Information Content of DSGE Forecasts

18 Pages Posted: 9 Aug 2018

See all articles by Ray C. Fair

Ray C. Fair

Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

Date Written: August 8, 2018

Abstract

This paper examines the question whether information is contained in forecasts from DSGE models beyond that contained in lagged values, which are extensively used in the models. Four sets of forecasts are examined. The results are encouraging for DSGE forecasts of real GDP. The results suggest that there is information in the DSGE forecasts not contained in forecasts based only on lagged values and that there is no information in the lagged-value forecasts not contained in the DSGE forecasts. The opposite is true for forecasts of the GDP deflator.

Keywords: DSGE Forecasts, Lagged Values

JEL Classification: E10, E17, C53

Suggested Citation

Fair, Ray C., Information Content of DSGE Forecasts (August 8, 2018). Cowles Foundation Discussion Paper No. 2140. Available at SSRN: https://ssrn.com/abstract=3228762 or http://dx.doi.org/10.2139/ssrn.3228762

Ray C. Fair (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

Yale School of Management - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

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