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Statements

Subject Item
n2:RIV%2F00216224%3A14560%2F11%3A00054128%21RIV12-MSM-14560___
rdf:type
skos:Concept n16:Vysledek
dcterms:description
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.
dcterms:title
Parameter Drifting in a DSGE Model Estimated on Czech Data Parameter Drifting in a DSGE Model Estimated on Czech Data
skos:prefLabel
Parameter Drifting in a DSGE Model Estimated on Czech Data Parameter Drifting in a DSGE Model Estimated on Czech Data
skos:notation
RIV/00216224:14560/11:00054128!RIV12-MSM-14560___
n16:predkladatel
n17:orjk%3A14560
n3:aktivita
n18:S n18:P
n3:aktivity
P(1M0524), S
n3:cisloPeriodika
5
n3:dodaniDat
n8:2012
n3:domaciTvurceVysledku
n12:1347411 n12:1581678 n12:5173221
n3:druhVysledku
n14:J
n3:duvernostUdaju
n7:S
n3:entitaPredkladatele
n19:predkladatel
n3:idSjednocenehoVysledku
219526
n3:idVysledku
RIV/00216224:14560/11:00054128
n3:jazykVysledku
n13:eng
n3:klicovaSlova
DSGE models; time-varying parameters; Kalman filter
n3:klicoveSlovo
n9:Kalman%20filter n9:time-varying%20parameters n9:DSGE%20models
n3:kodStatuVydavatele
CZ - Česká republika
n3:kontrolniKodProRIV
[1BC7DFFE3C69]
n3:nazevZdroje
Finance a úvěr - Czech Journal of Economics and Finance
n3:obor
n11:AH
n3:pocetDomacichTvurcuVysledku
3
n3:pocetTvurcuVysledku
3
n3:projekt
n10:1M0524
n3:rokUplatneniVysledku
n8:2011
n3:svazekPeriodika
61
n3:tvurceVysledku
Polanský, Jiří Vašíček, Osvald Tonner, Jaromír
s:issn
0015-1920
s:numberOfPages
15
n15:organizacniJednotka
14560