Montag, 29. September 2014

DSGE-Prognosen

Die FRBNY pusht ihr DSGE-Modell as Prognosewerkzeug.

Vergangene Woche haben Mitarbeiter der Federal Reserve Bank of New York in einer Reihe von Beiträgen ([1], [2], [3], [4], [5]) ihr DSGE-Modell vorgestellt und diskutiert, wie es zur Prognose eingesetzt wurde/wird und welche Voraussagen es seit der Großen Rezession gemacht hat.
"The Federal Reserve Bank of New York (FRBNY) has built a DSGE model as part of its efforts to forecast the U.S. economy. On Liberty Street Economics, we are publishing a weeklong series to provide some background on the model and its use for policy analysis and forecasting, as well as its forecasting performance. [...]

DSGE models in general and the FRBNY model in particular have huge margins for improvement. The list of flaws is long, ranging from the lack of heterogeneity (the models assume a representative household) to the crude representation of financial markets (the models have no term premia). Nevertheless, we are sticking our necks out and showing our forecasts, not because we think we have a “good” model of the economy, but because we want to have a public record of the model’s successes and failures. In doing so, we can learn from both our past performance and readers’ criticism. The model is a work in progress. Hopefully, it can be improved over time, guided by current economic and policy questions and benefiting from developments in economic theory and econometric tools.[...]

In conclusion, the FRBNY DSGE model, at this point, predicts a continued gradual recovery in economic activity with a progressive return of inflation toward the FOMC’s long-run target of 2 percent, as the negative effect of the Great Recession continues to dissipate. This forecast remains surrounded by significant uncertainty, with the risks slightly skewed to the downside for output growth because of the constraint on policy imposed by the zero lower bound. "
Es ist auf jeden Fall sehr begrüßenswert, wenn auf diese Weise ein öffentlicher "track record" hinsichtlich der Prognoseperformance eines branchenüblichen DSGE-Modells entsteht.

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