Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US

Roberta Cardani, Alessia Paccagnini and Stefania Villa

No 292, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: This paper examines the forecasting performance of DSGE models with and without banking intermediation for the US economy. Over the forecast period 2001-2013, the model augmented with a banking sector leads to an improvement of point and density forecasts for inflation and the short term interest rate, while the better forecast for output depends on the forecasting horizon/period. To interpret this finding it is crucial to take into account parameters instabilities showed by a recursive-window estimation. Moreover, rolling estimates of point forecasts show that a banking sector helps improving the forecasting performance of output and inflation in the recent period.

Keywords: Bayesian estimation; Forecasting; Banking sector (search for similar items in EconPapers)
JEL-codes: C11 C13 C32 E37 (search for similar items in EconPapers)
Pages: 44
Date: 2015-02, Revised 2015-02
New Economics Papers: this item is included in nep-dge, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:mib:wpaper:292

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