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

J 2015

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

ČAPEK, Jan

Základní údaje

Originální název

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

Autoři

ČAPEK, Jan (203 Česká republika, garant, domácí)

Vydání

Národohospodářský obzor, Masarykova univerzita, 2015, 1213-2446

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

URL

Kód RIV

RIV/00216224:14560/15:00082605

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.1515/revecp-2015-0001

UT WoS

000446825000006

Klíčová slova anglicky

real-time data;revision;DSGE model;Bayesian estimation;recursive estimation

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 12. 8. 2020 13:31, Mgr. Michal Petr

Anotace

V originále

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 measured more 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. The impulse response analysis suggests that the model behavior based on real-time and revised data is different.

Návaznosti

MUNI/A/1121/2014, interní kód MU

Název: Analýza chování ekonomiky během hospodářského cyklu pomocí dynamických makroekonomických modelů

Investor: Masarykova univerzita, Analýza chování ekonomiky během hospodářského cyklu pomocí dynamických makroekonomických modelů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Přiložené soubory

_Review_of_Economic_Perspectives__Estimating_DSGE_model_parameters_in_a_small_open_economy_Do_real-time_data_matter.pdf Verze souboru

Citovat

ČAPEK, Jan. Estimating DSGE model parameters in a small open economy: Do real-time data matter? Národohospodářský obzor. Masarykova univerzita, 2015, roč. 15, č. 1, s. 89-114. ISSN 1213-2446. Dostupné z: https://dx.doi.org/10.1515/revecp-2015-0001.

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   author = {Čapek, Jan},
   article_number = {1},
   doi = {http://dx.doi.org/10.1515/revecp-2015-0001},
   keywords = {real-time data;revision;DSGE model;Bayesian estimation;recursive estimation},
   language = {eng},
   issn = {1213-2446},
   journal = {Národohospodářský obzor},
   title = {Estimating DSGE model parameters in a small open economy: Do real-time data matter?},
   url = {https://content.sciendo.com/downloadpdf/journals/revecp/15/1/article-p89.xml},
   volume = {15},
   year = {2015}
}

TY  - JOUR
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AU  - Čapek, Jan
PY  - 2015
TI  - Estimating DSGE model parameters in a small open economy: Do real-time data matter?
JF  - Národohospodářský obzor
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PB  - Masarykova univerzita
SN  - 12132446
KW  - real-time data;revision;DSGE model;Bayesian estimation;recursive estimation
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L2  - https://content.sciendo.com/downloadpdf/journals/revecp/15/1/article-p89.xml
N2  - 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 measured more 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. The impulse response analysis suggests that the model behavior based on real-time and revised data is different.
ER  -

ČAPEK, Jan. Estimating DSGE model parameters in a small open economy: Do real-time data matter? \textit{Národohospodářský obzor}. Masarykova univerzita, 2015, roč.~15, č.~1, s.~89-114. ISSN~1213-2446. Dostupné z: https://dx.doi.org/10.1515/revecp-2015-0001.

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