Money's Function in the Czech Monetary Business Cycle
| Authors | |
|---|---|
| Year of publication | 2005 |
| Type | Article in Proceedings |
| Conference | Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005 |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | Business cycle; Monetary policy; Linearized DSGE model; solution of DSGE model; Kalman Filter with log likelihood optimalization |
| Description | Analysts have devoted considerable time and effort towards developing new and improved models for monetary policy evaluation. These newly developed models differ considerably in details. Do these existing models provide an accurate and complete description of moneys role in the monetary business cycle? That is the question addressed here. The paper begins by constructing small New Keynesian DSGE model. It goes on to estimate the model with quarterly time-series data of the Czech economy. Maximum likelihood estimates of the model's parameters suggest that money plays a nonessential role in the Czech monetary business cycle. The Kalman filter was used to evaluate negative log likelihood function of the model. |
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