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Methods for Estimating Potential Output
Skok, Daniel ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
The purpose of this thesis is to describe selected methods for estimating potential output. In the first part, methods used for the estimation of potential output are described including the discussion of advantages and disadvantages of their application. Subsequently, the potential output from 1996 to 2016 is estimated based on three selected methods using the data of gross domestic product in the Czech Republic. The methods used are Hodrick-Prescott filter, Kalman filter and Cobb-Douglas production function. In the conclusion, results of those three methods are compared with each other and furthermore compared with results published by the Czech National Bank and the Mistry of Finance.
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Comparison of the inflation prediction approaches: Monetary growth vs. Output gap analysis
Kuliková, Veronika ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
Inflation is one of the often used monetary indicators in conducting monetary policy. Even though money supply is an essential determinant of inflation, it is not used in inflation modeling. Currently, output gap is considered as most predicative variable. This thesis brings the empirical evidence on the hypothesis of money supply carrying more information on estimating inflation than the output gap. It is provided on the case of 16 developed European economies using Bayesian Model Averaging (BMA). BMA is a comprehensive approach that deals with the model uncertainty and thus solves the variable selection problem. The results of analysis confirmed that money supply includes more information of inflation than the output gap and thus should be used in inflation modeling. These outcomes are robust towards prior selection and high correlation of some variables. Powered by TCPDF (www.tcpdf.org)
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Comparison of the inflation prediction approaches: Monetary growth vs. Output gap analysis
Kuliková, Veronika ; Horváth, Roman (advisor) ; Babin, Adrian (referee)
Inflation is one of the often used monetary indicators in conducting monetary policy. Even though money supply is an essential determinant of inflation, it is not used in inflation modeling. Currently, output gap is considered as most predicative variable. This thesis brings the empirical evidence on the hypothesis of money supply carrying more information on estimating inflation than the output gap. It is provided on the case of 16 developed European economies using Bayesian Model Averaging (BMA). BMA is a comprehensive approach that deals with the model uncertainty and thus solves the variable selection problem. The results of analysis confirmed that money supply includes more information of inflation than the output gap and thus should be used in inflation modeling. These outcomes are robust towards prior selection and high correlation of some variables.
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Search of the most suitable method of estimation of output gap for the czech economy
Kloudová, Dana ; Brožová, Dagmar (advisor) ; Mirvald, Michal (referee) ; Lukáš, Ladislav (referee)
By monetary policy decisions, central banks use output gap to keep macroeconomic variables at their natural levels. A substantial disadvantage of this variable is the fact that it is an unobservable variable which is very problematic to measure, although it is possible to estimate it with various methods of estimation. This thesis aims to find the most suitable method of estimation for Czech economy. Thirteen methods have been chosen for this aim: linear trend, quadratic trend, HP filter, band-pass filters, robust trend, univariate unobserved component model, two types of production function, two SVAR models, multivariate HP filter and multivariate unobserved component model. Own estimations have shown that estimated trajectories of unobservable states were not identical. For own selection of the most suitable method of estimation, quantitative (ability to forecast inflation ,a growth of product and data revisions by selected national and international organisations) and qualitative criterions (qualities of methods of estimation, transparency and easy application) have been selected, where emphasis was put on quantitative criterions. Results of this thesis will show that the most suitable method of estimation output gap for Czech economy is multivariate unobserved component model.
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The develompent of unemployment in the Czech republic nad Slovak Republic from 1993 until now
Janečková, Petra ; Prachař, Ondřej (advisor) ; Vebrová, Ludmila (referee)
The aim of my bachelor's degree study is an analysis of the unemployment rates in the Czech and Slovak Republics. It is followed by a comparison which includes an outline of reasons of these developments. The first part includes explanations of terms connected with the macroeconomic index, and an evaluation of the up-to-date situations in the two countries. The second, practical part, includes the description of the initial conditions before launching the process of transformation, and also the developments in the two states under review. The last part of the study is a comparison of the developments of the unemployment rates in the Czech and Slovak Republics. It also deals with the possible causes of the two countries' different scenarios.
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Estimating of potential output in the Czech Republic and its relationship to the business cycle
Svatošová, Ludmila ; Kloudová, Dana (advisor) ; Chytilová, Helena (referee)
Potential output is used as the indicator of the business cycle. The aim of this study is to compare the results of different methods used for estimating potential output and verify the hypothesis that potential output or rather the output gap can serve as a reliable indicator to determine the phase of the business cycle in the Czech Republic in the years 1996-2012. 6 different methods - linear trend, Hodrick-Prescott filter, Baxter-King filter, Butterworth filter, Kalman filter and the production function have been used to estimate potential output. The output gap was determined based on the estimated potential output. The comparison of the results of all methods has confirmed the same development trend of potential output. All the methods for estimating potential output, except Butterworth filter, have showed that their results are good indicators of the business cycle in the Czech Republic.
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Theoretical basis of inflation targeting and experiences with its practical use in the Czech Republic
Plachý, Matěj ; Mandel, Martin (advisor) ; Štork, Zbyněk (referee)
This thesis focuses on the monetary policy regime known as inflation targeting. The first part mentions theoretical basis which are ground for this transmission mechanism. New Keynesian model, endogenous money theory and output gap as a conception of inflation are crucial for this theoretical concept. The next part focuses on history of inflation targeting, especially on the situation in the Czech Republic but there are also mentioned other economics, such as Poland, Hungary and Sweden. Analytical part shows some weak parts of inflation targeting which could be connected with its application. Some of them are analyzed on data from the Czech Republic.
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What is the Predicative Ability for Unemployment Rate of Different Methodologies for Output Gap Estimation?
Holá, Martina ; Kubíček, Jan (advisor) ; Chytil, Zdeněk (referee)
The submitted diploma thesis is dedicated to the calculation of the estimation of output gap by three estimating techniques (Hodrick-Prescott filter, Kalman filtering, and Cobb-Douglas production function) for the Czech Republic during the years 1995-2009, and, consequently, to their usefulness for testing the Okun's law as a suitable predicative tool. In other words, which of the mentioned methods is the most appropriate one for an accurate prediction of the rate of unemployment. To achieve this, the Box-Jenkins methodology is used for modelling and designing the cyclical unemployment forecasts and dynamic version of the Okun's law. The results indicate that, for the given period, there is relatively strong and unstable relationship between changes in output gap and changes in cyclical unemployment in the Czech Republic. The most suitable technique for the estimating of the future development of unemployment gap seems to be the Cobb-Douglas production function approach. This is namely based on the quantity of gained forecast errors and Granger causality.
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Can We Consider Inflation as a Suitable Indicator of Inflation?
Kloudová, Dana ; Hudík, Marek (advisor) ; Mičúch, Marek (referee)
Output gap belongs to standard indicators of inflationary pressures used in central banks. The aim of this paper is to find the answer to the question, whether we can consider output gap as a suitable indicator of inflation for the Czech economy. First hypothesis, which we analysed is that we can estimate output gap only with uncertainty. For confirmation or refutation of this hypothesis we used ten models of estimation of output gap. The second hypothesis is that output gap can be used as suitable indicator of inflation. For testing of this hypothesis we chose gap model from Coe, McDetmott (1997) -- with the level of output gap and the change (difference) of output gap. All tests confirmed, that central bank can use inflation as a useful indicator of inflation.
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