Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153544
Authors: 
Kolasa, Marcin
Rubaszek, Michał
Skrzypczyński, Paweł
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 1110
Abstract: 
Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from the Survey of Professional Forecasters, Bayesian VARs and VARs using priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the period of 1994-2008. Except for short-term forecasts of inflation and interest rates, it is as good as or clearly outperforms BVARs and DSGE-VARs. Compared to the SPF, the DSGE model generates better output forecasts at longer horizons, but less accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and horizons.
Subjects: 
Bayesian VAR
DSGE
forecasting
real-time data
SPF
JEL: 
C11
C32
C53
D58
E17
Document Type: 
Working Paper

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