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1

Divergent Priors and Well Behaved Bayes Factors

100%

Strachan R. W., van Dijk H. K.

Central European Journal of Economic Modelling and Econometrics

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2014

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issue 1

2

Structural Differences and Asymmetric Shocks between the Czech Economy and the Euro Area 12

100%

Slanicay M.

Review of Economic Perspectives

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2011

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vol. 11

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issue 3

168-192

EN

The goal of this paper is to determine whether there exist asymmetric shocks and structural differences between the Czech economy and the Euro Area 12. A New Keynesian DSGE model of a small open economy is used for this purpose. Asymmetric shocks and structural differences are examined in two ways. At first, I examine asymmetry of shocks and sources of structural differences, using model comparison based on the Bayes factor. I do not find substantial evidence in favor of heterogeneity in household preferences. I find slight differences in price and wage formation and substantial difference in interest rate smoothing. However, the main differences are in timing, persistence and volatility of structural shocks. I also investigate impact of structural differences and differences in persistence and volatility of structural shocks on the behavior of both economies, using analysis of impulse-response functions. I find no substantial differences in responses of the main variables to preference shocks. On the other hand, I find much larger volatility and persistence of domestic technology shocks. This contributes to the fact that responses of domestic variables to technology shocks are much larger, and display more gradual and hump-shaped pattern than responses of foreign variables. I also find that responses of foreign variables to labour supply shocks are much more gradual and sluggish than responses of domestic variables. As regards monetary shocks, I find that there is almost no response of foreign inflation to foreign monetary shock while response of domestic inflation to domestic monetary shock displays substantial decline followed by gradual recovery. Responses of foreign variables to cost-push shocks are larger and more volatile than responses of domestic variables.

3

Habit Formation, Price Indexation and Wage Indexation in the DSGE Model: Specification, Estimation and Model Fit

100%

Slanicay M., Vašíček O.

Review of Economic Perspectives

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2011

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vol. 11

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issue 2

71-91

EN

In order to determine which specification provides better fit of the data, this paper presents several specifications of a closed economy DSGE model with nominal rigidities. The goal of this paper is to find out whether some characteristics widely used in New Keynesian DSGE models, such as habit formation in consumption, price indexation and wage indexation, provide better fit of the macroeconomic data. Model specifications are estimated on the data of the US economy and Euro Area 12 economy, using Bayesian techniques, particularly the Metropolis-Hastings algorithm (using Dynare toolbox for Matlab). The data fit measure is a Bayes factor calculated from marginal likelihoods, acquired from Bayesian estimation. Results suggest that including habit formation in consumption significantly improves the empirical data fit of the model, whereas including partial price indexation and partial wage indexation does not improve the empirical data fit of the model. Variants with full price indexation and full wage indexation were the worst ones concerning their data fit.

4

Prior distributions for Bayes factors and latent class model selection

67%

KAPŁON R.

Operations Research and Decisions

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2009

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vol. 19

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issue 3

87-94

PL

Na etapie wyboru liczby segmentów w analizie klas ukrytych kryteria informacyjne są często stosowane. Szczególne miejsce zajmuje tutaj kryterium bayesowskie BIC, które można wyprowadzić – dokonując pewnych uproszczeń – z koncepcji czynnika bayesowskiego. W czynniku tym pojawia się rozkład a priori parametrów, którego nie ma w BIC. Z tego względu w pracy podjęto próbę znalezienia takiego rozkładu a priori, aby skuteczność tak powstałego kryterium była większa niż skuteczność BIC.

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2 Review of Economic Perspectives

1 Central European Journal of Economic Modelling and Econometrics

1 Operations Research and Decisions

2 Slanicay M.

1 KAPŁON R.

1 Strachan R. W.

1 Vašíček O.

1 van Dijk H. K.

1 2014

2 2011

1 2009

Divergent Priors and Well Behaved Bayes Factors

Structural Differences and Asymmetric Shocks between the Czech Economy and the Euro Area 12

Habit Formation, Price Indexation and Wage Indexation in the DSGE Model: Specification, Estimation and Model Fit

Prior distributions for Bayes factors and latent class model selection