کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7408477 | 1481443 | 2014 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Professional forecasters and real-time forecasting with a DSGE model
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of GalÃ, Smets and Wouters (2012), estimated on euro area data. It investigates the extent to which the inclusion of forecasts of inflation, GDP growth and unemployment by professional forecasters improve the forecasting performance. We consider two approaches for conditioning on such information. Under the “noise” approach, the mean professional forecasts are assumed to be noisy indicators of the rational expectations forecasts implied by the DSGE model. Under the “news” approach, it is assumed that the forecasts reveal the presence of expected future structural shocks in line with those estimated in the past. The forecasts of the DSGE model are compared with those from a Bayesian VAR model, an AR(1) model, a sample mean and a random walk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 30, Issue 4, OctoberâDecember 2014, Pages 981-995
Journal: International Journal of Forecasting - Volume 30, Issue 4, OctoberâDecember 2014, Pages 981-995
نویسندگان
Frank Smets, Anders Warne, Rafael Wouters,