Predictive performance of DSGE model for small open economy - the case study of Czech Republic

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Publikace nespadá pod Filozofickou fakultu, ale pod Přírodovědeckou fakultu. Oficiální stránka publikace je na webu muni.cz.
Název česky Predikční výkon DSGE modelu malé otevřené ekonomiky - případová studie České republiky
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JEŘÁBEK Tomáš TROJAN Jakub ŠPERKOVÁ Radka

Rok publikování 2013
Druh Článek v odborném periodiku
Časopis / Zdroj Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
Fakulta / Pracoviště MU

Přírodovědecká fakulta

Citace
www Full article
Doi http://dx.doi.org/10.11118/actaun201361072229
Obor Ekonomie
Klíčová slova GDP growth; inflation; interest rates; DSGE; DSGE-VAR; Log predictive density score; Bayesian averaging model
Přiložené soubory
Popis Multivariate time series forecasting is applied in a wide range of economic activities related to regional competitiveness and is the basis of almost all macroeconomic analysis. From the point of view of political practice is appropriate to seek a model that reached a quality prediction performance for all the variables. As monitored variables were used GDP growth, inflation and interest rates. The paper focuses on performance prediction evaluation of the small open economy New Keynesian DSGE model for the Czech republic, where Bayesian method are used for their parameters estimation, against different types of Bayesian and naive random walk model. The performance of models is identified using historical dates including domestic economy and foreign economy, which is represented by countries of the Eurozone. The results indicate that the DSGE model generates estimates that are competitive with other models used in this paper.
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