Bayesian Estimation of Closed and Open Czech Economy Model
| Authors | |
|---|---|
| Year of publication | 2006 |
| Type | Article in Proceedings |
| Conference | Mathematical Methods in Economics 2006 |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | macroeconomic model; DSGE model; closed economy; open economy; Taylor rule; Bayesian estimation; Metropolis-Hastings algorithm |
| Description | This paper illustrates behaviour of two models estimated on the Czech economy data. Presented models are DSGE models with monetary policy rule, inflation targeting and rational expectations. The first model is a forward-looking closed economy model with Taylor rule. The second model is a small scale new open economy forward-looking model also with Taylor rule. Both models are estimated by Bayesian estimation technique, concretely by the Metropolis-Hastings algorithm in Matlab. The estimation of the closed economy model does not represent any larger problem because the model is very robust. The open economy model better represents the Czech economy, but the estimation is more disputable. Important results of the estimation are discussed and illustrated in graphs. |
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