Results 51 to 60 of about 19,619 (152)

DSGE model-based forecasting of non-modelled variables [PDF]

International Journal of Forecasting, 2008
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the
Frank Schorfheide, Keith Sill, Maxym Kryshko   +2 more
openaire   +2 more sources

The relationship between DSGE and VAR models [PDF]

, 2013
This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the point of view of estimation and model validation.
Giacomini, Raffaella
core   +2 more sources

Evaluating DSGE model forecasts of comovements [PDF]

Journal of Econometrics, 2011
This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and unconditional density forecasts, in addition to checks for root ...
Edward P. Herbst, Frank Schorfheide
openaire   +4 more sources

Would DSGE Models have Predicted the Great Recession in Austria? [PDF]

, 2018
Dynamic stochastic general equilibrium (DSGE) models are the common workhorse of modern macroeconomic theory. Whereas story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of DSGE ...
Breuss, Fritz
core   +1 more source

DSGE Models and the Lucas Critique [PDF]

SSRN Electronic Journal, 2013
Abstract Modern DSGE models are microfounded and have deep parameters that should be invariant to changes in economic policy, so in principle they are not subject to the Lucas critique. But the literature has already established that misspecification issues also cause parameter instability after policy changes in DSGE models.
openaire   +1 more source

Exchange rate forecasting with DSGE models [PDF]

Journal of International Economics, 2016
Abstract We run an exchange rate forecasting “horse race”, which highlights that three principles hold. First, forecasts should not replicate the high volatility of exchange rates observed in sample. Second, models should exploit the mean reversion of the real exchange rate over long horizons. Third, they should account for the international price co-
Ca' Zorzi, Michele, Kolasa, Marcin, Rubaszek, Michał   +2 more
openaire   +2 more sources

Policy mix under stress: review of economic reactions to fiscal and monetary policies using DSGE

Entrepreneurship and Sustainability Issues
The paper aims to review the studies with a particular emphasis on the response of selected economies to the central bank's monetary policy and the government's fiscal policy during various economic shocks developed using DSGE models. Countries generally
Joanna Stawska, Paulo Reis Mourao
doaj   +1 more source

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

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2013
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.
Tomáš Jeřábek, Jakub Trojan, Radka Šperková   +2 more
doaj   +1 more source

Frequentist Evaluation of Small DSGE Models [PDF]

Journal of Business & Economic Statistics, 2015
This paper proposes a new evaluation approach for the class of small-scale ‘hybrid’ New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) models typically used in monetary policy and business cycle analysis. The empirical assessment of the NK-DSGE model is based on a conditional sequence of likelihood-based tests conducted in a Vector ...
Gunnar Bårdsen, Luca Fanelli
openaire   +3 more sources

Preferred habitat and the term structure of interest rates in DSGE models

Journal of Applied Economics, 2019
The aim of the present study is to use an alternative approach to derive the term structure of interest rates in DSGE models, which is based on the theory of preferred habitat.
Celso J. Costa
doaj   +1 more source