Evaluating point and density forecasts of DSGE models : [Version 13 März 2012]

This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from 
This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical U.S. data vintages synchronized with the Fed’s Greenbook projections. Point forecasts of some models are of similar accuracy as the forecasts of nonstructural large dataset methods. Despite their common underlying New Keynesian modeling philosophy, forecasts of different DSGE models turn out to be quite distinct. Weighted forecasts are more precise than forecasts from individual models. The accuracy of a simple average of DSGE model forecasts is comparable to Greenbook projections for medium term horizons. Comparing density forecasts of DSGE models with the actual distribution of observations shows that the models overestimate uncertainty around point forecasts.
show moreshow less

Download full text files

Export metadata

  • Export Bibtex
  • Export RIS

Additional Services

    Share in Twitter Search Google Scholar
Metadaten
Author:Maik Hendrik Wolters
URN:urn:nbn:de:hebis:30:3-268720
URL:http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/IMFS_WP_59.pdf
Parent Title (German):Working paper series / Institute for Monetary and Financial Stability ; 59
Series (Serial Number):Working Paper Series : Institute for Monetary and Financial Stability (59)
Document Type:Working Paper
Language:English
Year of Completion:2012
Year of first Publication:2012
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2012/11/07
Tag:DSGE models; Greenbook; density forecasts; forecast combination; forecasting; model uncertainty; real-time data
Issue:Version 13 März 2012
Pagenumber:58
Note:
forthcoming in: Journal of Applied Econometrics 
Institutes:Wirtschaftswissenschaften
Institute for Monetary and Financial Stability (IMFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:C53 Forecasting and Other Model Applications
E31 Price Level; Inflation; Deflation
E32 Business Fluctuations; Cycles
E37 Forecasting and Simulation
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

$Rev: 11761 $