Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks - Couverture souple

Adolfson, Malin

 
9781249560371: Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
Couverture souple
ISBN 10 : 1249560373 ISBN 13 : 9781249560371
Editeur : Bibliogov, 2012

Synopsis

There are many indications that formal methods are not used to their full potential by central banks today. In this paper, using data from Sweden, we demonstrate how BVAR and DSGE models can be used to shed light on questions that policymakers deal with in practice. We compare the forecast performance of BVAR and DSGE models with the Riksbank's official, more subjective forecasts, both in terms of actual forecasts and root mean-squared errors. We also discuss how to combine model and judgment-based forecasts, and show that the combined forecast performs well out of sample. In addition, we show the advantages of structural analysis and use the models for interpreting the recent development of the inflation rate through historical decompositions. Last, we discuss the monetary transmission mechanism in the models by comparing impulse-response functions."

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Éditeur
Bibliogov
Date d'édition
2012
Langue
anglais
ISBN 10 
1249560373
ISBN 13 
9781249560371
Reliure
Broché
Nombre de pages
38
Coordonnées du fabricant
non disponible
Personne responsable
non disponible