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<table border="0" cellpadding="3" cellspacing="1" width="100%" class="forumline"> <tr> <th class="thCornerL" width="22%" height="26">Autor</th> <th class="thCornerR">Wiadomość</th> </tr> <tr> <td width="22%" align="left" valign="top" class="row1"><span class="name"><a name=""></a><b>Bartosz Trojnar</b></span></td> <td class="row1" height="28" valign="top"><table width="100%" border="0" cellspacing="0" cellpadding="0"> <tr> <td width="100%"><img src="http://picsrv.fora.pl/subSilver/images/icon_minipost.gif" width="12" height="9" alt="Post" title="Post" border="0" /><span class="postdetails">Wysłany: Nie 17:27, 06 Mar 2011<span class="gen"> </span> Temat postu: </span></td> </tr> <tr> <td colspan="2"><hr /></td> </tr> <tr> <td colspan="2"><span class="postbody">dobrze że wrzuciłeś tylko najważniejsze materiały bo inaczej bym wszystkich nie przeczytał <img src="http://picsrv.fora.pl/images/smiles/icon_smile.gif" alt="Smile" border="0" /></span></td> </tr> </table></td> </tr> <tr> <td colspan="2" height="1" class="spaceRow"><img src="http://picsrv.fora.pl/subSilver/images/spacer.gif" alt="" width="1" height="1" /></td> </tr> <tr> <td width="22%" align="left" valign="top" class="row2"><span class="name"><a name=""></a><b>adrian_burda</b></span></td> <td class="row2" height="28" valign="top"><table width="100%" border="0" cellspacing="0" cellpadding="0"> <tr> <td width="100%"><img src="http://picsrv.fora.pl/subSilver/images/icon_minipost.gif" width="12" height="9" alt="Post" title="Post" border="0" /><span class="postdetails">Wysłany: Nie 3:51, 06 Mar 2011<span class="gen"> </span> Temat postu: </span></td> </tr> <tr> <td colspan="2"><hr /></td> </tr> <tr> <td colspan="2"><span class="postbody">A jak owe modele sprawdzają się w prognozowaniu? <br /> <br />W artykule porównanie różnych modeli DSGE i oraz modelu BVAR (oraz prognoz ekspertów) dotyczących PKB i inflacji podczas recesji w USA (od 1980-81 do obecnego kryzysu) : <br /> <br /><a href="http://macromodelbase.com/system/files/upload/Wieland-Wolters_100520.pdf" target="_blank">http://macromodelbase.com/system/files/upload/Wieland-Wolters_100520.pdf</a> <br /> <br />Wieland, Volker and Maik Wolters, <span style="font-weight: bold">"The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy</span>", forthcoming in Economic Theory, 2011</span></td> </tr> </table></td> </tr> <tr> <td colspan="2" height="1" class="spaceRow"><img src="http://picsrv.fora.pl/subSilver/images/spacer.gif" alt="" width="1" height="1" /></td> </tr> <tr> <td width="22%" align="left" valign="top" class="row1"><span class="name"><a name=""></a><b>adrian_burda</b></span></td> <td class="row1" height="28" valign="top"><table width="100%" border="0" cellspacing="0" cellpadding="0"> <tr> <td width="100%"><img src="http://picsrv.fora.pl/subSilver/images/icon_minipost.gif" width="12" height="9" alt="Post" title="Post" border="0" /><span class="postdetails">Wysłany: Nie 2:57, 06 Mar 2011<span class="gen"> </span> Temat postu: </span></td> </tr> <tr> <td colspan="2"><hr /></td> </tr> <tr> <td colspan="2"><span class="postbody">A oto rekomendowane przeze mnie programy (for free) <br /> <br />VAR <br /><a href="http://www.jmulti.de/" target="_blank">http://www.jmulti.de/</a> <br /> <br />w zakładce Dataset - interesujące zbiory danych (na których można ćwiczyć wykorzystanie modeli) <br /> <br />DSGE: <br />Dynare <br /><a href="http://www.dynare.org/download" target="_blank">http://www.dynare.org/download</a> <br /> <br /><a href="http://macromodelbase.com/download" target="_blank">http://macromodelbase.com/download</a> <br /> <br />Zbiór danych makro. (wymagają rejestracji - ale wszystko for free. Nawet hasło do rejestracji bajecznie proste) <br /> <br />Można więc w praktyce pobawić się tymi narzędziami i zobaczyć jak działają <img src="http://picsrv.fora.pl/images/smiles/icon_smile.gif" alt="Smile" border="0" /></span></td> </tr> </table></td> </tr> <tr> <td colspan="2" height="1" class="spaceRow"><img src="http://picsrv.fora.pl/subSilver/images/spacer.gif" alt="" width="1" height="1" /></td> </tr> <tr> <td width="22%" align="left" valign="top" class="row2"><span class="name"><a name=""></a><b>adrian_burda</b></span></td> <td class="row2" height="28" valign="top"><table width="100%" border="0" cellspacing="0" cellpadding="0"> <tr> <td width="100%"><img src="http://picsrv.fora.pl/subSilver/images/icon_minipost.gif" width="12" height="9" alt="Post" title="Post" border="0" /><span class="postdetails">Wysłany: Sob 16:56, 05 Mar 2011<span class="gen"> </span> Temat postu: </span></td> </tr> <tr> <td colspan="2"><hr /></td> </tr> <tr> <td colspan="2"><span class="postbody">Ciekawe praktyczne zastosowania: <br /> <br /><span style="font-weight: bold">VAR </span> <br /> <br /><span style="font-weight: bold">Mechanizm transmisji monetarnej: </span> <br /> <br /><a href="http://research.stlouisfed.org/wp/2003/2003-032.pdf" target="_blank">http://research.stlouisfed.org/wp/2003/2003-032.pdf</a> <br />Lucio Sarno, Daniel L. Thornton , The Efficient Market Hypothesis and Identification in <br />Structural VAR s <br /> <br /><a href="http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1230.pdf" target="_blank">http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1230.pdf</a> <br /> <br />TIME VARIATION <br />IN U.S. WAGE <br />DYNAMICS <br />y Boris Hofmann, <br />Gert Peersman, <br />and Roland Straub <br /> <br /> <br /><span style="font-weight: bold">Rynek Pracy: </span> <br /> <br /><a href="http://ideas.repec.org/a/spr/empeco/v31y2006i2p409-431.html" target="_blank">http://ideas.repec.org/a/spr/empeco/v31y2006i2p409-431.html</a> <br />Ralf Brüggemann, Sources of German unemployment: a structural vector error correction analysis <br /> <br /><a href="http://ibs.org.pl/site/upload/publikacje/Adaptacyjnosc_gospodarki_polskiej_IBS_NBP.pdf" target="_blank">http://ibs.org.pl/site/upload/publikacje/Adaptacyjnosc_gospodarki_polskiej_IBS_NBP.pdf</a> <br /> <br />Adaptacyjność gospodarki polskiej do szoków <br />makroekonomicznych - Bukowski, koloch Lewandowski <br /> <br /><a href="http://www.economics-ejournal.org/economics/journalarticles/2009-4" target="_blank">http://www.economics-ejournal.org/economics/journalarticles/2009-4</a> <br /> <br />Katarina Juselius and Javier Ordóñez <br />Balassa-Samuelson and Wage, Price and Unemployment Dynamics in the Spanish Transition to EMU Membership <br /> <br /><span style="font-weight: bold">Polityka fiskalna</span> <br /> <br /><a href="http://www.nber.org/papers/w16479.pdf" target="_blank">http://www.nber.org/papers/w16479.pdf</a> <br /> <br /> <br />HOW BIG (SMALL?) ARE FISCAL MULTIPLIERS? <br /> <br />Ethan Ilzetzki <br />Enrique G. Mendoza <br />Carlos A. Végh <br /> <br /> <br />Varia: <br /><a href="http://www.econ.cam.ac.uk/faculty/pesaran/wp09/Iran_VARX_08Oct09.pdf" target="_blank">http://www.econ.cam.ac.uk/faculty/pesaran/wp09/Iran_VARX_08Oct09.pdf</a> <br /> <br />Model VARx dla gospodarki irańskiej <br /> <br /> <br /><span style="font-weight: bold">DSGE</span><span style="font-weight: bold"> <br /> <br />Polityka fiskalna <br /> <br /><a href="http://www.imf.org/external/pubs/ft/wp/2010/wp10297.pdf" target="_blank">http://www.imf.org/external/pubs/ft/wp/2010/wp10297.pdf</a> <br /> <br />Macroeconomic Effects of Public Pension Reforms <br /> <br />Philippe Karam, Dirk Muir, Joana Pereira, and Anita Tuladhar </span> <br /> <br />Cykle koniunkturalne: <br /><a href="http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1280.pdf" target="_blank">http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1280.pdf</a> <br /> <br />CAN WE PREVENT BOOM-BUST <br />CYCLES DURING EURO AREA <br />ACCESSION? 1 <br />by Michał Brzoza-Brzezina 2, Pascal Jacquinot 3 <br />and Marcin Kolasa <br /> <br /> <br /><a href="http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp722.pdf" target="_blank">http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp722.pdf</a> <br /> <br />SHOCKS AND FRICTIONS <br />IN US BUSINESS CYCLES <br />A BAYESIAN <br />DSGE APPROACH (Smets, Wouters)</span></td> </tr> </table></td> </tr> <tr> <td colspan="2" height="1" class="spaceRow"><img src="http://picsrv.fora.pl/subSilver/images/spacer.gif" alt="" width="1" height="1" /></td> </tr> <tr> <td width="22%" align="left" valign="top" class="row1"><span class="name"><a name=""></a><b>adrian_burda</b></span></td> <td class="row1" height="28" valign="top"><table width="100%" border="0" cellspacing="0" cellpadding="0"> <tr> <td width="100%"><img src="http://picsrv.fora.pl/subSilver/images/icon_minipost.gif" width="12" height="9" alt="Post" title="Post" border="0" /><span class="postdetails">Wysłany: Śro 2:23, 02 Mar 2011<span class="gen"> </span> Temat postu: </span></td> </tr> <tr> <td colspan="2"><hr /></td> </tr> <tr> <td colspan="2"><span class="postbody">Na wprowadzenie do tematyki: <br /> <br /><a href="http://www.ssc.upenn.edu/~fdiebold/papers/paper19/jep2.pdf" target="_blank">http://www.ssc.upenn.edu/~fdiebold/papers/paper19/jep2.pdf</a> <br /> <br />Diebold, F.X. (1998), <br /><span style="font-weight: bold">"The Past, Present and Future of Macroeconomic Forecasting,"</span> <br />Journal of Economic Perspectives, 12, 175-192 <br /> <br /> <br /><a href="http://pareto.uab.es/mcreel/reading_course_2006_2007/lucas1976.pdf" target="_blank">http://pareto.uab.es/mcreel/reading_course_2006_2007/lucas1976.pdf</a> <br /> <br />Krytyka Lucasa <br /> <br /> <br /><span style="font-weight: bold">VAR</span> <br /> <br /><a href="http://www.eduardoloria.name/articulos/Sims.pdf" target="_blank">http://www.eduardoloria.name/articulos/Sims.pdf</a> <br /> <br /><span style="font-weight: bold">Macroeconomics and Reality</span> <br />Christopher A. Sims <br />Econometrica, Vol. 48, No. 1. (Jan., 1980), pp. 1-48.[/b] <br /> <br /><a href="http://www.master-ape.ens.fr/wdocument/master/cours/macro2/BQ%20AER89.pdf" target="_blank">http://www.master-ape.ens.fr/wdocument/master/cours/macro2/BQ%20AER89.pdf</a> <br /> <br />The Dynamic Effects of Aggregate Demand and Supply Disturbances <br />Olivier Jean Blanchard; Danny Quah <br /> <br /><a href="http://www.econ.ku.dk/okokj/papers/dfhkjfnl.pdf" target="_blank">http://www.econ.ku.dk/okokj/papers/dfhkjfnl.pdf</a> <br /><a href="http://www.econ.ku.dk/okokj/papers/kjdhengii.pdf" target="_blank">http://www.econ.ku.dk/okokj/papers/kjdhengii.pdf</a> <br /> <br /> Explaining Cointegration Analysis <br />David F. Hendry and Katarina Juselius <br /> <br /> <br /><a href="http://www.math.ku.dk/~sjo/papers/OverviewPreprint.pdf" target="_blank">http://www.math.ku.dk/~sjo/papers/OverviewPreprint.pdf</a> <br /><span style="font-weight: bold">Cointegration: an overview</span> <br />Søren Johansen <br />Department of Applied Mathematics and Statistics <br />University of Copenhagen <br />November 2004<span style="font-weight: bold"></span> <br /> <br /> <br /> <br /> <br /><span style="font-weight: bold">DSGE</span> <br /> <br /><a href="http://www.minneapolisfed.org/research/prescott/papers/timetobuild.pdf" target="_blank">http://www.minneapolisfed.org/research/prescott/papers/timetobuild.pdf</a> <br /> <br />Kydland. Prescott, <span style="font-weight: bold">Time to Build and Aggregate Fluctuations <br /></span> <br /> <br /><a href="http://www.minneapolisfed.org/research/prescott/papers/compexp.pdf" target="_blank">http://www.minneapolisfed.org/research/prescott/papers/compexp.pdf</a> <br />Kydland, F.E. and E.C. Prescott (1996), <span style="font-weight: bold">“The computational experiment: an econometric Tool”,</span> <br />Journal of Economic Perspectives, 10:1, p.68-86. <br /> <br /><a href="http://www.ecb.int/pub/pdf/scpwps/ecbwp171.pdf" target="_blank">http://www.ecb.int/pub/pdf/scpwps/ecbwp171.pdf</a> <br />Model Smets's Wouters'a dla strefy euro <br /> <br /><a href="http://www.stanford.edu/~kumhof/gimfwp1034.pdf" target="_blank">http://www.stanford.edu/~kumhof/gimfwp1034.pdf</a> <br />Model GIMF - obecnie używany przez IMF <br /> <br />O kalibracji: <br /> <br /><a href="http://www.jstor.org/stable/2285221" target="_blank">http://www.jstor.org/stable/2285221</a> . (szukajcie w naszej bilbiotece na Czasopisma AZ) <br /> <br /><span style="font-weight: bold">Introduction Calibration and Econometric Research: An Overview</span> <br />Author(s): Adrian Pagan <br />Source: Journal of Applied Econometrics, Vol. 9, Supplement: Special Issue on Calibration <br />Techniques and Econometrics (Dec., 1994), pp. S1-S10 <br /> <br /> <br /> <br /><span style="font-weight: bold">Relacje między SVAR a DSGE <br /> <br /><a href="http://sims.princeton.edu/yftp/ReasonableModels/MakingReasonable.pdf" target="_blank">http://sims.princeton.edu/yftp/ReasonableModels/MakingReasonable.pdf</a> <br />Sims, A. A. (2008): "[b]Making Macro Models Behave Reasonably</span>", Working Paper, Princeton <br />University;[/b] <br /> <br /> <br /><a href="http://www.economics-ejournal.org/economics/journalarticles/2007-4" target="_blank">http://www.economics-ejournal.org/economics/journalarticles/2007-4</a> <br />Katarina Juselius and Massimo Franchi <br /><span style="font-weight: bold">Taking a DSGE Model to the Data Meaningfully</span></span></td> </tr> </table></td> </tr> <tr> <td colspan="2" height="1" class="spaceRow"><img src="http://picsrv.fora.pl/subSilver/images/spacer.gif" alt="" width="1" height="1" /></td> </tr> <tr> <td width="22%" align="left" valign="top" class="row2"><span class="name"><a name=""></a><b>lukasz.pokrywka</b></span></td> <td class="row2" height="28" valign="top"><table width="100%" border="0" cellspacing="0" cellpadding="0"> <tr> <td width="100%"><img src="http://picsrv.fora.pl/subSilver/images/icon_minipost.gif" width="12" height="9" alt="Post" title="Post" border="0" /><span class="postdetails">Wysłany: Śro 1:16, 02 Mar 2011<span class="gen"> </span> Temat postu: Spotkanie 7.03.2011 - Nowoczesne narzędzia makroekonomii</span></td> </tr> <tr> <td colspan="2"><hr /></td> </tr> <tr> <td colspan="2"><span class="postbody">Najbliższe spotkanie 7. marca będzie poświęcone <span style="font-weight: bold">Nowoczesnym narzędziom makroekonomii - modele VAR vs. DSGE</span> <br />Temat przygotuje oczywiście Adrian <img src="http://picsrv.fora.pl/images/smiles/icon_smile.gif" alt="Smile" border="0" /></span></td> </tr> </table></td> </tr> <tr> <td colspan="2" height="1" class="spaceRow"><img src="http://picsrv.fora.pl/subSilver/images/spacer.gif" alt="" width="1" height="1" /></td> </tr> </table>
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