Does foreign sector help forecast domestic variables in DSGE models
Does foreign sector help forecast domestic variables in DSGE models
复制标题
国外部门是否有助于预测 DSGE 模型中的国内变量
DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
Michał Rubaszek
中科院分区：
文献类型：
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作者：
Marcin Kolasa;Michał Rubaszek
本文使用澳大利亚、加拿大和英国的长跨度数据，评估了几个小型开放经济DSGE模型相对于封闭经济基准的预测性能。我们发现，开放经济并没有改善，甚至恶化的质量点和密度预测的关键国内变量。我们发现，这一结果可以在很大程度上归因于预测误差的增加，由于一个更复杂的结构的扩展设置。这一说法是基于蒙特卡洛实验，在该实验中，开放经济模型无法始终击败其封闭经济基准，即使它是真正的数据生成过程。
This paper evaluates the forecasting performance of several small open economy DSGE models relative to a closed economy benchmark using a long span of data for Australia, Canada and the United Kingdom. We find that opening the economy does not improve, and even deteriorates the quality of point and density forecasts for key domestic variables. We show that this result can be to a large extent attributed to an increase in forecast error due to a more sophisticated structure of the extended setup. This claim is based on a Monte Carlo experiment, in which an open economy model fails to consistently beat its closed economy benchmark even if it is the true data generating process.