Structural Changes in the Czech Economy: a DSGE Model Approach

J 2016

Structural Changes in the Czech Economy: a DSGE Model Approach

ČAPEK, Jan

Základní údaje

Originální název

Structural Changes in the Czech Economy: a DSGE Model Approach

Autoři

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

Vydání

Prague Economic Papers : Quarterly Journal of Economic Theory and Policy, Vysoká škola ekonomická v Praze, 2016, 1210-0455

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

Impakt faktor

Impact factor: 0.710

Kód RIV

RIV/00216224:14560/16:00089059

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.18267/j.pep.535

UT WoS

000371374000003

Klíčová slova anglicky

DSGE model;Bayesian estimation;structural change;rolling estimation;recursive impulse response

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 21. 2. 2023 16:49, Mgr. Pavlína Kurková

Anotace

V originále

This article identifies structural changes in the Czech economy in the period from 1996 to 2012 using a DSGE model estimated using Bayesian methods. A structural change is understood as a statistically significant change in model parameter(s). Prior to the first quarter of 1999, there was a structural change that can be primarily attributed to shocks impacting only the domestic economy, and to the domestic monetary authority's increased preferences towards inflation and exchange rate growth. The elasticity of substitution between domestic and imported consumption goods also increased sharply in this period. As far as the recent economic recession is concerned, it was caused by a much more persistent world-wide technology shock. Habit formation dropped abruptly during the crisis as households tended not to smooth their consumption much anymore. Recursive impulse response analysis carried out on the model suggests that the propagation mechanisms in the model economy changed, implying that the identified structural changes were accompanied by a change in behavior of the model economy.

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

535.pdf

Požádat o autorskou verzi souboru

Citovat

ČAPEK, Jan. Structural Changes in the Czech Economy: a DSGE Model Approach. Prague Economic Papers : Quarterly Journal of Economic Theory and Policy. Vysoká škola ekonomická v Praze, 2016, roč. 25, č. 1, s. 37-52. ISSN 1210-0455. Dostupné z: https://dx.doi.org/10.18267/j.pep.535.

@article{1232832,
   author = {Čapek, Jan},
   article_number = {1},
   doi = {http://dx.doi.org/10.18267/j.pep.535},
   keywords = {DSGE model;Bayesian estimation;structural change;rolling estimation;recursive impulse response},
   language = {eng},
   issn = {1210-0455},
   journal = {Prague Economic Papers : Quarterly Journal of Economic Theory and Policy},
   title = {Structural Changes in the Czech Economy: a DSGE Model Approach},
   url = {http://www.vse.cz/pep/535},
   volume = {25},
   year = {2016}
}

TY  - JOUR
ID  - 1232832
AU  - Čapek, Jan
PY  - 2016
TI  - Structural Changes in the Czech Economy: a DSGE Model Approach
JF  - Prague Economic Papers : Quarterly Journal of Economic Theory and Policy
VL  - 25
IS  - 1
SP  - 37-52
EP  - 37-52
PB  - Vysoká škola ekonomická v Praze
SN  - 12100455
KW  - DSGE model;Bayesian estimation;structural change;rolling estimation;recursive impulse response
UR  - http://www.vse.cz/pep/535
L2  - http://www.vse.cz/pep/535
N2  - This article identifies structural changes in the Czech economy in the period from 1996 to 2012 using a DSGE model estimated using Bayesian methods. A structural change is understood as a statistically significant change in model parameter(s). Prior to the first quarter of 1999, there was a structural change that can be primarily attributed to shocks impacting only the domestic economy, and to the domestic monetary authority's increased preferences towards inflation and exchange rate growth. The elasticity of substitution between domestic and imported consumption goods also increased sharply in this period. As far as the recent economic recession is concerned, it was caused by a much more persistent world-wide technology shock. Habit formation dropped abruptly during the crisis as households tended not to smooth their consumption much anymore. Recursive impulse response analysis carried out on the model suggests that the propagation mechanisms in the model economy changed, implying that the identified structural changes were accompanied by a change in behavior of the model economy.
ER  -

ČAPEK, Jan. Structural Changes in the Czech Economy: a DSGE Model Approach. \textit{Prague Economic Papers : Quarterly Journal of Economic Theory and Policy}. Vysoká škola ekonomická v Praze, 2016, roč.~25, č.~1, s.~37-52. ISSN~1210-0455. Dostupné z: https://dx.doi.org/10.18267/j.pep.535.

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