| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22615 |
| 来源ID | Working Paper 22615 |
| Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility | |
| Francis X. Diebold; Frank Schorfheide; Minchul Shin | |
| 发表日期 | 2016-09-12 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and density). We examine real-time forecast accuracy for key macroeconomic variables including output growth, inflation, and the policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their density forecasts. |
| 主题 | Macroeconomics ; Macroeconomic Models |
| URL | https://www.nber.org/papers/w22615 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580288 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Frank Schorfheide,Minchul Shin. Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22615.pdf（872KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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