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RBA Glossary definition for DSGE model

DSGE model – Dynamic Stochastic General Equilibrium model

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A Small BVAR-DSGE Model for Forecasting the Australian Economy

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-04.html

DSGE Model for Forecasting the Australian Economy

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
Research Discussion Paper – RDP 2008-04 A Small BVAR. Andrew Hodge, Tim Robinson and Robyn Stuart. September 2008. 600. KB. Related Information. The materials on this webpage are subject to copyright and their use is subject to the terms and
https://www.rba.gov.au/publications/rdp/2008/2008-04/

Appendix C: DSGE Posterior Distributions

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
RDP 2008-04: A Small BVAR-DSGE Model for Forecasting the Australian Economy Appendix C: DSGE Posterior Distributions.
https://www.rba.gov.au/publications/rdp/2008/2008-04/appendix-c.html

Data and DSGE Priors

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
RDP 2008-04: A Small BVAR-DSGE Model for Forecasting the Australian Economy 3. ... We de-mean all of the data as the DSGE model variables are in terms of log deviations from steady state.
https://www.rba.gov.au/publications/rdp/2008/2008-04/data-priors.html

Methodology – Estimation

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
RDP 2008-04: A Small BVAR-DSGE Model for Forecasting the Australian Economy 2. ... It is worth noting that our model lacks many of the traditional features used in DSGE models to enhance their fit, such as habit persistence in consumption or indexation
https://www.rba.gov.au/publications/rdp/2008/2008-04/met-estimation.html

Appendix D: Impulse Responses

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
RDP 2008-04: A Small BVAR-DSGE Model for Forecasting the Australian Economy Appendix D: Impulse Responses. ... To do this, note that for the DSGE model there exists a matrix A.
https://www.rba.gov.au/publications/rdp/2008/2008-04/appendix-d.html

Conclusions

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
The performance of the BVAR-DSGE model in forecasting the key variables of output growth and inflation is competitive with the three benchmark models we have considered; for example, its inflation ... Future work could extend the BVAR-DSGE model in at
https://www.rba.gov.au/publications/rdp/2008/2008-04/conclusion.html

Introduction

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
RDP 2008-04: A Small BVAR-DSGE Model for Forecasting the Australian Economy 1. ... As an alternative, we use a small DSGE model as the source of prior information for the VAR.
https://www.rba.gov.au/publications/rdp/2008/2008-04/introduction.html

Results – Estimation

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
RDP 2008-04: A Small BVAR-DSGE Model for Forecasting the Australian Economy 4. ... They are for λ = 1.75, which is selected inPlacing a large weight on λ is akin to estimating the DSGE model.
https://www.rba.gov.au/publications/rdp/2008/2008-04/res-estimation.html

Forecasting Performance Comparison

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
RDP 2008-04: A Small BVAR-DSGE Model for Forecasting the Australian Economy 5. ... 5.1 The Benchmarks. In order to examine the forecasting gain from using priors from a DSGE model, we need some benchmark models.
https://www.rba.gov.au/publications/rdp/2008/2008-04/for-per-comparisons.html