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Wróbel-Rotter Renata (Akademia Ekonomiczna w Krakowie / Wydział Zarządzania)
Dynamiczne stochastyczne modele równowagi ogólnej : zarys metodologii badań empirycznych
Dynamic Stochastic General Equilibrium Models : an Introduction to Empirical Research
Folia Oeconomica Cracoviensia, 2007, vol. 48, s. 69-93, bibliogr. 81 poz.
Słowa kluczowe
Modele stochastyczne, Obliczeniowy model równowagi ogólnej, Teoria racjonalnych oczekiwań, Wnioskowanie bayesowskie, Metoda Monte Carlo, Łańcuch Markowa
Stochastic models, Computable General Equilibrium model (CGE), Rational expectations theory, Bayesian inference, Monte Carlo method, Markov chain
W artykule omówiono zagadnienia specyfikacji i bayesowskiej estymacji dynamicznych, stochastycznych modeli równowagi ogólnej (ang. Dynamie Stochastic General Eqtilibrium Models — DSGE). Opisano procesy optymalizacyjne podmiotów gospodarczych, ich reguły decyzyjne oraz zasadnicze założenia. Artykuł ma charakter przeglądowy i systematyzujący główne problemy metodologiczne w celu dalszych badań nad możliwościami zastosowania DSGE w modelowaniu gospodarki polskiej.

The paper presents general idea of construction and estimation of Dynamic Stochastic General Equilibrium Models. Models belonging to the class of DSGE combine in one specification the optimization behavior of consumers and producers with mechanisms that allow to model the nominal and real rigidities observed at the macroeconomic level. DSGE models are widely applied by financial institutions as a consequence of their ability to flexibly include and test alternative economic hypotheses and the existence of estimation methods. The article begins by reviewing main components of the theoretical model with discussion of the most important assumptions, which is followed by presentation of methods for solving rational expectation models and the Bayesian estimation of structural parameters. (original abstract)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
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