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@inproceedings{707158, author = {Fitzová, Hana}, address = {Plzeň}, booktitle = {Mathematical Methods in Economics 2006}, keywords = {macroeconomic model; DSGE model; closed economy; open economy; Taylor rule; Bayesian estimation; Metropolis-Hastings algorithm}, language = {eng}, location = {Plzeň}, isbn = {80-7043-480-5}, pages = {167-173}, publisher = {Západočeská univerzita v Plzni}, title = {Bayesian Estimation of Closed and Open Czech Economy Model}, year = {2006} }
TY - JOUR ID - 707158 AU - Fitzová, Hana PY - 2006 TI - Bayesian Estimation of Closed and Open Czech Economy Model PB - Západočeská univerzita v Plzni CY - Plzeň SN - 8070434805 KW - macroeconomic model KW - DSGE model KW - closed economy KW - open economy KW - Taylor rule KW - Bayesian estimation KW - Metropolis-Hastings algorithm N2 - This paper illustrates behaviour of two models estimated on the Czech economy data. Presented models are DSGE models with monetary policy rule, inflation targeting and rational expectations. The first model is a forward-looking closed economy model with Taylor rule. The second model is a small scale new open economy forward-looking model also with Taylor rule. Both models are estimated by Bayesian estimation technique, concretely by the Metropolis-Hastings algorithm in Matlab. The estimation of the closed economy model does not represent any larger problem because the model is very robust. The open economy model better represents the Czech economy, but the estimation is more disputable. Important results of the estimation are discussed and illustrated in graphs. ER -
FITZOVÁ, Hana. Bayesian Estimation of Closed and Open Czech Economy Model. In \textit{Mathematical Methods in Economics 2006}. Plzeň: Západočeská univerzita v Plzni, 2006, p.~167-173. ISBN~80-7043-480-5.
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