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

Basic information

Original name

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

Authors

ČAPEK, Jan (203 Czech Republic, guarantor, belonging to the institution)

Edition

Národohospodářský obzor, Masarykova univerzita, 2015, 1213-2446

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

URL

RIV identification code

RIV/00216224:14560/15:00082605

Organization unit

Faculty of Economics and Administration

DOI

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

UT WoS

000446825000006

Keywords in English

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

Abstract

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.

Links

MUNI/A/1121/2014, interní kód MU

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

Investor: Masaryk University, Category A

Files attached

_Review_of_Economic_Perspectives__Estimating_DSGE_model_parameters_in_a_small_open_economy_Do_real-time_data_matter.pdf File version

Citovat

ČAPEK, Jan. Estimating DSGE model parameters in a small open economy: Do real-time data matter? Národohospodářský obzor. Masarykova univerzita, 2015, vol. 15, No 1, p. 89-114. ISSN 1213-2446. Available from: https://dx.doi.org/10.1515/revecp-2015-0001.

@article{1231922,
   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
ID  - 1231922
AU  - Čapek, Jan
PY  - 2015
TI  - Estimating DSGE model parameters in a small open economy: Do real-time data matter?
JF  - Národohospodářský obzor
VL  - 15
IS  - 1
SP  - 89-114
EP  - 89-114
PB  - Masarykova univerzita
SN  - 12132446
KW  - real-time data;revision;DSGE model;Bayesian estimation;recursive estimation
UR  - https://content.sciendo.com/downloadpdf/journals/revecp/15/1/article-p89.xml
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, vol.~15, No~1, p.~89-114. ISSN~1213-2446. Available from: https://dx.doi.org/10.1515/revecp-2015-0001.

Detailed Information on Publication Record