Grant detail

GAUK 1390218: Frequency-specific transmission mechanism in economic systems

Principal investigator: Mgr. Luboš Hanus
Collaborators: Mgr. Martin Hronec
Mgr. Lukáš Vácha Ph.D.
Description: In our project, we develop a new approach for measurement of dynamics in economic systems. Using spectral approach to multivariate economic time-series, we describe transmission mechanism in frequency-specific terms at different business cycles. Since economic systems rely on the interaction of agents with heterogeneous beliefs creating shocks at different business cycles, it is important to measure the heterogeneous frequency responses of shocks in the system. We propose to use the impulse transfer function, which is a spectral counter-part to an impulse response function and quantifies the direction of the effect caused by a shock at a business cycle. Using the novel approach, we aim to re-examine the monetary policy transmission mechanism. We will broadly explore the widely known phenomena such as the price puzzle at long-, medium-, and short-term cycles. Since we want to capture the dynamics at both time and frequency, the research will join a time-varying parameter VAR environment with the frequency decomposition. This new strategy will bring frequency dependent policy implications. Furthermore, the proposed framework is universal to other economic processes representable as an infinite moving average.
Participation:
Work in grant:
Web link:
Finance: Accepted for funding in March 2018
End date: 2018
Publications:
Conferences:

12th International Conference on Computational and Financial Econometrics (CFE 2018)

2nd International Conference on Econometrics and Statistics (EcoSta 2018)

Fifth International Symposium in Computational Economics and Finance

Slovak Economic Association Meeting (SEAM 2018)

Partners

Deloitte
McKinsey & Company
Moneta Money Bank

Sponsors

CRIF
ČSOB