Academic literature on the topic 'Dynamický Stochastický Model Všeobecné Rovnováhy'

Previous literature examining the scenario without the constraint of legal tender law is a rather theoretical analysis of the subject matter. Aside from the theoretical examination of the competition of money this paper offers dynamic structural macroeconomic model based on the money in the utility function. This model compares the current monetary conditions with the potential situation permitting more currencies circulating alongside. The main assumption about individuals' preferences over stable currencies underlines the whole paper with emphasis on the mathematical model. The uniqueness of this model lies in the incorporation of variables affecting respective money demand functions into the utility function of the DSGE model and in the purpose of its use as well as its variables, where representative agent is a household owning a bank rather than a firm. Overall the results of this paper favor the idea of exclusion of the legal tender law in a developed country without severe turmoil. Particularly, the ascent of competition among currencies leads to lower inflation than present scenario. However, final simulations of the model in Matlab supplements such so far "unambiguous" view with skepticism due to possible difficulties during discovery process in such scenario.

Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage assumption. The Thesis shows a possible way of consistent derivation of structural macro-finance model, with reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The paper also presents a brief comparison and shows an ability of both models to fit an average yield curve observed from the data. Lastly, the importance of term structure analysis is demonstrated using case of Central Bank deciding about policy rate and Government conducting debt management.

The thesis evaluates three revenue neutral mixes of political measures aimed at the support of utilization of biofuels in the Czech Republic. The dynamic computable general equilibrium model with three aggregated sectors and two types of households is applied for evaluation of relevant environmental and economic impacts. The hypothetic price subsidy of utilization of energy biomass in production of the first generation biofuels fulfilling sustainability criteria is chosen as the basic supportive tool. The revenue neutrality is satisfied via adequate increase in tax rates in three different alternative scenarios (via labor tax, motor fuel tax, and standard value added tax). The results indicate that at the current price level of crude oil even relatively high level of price subsidy is not sufficient in fulfilling the emission and biofuel share targets presumed by European Commission. Therefore, for attaining the biofuel share target high percentage first generation biofuels and second and third generation biofuels have to be utilized. Furthermore, for the fulfilling of emission targets other alternative fuels have to be utilized as well. The results finally reveal that environmentally most efficient mix is the price subsidy compensated via an increase in the motor fuel tax, economically most...

The thesis examines the ability of DSGE models with financial elements to explain financial asset prices. A neoclassical macroeconomic model is used, in- cluding a financial constraint in the form of a restriction on external financing. Moreover, the strictness of the restriction is affected by an external financial shock. It is shown, that the combination of the financial constraint and the fi- nancial shock contributes to understanding of the macroeconomic fluctuations, asset price dynamics and their mutual impact. The calibration for the United States demonstrates that the financial shock is an important source of the as- set price volatility. Contrary, when calibrated to the Czech data, the financial shock generates only moderate asset price volatility, as a consequence of a posi- tive correlation with the productivity shock. To address the issue, the model is further extended by a sector of financial intermediaries and a preference shock related to the risk-aversion of economic subjects, and the extension is shown to improve the result.

DSGE models are as structural models capable of estimating what would have happened if some part of economy or shocks to it had been different. We consider three such differences in the recent Czech history: no financial shocks during the crisis in 2008-2009; eurozone membership during the crisis in 2008-2009; and no foreign exchange interventions of the Czech National Bank in November 2013. For this purpose, we employ a small open economy DSGE model with financial frictions and estimate it with Bayesian inference. Our results show that impact of financial shocks on GDP growth was negligible. Further, eurozone membership would have made crisis more severe; GDP growth in 2009Q1 would have been -6% instead of -3% and economy would have been in deflation for the five consecutive periods. Difference is explained by strong depreciation of exchange rate during crisis that would not have occurred with the fixed exchange rate. Lastly, the Czech National Banks's foreign exchange interventions increased GDP growth by as much as 0.8 percentage point and saved economy from deflation in all following quarters. They worked through depreciation of exchange rate and consequent improvement in trade balance and increase in price of imported goods. Powered by TCPDF (www.tcpdf.org)