Analysis of Structural Differences and Asymmetry of Shocks using Posterior Distributions

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Publikace nespadá pod Fakultu sportovních studií, ale pod Ekonomicko-správní fakultu. Oficiální stránka publikace je na webu muni.cz.
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SLANICAY Martin

Rok publikování 2013
Druh Článek ve sborníku
Konference Proceedings of 31st International Conference Mathematical Methods in Economics
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://mme2013.vspj.cz/
Obor Ekonomie
Klíčová slova DSGE model; Bayesian estimation; structural differences; asymmetry of shocks; posterior distributions
Popis The goal of this paper is to examine asymmetry of shocks and structural differences between the Czech economy and the euro area. For this purpose I use New Keynesian DSGE model of two economies which I estimate on the data of the Czech economy and the euro area, using Bayesian techniques. The applied method examines differences in values of the parameters by comparison of their posterior distributions. Results suggest that the main differences are in volatility, persistence, and timing of macroeconomic shocks. There are also several structural differences. It seems that the ECB smooths less the interest rate and reacts more to the development in output and inflation than the CNB. It also seems that prices in the Czech economy are more sticky than prices in the euro area, especially in the non-tradable sector. Results also suggest that domestic households are less willing to smooth consumption over the time then their foreign counterparts.
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