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Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Bank of Finland Research Discussion Papers No. 9/2025
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
DSGE models are often specified so that the long-run variation of variables is driven by one or two common trends, which rarely holds in the data. We find that when this discrepancy exists, high-frequency components (measurement errors) capture variable-specific time variation in trends. When high-frequency components are restricted to be small or ignored, the discrepancy is captured by the model component, which distorts shock decompositions. We show that incorporating variable-specific trend components directly into the measurement equations yields a decomposition in which the high-frequency, model, and trend components each capture what they are intended to. We also find trend modelling useful in forecasting.
Schlagwörter: 
DSGE
trends
business cycles
JEL: 
E17
E32
E37
C52
C53
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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