Putting the New Keynesian DSGE Model to the Real‐Time Forecasting Test |
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| Authors: | MARCIN KOLASA MICHAŁ RUBASZEK PAWEŁ SKRZYPCZYŃSKI |
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| Affiliation: | Marcin Kolasa is an Economic Advisor at the Economic Institute, National Bank of Poland and Assistant Professor in the Department of Applied and Theoretical Economics, Warsaw School of Economics (E‐mail: marcin.kolasa@nbp.pl). Micha? Rubaszek is an Economic Advisor at the Economic Institute, National Bank of Poland and an Assistant Professor at the Econometric Institute, Warsaw School of Economics (E‐mail: michal.rubaszek@nbp.pl). Pawe? Skrzypczyński is an Economic Expert at the Economic Institute, National Bank of Poland (E‐mail: pawel.skrzypczynski@nbp.pl). |
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| Abstract: | The paper compares the quality of real‐time forecasts from a standard medium‐scale New Keynesian dynamic stochastic general equilibrium (DSGE) model to those from the Survey of Professional Forecasters (SPF) and DSGE‐VARs. It is shown that the DSGE model is relatively successful in forecasting the U.S. economy. This is especially true for forecasts conditional on SPF nowcasts, in which case the forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and horizons. An important weakness of the benchmark DSGE model is the poor absolute performance of its point forecasts and rather badly calibrated forecast densities. |
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| Keywords: | C11 C32 C53 D58 E17 forecasting DSGE DSGE‐VAR SPF real‐time data |
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