| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9049 |
| DP9049 How Useful are DSGE Macroeconomic Models for Forecasting? | |
| Michael R. Wickens | |
| 发表日期 | 2012-07-08 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We find that forecasts from DSGE models are not more accurate than either times series models or official forecasts, but neither are they any worse. We also find that all three types of forecast failed to predict the recession that started in 2007 and continued to forecast poorly even after the recession was known to have begun. We investigate why these results occur by examining the structure of the solution of DSGE models and compare this with pure time series models. We show that the main factor is the dynamic structure of DSGE models. Their backward-looking dynamics gives them a similar forecasting structure to time series models and their forward-looking dynamics, which consists of expected values of future exogenous variables, is difficult to forecast accurately. As a result we suggest that DSGE models should not be tested through their forecasting ability. |
| 主题 | International Macroeconomics |
| 关键词 | Dsge models Forecasting Var models |
| URL | https://cepr.org/publications/dp9049 |
| 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/537883 |
| 推荐引用方式 GB/T 7714 | Michael R. Wickens. DP9049 How Useful are DSGE Macroeconomic Models for Forecasting?. 2012. |
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