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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
Hugo Gerard and Kristoffer Nimark
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

Combining Multivariate Density Forecasts Using Predictive Criteria

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-02.html

Results

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
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

Conclusion

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
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

Evaluating Density Forecasts

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
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

References

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
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
Hugo Gerard and Kristoffer Nimark
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
Hugo Gerard and Kristoffer Nimark
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
Hugo Gerard and Kristoffer Nimark
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