Finance and Economics Discussion Series - Evaluating Dsge Model Forecasts of Comovements (Paperback)

This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and unconditional density forecasts, in addition to checks for root-mean-squared errors and event probabilities associated with these forecasts. The checks are implemented on a three-equation DSGE model as well as the Smets and Wouters (2007) model using real-time data. We find that the additional features incorporated into the Smets-Wouters model do not lead to a uniform improvement in the quality of density forecasts and prediction of comovements of output, inflation, and interest rates.

General

Imprint:	Bibliogov
Country of origin:	United States
Release date:	February 2013
First published:	February 2013
Creators:	United States Federal Reserve Board
Authors:	Edward Herbst • Frank Schorfheide
Dimensions:	246 x 189 x 3mm (L x W x T)
Format:	Paperback - Trade
Pages:	46
ISBN-13:	978-1-288-69793-9
Categories:	Books > Social sciences > Politics & government > General Promotions
LSN:	1-288-69793-7
Barcode:	9781288697939

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