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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach

Schorfheide, Frank - 2014

multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …

Persistent link: https://www.econbiz.de/10012458363

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Diebold, Francis X. - 2016

Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...

Persistent link: https://www.econbiz.de/10012456064

Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance

Del Negro, Marco - 2014

We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions for output growth and inflation from 1992 to 2011. We...

Persistent link: https://www.econbiz.de/10012458090