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  • In this article, the authors investigate the possible time-varying structure of DSGE models. They follow the study of Andrle et al. (2009), which argues that models designed for monetary policy analysis and forecasting of an economy that is undergoing structural changes must include exogenous processes (technologies) capturing the specific characteristics of individual sectors. The authors conclude that the presence of structural changes and the convergence process in the data imply drifting of structural parameters in the model without technologies. Incorporating technologies causes the structural parameters to be relatively stable. From the perspective of monetary policy analysis and forecasting, it seems more convenient to assume that the structural parameters are stable and use sectoral technologies owing to their aggregate form.
  • In this article, the authors investigate the possible time-varying structure of DSGE models. They follow the study of Andrle et al. (2009), which argues that models designed for monetary policy analysis and forecasting of an economy that is undergoing structural changes must include exogenous processes (technologies) capturing the specific characteristics of individual sectors. The authors conclude that the presence of structural changes and the convergence process in the data imply drifting of structural parameters in the model without technologies. Incorporating technologies causes the structural parameters to be relatively stable. From the perspective of monetary policy analysis and forecasting, it seems more convenient to assume that the structural parameters are stable and use sectoral technologies owing to their aggregate form. (en)
Title
  • Parameter Drifting in a DSGE Model Estimated on Czech Data
  • Parameter Drifting in a DSGE Model Estimated on Czech Data (en)
skos:prefLabel
  • Parameter Drifting in a DSGE Model Estimated on Czech Data
  • Parameter Drifting in a DSGE Model Estimated on Czech Data (en)
skos:notation
  • RIV/00216224:14560/11:00054128!RIV12-MSM-14560___
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
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  • P(1M0524), S
http://linked.open...iv/cisloPeriodika
  • 5
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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  • 219526
http://linked.open...ai/riv/idVysledku
  • RIV/00216224:14560/11:00054128
http://linked.open...riv/jazykVysledku
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  • DSGE models; time-varying parameters; Kalman filter (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [1BC7DFFE3C69]
http://linked.open...i/riv/nazevZdroje
  • Finance a úvěr - Czech Journal of Economics and Finance
http://linked.open...in/vavai/riv/obor
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http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 61
http://linked.open...iv/tvurceVysledku
  • Polanský, Jiří
  • Tonner, Jaromír
  • Vašíček, Osvald
issn
  • 0015-1920
number of pages
http://localhost/t...ganizacniJednotka
  • 14560
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