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Title: Modelling of volatility in monetary transmission mechanism

Abstract

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.

Authors:
; ;  [1];  [2]
  1. Department of Statistics and Operation Analysis, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 61300, Brno (Czech Republic)
  2. Institute of Technology and Business, Okružní 517/10, 370 01, České Budějovice (Czech Republic)
Publication Date:
OSTI Identifier:
22391138
Resource Type:
Journal Article
Resource Relation:
Journal Name: AIP Conference Proceedings; Journal Volume: 1648; Journal Issue: 1; Conference: ICNAAM-2014: International Conference on Numerical Analysis and Applied Mathematics 2014, Rhodes (Greece), 22-28 Sep 2014; Other Information: (c) 2015 AIP Publishing LLC; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; COMPARATIVE EVALUATIONS; COMPUTERIZED SIMULATION; CZECH REPUBLIC; FEDERAL REPUBLIC OF GERMANY; MATHEMATICAL MODELS; SLOVAKIA; STOCHASTIC PROCESSES; TIME DEPENDENCE; TRANSMISSION; VOLATILITY

Citation Formats

Dobešová, Anna, Klepáč, Václav, Kolman, Pavel, and Bednářová, Petra. Modelling of volatility in monetary transmission mechanism. United States: N. p., 2015. Web. doi:10.1063/1.4912941.
Dobešová, Anna, Klepáč, Václav, Kolman, Pavel, & Bednářová, Petra. Modelling of volatility in monetary transmission mechanism. United States. doi:10.1063/1.4912941.
Dobešová, Anna, Klepáč, Václav, Kolman, Pavel, and Bednářová, Petra. Tue . "Modelling of volatility in monetary transmission mechanism". United States. doi:10.1063/1.4912941.
@article{osti_22391138,
title = {Modelling of volatility in monetary transmission mechanism},
author = {Dobešová, Anna and Klepáč, Václav and Kolman, Pavel and Bednářová, Petra},
abstractNote = {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.},
doi = {10.1063/1.4912941},
journal = {AIP Conference Proceedings},
number = 1,
volume = 1648,
place = {United States},
year = {Tue Mar 10 00:00:00 EDT 2015},
month = {Tue Mar 10 00:00:00 EDT 2015}
}