Analysis of the Czech Real Business Cycle Model
| Authors | |
|---|---|
| Year of publication | 2006 |
| Type | Article in Proceedings |
| Conference | Proceedings of the 24th International Conference Mathematical Methods in Economics 2006 |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | Real business cycle; two-sector model; economic growth; Kalman filter with likelihood function; Bootstrap method |
| Description | The paper analyses the behavior of the two-sector real business cycle model. The model consists of the representative household's expected utility function, separate Cobb-Douglas production functions for consumption and investment goods, and capital accumulation constraints. It evaluates impacts of productivity shocks to the economy. The preference shock affects the marginal rate of substitution between consumption and leisure in the household utility function and the next two shocks are sector specific technology shocks. Each shock contains a separate autoregressive component governing its level and growth rate. The Kalman filter algorithm is used to estimate the model's structural parameters via maximum likelihood method on quarterly data series of the Czech economy. The final part investigates estimation results and impulse responses for the Czech economy. |
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