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@inproceedings{898769,
author = {Čapek, Jan},
address = {České Budějovice},
booktitle = {28th International Conference on Mathematical Methods in Economics 2010},
edition = {1.},
editor = {Houda, M; Friebelova, J},
keywords = {Global Sensitivity Analysis; economic crisis; crisis data; recursive estimate; shock decomposition; RMSE analysis},
howpublished = {tištěná verze "print"},
language = {eng},
location = {České Budějovice},
isbn = {978-80-7394-218-2},
pages = {90-97},
publisher = {University of South Bohemia, Faculty of Economics},
title = {DSGE Model Sensitivity to Current Recession},
year = {2010}
}
TY - JOUR
ID - 898769
AU - Čapek, Jan
PY - 2010
TI - DSGE Model Sensitivity to Current Recession
PB - University of South Bohemia, Faculty of Economics
CY - České Budějovice
SN - 9788073942182
KW - Global Sensitivity Analysis
KW - economic crisis
KW - crisis data
KW - recursive estimate
KW - shock decomposition
KW - RMSE analysis
N2 - The goal of the paper is to investigate whether the behavior of a DSGE model changes as crisis data are incorporated into the information set. The paper comes to two major findings: a drop in the estimate of habit persistence in consumption $h$ and a jump in the persistence of the world-wide technology shock $\rho_Z$ when crisis data are incorporated. The main cause for the harsh changes in estimates of these parameters in the first quarter of crisis year 2009 is probably a two-percentage-points drop in Euroarea 3-months rates, which is a biggest quarter-to-quarter change in the time series ever. Moreover, the changes are fueled by movements in foreign inflation and output growth, which (together with the interest rate) contradict the workings of the Taylor rule. In the eyes of the model, the European central bank holds its interest rates unreasonably low.
ER -
ČAPEK, Jan. DSGE Model Sensitivity to Current Recession. In Houda, M; Friebelova, J. \textit{28th International Conference on Mathematical Methods in Economics 2010}. 1. vyd. České Budějovice: University of South Bohemia, Faculty of Economics, 2010, s.~90-97. ISBN~978-80-7394-218-2.
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