TY  - UNPD
A1  - Wolters, Maik Hendrik
T1  - Evaluating point and density forecasts of DSGE models : [Version 4 September 2012]
T2  - Economics Working Paper, Christian-Albrechts-Universität Kiel, Department of Economics, No. 2013-03
N2  - 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.
KW  - DSGE models
KW  - Bayesian VAR
KW  - forecasting
KW  - model uncertainty
KW  - forecast combination
KW  - density forecasts
KW  - real-time data
KW  - Greenbook
Y1  - 2012
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/34712
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-347120
UR  - www.econstor.eu/bitstream/10419/82623/1/767849566.pdf
SN  - 2193-2476
N1  - http://www.econstor.eu/dspace/Nutzungsbedingungen
IS  - Version 4 September 2012
ER  -