Bayesian estimation of model with financial frictions on Czech
data

D 2011

Bayesian estimation of model with financial frictions on Czech data

RYŠÁNEK, Jakub; Jaromír TONNER and Osvald VAŠÍČEK

Basic information

Original name

Bayesian estimation of model with financial frictions on Czech data

Authors

RYŠÁNEK, Jakub (203 Czech Republic, guarantor); Jaromír TONNER (203 Czech Republic, belonging to the institution) and Osvald VAŠÍČEK (203 Czech Republic, belonging to the institution)

Edition

Praha, Proceedings of the 29th International Conference on Mathematical Methods in Economics, p. 611-616, 6 pp. 2011

Publisher

Professional Publishing

Other information

Language

English

Type of outcome

Proceedings paper

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

is not subject to a state or trade secret

RIV identification code

RIV/00216224:14560/11:00053250

Organization unit

Faculty of Economics and Administration

ISBN

978-80-7431-058-4

UT WoS

000309074600101

Keywords in English

financial frictions; Bayesian methods

Abstract

In the original language

As the global economy seems to be recovering from 2009 financial crisis, we find it desirable to look back and analyze Czech economy ex post. We work with Swedish New Keynesian model of a small open economy which embeds financial frictions in light of financial accelerator literature. Without explicitly modeling the banking sector, this model serves as a tool to understand how a negative financial shock may spread into real economy and how monetary policy may react. Financial variables turn out to be a significant driver in explaining the business cycle dynamics. We use Bayesian techniques to re-estimate original model parameters to adjust the model structure closer to evidence stemming from Czech data. Our attention focuses on a series of experiments in which we generate ex post forecasts of the economy prior to 2009 crisis and illustrate that monetary policy response to upcoming crisis in case of the Czech Republic might have been even more aggressive in terms of policy rate cut.

Links

MUNI/A/0943/2009, interní kód MU

Name: ANALÝZA A PROGNÓZA HOSPODÁŘSKÉ POLITIKY V OBDOBÍ RECESE: Modely malých otevřených, inflačně cílených ekonomik (Acronym: Analýza a prognóza hospodářské politiky)

Investor: Masaryk University, Category A

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

Cite

RYŠÁNEK, Jakub; Jaromír TONNER and Osvald VAŠÍČEK. Bayesian estimation of model with financial frictions on Czech data. In Martin Dlouhý, Veronika Skočdopolová. Proceedings of the 29th International Conference on Mathematical Methods in Economics. Praha: Professional Publishing, 2011, p. 611-616. ISBN 978-80-7431-058-4.

@inproceedings{951134,
   author = {Ryšánek, Jakub and Tonner, Jaromír and Vašíček, Osvald},
   address = {Praha},
   booktitle = {Proceedings of the 29th International Conference on Mathematical Methods in Economics},
   editor = {Martin Dlouhý, Veronika Skočdopolová},
   keywords = {financial frictions; Bayesian methods},
   language = {eng},
   location = {Praha},
   isbn = {978-80-7431-058-4},
   pages = {611-616},
   publisher = {Professional Publishing},
   title = {Bayesian estimation of model with financial frictions on Czech data},
   year = {2011}
}

TY  - CONF
ID  - 951134
AU  - Ryšánek, Jakub - Tonner, Jaromír - Vašíček, Osvald
PY  - 2011
TI  - Bayesian estimation of model with financial frictions on Czech data
PB  - Professional Publishing
CY  - Praha
SN  - 9788074310584
KW  - financial frictions
KW  - Bayesian methods
N2  - As the global economy seems to be recovering from 2009 financial crisis, we find it desirable to look back and analyze Czech economy ex post. We work with Swedish New Keynesian model of a small open economy which embeds financial frictions in light of financial accelerator literature. Without explicitly modeling the banking sector, this model serves as a tool to understand how a negative financial shock may spread into real economy and how monetary policy may react. Financial variables turn out to be a significant driver in explaining the business cycle dynamics. We use Bayesian techniques to re-estimate original model parameters to adjust the model structure closer to evidence stemming from Czech data. Our attention focuses on a series of experiments in which we generate ex post forecasts of the economy prior to 2009 crisis and illustrate that monetary policy response to upcoming crisis in case of the Czech Republic might have been even more aggressive in terms of policy rate cut.
ER  -

RYŠÁNEK, Jakub; Jaromír TONNER and Osvald VAŠÍČEK. Bayesian estimation of model with financial frictions on Czech data. In Martin Dlouhý, Veronika Skočdopolová. \textit{Proceedings of the 29th International Conference on Mathematical Methods in Economics}. Praha: Professional Publishing, 2011, p.~611-616. ISBN~978-80-7431-058-4.

Přehled o publikaci