Macroeconomic forecasting in the euro area using predictive
combinations of DSGE models

J 2023

Macroeconomic forecasting in the euro area using predictive combinations of DSGE models

ČAPEK, Jan, Jesús CRESPO CUARESMA, Niko HAUZENBERGER a Vlastimil REICHEL

Základní údaje

Originální název

Macroeconomic forecasting in the euro area using predictive combinations of DSGE models

Autoři

ČAPEK, Jan (203 Česká republika, garant, domácí), Jesús CRESPO CUARESMA (724 Španělsko, domácí), Niko HAUZENBERGER (40 Rakousko, domácí) a Vlastimil REICHEL (203 Česká republika, domácí)

Vydání

INTERNATIONAL JOURNAL OF FORECASTING, NETHERLANDS, ELSEVIER, 2023, 0169-2070

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50202 Applied Economics, Econometrics

Stát vydavatele

Nizozemské království

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 7.900 v roce 2022

Kód RIV

RIV/00216224:14560/23:00134014

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.1016/j.ijforecast.2022.09.002

UT WoS

001075115800001

Klíčová slova anglicky

Forecasting; Model averaging; Prediction pooling; DSGE models; Macroeconomic variables

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 3. 1. 2024 12:21, doc. Ing. Jan Čapek, Ph.D.

Anotace

V originále

We provide a comprehensive assessment of the predictive power of combinations of dynamic stochastic general equilibrium (DSGE) models for GDP growth, inflation, and the interest rate in the euro area. We employ a battery of static and dynamic pooling weights based on Bayesian model averaging principles, prediction pools, and dynamic factor representations, and entertain six different DSGE specifications and five prediction weighting schemes. Our results indicate that exploiting mixtures of DSGE models produces competitive forecasts compared to individual specifications for both point and density forecasts over the last three decades. Although these combinations do not tend to systematically achieve superior forecast performance, we find improvements for particular periods of time and variables when using prediction pooling, dynamic model averaging, and combinations of forecasts based on Bayesian predictive synthesis.

Návaznosti

GA17-14263S, projekt VaV

Název: Dynamické průměrování předpovědí makroekonomických modelů

Investor: Grantová agentura ČR, Dynamic forecast averaging of macroeconomic models

GA21-10562S, projekt VaV

Název: O časově proměnné prediktivní schopnosti teoretických a empirických makroekonomických modelů

Investor: Grantová agentura ČR, O časově proměnné prediktivní schopnosti teoretických a empirických makroekonomických modelů

Přiložené soubory

1-s2.0-S0169207022001224-main.pdf

Citovat

ČAPEK, Jan, Jesús CRESPO CUARESMA, Niko HAUZENBERGER a Vlastimil REICHEL. Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. INTERNATIONAL JOURNAL OF FORECASTING. NETHERLANDS: ELSEVIER, 2023, roč. 39, č. 4, s. 1820-1838. ISSN 0169-2070. Dostupné z: https://dx.doi.org/10.1016/j.ijforecast.2022.09.002.

@article{2227365,
   author = {Čapek, Jan and Crespo Cuaresma, Jesús and Hauzenberger, Niko and Reichel, Vlastimil},
   article_location = {NETHERLANDS},
   article_number = {4},
   doi = {http://dx.doi.org/10.1016/j.ijforecast.2022.09.002},
   keywords = {Forecasting; Model averaging; Prediction pooling; DSGE models; Macroeconomic variables},
   language = {eng},
   issn = {0169-2070},
   journal = {INTERNATIONAL JOURNAL OF FORECASTING},
   note = {in press},
   title = {Macroeconomic forecasting in the euro area using predictive combinations of DSGE models},
   url = {https://www.sciencedirect.com/science/article/pii/S0169207022001224},
   volume = {39},
   year = {2023}
}

TY  - JOUR
ID  - 2227365
AU  - Čapek, Jan - Crespo Cuaresma, Jesús - Hauzenberger, Niko - Reichel, Vlastimil
PY  - 2023
TI  - Macroeconomic forecasting in the euro area using predictive combinations of DSGE models
JF  - INTERNATIONAL JOURNAL OF FORECASTING
VL  - 39
IS  - 4
SP  - 1820
EP  - 1820
PB  - ELSEVIER
SN  - 01692070
N1  - in press
KW  - Forecasting
KW  - Model averaging
KW  - Prediction pooling
KW  - DSGE models
KW  - Macroeconomic variables
UR  - https://www.sciencedirect.com/science/article/pii/S0169207022001224
N2  - We provide a comprehensive assessment of the predictive power of combinations of dynamic stochastic general equilibrium (DSGE) models for GDP growth, inflation, and the interest rate in the euro area. We employ a battery of static and dynamic pooling weights based on Bayesian model averaging principles, prediction pools, and dynamic factor representations, and entertain six different DSGE specifications and five prediction weighting schemes. Our results indicate that exploiting mixtures of DSGE models produces competitive forecasts compared to individual specifications for both point and density forecasts over the last three decades. Although these combinations do not tend to systematically achieve superior forecast performance, we find improvements for particular periods of time and variables when using prediction pooling, dynamic model averaging, and combinations of forecasts based on Bayesian predictive synthesis.
ER  -

ČAPEK, Jan, Jesús CRESPO CUARESMA, Niko HAUZENBERGER a Vlastimil REICHEL. Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. \textit{INTERNATIONAL JOURNAL OF FORECASTING}. NETHERLANDS: ELSEVIER, 2023, roč.~39, č.~4, s.~1820-1838. ISSN~0169-2070. Dostupné z: https://dx.doi.org/10.1016/j.ijforecast.2022.09.002.

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