Přehled o publikaci
2011
Changes in the behavior of economies in a DSGE model in the course of time
ČAPEK, JanBasic 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
Proceedings paper
Field of Study
Economics
Country of publisher
Czech Republic
Confidentiality degree
is not subject to a state or trade secret
Publication form
printed version "print"
RIV identification code
RIV/00216224:14560/11:00053100
Organization
Ekonomicko-správní fakulta – Repository – Repository
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
Links
1M0524, research and development project.
Changed: 1/9/2020 11:38, RNDr. Daniel Jakubík
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.
