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.
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): | Creative Commons - Namensnennung-Nicht kommerziell 3.0 |