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

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SLANICAY Martin

Rok publikování 2011
Druh Článek ve sborníku
Konference Mathematical Methods in Economics 2011
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
Obor Ekonomie
Klíčová slova New Keynesian; DSGE model; Bayesian estimation; asymmetric shocks; structural differences; shock decomposition
Popis In this paper I present a new approach for analysis of asymmetric shocks and structural differences between two countries, using shock decomposition. An advantage of this method is that it jointly examines the impacts of asymmetric shocks and structural differences. I demonstrate this method using a DSGE model of two economies, presented in Kolasa (2009). Results suggest that impacts of structural shocks are more correlated than it seems from estimated correlations between shocks alone. The largest correlations are between impacts of shocks on inflations and interest rates. I also find that an evolution of variables in the Czech economy is relatively more influenced by shocks in productivity while the evolution of variables in Euro Area 12 is relatively more influenced by investment efficiency shocks. It also seems that the monetary policy of the ECB is relatively more discretionary than the monetary policy of the CNB, nevertheless it seems that the CNB follows the ECB in their discretionary policy.
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