Field characteristic

Macrodynamics

Nonlinear model of closed economy is formulated on an extended and modified Kaldor's model of small closed economy with a simple structure and several nonlinearities. Nonlinear pattern of dependencies in this model is created by a logistic function. The model is realized by four differential equations. The first equation and second equation describe output and capital dynamics. A core of the output dynamics is formulated by investment and savings disequilibrium. Capital dynamics is formed by a net investment. The third equation describes price dynamics through disequilibrium powers on monetary markets. And the fourth equation describes expected inflation formulated as an adaptive expectation. Behavior analysis of this model is realized on numerical calibrated model. The considered model demonstrates chaotic solution of attractors by the positive Lyapunov exponent. Kaldor's model is described in some classical macroeconomics textbook. A simple dynamic continuous nonlinear model for the description and investigate the possibility of more complex behaviour of such systems was chosen. The stability such systems was tested and Lyapunov exponents were computed using appropriate numerical methods.

An utilization of the Dynamic Deterministic and Stochastic Models of General Equilibrium (DGE and DSGE) for a modelling of interactions of the capital markets and real economy is used. Nowadays, these models are widely used for short term and long term predictions mainly by central banks. For analysing impacts of changes in economic policies (in particular effect of tax and pension reforms on distribution of income, or on interest rates, etc.), certain modifications of these models is used – i.e. models with overlapping generations.

Main ambition is our formation of the DGE or DSGE model that would be included also indicators of capital markets (i.e. stock index and so on). Empirical models with macroeconomic variables and indicators of capital markets are developed. The proposed form of dependence was already analysed by arbitrary pricing models. We consider also application of VAR models, ARMAX, or nonlinear approaches as NARMAX. After empirical verification of dependencies, the construction of DGE or DSGE model with financial market variables should be followed. The model has made use of achieved results from other parts of the research in the field of behavioural finance.

People

Selected publications

• Kodera J., Sladký K., Vošvrda M.: Stability and Lyapunov exponents in keynesian and classical macroeconomic models. Mathematical Methods in Economics 2005. (Hana Skalská, ed.). Gaudeamus, Hradec Králové 2005, pp. 203--210.
• Kodera J., Vošvrda M.: Product, capital, and price motion in a simple nonlinear model closed economy. Politická ekonomie, vol. 54, 3 (2006), p. 339--350.
• Vošvrda M.,, Kodera J.: Goodwin's Predator-Prey Model with Endogenous Technological Progress , Proceedings of the 24th International Conference Mathematical Methods in Economics 2006, p. 293-300 , Eds: Lukáš L., Mathematical Methods in Economics 2006, (Plzeň, CZ, 13.09.2006-15.09.2006)
• Vošvrda M., Kodera J.: Produkt, kapitál a cenový pohyb v jednoduchém modelu uzavřené ekonomiky , Politická ekonomie vol.54, 3 (2006), p. 339-350
• Kodera J., Vošvrda M.: Production, Capital Stock, and Price Level Dynamics in the Light of Kaldorian Model , Acta Oeconomica Pragensia vol.15, 4 (2007), p. 79-86
• Klacek J., Vošvrda M., Schlosser Š.: KLE Translog production function and total factor productivity , Statistika vol.87, 4 (2007), p. 261-274
• Kodera J., Sladký K., Vošvrda M.: Neo-Keynesian and Neo-Classical Macroeconomic Models: Stability and Lyapunov Exponents , Czech Economic Review vol.1, 3 (2007), p. 1-11
• Kodera J., Vošvrda M.: Production, Capital Stock, and Price Level Dynamics in the Light of Kaldorian Model , Acta Oeconomica Pragensia vol.15, 4 (2007), p. 79-86
• Baxa J.: Stock Market Optimism and Cointegration among Stocks: The Case of the Prague Stock Exchange , Acta Oeconomica Pragensia vol.15, 4 (2007), p. 5-16
• Baxa J.: A Simple Real Business Cycle Model of the Czech Economy , Quantitative Methods in Economics: Multiple Criteria Decision making XIV , Eds: Reiff Sladký, Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008)
• Baxa J.: What the Data Say about the Effects of Fiscal Policy in the Czech Republic? , Mathematical Methods in Economics 2010 , Eds: Houda Michal, Friebelova Jana, Mathematical Methods in Economics, (Ceske Budejovice, CZ, 08.09.2010-10.09.2010)

Grants and projects

• Economic Dynamics: Analytical and Computational Treatment of Macroeconomic Models
  Karel Sladký, grant No. A 7075202 of the Grant Agency of the Czech Academy of Science, 2002-2006.
• Nonlinear Economic Dynamics
  Miloslav Vošvrda, grant No. 402/03/H057 of the Czech Science Foundation, with University of Economics and Charles University in Prague, 2003-2006. 
• Nonlinear  Dynamic and Stochastics of Economics Systems: Equillibria, Stability, and Bifurcations 
  Jan Kodera, grant No. 402/06/0990 of the Czech Science Foundation,  2006-2008
• Nonlinear  Dynamic in Monetary and Financial Economics. Theory and Empirical Models.
  Jan Kodera,  Miloslav Vošvrda, grant No. 402/09/H045 of the Czech Science Foundation, 2009-2011