This paper analyzes the forecasting performance of an open economy dynamic stochastic general equilibrium (DSGE) model, estimated with Bayesian methods, for the Euro area during 1994Q1-2002Q4. We compare the DSGE model and a few variants of this model to various reduced-form forecasting models...

Sungbae An and Frank Schorfheide have provided an excellent review of the main elements of Bayesian inference in Dynamic Stochastic General Equilibrium (DSGE) models. Bayesian methods have, for reasons clearly outlined in the paper, a very natural role to play in DSGE analysis, and the appeal of...

Bayesian priors are often used to restrain the otherwise highly over-parametrized vector autoregressive (VAR) models. The currently available Bayesian VAR methodology does not allow the user to specify prior beliefs about the unconditional mean, or steady state, of the system. This is...

This paper estimates and tests a new Keynesian small open economy model in the tradition of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003) using Bayesian estimation techniques on Swedish data. To account for the switch to an inflation targeting regime in 1993 we allow for...

In this paper we use a Dynamic Stochastic General Equilibrium (DSGE) model for an open economy to examine the role of sticky prices in explaining the joint behaviour of inflation and a fairly large set of macroeconomic variables. We find that price stickiness is an important feature for firms...

We introduce a non-Gaussian dynamic mixture model for macroeconomic forecasting. The locally adaptive signal extraction and regression (LASER) model is designed to capture relatively persistent AR processes (signal) which are contaminated by high frequency noise. The distributions of the...