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@inproceedings{778945, author = {Hloušek, Miroslav and Vašíček, Osvald}, address = {Liberec}, booktitle = {Mathematical Methods in Economics 2008}, keywords = {sensitivity analysis; nominal rigidities; DSGE model; Phillips curve; Bayesian estimation}, language = {eng}, location = {Liberec}, isbn = {978-80-7372-387-3}, pages = {192-197}, publisher = {Technická univerzita v Liberci}, title = {Sensitivity Analysis of DSGE Model of Open Economy with Nominal Rigidities}, year = {2008} }
TY - JOUR ID - 778945 AU - Hloušek, Miroslav - Vašíček, Osvald PY - 2008 TI - Sensitivity Analysis of DSGE Model of Open Economy with Nominal Rigidities PB - Technická univerzita v Liberci CY - Liberec SN - 9788073723873 KW - sensitivity analysis KW - nominal rigidities KW - DSGE model KW - Phillips curve KW - Bayesian estimation N2 - This paper deals with sensitivity analysis of DSGE model estimated on data of Czech economy using Bayesian techniques. The main goal is comparison of different competing models in terms how they fit the data. The benchmark model includes four types of nominal rigidities which are based on Calvo price setting mechanism. The competing models assume flexibility in some of these prices or combinations of them. The measure of fit depends on marginal likelihood obtained from Bayesian estimation. The emphasis is also put on the sensitivity of estimated parameters for different specifications of the model. The results of estimation show that frictions in import prices and wages play the most significant role in the model of Czech economy. Sticky wages are far more important than sticky prices. The most sensitive parameters are Frisch elasticity of labor supply and openness of the economy. On the other hand, the measurement errors are quite stable across the models and have negligible effect on the results. ER -
HLOUŠEK, Miroslav and Osvald VAŠÍČEK. Sensitivity Analysis of DSGE Model of Open Economy with Nominal Rigidities. In \textit{Mathematical Methods in Economics 2008}. Liberec: Technická univerzita v Liberci, 2008, p.~192-197. ISBN~978-80-7372-387-3.
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