Premium
Putting the New Keynesian DSGE Model to the Real‐Time Forecasting Test
Author(s) -
KOLASA MARCIN,
RUBASZEK MICHAŁ,
SKRZYPCZYŃSKI PAWEŁ
Publication year - 2012
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/j.1538-4616.2012.00533.x
Subject(s) - dynamic stochastic general equilibrium , economics , new keynesian economics , benchmark (surveying) , econometrics , scale (ratio) , monetary policy , keynesian economics , physics , geodesy , quantum mechanics , geography
The paper compares the quality of real‐time forecasts from a standard medium‐scale New Keynesian dynamic stochastic general equilibrium (DSGE) model to those from the Survey of Professional Forecasters (SPF) and DSGE‐VARs. It is shown that the DSGE model is relatively successful in forecasting the U.S. economy. This is especially true for forecasts conditional on SPF nowcasts, in which case the forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and horizons. An important weakness of the benchmark DSGE model is the poor absolute performance of its point forecasts and rather badly calibrated forecast densities.