Bayesian Estimation of a Comprehensive Small Open Economy Model on the Czech Data

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Authors

TONNER Jaromír POLANSKÝ Jiří VAŠÍČEK Osvald

Year of publication 2011
Type Article in Proceedings
Conference Proceedings of the 29th International Conference on Mathematical Methods of Economics 2011
MU Faculty or unit

Faculty of Economics and Administration

Citation
Field Economy
Keywords DSGE models; Bayesian methods
Description The contribution deals with the development and Bayesian estimation of the SOE model suitable for Czech data based analyses. The model follows recent development in monetary New Keynesian DSGE models and is extended with several technology processes to fit Czech stylized facts. The model is thus sufficiently rich and general for time varying parameters estimations and non-linear filtrations. The second part of the contribution presents results of the Bayesian estimation of the model. Estimations of such complex models on Czech data are not usual in the literature, and we thus believe that such results might be informative.
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