Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/175480
Authors: 
Cardani, Roberta
Paccagnini, Alessia
Bekiros, Stelios
Year of Publication: 
2016
Series/Report no.: 
Working Paper Series 17/01
Abstract: 
We assess the effectiveness of the forward guidance undertaken by European Central Bank using a standard medium-scale DSGE model à la Smets and Wouters (2007). Exploiting data on expectations from surveys, we show that incorporating expectations should be crucial in performance evaluation of models for the forward guidance. We conduct an exhaustive empirical exercise to compare the pseudo out-of-sample predictive performance of the estimated DSGE model with a Bayesian VAR and a DSGE-VAR models. DSGE model with expectations outperforms others for inflation; while for output and short term-interest rate the DSGE-VAR with expectations reports the best prediction.
Subjects: 
DSGE Bayesian estimation
Survey Professional Forecasts
Real Time data
JEL: 
C52
C53
E58
E52
Document Type: 
Working Paper
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