TY  - UNPD
A1  - Tänzer, Alina
T1  - Multivariate macroeconomic forecasting: from DSGE and BVAR to artificial neural networks
N2  - This paper contributes a multivariate forecasting comparison between structural models and Machine-Learning-based tools. Specifically, a fully connected feed forward non-linear autoregressive neural network (ANN) is contrasted to a well established dynamic stochastic general equilibrium (DSGE) model, a Bayesian vector autoregression (BVAR) using optimized priors as well as Greenbook and SPF forecasts. Model estimation and forecasting is based on an expanding window scheme using quarterly U.S. real-time data (1964Q2:2020Q3) for 8 macroeconomic time series (GDP, inflation, federal funds rate, spread, consumption, investment, wage, hours worked), allowing for up to 8 quarter ahead forecasts. The results show that the BVAR improves forecasts compared to the DSGE model, however there is evidence for an overall improvement of predictions when relying on ANN, or including them in a weighted average. Especially, ANN-based inflation forecasts improve other predictions by up to 50%. These results indicate that nonlinear data-driven ANNs are a useful method when it comes to macroeconomic forecasting.
T3  - Working paper series / Institute for Monetary and Financial Stability - 205 
KW  - Artificial Intelligence;
KW  - Machine Learning
KW  - Neural Networks
KW  - Forecast Comparison/ Competition
KW  - Macroeconomic Forecasting
KW  - Crises Forecasting
KW  - Inflation Forecasting
KW  - Interest Rate Forecasting
KW  - Production, Saving, Consumption and Investment Forecasting
Y1  - 2024
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/80164
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-801644
UR  - https://www.imfs-frankfurt.de/forschung/imfs-working-papers/details.html?tx_mmpublications_publicationsdetail%5Bcontroller%5D=Publication&tx_mmpublications_publicationsdetail%5Bpublication%5D=482&cHash=1b68652b24f3c76e6078c464d84ec92a
VL  - 71
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -