Alternativní typy inflace a jejich dopad na odhad DSGE modelu

Bc. Magdaléna Švorcová

Master's thesis

Alternative inflation types and their impact on DSGE model estimation

Abstract:

The aim of this thesis is to find out what impact the alternative measured types of inflation have on the estimation of the parameters of the DSGE model adapted to the Czech economy. Used types of inflation are the consumer price index (CPI), core inflation (Core CPI), producer price index (PPI), and the GDP deflator. An initial parameter estimate for the models is made. Subsequently, a sensitivity analysis is performed to change the a priori setting of Calvo parameters and Taylor rule parameters. Last but not least, an analysis is performed using the method of moments, where we find the model that best replicates the data.

Abstract:

Cieľom tejto práce je zistiť, aký dopad majú alternatívne merané typy inflácie na odhad parametrov DSGE modelu prispôsobeného českej ekonomike. Typy inflácie použité v tejto práci sú index spotrebiteľských cien (CPI), jadrová inflácia (Core CPI), index cien priemyselných výrobcov (PPI) a deflátor HDP. Na modeloch je urobený prvotný odhad parametrov. Následne je vykonaná citlivostná analýza na zmenu apriórneho nastavenia Calvo parametrov a parametrov Taylorovho pravidla. V neposlednom rade je pomocou metódy momentov vykonaná analýza, kde zisťujeme model najlepšie replikujúci dáta.

Keywords

DSGE model, inflácia, Calvo parametre, parametre Taylorovho pravidla, citlivostná analýza, metóda momentov, inflation, Calvo parameters, Taylor rule parameters, sensitivity analysis, method of moments

Language used: Slovak

Date on which the thesis was submitted / produced: 13. 5. 2022

Thesis defence

• Date of defence: 23. 6. 2022
• Supervisor: Ing. Mgr. Vlastimil Reichel, Ph.D.
• Reader: Ing. Natálie Tomanová

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Mathematical and Statistical Methods in Economics / Mathematical and Statistical Methods in Economics