Makroekonomické modelování české ekonomiky v pojetí nového keynesovství

Abstract

This dissertation focuses on the evaluation of New Keynesian Macroeconomic models on the Czech Republic’s data and in the context of the specifics of the Czech economy. The evaluation is conducted in terms of the models data fit and usefulness for monetary policy analysis. In its theoretical part, the dissertation discusses the discord between modern the neoclassical economists, and the new Keynesians as the main school advocating the use of dynamic stochastic general equilibrium models (DSGE) for policy analysis. Although both schools share most of the fundamental views, for instance the need for microfoundations of deep structural parameters and shocks, and rational expectations, they diverge in their views concerning the importance of price and wage rigidities, and the short-run effectiveness of stabilization policy. Owing to the fact that DSGE models are predominantly used for monetary policy analysis, this dissertation deploys and evaluates the DSGE models in the context of different representation of monetary policy response, including the Taylor rule, and the overall tradeoff between using discretionary policy and systematic rules. Another researched aspect in the dissertation pertains to the theoretical and empirical coherence of DSGE models. The restriction of the latter tradeoff has been, however, lifted over time due to advances in computational power, which allowed achieving the same degree of empirical coherence with better theoretical construction. The main, empirical part of the dissertation applies the new Keynesian-type macroeconomic model to the data on the Czech economy. This model consists of two blocks: (i) domestic, which contains of four equations characterizing the Phillips curve, IS curve, Taylor-type monetary policy reaction function, the exchange rate under the uncover interest rate parity condition, and (ii) an analogous foreign block representing the Eurozone and modeled as a closed economy. Estimations of the macroeconomic models are based on two sets of time series to enable analyzing the effect of the 2008 and 2009 global financial crisis on parameter estimates of the model, and its implied dynamics. The latter is studies by means of the impulse response analysis to examine the response of domestic macroeconomic variables to domestic and foreign shocks. The analysis suggests that the response of domestic macroeconomic variables to external shocks is significantly more sensitive, when parameter estimates are based on data including the global financial crisis period. The estimated model is then used to solve the problem of potential transition from inflation to exchange rate targeting that would predate adoption of the euro. This transition is modeled by means of a change in the simple optimal policy rule that could characterize the respective monetary policy regimes. An evaluation is then carried out to study the impact of such transition on the central bank’s loss function value.