Parameter drifting in the second order approximated model

u 2011

Parameter drifting in the second order approximated model

VAŠÍČEK, Osvald a Jaromír TONNER

Základní údaje

Originální název

Parameter drifting in the second order approximated model

Autoři

VAŠÍČEK, Osvald (203 Česká republika, domácí) a Jaromír TONNER (203 Česká republika, garant, domácí)

Vydání

Brno, 37 s. CVKSCE Working Papers, 4/2011, 2011

Nakladatel

Centrum výzkumu konkurenční schopnosti české ekonomiky

Další údaje

Jazyk

angličtina

Typ výsledku

Účelové publikace

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Kód RIV

RIV/00216224:14560/11:00054465

Organizační jednotka

Ekonomicko-správní fakulta

ISSN

Klíčová slova anglicky

DSGE models; time-varying parameters; second-order approximation

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 24. 2. 2012 10:27, prof. Ing. Osvald Vašíček, CSc.

Anotace

V originále

We investigate the possible drifting of structural parameters in an estimated small open economy DSGE model. We run a particle filter on the second-order approximated model. Nonlinear filtration is necessary for model agents to capture nontrivial influence of structural changes on model agents' behaviour. In our previous work we found out that models designed for monetary policy analysis and forecasting of an economy that is undergoing structural changes must include time-varying parameters. These parameters can be either structural parameters or other exogenous processes (technologies) showing the specific characteristics of individual sectors. From the perspective of monetary policy analysis and forecasting, it seems more convenient to assume that the structural parameters are stable and use sectoral technologies owing to their aggregate form. In this work, we confirm the previous results but on the second-order approximated model. We add that parameters capturing import intensity drift even in framework with added technologies. We also analyse the source of such drifting through decomposition of drifting parameters into observables. We found out that their drifting is mainly caused by export and import prices and exchange rate changes. We also confirm that the technology capturing Balass Samuelson effect is, at least in its cyclical component, a reflection of time-varying import intensity parameters.

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

VAŠÍČEK, Osvald a Jaromír TONNER. Parameter drifting in the second order approximated model. Brno: Centrum výzkumu konkurenční schopnosti české ekonomiky, 2011, 37 s. CVKSCE Working Papers, 4/2011. ISSN 1801-4496.

@misc{962562,
   author = {Vašíček, Osvald and Tonner, Jaromír},
   address = {Brno},
   keywords = {DSGE models; time-varying parameters; second-order approximation},
   language = {eng},
   location = {Brno},
   publisher = {Centrum výzkumu konkurenční schopnosti české ekonomiky},
   title = {Parameter drifting in the second order approximated model},
   url = {http://is.muni.cz/do/econ/soubory/oddeleni/centrum/papers/WP_04.pdf},
   year = {2011}
}

TY  - GEN
ID  - 962562
AU  - Vašíček, Osvald - Tonner, Jaromír
PY  - 2011
TI  - Parameter drifting in the second order approximated model
VL  - CVKSCE Working Papers, 4/2011
PB  - Centrum výzkumu konkurenční schopnosti české ekonomiky
CY  - Brno
KW  - DSGE models
KW  - time-varying parameters
KW  - second-order approximation
UR  - http://is.muni.cz/do/econ/soubory/oddeleni/centrum/papers/WP_04.pdf
N2  - We investigate the possible drifting of structural parameters in an estimated small open economy DSGE model. We run a particle filter on the second-order approximated model. Nonlinear filtration is necessary for model agents to capture nontrivial influence of structural changes on model agents' behaviour. In our previous work we found out that models designed for monetary policy analysis and forecasting of an economy that is undergoing structural changes must include time-varying parameters. These parameters can be either structural parameters or other exogenous processes (technologies) showing the specific characteristics of individual sectors. From the perspective of monetary policy analysis and forecasting, it seems more convenient to assume that the structural parameters are stable and use sectoral technologies owing to their aggregate form. In this work, we confirm the previous results but on the second-order approximated model. We add that parameters capturing import intensity drift even in framework with added technologies. We also analyse the source of such drifting through decomposition of drifting parameters into observables. We found out that their drifting is mainly caused by export and import prices and exchange rate changes. We also confirm that the technology capturing Balass Samuelson effect is, at least in its cyclical component, a reflection of time-varying import intensity parameters.
ER  -

VAŠÍČEK, Osvald a Jaromír TONNER. \textit{Parameter drifting in the second order approximated model}. Brno: Centrum výzkumu konkurenční schopnosti české ekonomiky, 2011, 37 s. CVKSCE Working Papers, 4/2011. ISSN~1801-4496.

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