DSGE model with nominal rigidities: estimation and assessing of fit
This paper deals with estimation of DSGE model of open economy with nominal rigidities and assessing of its data fit. The model is estimated using Bayesian techniques on data of Czech economy. Estimated values of structural parameters are economically interpreted. Assessing of model fit to data is carried out along several dimensions. Firstly, the fitted series are compared with observed series. Secondly, the volatility and the autocorrelations implied by the model are compared with the statistics calculated from the data. And thirdly, estimated unobserved shocks give picture of important events in the Czech economy. The results of the analysis show that model has problem in replicating import inflation and hours worked. Besides visual assessment, calculated standard deviations of model variables and observed variables indicate that volatility of wage inflation is higher in the model and volatility of import inflation is lower in the model than in the data. The auto correlations of nominal interest rate, CPI inflation and output growth are not matched well by the model. Estimates of unobserved shocks show that period of recession in 1997 had many sources. High nominal interest rates can be ascribed to monetary policy and risk premium shocks, decline in output growth is consequence of negative productivity shock. High inflation in late 90's is partly explained as rise in markups of domestic producers. Despite few failures, overall fit of the model to the data can be considered as satisfactory.
Volume (Year): 15 (2008)
Issue (Month): 25 ()
|Contact details of provider:|| Web page: http://ces.utia.cas.cz|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:czx:journl:v:15:y:2008:i:25:id:158. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.