| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8158 |
| DP8158 How Useful Are Estimated DSGE Model Forecasts for Central Bankers? | |
| Refet Gürkaynak; Rochelle Edge | |
| 发表日期 | 2010-12-01 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | DSGE models are a prominent tool for forecasting at central banks and the competitive forecasting performance of these models relative to alternatives--including official forecasts--has been documented. When evaluating DSGE models on an absolute basis, however, we find that the benchmark estimated medium scale DSGE model forecasts inflation and GDP growth very poorly, although statistical and judgmental forecasts forecast as poorly. Our finding is the DSGE model analogue of the literature documenting the recent poor performance of macroeconomic forecasts relative to simple naive forecasts since the onset of the Great Moderation. While this finding is broadly consistent with the DSGE model we employ--ie, the model itself implies that under strong monetary policy especially inflation deviations should be unpredictable--a 'wrong' model may also have the same implication. We therefore argue that forecasting ability during the Great Moderation is not a good metric to judge models. |
| 主题 | International Macroeconomics |
| 关键词 | Forecast comparison Great moderation Dsge model forecast |
| URL | https://cepr.org/publications/dp8158 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536995 |
| 推荐引用方式 GB/T 7714 | Refet Gürkaynak,Rochelle Edge. DP8158 How Useful Are Estimated DSGE Model Forecasts for Central Bankers?. 2010. |
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