Expectations and monetary policy in open economy
V práci zkoumáme možnou časovou proměnlivost strukturálních parametrů u DSGE modelů, které jsou v současnosti používané pro analýzu monetární politiky a prognózování. Aby byly modely schopné replikovat pozorovaná data, jsou často dovybaveny dalšími exogenními procesy (technologiemi), které můžeme ch...
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| Typ dokumentu: | VŠ práce nebo rukopis |
| Jazyk: | Angličtina |
| Vydáno: |
2011
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| Témata: | |
| On-line přístup: | http://is.muni.cz/th/43121/esf_d/ |
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| 242 | 1 | 0 | |a Expectations and monetary policy in open economy |y eng |
| 245 | 1 | 0 | |a Expectations and monetary policy in open economy |h [rukopis] / |c Jaromír Tonner |
| 260 | |c 2011 | ||
| 300 | |a 121 s. | ||
| 500 | |a Vedoucí práce: Osvald Vašíček | ||
| 502 | |a Dizertace (Ph.D.)--Masarykova univerzita, Ekonomicko-správní fakulta, 2011 | ||
| 520 | 2 | |a V práci zkoumáme možnou časovou proměnlivost strukturálních parametrů u DSGE modelů, které jsou v současnosti používané pro analýzu monetární politiky a prognózování. Aby byly modely schopné replikovat pozorovaná data, jsou často dovybaveny dalšími exogenními procesy (technologiemi), které můžeme chápat jako časově proměnné parametry. Tyto technologie umožňují zachytit některá specifika (sektorová a často v čase se měnící) v chování ekonomiky. Naší hypotézou bylo, že zavedené technologie jsou odrazem časové proměnlivosti strukturálních parametrů, např. technologie zachycující Ballasha-Samuelsonův efekt je, minimálně ve své cyklické složce, odrazem pohybu parametrů dovozní náročnosti. Závěrem tvrdíme, že zavedení technologických procesů umožňuje zachytit časovou proměnlivost parametrů a přiblížit tak modely více k datům i bez nutnosti explicitní práce s časově proměnnými parametry a nelineárními filtracemi. |% cze | |
| 520 | 2 | 9 | |a In the thesis, we investigate the possible time-varying structure of DSGE models currently used for monetary policy analysis and forecasting. In order to replicate the observed data, models are often equipped with additional exogenous processes (technologies). These sector technologies are aimed to capture some sector-specific (and often time-varying) part of an economy’s behaviour. In the thesis, we extend a relatively rich small open economy model with a set of technologies which are tailored directly to the Czech data. We find that the movement of technologies is a reflection of variability of structural parameters and thus technologies' incorporation enables us to keep structural parameters relatively stable in time. Hence, such models can be regularly used for policy analyses and forecasting without having to work explicitly with time-varying structural parameters and nonlinear filtering. |9 eng |
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| 650 | 0 | 9 | |a monetary policy |2 eczenas |
| 650 | 0 | 9 | |a modeling and simulation |2 eczenas |
| 650 | 0 | 9 | |a Bayesian theory |2 eczenas |
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| 710 | 2 | |a Masarykova univerzita. |b Katedra ekonomie |7 mzk2003189204 |4 dgg | |
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