Publication details

RBC model vs. New Keynesian model: time series analysis of Czech data


REICHEL Vlastimil HLOUŠEK Miroslav

Year of publication 2014
Type Article in Proceedings
Conference Proceedings of 32nd International Conference Mathematical Methods in Economics
MU Faculty or unit

Faculty of Economics and Administration

Web Conference proceedings
Field Economy
Keywords VAR model; Real Business Cycle Theory; New Keynesian Theory
Description The aim of this paper is to analyse the macroeconomic data of Czech economy and to discuss whether they correspond to RBC or New Keynesian theory. Firstly, we focus on non-neutrality of monetary policy. Secondly, using Blanchar-Quah decomposition in bivariate VAR model we identify technology and nontechnology shocks. The technology shocks produces negative correlation between hours worked and productivity, while nontechnology shocks implies positive correlation between these two variables. This result is in contrast with RBC model which shows positive correlation between hours worked and productivity in reaction to technology shocks, as main source of fluctuations. On the other hand, New Keynesians models are consistent with these empirical findings.
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