Publication details

Structural Changes in the Czech Economy: a DSGE Model Approach

Authors

ČAPEK Jan

Year of publication 2016
Type Article in Periodical
Magazine / Source Prague Economic Papers : Quarterly Journal of Economic Theory and Policy
MU Faculty or unit

Faculty of Economics and Administration

Citation
Web http://www.vse.cz/pep/535
Doi http://dx.doi.org/10.18267/j.pep.535
Field Economy
Keywords DSGE model;Bayesian estimation;structural change;rolling estimation;recursive impulse response
Attached files
Description This article identifies structural changes in the Czech economy in the period from 1996 to 2012 using a DSGE model estimated using Bayesian methods. A structural change is understood as a statistically significant change in model parameter(s). Prior to the first quarter of 1999, there was a structural change that can be primarily attributed to shocks impacting only the domestic economy, and to the domestic monetary authority's increased preferences towards inflation and exchange rate growth. The elasticity of substitution between domestic and imported consumption goods also increased sharply in this period. As far as the recent economic recession is concerned, it was caused by a much more persistent world-wide technology shock. Habit formation dropped abruptly during the crisis as households tended not to smooth their consumption much anymore. Recursive impulse response analysis carried out on the model suggests that the propagation mechanisms in the model economy changed, implying that the identified structural changes were accompanied by a change in behavior of the model economy.
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