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Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box
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| Personen und Körperschaften: | , , , |
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| Titel: | Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box/ Jaime Martínez-Martín, Richard Morris, Luca Onorante, Fabio M. Piersanti |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2019]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2335 (December 2019)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | The post-crisis environment has posed important challenges to standard forecasting models. In this paper, we exploit several combinations of a large-scale DSGE structural model with standard reduced-form methods such as (B)VAR (i.e. DSGE-VAR and Augmented-(B)VARDSGE methods) and assess their use for forecasting the Spanish economy. Our empirical findings suggest that: (i) the DSGE model underestimates growth of real variables due to its mean reverting properties in the context of a sample that is difficult to deal with; (ii) in spite of this, reduced-form VARs benefit from the imposition of an economic prior from the structural model; and (iii) pooling information in the form of variables extracted from the structural model with (B)VAR methods does not give rise to any relevant gain in terms of forecasting accuracy. |
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| Umfang: | 1 Online-Ressource (circa 66 Seiten); Illustrationen |
| ISBN: |
9789289939041
9289939044 |
| DOI: | 10.2866/939095 |