Modelling of volatility in monetary transmission mechanism
Journal Article
·
· AIP Conference Proceedings
- Department of Statistics and Operation Analysis, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 61300, Brno (Czech Republic)
- Institute of Technology and Business, Okružní 517/10, 370 01, České Budějovice (Czech Republic)
The aim of this paper is to compare different approaches to modeling of volatility in monetary transmission mechanism. For this purpose we built time-varying parameter VAR (TVP-VAR) model with stochastic volatility and VAR-DCC-GARCH model with conditional variance. The data from three European countries are included in the analysis: the Czech Republic, Germany and Slovakia. Results show that VAR-DCC-GARCH system captures higher volatility of observed variables but main trends and detected breaks are generally identical in both approaches.
- OSTI ID:
- 22391138
- Journal Information:
- AIP Conference Proceedings, Journal Name: AIP Conference Proceedings Journal Issue: 1 Vol. 1648; ISSN APCPCS; ISSN 0094-243X
- Country of Publication:
- United States
- Language:
- English
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