functions.

Návaznosti

MUNI/A/0784/2012, interní kód MU

Název: ANALÝZA VÝVOJE EKONOMIKY A HOSPODÁŘSKÉ POLITIKY V OBDOBÍ DOZNÍVAJÍCÍ GLOBÁLNÍ KRIZE: DSGE modely malých otevřených ekonomik s finančními frikcemi a frikcemi trhu práce (Akronym: Analýza vývoje ekonomiky a hospodářské politiky)

Investor: Masarykova univerzita, ANALÝZA VÝVOJE EKONOMIKY A HOSPODÁŘSKÉ POLITIKY V OBDOBÍ DOZNÍVAJÍCÍ GLOBÁLNÍ KRIZE: DSGE modely malých otevřených ekonomik s finančními frikcemi a frikcemi trhu práce, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

TVRZ, Stanislav a Osvald VAŠÍČEK. Nonlinear DSGE model of the Czech economy with time-varying parameters. Online. In Vojackova, H. Proceedings of the 31st International Conference Mathematical Methods in Economics. 1. vyd. Jihlava: College of Polytechnics Jihlava, 2013, s. 968-973. ISBN 978-80-87035-76-4.

@inproceedings{1122019,
   author = {Tvrz, Stanislav and Vašíček, Osvald},
   address = {Jihlava},
   booktitle = {Proceedings of the 31st International Conference Mathematical Methods in Economics},
   edition = {1. vyd.},
   editor = {Vojackova, H},
   keywords = {nonlinear DSGE model; time-varying parameters; unscented particle filter},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Jihlava},
   isbn = {978-80-87035-76-4},
   pages = {968-973},
   publisher = {College of Polytechnics Jihlava},
   title = {Nonlinear DSGE model of the Czech economy with time-varying parameters},
   url = {https://www.vspj.cz/soubory/download/id/2259},
   year = {2013}
}

TY  - CONF
ID  - 1122019
AU  - Tvrz, Stanislav - Vašíček, Osvald
PY  - 2013
TI  - Nonlinear DSGE model of the Czech economy with time-varying parameters
PB  - College of Polytechnics Jihlava
CY  - Jihlava
SN  - 9788087035764
KW  - nonlinear DSGE model
KW  - time-varying parameters
KW  - unscented particle filter
UR  - https://www.vspj.cz/soubory/download/id/2259
L2  - https://www.vspj.cz/soubory/download/id/2259
N2  - In this paper, we study the changes in the structure and behaviour of a small open economy in a period of global recession and subsequent return to the long-run equilibrium. An example of the Czech real economy represented by nonlinear dynamic stochastic model of a general equilibrium with financial accelerator is employed to explore this problem. The development of time-varying structural parameters is identified using the second order approximation of a nonlinear DSGE model. The model is estimated with the use of unscented particle filter. It is the prim egoal of this paper to identify the most important changes of the structural parameters and interpret them in terms of behaviour of representative economic agents. We focus on the subset of parameters that are generally considered deep, i.e. time-invariant. Changes of these parameters during the period of global recession would imply that the structure of the economy together with its behaviour changed as a consequence of the recession. The changing behaviour of the economy is described by time-varying impulse response functions.
ER  -

TVRZ, Stanislav a Osvald VAŠÍČEK. Nonlinear DSGE model of the Czech economy with time-varying parameters. Online. In Vojackova, H. \textit{Proceedings of the 31st International Conference Mathematical Methods in Economics}. 1. vyd. Jihlava: College of Polytechnics Jihlava, 2013, s.~968-973. ISBN~978-80-87035-76-4.

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