Habit Formation, Price Indexation and Wage Indexation in the
DSGE Model: Specification, Estimation and Model Fit

J 2011

Habit Formation, Price Indexation and Wage Indexation in the DSGE Model: Specification, Estimation and Model Fit

SLANICAY, Martin a Osvald VAŠÍČEK

Základní údaje

Originální název

Habit Formation, Price Indexation and Wage Indexation in the DSGE Model: Specification, Estimation and Model Fit

Autoři

SLANICAY, Martin (203 Česká republika, garant, domácí) a Osvald VAŠÍČEK (203 Česká republika)

Vydání

Národohospodářský obzor – Review of Economic Perspectives, Brno, Masaryk University, 2011, 1213-2446

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Kód RIV

RIV/00216224:14560/11:00052649

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

New Keynesian DSGE model; habit formation; price indexation; wage indexation; model comparison; Bayes factor

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 13. 7. 2011 12:48, Mgr. Martin Slanicay, Ph.D.

Anotace

V originále

In order to determine which specification provides better fit of the data, this paper presents several specifications of a closed economy DSGE model with nominal rigidities. The goal of this paper is to find out whether some characteristics widely used in New Keynesian DSGE models, such as habit formation in consumption, price indexation and wage indexation, provide better fit of the macroeconomic data. Model specifications are estimated on the data of the US economy and Euro Area 12 economy, using Bayesian techniques, particularly the Metropolis Hastings algorithm. The data fit measure is a Bayes factor calculated from marginal likelihoods. Results suggest that including habit formation in consumption significantly improves the empirical data fit of the model, whereas including partial price indexation and partial wage indexation does not improve the empirical data fit of the model. Variants with full price indexation and full wage indexation were the worst ones concerning their data fit.

Návaznosti

1M0524, projekt VaV

Název: Centrum výzkumu konkurenční schopnosti české ekonomiky

Investor: Ministerstvo školství, mládeže a tělovýchovy ČR, Centrum výzkumu konkurenční schopnosti české ekonomiky

Citovat

SLANICAY, Martin a Osvald VAŠÍČEK. Habit Formation, Price Indexation and Wage Indexation in the DSGE Model: Specification, Estimation and Model Fit. Národohospodářský obzor – Review of Economic Perspectives. Brno: Masaryk University, 2011, roč. 11, č. 2, s. 71-92, 23 s. ISSN 1213-2446.

@article{945120,
   author = {Slanicay, Martin and Vašíček, Osvald},
   article_location = {Brno},
   article_number = {2},
   keywords = {New Keynesian DSGE model; habit formation; price indexation; wage indexation; model comparison; Bayes factor},
   language = {eng},
   issn = {1213-2446},
   journal = {Národohospodářský obzor – Review of Economic Perspectives},
   title = {Habit Formation, Price Indexation and Wage Indexation in the DSGE Model: Specification, Estimation and Model Fit},
   url = {http://nho.econ.muni.cz/2011/2011-2/habit-formation-price-indexation-and-wage-indexation-dsge-model-specification-estimation},
   volume = {11},
   year = {2011}
}

TY  - JOUR
ID  - 945120
AU  - Slanicay, Martin - Vašíček, Osvald
PY  - 2011
TI  - Habit Formation, Price Indexation and Wage Indexation in the DSGE Model: Specification, Estimation and Model Fit
JF  - Národohospodářský obzor – Review of Economic Perspectives
VL  - 11
IS  - 2
SP  - 71-92
EP  - 71-92
PB  - Masaryk University
SN  - 12132446
KW  - New Keynesian DSGE model
KW  - habit formation
KW  - price indexation
KW  - wage indexation
KW  - model comparison
KW  - Bayes factor
UR  - http://nho.econ.muni.cz/2011/2011-2/habit-formation-price-indexation-and-wage-indexation-dsge-model-specification-estimation
N2  - In order to determine which specification provides better fit of the data, this paper presents several specifications of a closed economy DSGE model with nominal rigidities. The goal of this paper is to find out whether some characteristics widely used in New Keynesian DSGE models, such as habit formation in consumption, price indexation and wage indexation, provide better fit of the macroeconomic data. Model specifications are estimated on the data of the US economy and Euro Area 12 economy, using Bayesian techniques, particularly the Metropolis Hastings algorithm. The data fit measure is a Bayes factor calculated from marginal likelihoods. Results suggest that including habit formation in consumption significantly improves the empirical data fit of the model, whereas including partial price indexation and partial wage indexation does not improve the empirical data fit of the model. Variants with full price indexation and full wage indexation were the worst ones concerning their data fit.
ER  -

SLANICAY, Martin a Osvald VAŠÍČEK. Habit Formation, Price Indexation and Wage Indexation in the DSGE Model: Specification, Estimation and Model Fit. \textit{Národohospodářský obzor – Review of Economic Perspectives}. Brno: Masaryk University, 2011, roč.~11, č.~2, s.~71-92, 23 s. ISSN~1213-2446.

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