2004, English, Article, Working paper edition: On the fit and forecasting performance of new keynesian models [electronic resource] / Marco Del Negro ... [et al.].

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Bookmark: http://trove.nla.gov.au/version/35794979
Published
  • [Atlanta, Ga.] : Federal Reserve Bank of Atlanta, [2004]
Language
  • English

Edition details

Title
  • On the fit and forecasting performance of new keynesian models /​ Marco Del Negro ... [et al.].
Other Authors
  • Del Negro, Marco.
  • Federal Reserve Bank of Atlanta.
Published
  • [Atlanta, Ga.] : Federal Reserve Bank of Atlanta, [2004]
Medium
  • [electronic resource]
Series
Subjects
Summary
  • "The paper provides new tools for the evaluation of DSGE models and applies them to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR) and then systematically relax the implied cross-equation restrictions. Let denote the extent to which the restrictions are being relaxed. We document how the in- and out-of-sample fit of the resulting specification (DSGE-VAR) changes as a function of. Furthermore, we learn about the precise nature of the misspecification by comparing the DSGE model's impulse responses to structural shocks with those of the best-fitting DSGE-VAR. We find that the degree of misspecification in large-scale DSGE models is no longer so large as to prevent their use in day-to-day policy analysis, yet it is not small enough that it cannot be ignored"--Federal Reserve Bank of Atlanta web site.
Notes
  • Title from PDF file as viewed on 2/​25/​2005.
  • Includes bibliographical references.
  • Also available in print.
Technical Details
  • System requirements: Adobe Acrobat Reader
  • Mode of access: World Wide Web
Language
  • English
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