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Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2005

This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...

Persistent link: https://www.econbiz.de/10010321256

Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model

Adolfson, Malin; Lindé, Jesper; Villani, Mattias - 2005

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … forecasting models such as vector autoregressions (VAR) and vector error correction models (VECM), estimated both by maximum …-dimensional summaries, e.g. the log determinant statistic, as measures of overall forecasting performance. …

Persistent link: https://www.econbiz.de/10010321290

Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Villani, Mattias - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10010321341

Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks

Adolfson, Malin; Andersson, Michael K.; Lindé, Jesper; … - 2005

There are many indications that formal methods are not used to their full potential by central banks today. In this paper we demonstrate how BVAR and DSGE models can be used to shed light on questions that policy makers deal with in practice using data from Sweden. We compare the forecast...

Persistent link: https://www.econbiz.de/10010321361

Forecasting Performance of an Open Economy DSGE Model

Adolfson, Malin; Linde, Jesper; Villani, Mattias - In: Econometric Reviews 26 (2007) 2-4, pp. 289-328

This paper analyzes the forecasting performance of an open economy dynamic stochastic general equilibrium (DSGE) model … model to various reduced-form forecasting models such as vector autoregressions (VARs) and vector error correction models … forecasting performance. …

Persistent link: https://www.econbiz.de/10005511885