메뉴 건너뛰기




Volumn 33, Issue 4, 2009, Pages 864-882

Comparing DSGE-VAR forecasting models: How big are the differences?

Author keywords

Business cycles; Economic fluctuations; Hours debate; Model evaluation; Priors from DSGE models

Indexed keywords


EID: 59749083494     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2008.10.004     Document Type: Article
Times cited : (14)

References (52)
  • 2
    • 34248203740 scopus 로고    scopus 로고
    • Bayesian analysis of DSGE models
    • An S., and Schorfheide F. Bayesian analysis of DSGE models. Econometric Reviews 26 (2007) 113-172
    • (2007) Econometric Reviews , vol.26 , pp. 113-172
    • An, S.1    Schorfheide, F.2
  • 4
    • 0030240241 scopus 로고    scopus 로고
    • What do interest rates reveal about the functioning of real business cycle models?
    • Beaudry P., and Guay A. What do interest rates reveal about the functioning of real business cycle models?. Journal of Economic Dynamics and Control 20 (1996) 1661-1682
    • (1996) Journal of Economic Dynamics and Control , vol.20 , pp. 1661-1682
    • Beaudry, P.1    Guay, A.2
  • 5
    • 4544260608 scopus 로고    scopus 로고
    • Some evidence on the importance of sticky prices
    • Bils M., and Klenow P.J. Some evidence on the importance of sticky prices. Journal of Political Economy 112 (2004) 947-985
    • (2004) Journal of Political Economy , vol.112 , pp. 947-985
    • Bils, M.1    Klenow, P.J.2
  • 6
    • 59749105736 scopus 로고    scopus 로고
    • Habit persistence, asset returns, and the business cycle
    • Boldrin M., Christiano L., and Fisher J. Habit persistence, asset returns, and the business cycle. American Economic Review 79 (2001) 655-673
    • (2001) American Economic Review , vol.79 , pp. 655-673
    • Boldrin, M.1    Christiano, L.2    Fisher, J.3
  • 7
    • 48749143178 scopus 로고
    • Staggered prices in a utility-maximizing framework
    • Calvo G.A. Staggered prices in a utility-maximizing framework. Journal of Monetary Economics 12 (1983) 383-398
    • (1983) Journal of Monetary Economics , vol.12 , pp. 383-398
    • Calvo, G.A.1
  • 8
    • 0001682128 scopus 로고    scopus 로고
    • Sticky price models of the business cycle: Can the contract multiplier solve the persistence problem?
    • Chari V.V., Kehoe P.J., and McGrattan E.R. Sticky price models of the business cycle: Can the contract multiplier solve the persistence problem?. Econometrica 68 (2000) 1151-1179
    • (2000) Econometrica , vol.68 , pp. 1151-1179
    • Chari, V.V.1    Kehoe, P.J.2    McGrattan, E.R.3
  • 10
    • 15844392342 scopus 로고    scopus 로고
    • Nominal rigidities and the dynamic effects of a shock to monetary policy
    • Christiano L.J., Eichenbaum M., and Evans C. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113 (2005) 1-45
    • (2005) Journal of Political Economy , vol.113 , pp. 1-45
    • Christiano, L.J.1    Eichenbaum, M.2    Evans, C.3
  • 11
    • 0040364531 scopus 로고    scopus 로고
    • The science of monetary policy: a new Keynesian perspective
    • Clarida R., Gali J., and Gertler M. The science of monetary policy: a new Keynesian perspective. Journal of Economic Literature 37 (1999) 1661-1707
    • (1999) Journal of Economic Literature , vol.37 , pp. 1661-1707
    • Clarida, R.1    Gali, J.2    Gertler, M.3
  • 16
    • 84945763545 scopus 로고
    • Forecasting and conditional projection using realistic prior distributions
    • Doan T., Litterman R., and Sims C. Forecasting and conditional projection using realistic prior distributions. Econometric Reviews 3 (1984) 1-100
    • (1984) Econometric Reviews , vol.3 , pp. 1-100
    • Doan, T.1    Litterman, R.2    Sims, C.3
  • 18
    • 36048959203 scopus 로고    scopus 로고
    • Trend breaks, long run restrictions, and contractionary technology improvements
    • Fernald J. Trend breaks, long run restrictions, and contractionary technology improvements. Journal of Monetary Economics 54 (2007) 2467-2485
    • (2007) Journal of Monetary Economics , vol.54 , pp. 2467-2485
    • Fernald, J.1
  • 19
    • 33746208859 scopus 로고    scopus 로고
    • The dynamic effects of neutral and investment-specific technology shocks
    • Fisher J.D.M. The dynamic effects of neutral and investment-specific technology shocks. Journal of Political Economy 114 (2006) 413-451
    • (2006) Journal of Political Economy , vol.114 , pp. 413-451
    • Fisher, J.D.M.1
  • 20
    • 20744447295 scopus 로고    scopus 로고
    • Is the technology-driven real business cycle hypothesis dead? Shocks and aggregate fluctuations revisited
    • Francis N., and Ramey V.A. Is the technology-driven real business cycle hypothesis dead? Shocks and aggregate fluctuations revisited. Journal of Monetary Economics 52 (2005) 1379-1399
    • (2005) Journal of Monetary Economics , vol.52 , pp. 1379-1399
    • Francis, N.1    Ramey, V.A.2
  • 22
    • 0000198452 scopus 로고    scopus 로고
    • Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations?
    • Gali J. Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations?. American Economic Review 89 (1999) 249-271
    • (1999) American Economic Review , vol.89 , pp. 249-271
    • Gali, J.1
  • 23
    • 0037567583 scopus 로고    scopus 로고
    • Technology shocks and monetary policy: assessing the Fed's performance
    • Gali J., Lopez-Salido J.D., and Valles J. Technology shocks and monetary policy: assessing the Fed's performance. Journal of Monetary Economics 50 (2003) 723-743
    • (2003) Journal of Monetary Economics , vol.50 , pp. 723-743
    • Gali, J.1    Lopez-Salido, J.D.2    Valles, J.3
  • 24
    • 33750536645 scopus 로고    scopus 로고
    • Tests of conditional predictive ability
    • Giacomini R., and White H. Tests of conditional predictive ability. Econometrica 74 (2006) 1545-1578
    • (2006) Econometrica , vol.74 , pp. 1545-1578
    • Giacomini, R.1    White, H.2
  • 25
    • 67649303647 scopus 로고
    • Forecasting accuracy of alternative techniques: a comparison of U.S. macroeconomic forecasts, comment
    • Granger C.W.J. Forecasting accuracy of alternative techniques: a comparison of U.S. macroeconomic forecasts, comment. Journal of Business and Economic Statistics 4 (1986) 16-17
    • (1986) Journal of Business and Economic Statistics , vol.4 , pp. 16-17
    • Granger, C.W.J.1
  • 26
    • 0348198491 scopus 로고    scopus 로고
    • Long-run implications of investment-specific technological change
    • Greenwood J., Hercowitz Z., and Krusell P. Long-run implications of investment-specific technological change. American Economic Review 87 (1997) 342-362
    • (1997) American Economic Review , vol.87 , pp. 342-362
    • Greenwood, J.1    Hercowitz, Z.2    Krusell, P.3
  • 27
    • 33751189676 scopus 로고
    • Indivisible labor and the business cycle
    • Hansen G.D. Indivisible labor and the business cycle. Journal of Monetary Economics 16 (1985) 309-327
    • (1985) Journal of Monetary Economics , vol.16 , pp. 309-327
    • Hansen, G.D.1
  • 28
    • 0000923399 scopus 로고
    • Growth accounting when technological change is embodied in capital
    • Hulten C.R. Growth accounting when technological change is embodied in capital. American Economic Review 82 (1992) 964-980
    • (1992) American Economic Review , vol.82 , pp. 964-980
    • Hulten, C.R.1
  • 29
    • 0040310638 scopus 로고
    • Supplanting the 'Minnesota' prior: forecasting macroeconomic time series using real business cycle model priors
    • Ingram B.F., and Whiteman C.H. Supplanting the 'Minnesota' prior: forecasting macroeconomic time series using real business cycle model priors. Journal of Monetary Economics 34 (1994) 497-510
    • (1994) Journal of Monetary Economics , vol.34 , pp. 497-510
    • Ingram, B.F.1    Whiteman, C.H.2
  • 30
    • 0002874054 scopus 로고    scopus 로고
    • Sticky price models of the business cycle: specification and stability
    • Ireland P.N. Sticky price models of the business cycle: specification and stability. Journal of Monetary Economics 47 (2001) 3-18
    • (2001) Journal of Monetary Economics , vol.47 , pp. 3-18
    • Ireland, P.N.1
  • 31
    • 0000278184 scopus 로고    scopus 로고
    • Asset pricing in production economies
    • Jermann U.J. Asset pricing in production economies. Journal of Monetary Economics 41 (1998) 257-275
    • (1998) Journal of Monetary Economics , vol.41 , pp. 257-275
    • Jermann, U.J.1
  • 33
    • 0039646598 scopus 로고    scopus 로고
    • Numerical methods for estimation and inference in Bayesian VAR models
    • Kadiyala K.R., and Karlsson S. Numerical methods for estimation and inference in Bayesian VAR models. Journal of Applied Econometrics 12 (1997) 99-132
    • (1997) Journal of Applied Econometrics , vol.12 , pp. 99-132
    • Kadiyala, K.R.1    Karlsson, S.2
  • 34
    • 0039447737 scopus 로고    scopus 로고
    • Has the US economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle
    • Kim C.-J., and Nelson C.R. Has the US economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle. The Review of Economics and Statistics 81 (1999) 608-616
    • (1999) The Review of Economics and Statistics , vol.81 , pp. 608-616
    • Kim, C.-J.1    Nelson, C.R.2
  • 35
    • 0002887926 scopus 로고    scopus 로고
    • Inflation targeting in a St
    • Louis model of the 21st century, May/June, pp
    • King, R.G., Wolman, A.L., 1996. Inflation targeting in a St. Louis model of the 21st century. Federal Reserve Bank of St. Louis Review, May/June, pp. 83-107.
    • (1996) Federal Reserve Bank of St. Louis Review , pp. 83-107
    • King, R.G.1    Wolman, A.L.2
  • 36
    • 29144494185 scopus 로고    scopus 로고
    • The incremental predictive information associated with using new Keynesian DSGE models vs. simple linear econometric models
    • Korenok O., and Swanson N.R. The incremental predictive information associated with using new Keynesian DSGE models vs. simple linear econometric models. Oxford Bulletin of Economics and Statistics 67 (2005) 905-930
    • (2005) Oxford Bulletin of Economics and Statistics , vol.67 , pp. 905-930
    • Korenok, O.1    Swanson, N.R.2
  • 37
    • 84952504842 scopus 로고
    • Forecasting with Bayesian vector autoregressions: five years of experience
    • Litterman R.B. Forecasting with Bayesian vector autoregressions: five years of experience. Journal of Business & Economic Statistics 4 (1986) 25-38
    • (1986) Journal of Business & Economic Statistics , vol.4 , pp. 25-38
    • Litterman, R.B.1
  • 39
    • 0000118629 scopus 로고    scopus 로고
    • Output fluctuations in the United States: What has changed since the early 1980's?
    • McConnell M.M., and Perez-Quiros G. Output fluctuations in the United States: What has changed since the early 1980's?. American Economic Review 90 (2000) 1464-1476
    • (2000) American Economic Review , vol.90 , pp. 1464-1476
    • McConnell, M.M.1    Perez-Quiros, G.2
  • 40
    • 0347604061 scopus 로고    scopus 로고
    • Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
    • Ni S., and Sun D. Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models. Journal of Econometrics 115 (2003) 159-197
    • (2003) Journal of Econometrics , vol.115 , pp. 159-197
    • Ni, S.1    Sun, D.2
  • 41
    • 27844504355 scopus 로고    scopus 로고
    • Do technology shocks drive hours up or down? A little evidence from an agnostic procedure
    • Pesavento E., and Rossi B. Do technology shocks drive hours up or down? A little evidence from an agnostic procedure. Macroeconomic Dynamics 9 (2005) 469-477
    • (2005) Macroeconomic Dynamics , vol.9 , pp. 469-477
    • Pesavento, E.1    Rossi, B.2
  • 42
    • 27744497180 scopus 로고    scopus 로고
    • Comparing new Keynesian models of the business cycle: a Bayesian approach
    • Rabanal P., and Rubio-Ramirez J.F. Comparing new Keynesian models of the business cycle: a Bayesian approach. Journal of Monetary Economics 52 (2005) 1151-1166
    • (2005) Journal of Monetary Economics , vol.52 , pp. 1151-1166
    • Rabanal, P.1    Rubio-Ramirez, J.F.2
  • 45
    • 2942741209 scopus 로고    scopus 로고
    • Stochastic technical progress, smooth trends, and nearly distinct business cycles
    • Rotemberg J.J. Stochastic technical progress, smooth trends, and nearly distinct business cycles. American Economic Review 93 (2003) 1543-1559
    • (2003) American Economic Review , vol.93 , pp. 1543-1559
    • Rotemberg, J.J.1
  • 46
    • 0034557056 scopus 로고    scopus 로고
    • Loss function-based evaluation of DSGE models
    • Schorfheide F. Loss function-based evaluation of DSGE models. Journal of Applied Econometrics 15 (2000) 645-670
    • (2000) Journal of Applied Econometrics , vol.15 , pp. 645-670
    • Schorfheide, F.1
  • 47
    • 0347466670 scopus 로고    scopus 로고
    • Sims, C.A., Zha, T., 1998. Bayesian methods for dynamic multivariate models. International Economic Review 39, 949-968 (Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance).
    • Sims, C.A., Zha, T., 1998. Bayesian methods for dynamic multivariate models. International Economic Review 39, 949-968 (Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance).
  • 48
    • 34547309730 scopus 로고    scopus 로고
    • Shocks and frictions in US business cycles: a Bayesian DSGE approach
    • Smets F., and Wouters R. Shocks and frictions in US business cycles: a Bayesian DSGE approach. American Economic Review 90 (2007) 586-606
    • (2007) American Economic Review , vol.90 , pp. 586-606
    • Smets, F.1    Wouters, R.2
  • 49
  • 50
    • 34247379321 scopus 로고    scopus 로고
    • Chap. 3, Elliott, G, Granger, C.W.J, Timmermann, A, Eds, Handbook of Economic Forecasting. Elsevier
    • West, K.D., 2006. Forecast evaluation (Chap. 3). In: Elliott, G., Granger, C.W.J., Timmermann, A. (Eds.), Handbook of Economic Forecasting. Elsevier.
    • (2006) Forecast evaluation
    • West, K.D.1
  • 51
    • 0036058647 scopus 로고    scopus 로고
    • A guide to the use of chain aggregated NIPA data
    • Whelan K. A guide to the use of chain aggregated NIPA data. Review of Income and Wealth 48 (2002) 217-233
    • (2002) Review of Income and Wealth , vol.48 , pp. 217-233
    • Whelan, K.1
  • 52
    • 0030119294 scopus 로고    scopus 로고
    • Nominal price rigidity, money supply endogeneity, and business cycles
    • Yun T. Nominal price rigidity, money supply endogeneity, and business cycles. Journal of Monetary Economics 37 (1996) 345-370
    • (1996) Journal of Monetary Economics , vol.37 , pp. 345-370
    • Yun, T.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.