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aktualizováno: 05.12.2017 15:56:11 

Aleš Bulíř

Monetary model (with downloads)...

A calibrated new-Keynesian monetary model

This section describes a model and model code developed by Jaromír Hurník. Jarek and I use the following reduced-form new-Keynesian model for teaching the IMF Institute course on Monetary and Exchange Rate Policies (MERP) and the new course Monetary Policy Analysis (MPA). If you are interested in participating in these courses, additional information can be found on the IMF Institute website. Or look at the course catalogue.

The model is particularly useful for understanding the various channels of monetary transmission, filtering of nonstationary series, and inflation forecasting. The model consists of four basic behavioral equations (aggregate demand and supply, uncovered interest rate parity, and monetary policy rule) and several identities. More complicated versions of this class of models are employed in many central banks for policy analysis and forecasting.

Model description is here (.pdf).

Matlab codes using Russian data from 1999 to 2007 are here and Czech data from 1996 to 2009 are here. The last version of the model using the Czech data up to Q4 2010 is here. Download the attached *.zip files, save it to your modeling directory (this directory needs to be somewhere on the C:\ drive, that is, not on a server), and unzip. Note that you need Matlab, IRIS toolbox, MikTEX, and Ghostscript to generate the various graphic outputs. All programs--with the exception of Matlab--are freeware, see the section on model installation.

For installation instructions go to here.

Suggestions for further reading are here.

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