Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154004 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
ECB Working Paper No. 1571
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of Galí, Smets, and Wouters (2012) estimated on euro area data. It investigates to what extent forecasts of inflation, GDP growth and unemployment by professional forecasters improve the forecasting performance. We consider two approaches for conditioning on such information. Under the “noise” approach, the mean professional forecasts are assumed to be noisy indicators of the rational expectations forecasts implied by the DSGE model. Under the “news” approach, it is assumed that the forecasts reveal the presence of expected future structural shocks in line with those estimated over the past. The forecasts of the DSGE model are compared with those from a Bayesian VAR model and a random walk.
Schlagwörter: 
Bayesian methods
DSGE model
estimated New Keynesian model
macroeconomic forecasting
real-time data
survey data
JEL: 
E24
E31
E32
Dokumentart: 
Working Paper

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