دانلود رایگان مقاله الزویر در مورد مقایسه پیش بینی با استفاده از مدل DSGE با اختلاف مالی (کلیک کنید)
توضیحات :
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مشخصات این مقاله :
عنوان مقاله :
Forecasting using DSGE models with financial frictions
ترجمه فارسی عنوان :
مقایسه پیش بینی با استفاده از مدل DSGE با اختلاف مالی
سال انتشار : 2015
متعلق به مجله یا ژورنال : نشریه بین المللی پیش بینی – International Journal of Forecasting
فرمت: PDF
تعداد صفحات: 19
شماره پروژه: 5091
کلمات کلیدی :
Forecasting,DSGE models,Financial frictions,Housing market
پیش بینی ، مدل DSGE، اصطکاک مالی ، بازار مسکن
چکیده :
Abstract
This paper compares the quality of forecasts from DSGE models with and without financial frictions. We find that accounting for financial market imperfections does not result in a uniform improvement in the accuracy of point forecasts during non-crisis times, while the average quality of density forecast actually deteriorates. In contrast, adding frictions in the housing market proves very helpful during times of financial turmoil, outperforming both the frictionless benchmark and the alternative that incorporates financial frictions in the corporate sector. Moreover, we detect complementarities among the analyzed setups that can be exploited in the forecasting process.
مقدمه این مقاله :
Introduction
Over the last decade, dynamic stochastic general equilibrium (DSGE) models have become the workhorse framework in both academic and policy circles. Following advances in Bayesian estimation methods, these models began to be used not only for business cycle and policy analyses, but also for forecasting (see Del Negro & Schorfheide, 2013, for a review). A number of papers have evaluated the accuracy of point forecasts generated by DSGE models and found that they are at least competitive with time series models or even professional forecasters (see e.g. Adolfson, Lindé, & Villani, 2007; Edge & Gurkaynak, 2010; Edge, Kiley, & Laforte, 2010; Kolasa, Rubaszek,& Skrzypczynski, 2012; Rubaszek & Skrzypczynski, 2008;Smets & Wouters, 2003; Wieland & Wolters, 2013). However,it has also been pointed out that the accuracy of DSGE model-based forecasts is rather poor in the absolute sense: they tend to be biased and inefficient, and are usually calibrated badly (Edge & Gurkaynak, 2010; Herbst & Schorfheide, 2012; Kolasa et al., 2012). Finally, yet another weakness of DSGE models was exposed during the recent crisis, as their predictions were clearly at odds with the observed output collapse.One of the reasons for these failures could be that a standard DSGE setup assumes frictionless financial markets,and also, importantly in the context of the recent financial crisis, does not include housing. A growing body of literature has responded to this deficiency by adding financial frictions to the standard framework, usually building upon concepts proposed before the crisis. This trend has also affected the structure of models developed by central banks and other policy-making institutions (Gerke et al.,2013). However, the literature on the effect of these modeling developments on the forecasting performance of DSGE models is very incomplete, as the contributing papers only report marginal likelihoods for the considered alternative specifications, if anything.
توجه :
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توضیحات بیشتر در مورد پروژه :
در این مقاله خواهید خواند که پیش بینی با استفاده از مدل های DSGE با اصطکاک مالی و بدون آن مقایسه می شود. علاوه بر این تشخیص مکمل نیز مورد تجزیه و تحلیل قرار گرفته است که می تواند در فرایند پیش بینی استفاده شود.
دانلود رایگان مقاله الزویر در مورد مقایسه پیش بینی با استفاده از مدل DSGE با اختلاف مالی (کلیک کنید)
