Arbeitspapier
On the fit and forecasting performance of New-Keynesian models
The paper provides new tools for the evaluation of DSGE models, and applies it 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 to prevent their use in day-to-day policy analysis, yet it is not small enough that it cannot be ignored.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 491
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
- Thema
-
Bayesian Analysis
DSGE Models
model evaluation
vector autoregressions
Neoklassische Synthese
Prognoseverfahren
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Del Negro, Marco
Schorfheide, Frank
Smets, Frank
Wouters, Raf
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Del Negro, Marco
- Schorfheide, Frank
- Smets, Frank
- Wouters, Raf
- European Central Bank (ECB)
Entstanden
- 2005
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