Original title:
Nový keynesiánský model všeobecné rovnováhy pro českou ekonomiku
Translated title:
A New Keynesian General Equilibrium Model for the Czech Economy
Authors:
Dudík, Andrej ; Vošvrda, Miloslav (advisor) ; Baruník, Jozef (referee) Document type: Master’s theses
Year:
2009
Language:
eng Abstract:
[eng][cze] The work focuses on the development of a smaller-scale non-linear Dynamic Stochastic General Equilibrium model with typical New Keynesian features, which is subsequently applied for modelling the Czech economy business cycle. To this end, the model is estimated using maximum likelihood Bayesian method with the Kalman filter and the Metropolis-Hastings algorithm. Special care is paid to the the issues of derivation and approximation of the model, in order to retain its non-linear nature. Although some of the properties of the estimated model are not fully satisfactory, the estimated model can be considered an useful approximation of the Czech economic reality.Práca sa zameriava na vývoj nelineárneho dynamického stochastického modelu všeobecnej rovnováhy s charakteristickými novokeynesiánskymi prvkami. Ten následne používame na modelovanie hospodárskeho cyklu v ceskej ekonomike. Pre tento úcel je model odhadnutý pomocou bayesiánskej metódy maximálnej vierohodnosti za použitia Kalmanovho filtru a Metropolisovho-Hastingsovho algoritmu. Zvláštnu pozornost venujeme otázkam odvodenia a aproximácie modelu, tak aby sme zachovali nelineárnu povahu modelu. Hoci niektoré charakteristiky odhadnutého modelu nie sú úplne uspokojivé, odhadnutý model predstavuje použitelnú aproximáciu ceskej ekonomiky.
Institution: Charles University Faculties (theses)
(web)
Document availability information: Available in the Charles University Digital Repository. Original record: http://hdl.handle.net/20.500.11956/170438