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The Czech Economy Model: Bayesian Quantitative Analysis of Parameters and Control of Strategies


  • Osvald Vašíček
  • Jaromír Beneš


Facilities of adaptive Bayesian identification as well as utilizing a suitably-rebuilt linearized model as a model controlled by an optimal control system will be demonstrated in this paper. Estimation of time-variant parameters was performed by mean of extended Kalman-Bucy filter with smoothing on base of rather short quarterly time series (dated from 1992, quarter I, to 1996, quarter II), that are not purged of neither seasonalities nor quick jumps due to sudden events in the Czech transitive economy during the period in question. After simultaneous verification, the quantified model was rebuilt into the form of non-linear state equations, which is suitable for applying control. ln handling the future trajectories of state and input variables (i.e. control and exogenous variables, respectively), there was the optimal control task solved as a dual problem oj optimal control of a linearized discrete-time model (with time-variant parameters) by means of a quadratic junctional(with time-variant weights) which is to be minimized. The above procedures were applied to the Small Czech Economy's Model, where we were trying to find out some admissible input and output trajectories, which would represent up-to-date factual alternative strategies of development of the Czech economy.

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  • Osvald Vašíček & Jaromír Beneš, 1996. "The Czech Economy Model: Bayesian Quantitative Analysis of Parameters and Control of Strategies," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 3(5).
  • Handle: RePEc:czx:journl:v:3:y:1996:i:5:id:38

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    References listed on IDEAS

    1. Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390,, revised Feb 2004.
    2. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank, Research Department.
    3. Acharya, Viral V. & Bharath, Sreedhar T. & Srinivasan, Anand, 2007. "Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries," Journal of Financial Economics, Elsevier, vol. 85(3), pages 787-821, September.
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    6. Stefano Caselli & Stefano Gatti & Francesca Querci, 2008. "The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 1-34, August.
    7. Seidler, Jakub & Horvath, Roman & Jakubík, Petr, 2009. "Estimating expected loss given default in an emerging market: the case of Czech Republic," Journal of Financial Transformation, Capco Institute, vol. 27, pages 103-107.
    8. De Graeve, F. & Kick, T. & Koetter, M., 2008. "Monetary policy and financial (in)stability: An integrated micro-macro approach," Journal of Financial Stability, Elsevier, vol. 4(3), pages 205-231, September.
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