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1

FISCAL MULTIPLIERS AND THE ZERO LOWER BOUND

100%
Hloušek M.
Ekonomický časopis (Journal of Economics)
|
2017
|
vol. 65
|
issue 4
305 – 319
EN
This paper studies the implications of the zero lower bound (ZLB) on interest rates for the size of fiscal multipliers. The analysis is carried out in an extended version of the ECB’s New Area-Wide Model, which contains various fiscal instruments. The results show that the size of fiscal multipliers depends heavily on the length of the period during which the interest rate is binding. Government consumption is the most efficient instrument of fiscal policy; the value of its multiplier is well above one and can even be double for a long time at the ZLB. The multiplier for consumption taxes is also influenced substantially by the interest rate constraint, but its value remains below one. The multipliers for social security contributions and labour income taxes are not influenced much. The behaviour of the government investment multiplier is quite tricky: an amplifying effect on output is present only when the economy stays at the zero lower bound for just a few years; when there is a longer time at the ZLB, this multiplier can even be negative.
2

INFLATION IN POLAND UNDER STATE-DEPENDENT PRICING

88%
Baranowski P., Górajski M., Malaczewski M., Szafranski G.
Ekonomický časopis (Journal of Economics)
|
2016
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vol. 64
|
issue 10
937 – 957
EN
We investigate the short-term dynamics of the Polish economy by means of a small-scale DSGE model with stochastic menu costs. We compare macroeconomic evidence of price rigidity in a model with the state-dependent Phillips curve to a benchmark model with conventional time-dependent price stickiness. With a moderate 2.3% upper boundary on menu costs the estimated state-dependent pricing model for Poland indicates a median duration of prices about 14 months, whereas the same measure of price stickiness in the time-dependent pricing model is 3 months shorter. The result from the state-dependent pricing model estimated from macro data is closer to, both, micro-price evidence, and surveys on frequency of price changes in Poland. The difference is explained by a selection effect being present in the model with state-dependent price stickiness, only. It yields more intense and impact price adjustment after a monetary policy shock.
3

HOUSING SECTOR-SPECIFIC DSGE MODEL WITH APPLICATIONS TO CZECH AND SLOVAK ECONOMIES

63%
Bouda M., Formánek T.
Ekonomický časopis (Journal of Economics)
|
2014
|
vol. 62
|
issue 8
805 – 822
EN
In this paper, we introduce and use a dynamic stochastic general equilibrium (DSGE) model tailored for analysis of small open economies, which is further amended to encompass housing sector-specific dynamics and to generate relevant insight and conditional forecasts for the housing sector. We analyse and compare the housing sector dynamic behaviour for the Czech Republic and the Slovak Republic. The empirical part of our paper consists of Bayesian estimation and evaluation of the model, impulse response analysis and conditional forecasts under alternative macroeconomic policy scenarios. We find significant pro-volatile impact of higher loan to values (LTVs) for both economies analysed. This effect is observed both in IRFs and conditional forecasts calculated using different LTV-based scenarios.
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