Investigating structural differences of the Czech economy: Does
asymmetry of shocks matter?

J 2012

Investigating structural differences of the Czech economy: Does asymmetry of shocks matter?

HERBER, Pavel a Daniel NĚMEC

Základní údaje

Originální název

Investigating structural differences of the Czech economy: Does asymmetry of shocks matter?

Název česky

Strukturální odlišnosti České ekonomiky a role asymetrických šoků

Autoři

HERBER, Pavel a Daniel NĚMEC

Vydání

Bulletin of the Czech Econometric Society, Czech Econometric Society, 2012, 1212-074X

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

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/12:00059319

Organizační jednotka

Ekonomicko-správní fakulta

UT WoS

000287979900039

Klíčová slova anglicky

Two-country DSGE model; Bayesian estimation; Structural heterogeneity; Asymmetric shocks

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 11. 2. 2012 11:53, doc. Ing. Daniel Němec, Ph.D.

Anotace

V originále

The goal of this paper is to evaluate heterogeneity between the Czech Republic and the Euro area, because different behavior of agents or asymmetric shocks cut benefits from the entering monetary union. For this purpose, we introduce a two-country dynamic stochastic general equilibrium model that allows different sources of heterogeneity between countries. We focus on differences in structural parameters and asymmetry of shocks hitting the two economies. Using Bayesian techniques, we estimate various specifications of log-linear models (unrestricted and nested) and then we test different sources of heterogeneity. Our results indicate that the main sources of heterogeneity are price and wage rigidities and the asymmetry of shocks. On the other hand, we have found strong evidence in favor of homogeneity in parameters describing utility function of households.

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

HERBER, Pavel a Daniel NĚMEC. Investigating structural differences of the Czech economy: Does asymmetry of shocks matter? Bulletin of the Czech Econometric Society. Czech Econometric Society, 2012, roč. 19, č. 29, s. 28-49. ISSN 1212-074X.

@article{970818,
   author = {Herber, Pavel and Němec, Daniel},
   article_number = {29},
   keywords = {Two-country DSGE model; Bayesian estimation; Structural heterogeneity; Asymmetric shocks},
   language = {eng},
   issn = {1212-074X},
   journal = {Bulletin of the Czech Econometric Society},
   title = {Investigating structural differences of the Czech economy: Does asymmetry of shocks matter?},
   url = {http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/viewFile/188/173},
   volume = {19},
   year = {2012}
}

TY  - JOUR
ID  - 970818
AU  - Herber, Pavel - Němec, Daniel
PY  - 2012
TI  - Investigating structural differences of the Czech economy: Does asymmetry of shocks matter?
JF  - Bulletin of the Czech Econometric Society
VL  - 19
IS  - 29
SP  - 28-49
EP  - 28-49
PB  - Czech Econometric Society
SN  - 1212074X
KW  - Two-country DSGE model
KW  - Bayesian estimation
KW  - Structural heterogeneity
KW  - Asymmetric shocks
UR  - http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/viewFile/188/173
L2  - http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/viewFile/188/173
N2  - The goal of this paper is to evaluate heterogeneity between the Czech Republic and the Euro area, because different behavior of agents or asymmetric shocks cut benefits from the entering monetary union. For this purpose, we introduce a two-country dynamic stochastic general equilibrium model that allows different sources of heterogeneity between countries. We focus on differences in structural parameters and asymmetry of shocks hitting the two economies. Using Bayesian techniques, we estimate various specifications of log-linear models (unrestricted and nested) and then we test different sources of heterogeneity. Our results indicate that the main sources of heterogeneity are price and wage rigidities and the asymmetry of shocks. On the other hand, we have found strong evidence in favor of homogeneity in parameters describing utility function of households.
ER  -

HERBER, Pavel a Daniel NĚMEC. Investigating structural differences of the Czech economy: Does asymmetry of shocks matter? \textit{Bulletin of the Czech Econometric Society}. Czech Econometric Society, 2012, roč.~19, č.~29, s.~28-49. ISSN~1212-074X.

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