Software support for economic research at CNB
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1 Software support for economic research at CNB Modern tools for financial analysis and modeling František Brázdik Macroeconomic Forecasting Division Czech National Bank May 23, 2007 Section 412 Matlab tools 1 / 22
2 Outline Supporting prediction process 1 Supporting prediction process 2 Solving, simulating and estimation of DSGE models 3 from prediction process Section 412 Matlab tools 2 / 22
3 Outline Supporting prediction process 1 Supporting prediction process 2 Solving, simulating and estimation of DSGE models 3 from prediction process Section 412 Matlab tools 3 / 22
4 Introduction Monetary policy of CNB: Inflation targeting regime Delay in policy transmission Prediction of economic development Prediction: Model Expert judgement Section 412 Matlab tools 4 / 22
5 Prediction process I Data + Model + Expert judgment = Prediction Data: Various sources Database creation: loading from external databases, merging databases Time series operations: seasonal adjustment, transformations Model: Define a rational expectation model Solve and estimate model Simulate Section 412 Matlab tools 5 / 22
6 Prediction process II Expert judgement: Include expected shocks: impact of news, legislative changes Compare scenarios Section 412 Matlab tools 6 / 22
7 Software requirements I Users: Developers Model operators Decision makers Requirements: User friendly interface Availability of special functions Implementation of changes in models Sensitivity tests Automation of repetitive tasks Section 412 Matlab tools 7 / 22
8 Software requirements II Output: Tables: Call L A TEX to create tables Databases: Final output is MS Excel Inflation report: MS Word document Section 412 Matlab tools 8 / 22
9 Software options I Ready to use programs: Specific data structures Black box computation Impossibility of customization or implementing changes in algorithms Programming languages: Lack of specialized libraries Requirement of skilled users Time consuming development process Section 412 Matlab tools 9 / 22
10 Software options II Matlab: High-level language Numerical computation algorithms Easy to implement new algorithms: Toolboxes Data visualization and analysis Section 412 Matlab tools 10 / 22
11 Outline Supporting prediction process 1 Supporting prediction process 2 Solving, simulating and estimation of DSGE models 3 from prediction process Section 412 Matlab tools 11 / 22
12 DSGE toolboxes Toolboxes for DSGE models simulation: IRIS Developed by CNB staff Designed specially for CNB s prediction process Dynare Developed by O. Kamenik and M. Juillard Designed to solve and estimate theoretical models Section 412 Matlab tools 12 / 22
13 IRIS I Supporting prediction process IRIS toolbox: CNB s toolbox Database functions: underlying format CSV Time series function: plotting and transformations Solution of linear DSGE models Inclusion of expert information in form of shocks Simulation: constrained vs. unconstrained Section 412 Matlab tools 13 / 22
14 IRIS II Supporting prediction process Special types of figures: Section 412 Matlab tools 14 / 22
15 IRIS III Supporting prediction process GUI interface: Java Section 412 Matlab tools 15 / 22
16 Dynare Supporting prediction process Dynare: Free alternative to internal/commercial toolboxes Up to second order approximation Bayesian and Maximum-Likelihood estimation No database functions Dynare++: cubic and higher order of approximation Section 412 Matlab tools 16 / 22
17 Outline Supporting prediction process 1 Supporting prediction process 2 Solving, simulating and estimation of DSGE models 3 from prediction process Section 412 Matlab tools 17 / 22
18 I L A TEX: Creating reports ActiveX: To ease repetitive tasks Section 412 Matlab tools 18 / 22
19 II Exporting tables to MS Word Section 412 Matlab tools 19 / 22
20 III Exporting figures to MS Powerpoint Section 412 Matlab tools 20 / 22
21 IV Exporting graphics: Impulse responses Section 412 Matlab tools 21 / 22
22 Use of Matlab in CNB: Forecasting Research Econometrics Testing of risk evaluation models Section 412 Matlab tools 22 / 22
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