Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83617
Authors: 
Jakab, Zoltán M.
Világi, Balázs
Year of Publication: 
2008
Series/Report no.: 
MNB Working Papers 2008/9
Abstract: 
This paper presents and estimates a dynamic stochastic general equilibrium (DSGE) small-open-economy model for the Hungarian economy. The model features different types of frictions, real and nominal rigidities which are necessary to replicate the empirical persistence of Hungarian data. Bayesian methods are applied, and the structural break due to changing monetary regime over the studied period is explicitly taken into account in the estimation procedure. A real-time adaptive learning mechanism describes agents' perception on underlying inflation. This creates an additional inertia in inflation. We describe the properties of the estimated model by impulse-response analysis, variance decomposition and the analysis of identified structural shocks. Our results are compared with that of estimated euro-area DSGE models, and estimated non-DSGE models of the Hungarian economy. As a robustness check, a model without real time adaptive learning is also estimated and it's results are also compared to those of the original model.
Subjects: 
New Keynesian models
DSGE models
small open economy
Bayesian econometrics
JEL: 
E40
E50
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.