Estimation of the Monetary Policy Model by the Kalman Filter and the Bootstrap Filter
| Authors | |
|---|---|
| Year of publication | 2004 |
| Type | Article in Proceedings |
| Conference | Mathematical Methods in Economics 2004 |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | monetary policy; forward-looking model; discretion; Iterative Extended Kalman Filter Smoother; weighted Bootstrap algorithm |
| Description | The monetary policy problem is explained in a simple theoretical framework based on [1]. Standard approach to non-linear recursive estimation is the utilization of the Iterative Extended Kalman filter. Monte Carlo methods (like the weighted Bootstrap method) provide an important alternative, especially for non-Gaussian systems. These approaches were used to estimate the states and parameters of a macroeconomic model of the Czech republic and their difference is explained. |
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