Publication details

Changes in the behavior of economies in a DSGE model in the course of time



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

Faculty of Economics and Administration

Field Economy
Keywords DSGE model; economic recession; change in model behavior; Bayesian estimates; impulse response function
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Description The contribution uses a NK DSGE model as a tool for analysis of model behavior. The used macroeconomic model is a SOE model derived from microeconomic foundations and presumes four types of agents. Aim of the contribution is to identify changes in behavior of modeled economies during dramatic economic events and explain observed changes in the mechanics of the model. The method proceeds from Bayesian estimates of parameters and impulse response functions. In order to analyze changes in parameter estimates and impulse response functions in time, a number of estimation procedures are carried out. Each estimation involves the same baseline model with the same prior setting and varies only in the time-frame of the data set. Resulting changes in the estimates of parameters and different shapes of impulse response functions may point to changes in behavior of the system caused only by using different data span. Such model results may be explained in the context of changed behavior of economic agents.
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