Estymowane modele równowagi ogólnej : podejście bayesowskie

• Autorzy: Renata Wróbel-Rotter

Warianty tytułu

Estimated General Equilibrium Models : the Bayesian Approach

• Języki publikacji: PL

Abstrakty

Głównym celem niniejszej monografii jest kompleksowe ujęcie zagadnień teoretycznych i rozszerzenie zastosowań praktycznych związanych z estymowanymi modelami równowagi ogólnej. W tym kontekście do cząstkowych celów pracy można zaliczyć: omówienie mikroekonomicznych zagadnień optymalizacji konsumentów i producentów, wprowadzenie równań strukturalnych do modelu, wprowadzenie pełnych zależności między agregatami a prezentacją zmiennych, omówienie kolejnych etapów przygotowania modelu do estymacji, zastosowanie metod wnioskowania bayesowskiego, ocenę funkcjonowania procedur numerycznych, ocenę stopnia dopasowania modelu do poszczególnych szeregów czasowych, porównanie wyników estymacji. Praca składa się z trzech rozdziałów. (fragment tekstu)

EN

The monograph is dedicated to theoretical and practical aspects of the estimated general equilibrium model. The model belongs to a class of so-called dynamic stochastic general equilibrium models, which are restricted in the following work to ones whose parameters are estimated with Bayesian techniques. The work includes the derivation of structural equations of the model considered in two versions, the Bayesian parameters estimation, numerical verification, sensitivity analysis and its use in the hybrid vector regression. The three main themes - structural equation derivation, estimation with verification and the construction of the hybrid model - constitute the main methodological issues related to the estimated general equilibrium models; they are discussed in three extensive chapters. In the first chapter the assumptions and derivation of equations of the estimated general equilibrium model that is subsequently used in the econometric part are presented. The most important subjects of the model are households that take decisions by maximising their expected discounted utility. The production sector is composed of producers that create goods used for consumption. The aggregation mechanism built in the model allows for a transition from solutions to microeconomic optimisation problems to equations describing macroeconomic variables. The model is considered in two versions: in the basic one homogeneity of households is assumed, which leads to full and immediate wage adjustments at the macroeconomic level. In the extended version, heterogeneity of households is assumed, making it possible to capture wage inertia and results in definition of the Phillips curve for wage inflation among equations. The model serves as the basis for the estimation purposes presented in the second chapter, while the extended version is used for a discussion of econometric issues related to the hybrid model of vector autoregression and general equilibrium presented in the third chapter. The econometric issues constitute the central line of thought in the second and third chapters. The main theme of the second chapter is the Bayesian estimation and verification of the model, the numerical stability analysis and the sensitivity analysis of the structural form of the equations. The first part of the chapter is dedicated to problems involved in solving rational expectations systems, the likelihood construction and the Bayesian procedures. The estimation and verification problems of the considered model were then discussed, stressing the issues related to the posterior mode estimation in the context of starting points for numerical procedures, the problems of posterior inference and numerical stability. The second part of the chapter looks at the sensitivity analysis techniques applied to the estimated general equilibrium model, particularly to the determination of stability regions of the rational expectation solution and the examination of the structural and reduced forms parameters relation, which uses the non-parametrically estimated high dimensional model representation. The chapter is summarised by a presentation of the empirical results for the model considered in the first chapter. Which of the two versions better describes the data on the basis of the marginal likelihood maximisation criteria is also discussed. The third chapter looks at methodological and practical aspects of the hybrid vector autoregression and the general equilibrium model. The combined model consists of the auxiliary vector autoregression that approximates the linear solution of the rational expectation model and the vector autoregression that is estimated with the observed data. The estimated general equilibrium model serves as a source for the prior information to the vector autoregression. The first part of the chapter presents the synthesis of the methodological foundations of the hybrid model, stressing the key role of the weighting parameter and the procedure of the hierarchical prior construction. The second part of the chapter presents empirical results for values of the marginal data density obtained after assuming a different prior specification for the weighting parameter that plays the key role in quantifying the amount of the prior information in the hybrid model. The empirical analysis encompasses models estimated conditionally with respect to arbitrary set values of the weighting parameter and fully estimated ones in which the amount of the prior information from the general equilibrium model is assessed after assuming different types, means and dispersion of its prior distributions. The empirical results in the third chapter are obtained for the estimated general equilibrium model in the extended version derived in the first chapter, which proved to be better in terms of the marginal likelihood maximisation in the second chapter. (original abstract)

Słowa kluczowe

PL

Ekonometria; Estymacja; Estymacja bayesowska; Modele bayesowskie; Wnioskowanie bayesowskie; Obliczeniowy model równowagi ogólnej; Rozprawa habilitacyjna

EN

Econometrics; Estimation; Bayesian estimation; Bayesian models; Bayesian inference; Computable General Equilibrium model (CGE); Habilitation thesis

• Czasopismo: Zeszyty Naukowe / Uniwersytet Ekonomiczny w Krakowie. Seria Specjalna, Monografie
• Rocznik: 2015
• Numer: nr 239
• Strony: 222

Twórcy

autor

Renata Wróbel-Rotter

• Uniwersytet Ekonomiczny w Krakowie

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