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MUSE: MONETARY UNION AND SLOVAK ECONOMY MODEL

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Senaj M., Výškrabka M., Zeman J.
Ekonomický časopis (Journal of Economics)
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2012
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vol. 60
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issue 5
435 – 459
EN
In this paper, we employ the Bayesian method together with the calibration approach to parameterise a medium-scale two-country dynamic stochastic general equilibrium model of Slovakia and the Eurozone. Parameters controlling the steady state of the model are calibrated to match the ratios of a few selected variables to their empirical counterparts. The remaining parameters are estimated via the Bayesian method. Since Slovakia has been a Euro area member for only two years, we need the model to operate under the two different monetary regimes – autonomous monetary policy regime and monetary union regime. This feature enables us to estimate the model parameters in the case of independent monetary policy and subsequently simulate impacts of various structural shocks on the Slovak economy as a part of the monetary union. At the end of the paper, we present the impulse-response functions of the model to selected structural shocks.
2

APPLICATION OF BAYESIAN METHODS IN RESEARCH OF PROPENSITIES

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Doszyn M.
Przegląd Statystyczny
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2007
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vol. 54
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issue 2
79-93
EN
In the article a definition of propensity and methods of measurements of propensities (frequency & trigonometric) were presented. Possibility of application of the Bayesian methods in research of propensities was also recommended. 'A posteriori' distributions and estimators of propensity parameter were analytically found. The uniform distribution and beta distribution with specified parameters were assumed as 'a priori' distributions. Empirical example presents an analysis of propensity to risk calculated for chosen investment funds in the year 2003. The author estimated also 'a posteriori' distributions of the parameter utilised in order to measure the propensity to risk of discussed funds.
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