Arbeitspapier
On the fit and forecasting performance of New Keynesian models
The paper provides new tools for the evaluation of DSGE models and applies them to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR) and then systematically relax the implied cross-equation restrictions. Let --denote the extent to which the restrictions are being relaxed. We document how the in- and out-of-sample fit of the resulting specification (DSGE-VAR) changes as a function of --. Furthermore, we learn about the precise nature of the misspecification by comparing the DSGE model’s impulse responses to structural shocks with those of the best-fitting DSGE-VAR. We find that the degree of misspecification in large-scale DSGE models is no longer so large as to prevent their use in day-to-day policy analysis, yet it is not small enough that it cannot be ignored.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2004-37
- Classification
-
Wirtschaft
- Subject
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Neukeynesianische Makroökonomik
Prognoseverfahren
- Event
-
Geistige Schöpfung
- (who)
-
Del Negro, Marco
Schorfheide, Frank
Smets, Frank
Wouters, Raf
- Event
-
Veröffentlichung
- (who)
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Federal Reserve Bank of Atlanta
- (where)
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Atlanta, GA
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Del Negro, Marco
- Schorfheide, Frank
- Smets, Frank
- Wouters, Raf
- Federal Reserve Bank of Atlanta
Time of origin
- 2004
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