Forecasting with instabilities: An application to DSGE models with financial frictions

We assess the importance of parameter instabilities from a forecasting viewpoint in a set of medium-scale DSGE models with and without financial frictions using US real-time data. We find that, first, failing to update DSGE model parameter estimates with new data arrival deteriorates point forecasts...

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Bibliographic details
Volume: 61
Main Author: Cardani, Roberta
Paccagnini, Alessia
Villa, Stefania
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: AMSTERDAM Elsevier Inc 01.09.2019
ELSEVIER
Elsevier B.V
ELSEVIER SCIENCE BV
published in: Journal of macroeconomics Vol. 61; pp. 103133 - 103145
ORCID: 0000-0001-8892-5670
0000-0002-2421-7242
Data of publication: September 2019
ISSN: 0164-0704
1873-152X
EISSN: 1873-152X
Discipline: Economics
Subjects:
C32
C13
E37
C32
C13
E37
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Knowledge
Web of Science - Social Sciences Citation Index – 2019
Web of Science
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