A DSGE-VAR for the Euro Area

Marco Del Negro and Frank Schorfheide

No 43, 2004 Meeting Papers from Society for Economic Dynamics

Abstract: This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal wages, hours worked, inflation, M2, and a short-term interest rate. We document the fit of the DSGE-VAR

Keywords: Bayesian Analysis; DSGE Models; Forecasting; Vector Autoregressions (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 (search for similar items in EconPapers)
Date: 2004
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