Changes in the behavior of economies in a DSGE model in the
course of time

D 2011

Changes in the behavior of economies in a DSGE model in the course of time

ČAPEK, Jan

Basic information

Original name

Changes in the behavior of economies in a DSGE model in the course of time

Authors

ČAPEK, Jan (203 Czech Republic, guarantor, belonging to the institution)

Edition

1. vyd. Praha, Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011, p. 94-100, 7 pp. 2011

Publisher

PROFESSIONAL PUBLISHING

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

printed version "print"

RIV identification code

RIV/00216224:14560/11:00053100

Organization unit

Faculty of Economics and Administration

ISBN

978-80-7431-058-4

UT WoS

000309074600015

Keywords in English

DSGE model; economic recession; change in model behavior; Bayesian estimates; impulse response function

Abstract

V originále

The contribution uses a NK DSGE model as a tool for analysis of model behavior. The used macroeconomic model is a SOE model derived from microeconomic foundations and presumes four types of agents. Aim of the contribution is to identify changes in behavior of modeled economies during dramatic economic events and explain observed changes in the mechanics of the model. The method proceeds from Bayesian estimates of parameters and impulse response functions. In order to analyze changes in parameter estimates and impulse response functions in time, a number of estimation procedures are carried out. Each estimation involves the same baseline model with the same prior setting and varies only in the time-frame of the data set. Resulting changes in the estimates of parameters and different shapes of impulse response functions may point to changes in behavior of the system caused only by using different data span. Such model results may be explained in the context of changed behavior of economic agents.

Links

1M0524, research and development project

Name: Centrum výzkumu konkurenční schopnosti české ekonomiky

Investor: Ministry of Education, Youth and Sports of the CR, Research Centre for the Competitiveness of the Czech Economy

Files attached

mme2011_capek_rev_v01.pdf File version

Citovat

ČAPEK, Jan. Changes in the behavior of economies in a DSGE model in the course of time. In Dlouhy, M; Skocdopolova, V. Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011. 1st ed. Praha: PROFESSIONAL PUBLISHING, 2011, p. 94-100. ISBN 978-80-7431-058-4.

@inproceedings{950078,
   author = {Čapek, Jan},
   address = {Praha},
   booktitle = {Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011},
   edition = {1.},
   editor = {Dlouhy, M; Skocdopolova, V},
   keywords = {DSGE model; economic recession; change in model behavior; Bayesian estimates; impulse response function},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Praha},
   isbn = {978-80-7431-058-4},
   pages = {94-100},
   publisher = {PROFESSIONAL PUBLISHING},
   title = {Changes in the behavior of economies in a DSGE model in the course of time},
   year = {2011}
}

TY  - CONF
ID  - 950078
AU  - Čapek, Jan
PY  - 2011
TI  - Changes in the behavior of economies in a DSGE model in the course of time
PB  - PROFESSIONAL PUBLISHING
CY  - Praha
SN  - 9788074310584
KW  - DSGE model
KW  - economic recession
KW  - change in model behavior
KW  - Bayesian estimates
KW  - impulse response function
N2  - The contribution uses a NK DSGE model as a tool for analysis of model behavior. The used macroeconomic model is a SOE model derived from microeconomic foundations and presumes four types of agents. Aim of the contribution is to identify changes in behavior of modeled economies during dramatic economic events and explain observed changes in the mechanics of the model. The method proceeds from Bayesian estimates of parameters and impulse response functions. In order to analyze changes in parameter estimates and impulse response functions in time, a number of estimation procedures are carried out. Each estimation involves the same baseline model with the same prior setting and varies only in the time-frame of the data set. Resulting changes in the estimates of parameters and different shapes of impulse response functions may point to changes in behavior of the system caused only by using different data span. Such model results may be explained in the context of changed behavior of economic agents.
ER  -

ČAPEK, Jan. Changes in the behavior of economies in a DSGE model in the course of time. In Dlouhy, M; Skocdopolova, V. \textit{Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011}. 1st ed. Praha: PROFESSIONAL PUBLISHING, 2011, p.~94-100. ISBN~978-80-7431-058-4.

Detailed Information on Publication Record