Arbeitspapier
Putting the New Keynesian DSGE model to the real-time forecasting test
Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from the Survey of Professional Forecasters, Bayesian VARs and VARs using priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the period of 1994-2008. Except for short-term forecasts of inflation and interest rates, it is as good as or clearly outperforms BVARs and DSGE-VARs. Compared to the SPF, the DSGE model generates better output forecasts at longer horizons, but less accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and horizons.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1110
- 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
Computable and Other Applied General Equilibrium Models
General Aggregative Models: Forecasting and Simulation: Models and Applications
- Thema
-
Bayesian VAR
DSGE
forecasting
real-time data
SPF
Neoklassische Synthese
Frühindikator
Dynamisches Gleichgewicht
Prognoseverfahren
Bayes-Statistik
VAR-Modell
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kolasa, Marcin
Rubaszek, Michał
Skrzypczyński, Paweł
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kolasa, Marcin
- Rubaszek, Michał
- Skrzypczyński, Paweł
- European Central Bank (ECB)
Entstanden
- 2009
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