Evaluating point and density forecasts of DSGE models : [Version 4 September 2012]

  • This paper investigates the accuracy of forecasts from four DSGE models for inflation, output growth and the federal funds rate using a real-time dataset synchronized with the Fed’s Greenbook projections. Conditioning the model forecasts on the Greenbook nowcasts leads to forecasts that are as accurate as the Greenbook projections for output growth and the federal funds rate. Only for inflation the model forecasts are dominated by the Greenbook projections. A comparison with forecasts from Bayesian VARs shows that the economic structure of the DSGE models which is useful for the interpretation of forecasts does not lower the accuracy of forecasts. Combining forecasts of several DSGE models increases precision in comparison to individual model forecasts. Comparing density forecasts with the actual distribution of observations shows that DSGE models overestimate uncertainty around point forecasts.

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Metadaten
Author:Maik Hendrik WoltersORCiDGND
URN:urn:nbn:de:hebis:30:3-347120
URL:http://www.econstor.eu/bitstream/10419/82623/1/767849566.pdf
Handle:http://hdl.handle.net/10419/82623
ISSN:2193-2476
Parent Title (English):Economics Working Paper, Christian-Albrechts-Universität Kiel, Department of Economics, No. 2013-03
Document Type:Working Paper
Language:English
Year of Completion:2012
Year of first Publication:2012
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Granting Institution:Johann Wolfgang Goethe-Universität
Release Date:2014/07/29
Tag:Bayesian VAR; Greenbook; density forecasts; forecast combination; forecasting; model uncertainty; real-time data
DSGE models
Issue:Version 4 September 2012
Page Number:38
Note:
http://www.econstor.eu/dspace/Nutzungsbedingungen
HeBIS-PPN:344430855
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C5 Econometric Modeling / C53 Forecasting and Other Model Applications
Sammlungen:Universitätspublikationen
Licence (German):License LogoCreative Commons - Namensnennung-Nicht kommerziell 3.0