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DSGE model-based forecasting of non-modelled variables
16 references·9 citing·32 second hop
DSGE model-based forecasting of non-modelled variables (2010)DSGE model-based forecasting of non-model…Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Shocks and Frictions in US Bu…On the Fit of New Keynesian Models (2007)On the Fit of New Keynesian M…Evaluating an estimated new Keynesian small open economy model (2007)Evaluating an estimated new K…Bayesian Analysis of DSGE Models (2007)Bayesian Analysis of DSGE Mod…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)An Estimated Dynamic Stochast…Solving Linear Rational Expectations Models (2002)Solving Linear Rational Expec…Habit Persistence, Asset Returns, and the Business Cycle (2001)Habit Persistence, Asset Retu…Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange (1999)Multivariate Density Forecast…Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Staggered Prices in a Utility-Maximizing Framework (1996)Staggered Prices in a Utility…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyDiscretion versus policy rules in practice (1993)Discretion versus policy rule…Staggered prices in a utility-maximizing framework (1983)Staggered prices in a utility…Rational Decisions (1952)Rational DecisionsA narrative approach to a fiscal DSGE model (2020)A narrative approach to a fis…Prediction Using Several Macroeconomic Models (2017)Prediction Using Several Macr…Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model (2016)Modelling the business cycle …Forecasting and Policy Making (2013)Forecasting and Policy MakingBayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models (2013)Bayesian forecasting with sma…On the predictability of time-varying VAR and DSGE models (2012)On the predictability of time…Estimation and Evaluation of DSGE Models: Progress and Challenges (2011)Estimation and Evaluation of …Estimation and Evaluation of DSGE Models: Progress and Challenges (2011)Estimation and Evaluation of …Combining VAR and DSGE forecast densities (2011)Combining VAR and DSGE foreca…The Solution of Linear Difference Models under Rational Expectations (1980)Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle (2002)Generalizing the Taylor Principle (2007)Identification in Macroeconomics (2018)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Inflation and Costs of Price Adjustment (1977)Aggregate Dynamics and Staggered Contracts (1980)Behavioral Macroeconomics and Macroeconomic Behavior (2002)Employment Fluctuations with Equilibrium Wage Stickiness (2005)Unemployment Fluctuations with Staggered Nash Wage Bargaining (2009)Rules, discretion and reputation in a model of monetary policy (1983)Estimation and Inference of Impulse Responses by Local Projections (2005)The Role of Monetary Policy (1995)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Impact of Uncertainty Shocks (2009)Time to Build and Aggregate Fluctuations (1982)House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle (2005)Understanding the Effects of Government Spending on Consumption (2007)Housing Market Spillovers: Evidence from an Estimated DSGE Model (2010)Macroeconomic Effects of Financial Shocks (2012)Risk Shocks (2013)American Economic Review (2019)A model of unconventional monetary policy (2010)Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)When Is the Government Spending Multiplier Large? (2011)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1983Staggered prices in a utility-maximizing framework7,892 cited
  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy5,868 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 1996Staggered Prices in a Utility-Maximizing Framework4,369 cited
  • 2003An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area3,519 cited
  • 2007Bayesian Analysis of DSGE Models1,367 cited
  • 2002Solving Linear Rational Expectations Models1,104 cited
  • 2001Habit Persistence, Asset Returns, and the Business Cycle1,049 cited
  • 1952Rational Decisions975 cited
  • 1998Tests for Forecast Encompassing786 cited
  • 2007On the Fit of New Keynesian Models509 cited
  • 2007Evaluating an estimated new Keynesian small open economy model379 cited
  • 1999Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange

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343 cited

Cited by

  • 2013Forecasting and Policy Making79 cited
  • 2017Prediction Using Several Macroeconomic Models54 cited
  • 2011Combining VAR and DSGE forecast densities39 cited
  • 2011Estimation and Evaluation of DSGE Models: Progress and Challenges30 cited
  • 2013Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models29 cited
  • 2011Estimation and Evaluation of DSGE Models: Progress and Challenges29 cited
  • 2020A narrative approach to a fiscal DSGE model22 cited
  • 2016Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model22 cited
  • 2012On the predictability of time-varying VAR and DSGE models19 cited