Evaluating point and density forecasts of DSGE models : [Version 13 März 2012]
- This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical U.S. data vintages synchronized with the Fed’s Greenbook projections. Point forecasts of some models are of similar accuracy as the forecasts of nonstructural large dataset methods. Despite their common underlying New Keynesian modeling philosophy, forecasts of different DSGE models turn out to be quite distinct. Weighted forecasts are more precise than forecasts from individual models. The accuracy of a simple average of DSGE model forecasts is comparable to Greenbook projections for medium term horizons. Comparing density forecasts of DSGE models with the actual distribution of observations shows that the models overestimate uncertainty around point forecasts.
| Author: | Maik Hendrik WoltersORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-268720 |
| URL: | http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/IMFS_WP_59.pdf |
| Parent Title (German): | Working paper series / Institute for Monetary and Financial Stability ; 59 |
| Series (Serial Number): | Working paper series / Institute for Monetary and Financial Stability (59) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2012 |
| Year of first Publication: | 2012 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2012/11/07 |
| Tag: | DSGE models; Greenbook; density forecasts; forecast combination; forecasting; model uncertainty; real-time data |
| Issue: | Version 13 März 2012 |
| Page Number: | 58 |
| Note: | forthcoming in: Journal of Applied Econometrics |
| HeBIS-PPN: | 344430685 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) | |
| 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): |  Deutsches Urheberrecht |
