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Modeling of government spending and endogenous tax rates in New Keynesian models : the case of Czech Republic
Zelený, Tomáš ; Stráský, Josef (advisor) ; Mertlík, Pavel (referee)
The topic of fiscal policy has been long neglected in terms of fiscal policy's interdependence with other main macroeconomic variables. Presented thesis therefore analyses the validity of different fiscal policy models for the case of Czech Republic. Dynamic stochastic general equilibrium (DSGE) framework is used throughout the thesis. Different fiscal policy rules are put into otherwise identical - benchmark - model and the models are compared to each other and to the benchmark model. The analysed fiscal policy models are an acyclical, counter- cyclical, two pro-cyclical and dichotomous spending models. We find that the most plausible fiscal policy rule is of pro-cyclical type and closely follows the model of Alesina et al. (2008). The model assumes that interest groups can steal part of government income through corruption and voters cannot observe it, so they demand maximum fiscal spending in the good times. The logic of this model is in accordance with the current state of fiscal and economic behaviour in Czech Republic.
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Testování kvality predikcí: vyhodnocení modelu g3
Tkáčik, Marcel ; Vozárová, Pavla (advisor) ; Janíčko, Martin (referee)
Recent developments of New Keynesian models attracted many central banks to develop their own DSGE models for policy analysis and forecasting. The aim of this study is to evaluate the quality of the predictions made by the Czech National Bank which developed its own DSGE model and use it as the core forecasting model from July 2008. The quality of the predictions has been evaluted by comparing it with the Ministry of Finance of the Czech Republic and two commercial banks (Česká spořitelna and Komerční banka). Using the econometrical tests for the structural break and time series analysis, it has been concluded that the Czech National Bank experienced significant improvement in its prediction quality when employing the DSGE model, and surpassed the other three institutions. This study suggests that a well-specified DSGE model may enhance the prediction quality of key macroeconomic indicators compared to non-structural models and expert judgment.
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Expected Regime Change: Transition Toward Nominal Exchange Rate Stability
Brázdik, František
This work presents an extension of a small open economy DSGE model allowing the transition toward a monetary policy regime aimed at exchange rate stability to be described. The model is estimated using the Bayesian technique to fit the properties of the Czech economy. In the scenarios assessed, the monetary authority announces and changes its policy so that it is focused solely on stabilizing the nominal exchange rate after a specific transition period is over. Four representative forms of monetary policy are followed to evaluate their properties over the announced transition period. Welfare loss functions assessing macroeconomic stability are defined, allowing the implications of the transition period regime choice for macroeconomic stability to be assessed. As these experiments show, exchange rate stabilization over the transition period does not deliver the lowest welfare loss. Under the assumptions taken, the strict inflation-targeting regime is identified as the best-performing regime for short transition periods. However, it can be concluded that for longer transition periods the monetary policy regime should respond to changes in the exchange rate.
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