DSGE models have recently become one of the most frequently used tools in policy analysis. Nevertheless, their forecasting proprieties are still unexplored. In this article we address this problem by examining the quality of forecasts from a small size DSGE model, a trivariate VAR model and the...

This paper extends two optimization routines to deal with objective functions for DSGE models. The optimization routines are i) a version of Simulated Annealing developed by Corana, Marchesi amp; Ridella (1987), and ii) the evolutionary algorithm CMA-ES developed by Hansen, Muuml;ller amp;...

Over the postwar, the U.S., Europe and Japan have experienced what may be thought of as medium frequency oscillations between persistent periods of robust growth and persistent periods of relative stagnation. These medium frequency movements, further, appear to bear some relation to the high...

This paper develops a DSGE model for an open economy and estimates it on euro area data using Bayesian estimation techniques. The model features nominal and real frictions, as well as financial frictions in the form of liquidity constrained households. The model incorporates active monetary and...

This paper constructs a DSGE model for an economy with commodity exports. We estimate the model using Russian data, making a special focus on quantitative effects of commodity price dynamics. There is a widespread belief that economic activity in Russia crucially depends on oil prices, but...

In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a...