out-of-sample forecasting exercise and is able to reproduce most of the cross-series co-variances observed in the data. It …

DSGE (Dynamic stochastic general equilibrium) models are the common workhorse of modern macroeconomic theory. Whereas … story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which …

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-step ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM’s forecasting performance. For example, the model is not able to explain the moderation in wage …

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … forecasting models such as vector autoregressions (VAR) and vector error correction models (VECM), estimated both by maximum …-dimensional summaries, e.g. the log determinant statistic, as measures of overall forecasting performance. …

’s forecasting performance relative to a number of benchmarks, including a Bayesian VAR. We finally consider several applications to … illustrate the potential contributions the NAWM can make to forecasting and policy analysis. …