scholarly journals Projecting a Life-cycle Income – a Simulation Model for the Slovak Pension Benefit Statement

2020 ◽  
Vol 15 (4) ◽  
pp. 271-284
Author(s):  
Ján Šebo ◽  
Daniela Danková ◽  
Ivan Králik
Keyword(s):  
Life Cycle ◽  
Longitudinal Data ◽  
Open Economy ◽  
Small Open Economy ◽  
Simulation Method ◽  
Projection Methods ◽  
Pension Benefit ◽  
Wide Range ◽  
Income Processes ◽  
Labor Market Shocks

The introduction of a regulation requiring pension asset managers to provide savers with an estimation of pension benefits opened a wide range of scientific questions on the projection methods and estimation of input parameters. One of them is the estimation of life-cycle income for calculating expected contributions and the estimation of the benefit ratio at the moment of retirement. We present an estimation of life-cycle income functions for various age and educational cohorts influenced by temporary labor market shocks. By employing the resampling simulation method for incorporating macroeconomic shocks, we have shown that using longitudinal data on the income process from a large closed economy could bring valid results for a country with a small open economy as well where the longitudinal data on income processes of individuals are unavailable. Our findings could serve a practical use when pension or other social benefits tied to individual income should be modelled.

scholarly journals FISCAL AUSTERITY MEASURES: SPENDING CUTS VS. TAX INCREASES

2018 ◽  
Vol 22 (2) ◽  
pp. 501-540 ◽  
Author(s):  
Gerhard Glomm ◽  
Juergen Jung ◽  
Chung Tran
Keyword(s):  
Open Economy ◽  
Risk Premium ◽  
Small Open Economy ◽  
Welfare Effects ◽  
Trade Offs ◽  
Long Run ◽  
Welfare Losses ◽  
Wide Range ◽  
Short Run ◽  
Fiscal Austerity

We formulate an overlapping-generations model with household heterogeneity and productive and nonproductive government programs to study the macroeconomic and intergenerational welfare effects of risk premium shocks and government debt reductions. We demonstrate that in a small open economy with a high level of debt, a small increase in the risk premium of the interest rate leads to a substantial contraction in output and negative welfare effects. We then quantify the effects of reducing the debt-to-gross-domestic-product ratio using a wide range of fiscal austerity measures. Our results indicate trade-offs between short-run contractions and long-run expansions in aggregate output. In the short run, spending-based austerity reforms are worse than tax-based reforms in terms of lost income. However, in the long run, spending-based reforms produce higher output than tax-based reforms. In addition, welfare effects vary significantly across generations, skill groups, and working sectors. The current old and middle-aged generations experience welfare losses, whereas future generations are beneficiaries of the reforms.

scholarly journals Predictive performance of DSGE model for small open economy – the case study of Czech Republic

2013 ◽  
Vol 61 (7) ◽  
pp. 2229-2238 ◽  
Author(s):  
Tomáš Jeřábek ◽  
Jakub Trojan ◽  
Radka Šperková
Keyword(s):  
Czech Republic ◽  
Interest Rates ◽  
Open Economy ◽  
Multivariate Time Series ◽  
Small Open Economy ◽  
Predictive Performance ◽  
Parameters Estimation ◽  
Dsge Model ◽  
Economic Activities ◽  
Wide Range

Multivariate time series forecasting is applied in a wide range of economic activities related to regional competitiveness and is the basis of almost all macroeconomic analysis. From the point of view of political practice is appropriate to seek a model that reached a quality prediction performance for all the variables. As monitored variables were used GDP growth, inflation and interest rates. The paper focuses on performance prediction evaluation of the small open economy New Keynesian DSGE model for the Czech republic, where Bayesian method are used for their parameters estimation, against different types of Bayesian and naive random walk model. The performance of models is identified using historical dates including domestic economy and foreign economy, which is represented by countries of the Eurozone. The results indicate that the DSGE model generates estimates that are competitive with other models used in this paper.

scholarly journals A Predictive Likelihood Approach to Bayesian Averaging

2015 ◽  
Vol 63 (4) ◽  
pp. 1269-1276
Author(s):  
Tomáš Jeřábek ◽  
Radka Šperková
Keyword(s):  
Interest Rates ◽  
Open Economy ◽  
Multivariate Time Series ◽  
Small Open Economy ◽  
Forecast Accuracy ◽  
Equal Weight ◽  
Combination Scheme ◽  
Wide Range ◽  
Dynamic Stochastic ◽  
Predictive Likelihood

Multivariate time series forecasting is applied in a wide range of economic activities related to regional competitiveness and is the basis of almost all macroeconomic analysis. In this paper we combine multivariate density forecasts of GDP growth, inflation and real interest rates from four various models, two type of Bayesian vector autoregression (BVAR) models, a New Keynesian dynamic stochastic general equilibrium (DSGE) model of small open economy and DSGE-VAR model. The performance of models is identified using historical dates including domestic economy and foreign economy, which is represented by countries of the Eurozone. Because forecast accuracy of observed models are different, the weighting scheme based on the predictive likelihood, the trace of past MSE matrix, model ranks are used to combine the models. The equal-weight scheme is used as a simple combination scheme. The results show that optimally combined densities are comparable to the best individual models.

The long-run stability of a small, open economy under crawling peg regime

2002 ◽  
Vol 52 (1) ◽  
pp. 57-78
Author(s):  
S. Çiftçioğlu
Keyword(s):  
Exchange Rate ◽  
Open Economy ◽  
Risk Premium ◽  
Small Open Economy ◽  
Exchange Rate Policy ◽  
Price Stability ◽  
Output Stability ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The paper analyses the long-run (steady-state) output and price stability of a small, open economy which adopts a “crawling-peg” type of exchange-rate regime in the presence of various kinds of random shocks. Analytical and simulation results suggest that with the exception of money demand shocks, an exchange rate policy which involves a relatively higher rate of indexation of the exchange rate to price level is likely to lead to the worsening of price stability for all types of shocks. On the other hand, the impact of adopting such a policy on output stability depends on the type of the shock; for policy shocks to the exchange rate and shocks to output demand, output stability is worsened whereas for the shocks to risk premium of domestic assets, supply price of domestic output and the wage rate, better output stability is achieved in the long run.

Sign in / Sign up

Export Citation Format

Share Document