An analysis of forecasting abilities of DSGE and Treshold VAR models
| Thesis title: | An analysis of forecasting abilities of DSGE and Treshold VAR models |
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| Author: | Kuchta, Michal |
| Thesis type: | Diploma thesis |
| Supervisor: | Tran, Van Quang |
| Opponents: | Janíčko, Martin |
| Thesis language: | English |
| Abstract: | In this Thesis, small to medium scale DSGE model for Czech republic incorporating set of frictions and rigidities is derived, and estimated by Bayesian techniques. Subsequent Impulse response and Shock decomposition analysis evaluate properties of this model. Model is then matched to empirical data and estimated on Czech major economic time series. Forecasting performance of this models is opposed by Bayesian Threshold VAR and plain Bayesian VAR Models. Forecasting exercise considers a variety of settings and its evaluation is judged upon RMSE providing simple ranking of inquired models. |
| Keywords: | DSGE; forecasting; Bayesian VAR; Threshold VAR |
| Thesis title: | Analýza predikčných schopností DSGE a Threshold VAR modelu |
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| Author: | Kuchta, Michal |
| Thesis type: | Diplomová práce |
| Supervisor: | Tran, Van Quang |
| Opponents: | Janíčko, Martin |
| Thesis language: | English |
| Abstract: | V tejto diplomovej práci je odvodený a Bazesovskými metódami odvadnutý malý, až stredne veľký DSGE model pre Českú republiku zahrňujúci tržné frikcie a rigidity. Nasledujúca analýza odozvy a dokompozícia šokov popisuju a hodnotí vlastnosti tohto modelu. Ten je potom upravený tak, aby zodpovedal empiricky pozorvatelným datám a následne odhadnutý na hlavných časových radoch popisujúcich Českú ekonomiku. Predikčné schopnosti modelu sú porovnané s Bayesovským režim-prepinajúcim VAR a obyčajným Bayesovským VAR modelom. Výpočet predpovedí pozostáva z celého setu scenárov a výsledky sú ohodnetené na základe RMSE, ktorá poskytuje jednoduché zoradenie. |
| Keywords: | Bayesovský VAR; predikcie; DSGE |
Information about study
| Study programme: | Finance a účetnictví/Finanční inženýrství |
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| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Finance and Accounting |
| Department: | Department of Monetary Theory and Policy |
Information on submission and defense
| Date of assignment: | 28. 7. 2017 |
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| Date of submission: | 12. 1. 2018 |
| Date of defense: | 1. 2. 2018 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/62652/podrobnosti |