DSGE model-based forecasting
M Del Negro, F Schorfheide - Handbook of economic forecasting, 2013 - Elsevier
Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory
to explain and predict comovements of aggregate time series over the business cycle and to …
to explain and predict comovements of aggregate time series over the business cycle and to …
Forecasting with DSGE models
KP Christoffel, G Coenen, A Warne - 2010 - papers.ssrn.com
In this paper we review the methodology of forecasting with log-linearised DSGE models
using Bayesian methods. We focus on the estimation of their predictive distributions, with …
using Bayesian methods. We focus on the estimation of their predictive distributions, with …
Application of the Bayesian New Keynesian DSGE Model to Polish Macroeconomic Data
J Sobieraj, D Metelski - Engineering Economics, 2021 - inzeko.ktu.lt
In the paper we estimate a simple New Keynesian Dynamic Stochastic General Equilibrium
NK DSGE model on the basis of Polish macro data from the period 2000-2019. The model is …
NK DSGE model on the basis of Polish macro data from the period 2000-2019. The model is …
Fiscal policy interventions at the zero lower bound
We build on a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model to
explore the macroeconomic consequences of fiscal expansionary shocks during the …
explore the macroeconomic consequences of fiscal expansionary shocks during the …
Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
SD Bekiros, A Paccagnini - Computational statistics & data analysis, 2014 - Elsevier
Advanced Bayesian methods are employed in estimating dynamic stochastic general
equilibrium (DSGE) models. Although policymakers and practitioners are particularly …
equilibrium (DSGE) models. Although policymakers and practitioners are particularly …
On the predictability of time-varying VAR and DSGE models
S Bekiros, A Paccagnini - Empirical Economics, 2013 - Springer
Over the last few years, there has been a growing interest in DSGE modelling for predicting
macroeconomic fluctuations and conducting quantitative policy analysis. Hybrid DSGE …
macroeconomic fluctuations and conducting quantitative policy analysis. Hybrid DSGE …
Dynamic effect of environmental tax on export trade: Based on DSGE mode
Y Gao, X Yao, W Wang, X Liu - Energy & Environment, 2019 - journals.sagepub.com
We develop a Dynamic Stochastic General Equilibrium (DSGE) model with four sectors,
including households, production, government, and export. The model is used to assess the …
including households, production, government, and export. The model is used to assess the …
Macroprudential policy and forecasting using hybrid DSGE models with financial frictions and state space Markov-switching tvp-vars
SD Bekiros, A Paccagnini - Macroeconomic Dynamics, 2015 - cambridge.org
We focus on the interaction of frictions both at the firm level and in the banking sector in
order to examine the transmission mechanism of the shocks and to reflect on the response …
order to examine the transmission mechanism of the shocks and to reflect on the response …
Bayesian forecast combination in VAR-DSGE models
KH Chin, X Li - Journal of Macroeconomics, 2019 - Elsevier
We evaluate the performance of individual and combination forecasts produced by Bayesian
vector autoregressions (Bayesian VARs) with economic and/or non-economic information. In …
vector autoregressions (Bayesian VARs) with economic and/or non-economic information. In …
[PDF][PDF] Learning to forecast with genetic algorithms
In this paper we study a model in which agents independently optimize first order price
forecasting rule with Genetic Algorithms. This agent-based model (inspired by Hommes and …
forecasting rule with Genetic Algorithms. This agent-based model (inspired by Hommes and …