Structural changes in the Czech economy: a DSGE model approach
Disertační práce zjišťuje, zda došlo v letech 1996 až 2011 k nějakým strukturálním změnám v české ekonomice aproximované DSGE modelem odhadnutém Bayesovskými metodami. Hlavní analýza disertační práce rozumí pod pojmem "strukturální změna" změnu jednoho či více modelových parametrů. Struktu...
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| Typ dokumentu: | VŠ práce nebo rukopis |
| Jazyk: | Angličtina |
| Vydáno: |
2012
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| Témata: | |
| On-line přístup: | http://is.muni.cz/th/40604/esf_d/ |
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| 242 | 1 | 0 | |a Structural changes in the Czech economy: a DSGE model approach |y eng |
| 245 | 1 | 0 | |a Structural changes in the Czech economy: a DSGE model approach |h [rukopis] / |c Jan Čapek |
| 260 | |c 2012 | ||
| 300 | |a 148 listů | ||
| 500 | |a Vedoucí práce: Osvald Vašíček | ||
| 502 | |a Dizertace (Ph.D.)--Masarykova univerzita, Ekonomicko-správní fakulta, 2012 | ||
| 520 | 2 | |a Disertační práce zjišťuje, zda došlo v letech 1996 až 2011 k nějakým strukturálním změnám v české ekonomice aproximované DSGE modelem odhadnutém Bayesovskými metodami. Hlavní analýza disertační práce rozumí pod pojmem "strukturální změna" změnu jednoho či více modelových parametrů. Strukturální změny jsou identifikovány pomocí rekurzívní, "rolovací" a tzv. analýzy "prvního pozorování". Všechny tyto analýzy vycházejí z Bayesovských odhadů modelu. Přístup disertační práce je novátorský v tom, že nabízí výpočty pravděpodobnosti, při kterých nastaly strukturální změny. Před rokem 1999 byla identifikována strukturální změna, která může být připsána šokům, které zasahovaly domácí ekonomiku a také změnám preferencí domácí monetární autority. Všechny uvedené změny jsou statisticky významné na běžných hladinách významnosti. Čtvrtletí, ve kterém nastalo nejvíce změn modelové struktury v současné krizi je první čtvrtletí roku 2009. Toto čtvrtletí je také charakteristické změnami v propagačních |% cze | |
| 520 | 2 | 9 | |a The thesis ascertains whether there were any structural changes in the Czech economy approximated by a DSGE model estimated with Bayesian methods. The time-frame of interest is 1996-2011. For the main analysis, this thesis understands "structural change" as a change in one or more model parameters. Structural changes are identified with recursive, rolling and so-called "first observation" analyses. All of these analyses proceed from Bayesian estimation of the model. The approach of the thesis is innovative so that it ascertains the probability at which the structural changes occurred. Prior to the first quarter of 1999, there was a structural change that can be mostly attributed to the shocks hitting domestic economy and also changing preferences of domestic monetary authority. All of these changes are statistically significant at conventional levels. The quarter which is accompanied by most changes in the model structure during contemporary recession is the first quarter of 2009. M |9 eng |
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| 650 | 0 | 9 | |a scientific methodology |2 eczenas |
| 650 | 0 | 9 | |a DSGE model (Dynamic Stochastic General Equuilibrium) |2 eczenas |
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