Does foreign sector help forecast domestic variables in DSGE models?

• Autorzy: Marcin Kolasa , Michał Rubaszek
• Języki publikacji: EN

Abstrakty

EN

This paper evaluates the forecasting performance of several small open economy DSGE models relative to a closed economy benchmark using a long span of data for Australia, Canada and the United Kingdom. We nd that opening the economy does not im- prove, and even deteriorates the quality of point and density forecasts for key domestic variables. We show that this result can be to a large extent attributed to an increase in forecast error due to a more sophisticated structure of the extended setup. This claim is based on a Monte Carlo experiment, in which an open economy model fails to consistently beat its closed economy benchmark even if it is the true data generating process. (original abstract)

Słowa kluczowe

EN

Forecasting; Dynamic Stochastic General Equilibrium (DSGE); Open economy; Bayesian estimation; Open economy macroeconomics; Small open economy

PL

Prognozowanie; Model dynamicznej stochastycznej równowagi ogólnej; Gospodarka otwarta; Estymacja bayesowska; Makroekonomia gospodarki otwartej; Mała gospodarka otwarta

• Czasopismo: Collegium of Economic Analysis SGH - Working Papers
• Rocznik: 2016
• Numer: nr 22
• Strony: 30

Twórcy

autor

Marcin Kolasa

• Warsaw School of Economics, Poland; National Bank of Poland

autor

Michał Rubaszek

• Warsaw School of Economics, Poland; National Bank of Poland

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