03542ntm a22005417i 4500 000128932 CZ-PrVSE 20210905195618.0 m d cr n|||||||||| 210905s2021 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Šilhart, Marek ISIS:125830 dis Formulace, analýza a odhad DSGE modelu eng Formulation, Analysis and Estimation of DSGE Models / Marek Šilhart 2021 ?? stran : digital, PDF soubor Vedoucí práce: Andrea Čížků Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2021 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2021 The objective of this diploma thesis is to derive canonical, medium scale DSGE model of New Keynesian economics and consequently estimate its parameters using Bayesian techniques. After that, dynamics and identification of estimated model is examined. The model contains all standard features of medium scale DSGE models like nominal and real rigidities, backward indexation of wages and prices, habit formation, etc. The estimated model shows strong price rigidity, the coefficient describing the degree of price rigidity is 0.97. On the other hand, the wage rigidity is very weak, 0.07. The relative risk aversion parameter was estimated to be 1.32 which implies intertemporal elasticity of substitution as big as 0.76. The model also shows strong backward indexation for both prices and wages - estimated parameters are 0.86 and 0.62 respectively. The estimated monetary policy rule suggests strong interest rate inertia. The autoregressive parameter at the lagged interest rate was estimated to value 0.92. The impulse response function to government spending shock implies a potential need to incorporate a heterogeneous, non-Ricardian consumer to fit the empirical findings better. The identification analysis indicated that all parameters were identified, but some seemed to be identified weakly, in comparison with others. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Dynamic Stochastic General Equilibrium model Bayesian estimation identification New Keynesian macroeconomics Čížků, Andrea ISIS:2357 ths Formánek, Tomáš ISIS:46723 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/75149/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/75149 Hlavní práce https://insis.vse.cz/zp/75149/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/75149/posudek/oponent/71884 Oponentura https://insis.vse.cz/zp/75149/priloha/22550 Přiloha k práci https://insis.vse.cz/zp/75149/priloha/22551 Přiloha k práci https://insis.vse.cz/zp/75149/priloha/22553 Přiloha k práci https://insis.vse.cz/zp/75149/podrobnosti dc:identifier NEPOSILAT VSKP vse75149 210831 75149