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@misc{628268,
author = {Vašíček, Osvald and Musil, Karel},
address = {Brno},
keywords = {Czech economy; inflation targeting; DSGE model; rational expectation; monetary policy; Taylor rule; Kalman filter with maximum likelyhood},
language = {eng},
location = {Brno},
publisher = {CVKSČE MU},
title = {The Czech Economy with Inflation Targeting Represented by DSGE Model: Analysis of Behaviour},
year = {2005}
}
TY - GEN
ID - 628268
AU - Vašíček, Osvald - Musil, Karel
PY - 2005
TI - The Czech Economy with Inflation Targeting Represented by DSGE Model: Analysis of Behaviour
VL - WP č.7/2005
PB - CVKSČE MU
CY - Brno
KW - Czech economy
KW - inflation targeting
KW - DSGE model
KW - rational expectation
KW - monetary policy
KW - Taylor rule
KW - Kalman filter with maximum likelyhood
N2 - The working paper is aimed to the behaviour analysis of the Czech economy with inflation targeting regime represented by a New Keynesian dynamic stochastic general equilibrium model (DSGE) consistently based on theoretical microeconomic foundations. The model is created by the relations of finished goods producing and intermediate goods producing firms, representative households and a central bank. Monetary policy of the central bank is represented by the generalized Taylor rule. The working paper contains the method for solving a linearized model containing rational expectations. The Kalman filter with maximum likelihood is introduced for an estimation of the solved model. The Kalman smoother is used for an estimation of the smoothed inflation target, which is an unobserved state. The model seems to give very satisfactory approximation of the Czech economy behaviour. The final part of the working paper is devoted to the analysis of behaviour based on simulated model responses.
ER -
VAŠÍČEK, Osvald and Karel MUSIL. \textit{The Czech Economy with Inflation Targeting Represented by DSGE Model: Analysis of Behaviour}. Brno: CVKSČE MU, 2005, 62 pp. WP č.7/2005.
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