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    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Finance and Economics Discussion Series: Evaluating Dsge Model Forecasts of Comovements

Finance and Economics Discussion Series: Evaluating Dsge Model Forecasts of Comovements

Schorfheide, Frank
Herbst, Edward
United States Federal Reserve Board

Paperback

General Political Science

ISBN10: 1288697937
ISBN13: 9781288697939
Publisher: Bibliogov
Published: Feb 4 2013
Pages: 46
Weight: 0.22
Height: 0.10 Width: 7.44 Depth: 9.69
Language: English
This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and unconditional density forecasts, in addition to checks for root-mean-squared errors and event probabilities associated with these forecasts. The checks are implemented on a three-equation DSGE model as well as the Smets and Wouters (2007) model using real-time data. We find that the additional features incorporated into the Smets-Wouters model do not lead to a uniform improvement in the quality of density forecasts and prediction of comovements of output, inflation, and interest rates.

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