Structural Changes in the Czech Economy: a DSGE Model Approach

J 2016

Structural Changes in the Czech Economy: a DSGE Model Approach

ČAPEK, Jan

Basic information

Original name

Structural Changes in the Czech Economy: a DSGE Model Approach

Authors

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

Edition

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

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

Impact factor

Impact factor: 0.710

RIV identification code

RIV/00216224:14560/16:00089059

Organization unit

Faculty of Economics and Administration

DOI

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

UT WoS

000371374000003

Keywords in English

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

Abstract

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.

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

535.pdf

Request the author's version of the file

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, vol. 25, No 1, p. 37-52. ISSN 1210-0455. Available from: https://dx.doi.org/10.18267/j.pep.535.

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   doi = {http://dx.doi.org/10.18267/j.pep.535},
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   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}
}

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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, vol.~25, No~1, p.~37-52. ISSN~1210-0455. Available from: https://dx.doi.org/10.18267/j.pep.535.

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