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https://doi.org/10.17535/crorr.2017.0002

Testing market structure assumptions for DSGE modelling in Croatia using the SVAR model with long-run restrictions

Irena Palić   ORCID icon orcid.org/0000-0002-7525-0640 ; Department of Statistics, Faculty of Economics and Business, University of Zagreb, Trg J.F. Kennedy 6, HR-10000 Zagreb, Croatia
Ksenija Dumičić   ORCID icon orcid.org/0000-0001-7131-9455 ; Department of Statistics, Faculty of Economics and Business, University of Zagreb, Trg J.F. Kennedy 6, HR-10000 Zagreb, Croatia
Dajana Barbić   ORCID icon orcid.org/0000-0003-2580-0269 ; Department of Statistics, Faculty of Economics and Business, University of Zagreb, Trg J.F. Kennedy 6, HR-10000 Zagreb, Croatia

Puni tekst: engleski, pdf (190 KB) str. 19-31 preuzimanja: 596* citiraj
APA 6th Edition
Palić, I., Dumičić, K. i Barbić, D. (2017). Testing market structure assumptions for DSGE modelling in Croatia using the SVAR model with long-run restrictions. Croatian Operational Research Review, 8 (1), 19-31. https://doi.org/10.17535/crorr.2017.0002
MLA 8th Edition
Palić, Irena, et al. "Testing market structure assumptions for DSGE modelling in Croatia using the SVAR model with long-run restrictions." Croatian Operational Research Review, vol. 8, br. 1, 2017, str. 19-31. https://doi.org/10.17535/crorr.2017.0002. Citirano 16.10.2021.
Chicago 17th Edition
Palić, Irena, Ksenija Dumičić i Dajana Barbić. "Testing market structure assumptions for DSGE modelling in Croatia using the SVAR model with long-run restrictions." Croatian Operational Research Review 8, br. 1 (2017): 19-31. https://doi.org/10.17535/crorr.2017.0002
Harvard
Palić, I., Dumičić, K., i Barbić, D. (2017). 'Testing market structure assumptions for DSGE modelling in Croatia using the SVAR model with long-run restrictions', Croatian Operational Research Review, 8(1), str. 19-31. https://doi.org/10.17535/crorr.2017.0002
Vancouver
Palić I, Dumičić K, Barbić D. Testing market structure assumptions for DSGE modelling in Croatia using the SVAR model with long-run restrictions. Croatian Operational Research Review [Internet]. 2017 [pristupljeno 16.10.2021.];8(1):19-31. https://doi.org/10.17535/crorr.2017.0002
IEEE
I. Palić, K. Dumičić i D. Barbić, "Testing market structure assumptions for DSGE modelling in Croatia using the SVAR model with long-run restrictions", Croatian Operational Research Review, vol.8, br. 1, str. 19-31, 2017. [Online]. https://doi.org/10.17535/crorr.2017.0002

Sažetak
Assumptions on market structure are crucial in formulating dynamic stochastic general equilibrium (DSGE) models. The inclusion of the price stickiness assumption in DSGE models has questioned the money neutrality, which is a characteristic of DSGE models with perfect competition, and has thus opened the space for monetary policy analysis. One of the criteria used to determine which DSGE models are better suited to the characteristics of an observed empirical economy is the impact of technology shocks in the structural vector autoregression (SVAR) model with long-run restrictions. In DSGE models, assuming perfect competition with no price rigidity, i.e. real business cycle (RBC) models, changes in productivity that are driven by productivity shocks increase employment. On the other hand, new Keynesian (NK) models that assume imperfect competition and price rigidities, suggest that technological shocks decrease employment, since companies cannot adjust to excess production by reducing prices. In order to assess the impact of productivity shocks, the SVAR model with long-run restrictions is estimated using data on labour productivity, working hours and consumption in Croatia. The estimated impact of labour productivity shocks on working hours is statistically significant and negative, whereas the estimated impact on consumption is statistically significant and positive. The conducted analysis points to the fact that the DSGE model with imperfect competition and price rigidities describes the empirical characteristics of the Croatian economy better than the model with perfect competition.

Ključne riječi
DSGE model; Long-run restrictions; Market structure; Price rigidities; SVAR model

Hrčak ID: 181640

URI
https://hrcak.srce.hr/181640

Posjeta: 926 *