Labour Market Modelling  within a DSGE Approach

u 2015

Labour Market Modelling within a DSGE Approach

TONNER, Jaromír, Stanislav TVRZ a Osvald VAŠÍČEK

Základní údaje

Originální název

Labour Market Modelling within a DSGE Approach

Autoři

TONNER, Jaromír (203 Česká republika, garant, domácí), Stanislav TVRZ (203 Česká republika, domácí) a Osvald VAŠÍČEK (203 Česká republika, domácí)

Vydání

Praha, 60 s. CNB working paper series, Working Paper 6/2015, 2015

Nakladatel

Česká národní banka

Další údaje

Jazyk

angličtina

Typ výsledku

Účelové publikace

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

text publikace

Kód RIV

RIV/00216224:14560/15:00085214

Organizační jednotka

Ekonomicko-správní fakulta

ISSN

Klíčová slova anglicky

DSGE; labour market; Nash bargaining; right to manage

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 11. 12. 2015 22:10, Mgr. Ing. Stanislav Tvrz, Ph.D.

Anotace

V originále

The goal of this paper is to find a suitable way of modelling the main labour market variables in the framework of the CNB’s core DSGE model. The model selection criteria are: the predictive ability for unemployment, the change in the overall predictive ability in comparison to the baseline model and the extent of the required model change. We find that the incorporation of a modified Galí, Smets and Wouters (2011) labour market specification allows us to predict unemployment with an acceptable forecast error. At the same time it leads to a moderate improvement in the overall predictive ability of the model and requires only minor adjustments to the model structure. Thus, it should be preferred to more complicated concepts that yield a similar improvement in predictive ability. We also came to the conclusion that the concept linking unemployment and the GDP gap is promising. However, its practical application would require (additional) improvement in the accuracy of the consumption prediction. As a practical experiment, we compare the inflation pressures arising from nominal wages and the exchange rate in the baseline model and in alternative specifications. The experiment is motivated by the use of the exchange rate as an additional monetary policy instrument by the CNB since November 2013 in an environment of near-zero interest rates and growing disinflationary pressures. We find that the baseline model tends to forecast higher nominal wage growth and lower exchange rate depreciation than the models with more elaborate labour markets. Therefore, the alternative models would probably have identified an even higher need for exchange rate depreciation than the baseline model did.

Návaznosti

MUNI/A/1235/2014, interní kód MU

Název: Aktuální přístupy k tvorbě a implementaci dynamických stochastických modelů všeobecné rovnováhy (Akronym: Aktuální přístupy k DSGE modelům)

Investor: Masarykova univerzita, Aktuální přístupy k tvorbě a implementaci dynamických stochastických modelů všeobecné rovnováhy, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

TONNER, Jaromír, Stanislav TVRZ a Osvald VAŠÍČEK. Labour Market Modelling within a DSGE Approach. Praha: Česká národní banka, 2015, 60 s. CNB working paper series, Working Paper 6/2015. ISSN 1803-7070.

@misc{1320820,
   author = {Tonner, Jaromír and Tvrz, Stanislav and Vašíček, Osvald},
   address = {Praha},
   keywords = {DSGE; labour market; Nash bargaining; right to manage},
   language = {eng},
   location = {Praha},
   publisher = {Česká národní banka},
   title = {Labour Market Modelling within a DSGE Approach},
   url = {http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2015_06.pdf},
   year = {2015}
}

TY  - GEN
ID  - 1320820
AU  - Tonner, Jaromír - Tvrz, Stanislav - Vašíček, Osvald
PY  - 2015
TI  - Labour Market Modelling within a DSGE Approach
VL  - CNB working paper series, Working Paper 6/2015
PB  - Česká národní banka
CY  - Praha
KW  - DSGE
KW  - labour market
KW  - Nash bargaining
KW  - right to manage
UR  - http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2015_06.pdf
L2  - http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2015_06.pdf
N2  - The goal of this paper is to find a suitable way of modelling the main labour market variables in the framework of the CNB’s core DSGE model. The model selection criteria are: the predictive ability for unemployment, the change in the overall predictive ability in comparison to the baseline model and the extent of the required model change. We find that the incorporation of a modified Galí, Smets and Wouters (2011) labour market specification allows us to predict unemployment with an acceptable forecast error. At the same time it leads to a moderate improvement in the overall predictive ability of the model and requires only minor adjustments to the model structure. Thus, it should be preferred to more complicated concepts that yield a similar improvement in predictive ability. We also came to the conclusion that the concept linking unemployment and the GDP gap is promising. However, its practical application would require (additional) improvement in the accuracy of the consumption prediction. As a practical experiment, we compare the inflation pressures arising from nominal wages and the exchange rate in the baseline model and in alternative specifications. The experiment is motivated by the use of the exchange rate as an additional monetary policy instrument by the CNB since November 2013 in an environment of near-zero interest rates and growing disinflationary pressures. We find that the baseline model tends to forecast higher nominal wage growth and lower exchange rate depreciation than the models with more elaborate labour markets. Therefore, the alternative models would probably have identified an even higher need for exchange rate depreciation than the baseline model did.
ER  -

TONNER, Jaromír, Stanislav TVRZ a Osvald VAŠÍČEK. \textit{Labour Market Modelling within a DSGE Approach}. Praha: Česká národní banka, 2015, 60 s. CNB working paper series, Working Paper 6/2015. ISSN~1803-7070.

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