G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8158
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
URLhttps://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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