Informace o publikaci

Comparing the fit of New Keynesian DSGE models

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ČAPEK Jan

Rok publikování 2010
Druh Článek v odborném periodiku
Časopis / Zdroj Ekonomická revue
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/Papers/VOL13NUM04PAP03.pdf
Obor Ekonomie
Klíčová slova Forecast quality; global Sensitivity Analysis; model fit; Bayesian posterior odds ratio; parameter importance
Přiložené soubory
Popis The paper is focused on an analysis of model fit of DSGE models following NOEM. Unlike most of the literature on the topic,this paper does not use posterior odds to analyze model fit to data;it uses alternative tools instead. In order to compare the results of the alternative tools to the standard posterior odds ratio, this paper uses the findings of Slanicay and Vašíček (2009)[SV2009],who compared model fit to data of several models with posterior odds. The goal of the paper is to verify the results of SV2009 with different criteria than posterior odds. The tools for the analysis are criteria based on RMSE and tools from the Global Sensitivity Analysis toolbox. Conclusions of this paper are the following: Habit persistence in consumption is found to be important and price indexation unimportant as in SV2009. Furthermore,model variants with exogenous foreign economy always perform better than the ones with structurally modeled foreign economy. This finding is in contradiction to the results of SV2009.
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