کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7358258 | 1478573 | 2017 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Real-time forecast evaluation of DSGE models with stochastic volatility
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background,we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and density). We examine real-time forecast accuracy for key macroeconomic variables including output growth, inflation, and the policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their density forecasts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 201, Issue 2, December 2017, Pages 322-332
Journal: Journal of Econometrics - Volume 201, Issue 2, December 2017, Pages 322-332
نویسندگان
Francis X. Diebold, Frank Schorfheide, Minchul Shin,