Putting the New Keynesian DSGE Model to the Real‐Time Forecasting Test

Marcin Kolasa, Michał Rubaszek and Paweł Skrzypczyński

Journal of Money, Credit and Banking, 2012, vol. 44, issue 7, 1301-1324

Abstract: 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.

Date: 2012
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Citations: View citations in EconPapers (12)

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https://doi.org/10.1111/j.1538-4616.2012.00533.x

Related works:
Journal Article: Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test (2012)
Working Paper: Putting the New Keynesian DSGE model to the real-time forecasting test (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:44:y:2012:i:7:p:1301-1324

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