TY  - UNPD
A1  - Diebold, Francis X.
A1  - Schorfheide, Frank
A1  - Shin, Minchul
T1  - Real-time forecast evaluation of DSGE models with stochastic volatility
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 577
N2  - Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and density). We examine real-time forecast accuracy for key macroeconomic variables including output growth, inflation, and the policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their density forecasts.
T3  - CFS working paper series - 577 
KW  - Dynamic Stochastic General Equilibrium Model
KW  - Prediction
KW  - Stochastic Volatility
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43863
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-438631
UR  - https://ssrn.com/abstract=3042684
IS  - August 18, 2016
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -