Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts |
| |
Authors: | Kirdan Lees Troy Matheson |
| |
Institution: | a Reserve Bank of New Zealand, 2 the Terrace, Wellington 6011, New Zealandb International Monetary Fund, 700 19th Street, N.W., Washington DC 20431, United States |
| |
Abstract: | We construct a DSGE-VAR model for competing head to head with the long history of published forecasts of the Reserve Bank of New Zealand. We also construct a Bayesian VAR model with a Minnesota prior for forecast comparison. The DSGE-VAR model combines a structural DSGE model with a statistical VAR model based on the in-sample fit over the majority of New Zealand’s inflation-targeting period. We evaluate the real-time out-of-sample forecasting performance of the DSGE-VAR model, and show that the forecasts from the DSGE-VAR are competitive with the Reserve Bank of New Zealand’s published, judgmentally-adjusted forecasts. The Bayesian VAR model with a Minnesota prior also provides a competitive forecasting performance, and generally, with a few exceptions, out-performs both the DSGE-VAR and the Reserve Bank’s own forecasts. |
| |
Keywords: | DSGE Vector autoregression models Macroeconomic forecasting Open economy Bayesian methods |
本文献已被 ScienceDirect 等数据库收录! |
|