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@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 - JOUR
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}. 1. vyd. Praha: PROFESSIONAL PUBLISHING. s.~94-100. ISBN~978-80-7431-058-4. 2011.
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