Predictive performance of DSGE model for small open economy -
the case study of Czech Republic

J 2013

Predictive performance of DSGE model for small open economy - the case study of Czech Republic

JEŘÁBEK, Tomáš; Jakub TROJAN a Radka ŠPERKOVÁ

Základní údaje

Originální název

Predictive performance of DSGE model for small open economy - the case study of Czech Republic

Název česky

Predikční výkon DSGE modelu malé otevřené ekonomiky - případová studie České republiky

Autoři

JEŘÁBEK, Tomáš; Jakub TROJAN a Radka ŠPERKOVÁ

Vydání

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Brno, Mendelova univerzita v Brně, 2013, 1211-8516

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

Full article

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14310/13:00070677

Organizační jednotka

Přírodovědecká fakulta

DOI

https://doi.org/10.11118/actaun201361072229

Klíčová slova anglicky

GDP growth; inflation; interest rates; DSGE; DSGE-VAR; Log predictive density score; Bayesian averaging model

Štítky

AKR, rivok

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 22. 2. 2014 10:36, Mgr. Tomáš Jeřábek, Ph.D., MBA

Anotace

V originále

Multivariate time series forecasting is applied in a wide range of economic activities related to regional competitiveness and is the basis of almost all macroeconomic analysis. From the point of view of political practice is appropriate to seek a model that reached a quality prediction performance for all the variables. As monitored variables were used GDP growth, inflation and interest rates. The paper focuses on performance prediction evaluation of the small open economy New Keynesian DSGE model for the Czech republic, where Bayesian method are used for their parameters estimation, against different types of Bayesian and naive random walk model. The performance of models is identified using historical dates including domestic economy and foreign economy, which is represented by countries of the Eurozone. The results indicate that the DSGE model generates estimates that are competitive with other models used in this paper.

Návaznosti

MUNI/A/0902/2012, interní kód MU

Název: Globální environmentální změny v krajinné sféře Země a jejich dopady (Akronym: GlobE)

Investor: Masarykova univerzita, Globální environmentální změny v krajinné sféře Země a jejich dopady, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Přiložené soubory

actaun201361072229.pdf

Požádat o autorskou verzi souboru

Citovat

JEŘÁBEK, Tomáš; Jakub TROJAN a Radka ŠPERKOVÁ. Predictive performance of DSGE model for small open economy - the case study of Czech Republic. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. Brno: Mendelova univerzita v Brně, 2013, LXI, č. 7, s. 2229-2238. ISSN 1211-8516. Dostupné z: https://doi.org/10.11118/actaun201361072229.

@article{1138100,
   author = {Jeřábek, Tomáš and Trojan, Jakub and Šperková, Radka},
   article_location = {Brno},
   article_number = {7},
   doi = {https://doi.org/10.11118/actaun201361072229},
   keywords = {GDP growth; inflation; interest rates; DSGE; DSGE-VAR; Log predictive density score; Bayesian averaging model},
   language = {eng},
   issn = {1211-8516},
   journal = {Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis},
   title = {Predictive performance of DSGE model for small open economy - the case study of Czech Republic},
   url = {http://acta.mendelu.cz/61/7/2229/},
   volume = {LXI},
   year = {2013}
}

TY  - JOUR
ID  - 1138100
AU  - Jeřábek, Tomáš - Trojan, Jakub - Šperková, Radka
PY  - 2013
TI  - Predictive performance of DSGE model for small open economy - the case study of Czech Republic
JF  - Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
VL  - LXI
IS  - 7
SP  - 2229-2238
EP  - 2229-2238
PB  - Mendelova univerzita v Brně
SN  - 12118516
KW  - GDP growth
KW  - inflation
KW  - interest rates
KW  - DSGE
KW  - DSGE-VAR
KW  - Log predictive density score
KW  - Bayesian averaging model
UR  - http://acta.mendelu.cz/61/7/2229/
L2  - http://acta.mendelu.cz/61/7/2229/
N2  - Multivariate time series forecasting is applied in a wide range of economic activities related to regional competitiveness and is the basis of almost all macroeconomic analysis. From the point of view of political practice is appropriate to seek a model that reached a quality prediction performance for all the variables. As monitored variables were used GDP growth, inflation and interest rates. The paper focuses on performance prediction evaluation of the small open economy New Keynesian DSGE model for the Czech republic, where Bayesian method are used for their parameters estimation, against different types of Bayesian and naive random walk model. The performance of models is identified using historical dates including domestic economy and foreign economy, which is represented by countries of the Eurozone. The results indicate that the DSGE model generates estimates that are competitive with other models used in this paper.
ER  -

JEŘÁBEK, Tomáš; Jakub TROJAN a Radka ŠPERKOVÁ. Predictive performance of DSGE model for small open economy - the case study of Czech Republic. \textit{Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis}. Brno: Mendelova univerzita v Brně, 2013, LXI, č.~7, s.~2229-2238. ISSN~1211-8516. Dostupné z: https://doi.org/10.11118/actaun201361072229.

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