Konferenzbeitrag
Forecasting with DSGE Models
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-steps ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area-Wide Model (NAWM) that has been designed for use in the macroeconomic projections at the European Central Bank. The forecast sample covers the period following the introduction of the euro and the out-of-sample performance of the NAWM is compared to nonstructural benchmarks, such as Bayesian vector autoregressions (BVARs). Overall, the empirical evidence indicates that the NAWM compares quite well with the reduced-form models and the results are therefore in line with previous studies. Yet there is scope for improving the NAWM's forecasting performance. For example, the model is not able to explain the moderation in wage growth over the forecast evaluation period and, therefore, it tends to overestimate nominal wages. As a consequence, both the multivariate point and density forecasts using the log determinant and the log predictive score, respectively, suggest that a large BVAR can outperform the NAWM.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Forecasting Methods ; No. A11-V1
- 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
Business Fluctuations; Cycles
- Thema
-
Bayesian inference
DSGE models
euro area
forecasting
open-economy macroeconomics
vector autoregression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Coenen, Günter
Christoffel, Kai
Warne, Anders
- Ereignis
-
Veröffentlichung
- (wer)
-
Verein für Socialpolitik
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- 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
- Konferenzbeitrag
Beteiligte
- Coenen, Günter
- Christoffel, Kai
- Warne, Anders
- Verein für Socialpolitik
Entstanden
- 2010
Ähnliche Objekte (12)
Solving DSGE Portfolio Choice Models with Asymmetric Countries
Forecasting with DSGE models
Forecasting under Model Uncertainty
Forecasting Regional Labour Markets with GVAR Models and Indicators
The Effects of Gender Discrimination in DSGE Models
Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation
Forecasting with Bayesian global vector autoregressive models: A comparison of priors
Evaluating misspecification in DSGE models using tests for overidentifying restrictions
Exchange rate forecasting with DSGE models
The Macroeconomic Consequences of EMU: International Evidence from a DSGE Model
Are You a Lehman, Brother? Interbank Uncertainty in a DSGE Model
Heterogeneous rental markets in a DSGE model of the euro area
Solving DSGE Portfolio Choice Models with Asymmetric Countries
Forecasting with DSGE models
Forecasting under Model Uncertainty
Forecasting Regional Labour Markets with GVAR Models and Indicators
The Effects of Gender Discrimination in DSGE Models
Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation
Forecasting with Bayesian global vector autoregressive models: A comparison of priors
Evaluating misspecification in DSGE models using tests for overidentifying restrictions
Exchange rate forecasting with DSGE models
The Macroeconomic Consequences of EMU: International Evidence from a DSGE Model
Are You a Lehman, Brother? Interbank Uncertainty in a DSGE Model
Heterogeneous rental markets in a DSGE model of the euro area
Solving DSGE Portfolio Choice Models with Asymmetric Countries
Forecasting with DSGE models
Forecasting under Model Uncertainty
Forecasting Regional Labour Markets with GVAR Models and Indicators
The Effects of Gender Discrimination in DSGE Models
Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation
Forecasting with Bayesian global vector autoregressive models: A comparison of priors
Evaluating misspecification in DSGE models using tests for overidentifying restrictions
Exchange rate forecasting with DSGE models
The Macroeconomic Consequences of EMU: International Evidence from a DSGE Model
Are You a Lehman, Brother? Interbank Uncertainty in a DSGE Model