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RBA Glossary definition for DSGE model
DSGE model – Dynamic Stochastic General Equilibrium model
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A Suite of Models
16 May 2008
RDP
2008-02
We consider three types of models: a BVAR with Minnesota priors, a dynamic factor model or FAVAR and a medium-scale DSGE model. ... The DSGE model uses economic theory to restrict the dynamics and cross-correlations of key macroeconomic time series.
https://www.rba.gov.au/publications/rdp/2008/2008-02/sui-models.html
Results
16 May 2008
RDP
2008-02
This result can be attributed to the large forecast error variance implied by the DSGE model. ... It is also clear that the DSGE model's density forecasts are characterised by a much larger degree of uncertainty than is the case with the other models or
https://www.rba.gov.au/publications/rdp/2008/2008-02/results.html
Combining Multivariate Density Forecasts Using Predictive Criteria
16 May 2008
RDP
2008-02
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-02.html
Evaluating Density Forecasts
16 May 2008
RDP
2008-02
DSGE model's density forecasts, which receive one-third weight in the equal-weighting scheme. ... However, this does not mean that density forecasts from DSGE models are not useful for policy analysis.
https://www.rba.gov.au/publications/rdp/2008/2008-02/eva-den-forecasts.html
Conclusion
16 May 2008
RDP
2008-02
We have used predictive-likelihood scores to combine density forecasts produced by a suite of models consisting of a BVAR, a FAVAR and a DSGE model. ... The weighting scheme suggests that the DSGE model should be assigned a very low weight in the
https://www.rba.gov.au/publications/rdp/2008/2008-02/conclusion.html
References
16 May 2008
RDP
2008-02
Adolfson M, S Laséen, J Lindé and M Villani (2007), ‘Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through’, Journal of International Economics, 72(2), pp 481–511. ... Smets F and R Wouters (2004), ‘Forecasting with a
https://www.rba.gov.au/publications/rdp/2008/2008-02/references.html
Introduction
16 May 2008
RDP
2008-02
Forecast uncertainty due to model uncertainty can also be considered by combining several models. ... equilibrium (DSGE) model.
https://www.rba.gov.au/publications/rdp/2008/2008-02/introduction.html
Appendix B: Visual and Statistical Assessment
16 May 2008
RDP
2008-02
0.24. DSGE. 0.00. 0.00. 0.01. 0.00. PL. 0.01. 0.25. 0.00. 0.00. ... BVAR2. 0.01. 0.11. 0.00. 0.00. FAVAR12. 0.04. 0.30. 0.03. 0.00. DSGE.
https://www.rba.gov.au/publications/rdp/2008/2008-02/appendix-b.html
Combining the Model Forecasts
16 May 2008
RDP
2008-02
The matrices A. k. and C. k. will depend on the functional forms of the models and the estimated model-specific posterior parameter distributions while the matrix D. ... This will only be true for the DSGE model in our suite of models and, in that case,
https://www.rba.gov.au/publications/rdp/2008/2008-02/com-mod-forecasts.html