Comparison of prediction power of BVAR and DSGE models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00076456" target="_blank" >RIV/00216224:14560/14:00076456 - isvavai.cz</a>
Result on the web
<a href="http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf" target="_blank" >http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Comparison of prediction power of BVAR and DSGE models
Original language description
This paper analyses macroeconomic development in the Czech Republic using structural steady state Bayesian VAR model, classical VAR model, and New Keynesian DSGE model for a small open economy. The steady state BVAR was developed by Villani (2009), DSGEmodel is borrowed from Justiniano and Preston (2004). Foreign sector in VAR models is implemented as block-exogenous. The models are estimated on data of Czech economy covering period 1996Q3 ? 2013Q3. All models are compared on the basis of prediction performance measured by RMSE, impulse responses and variance decomposition. The results show that steady state BVAR has better prediction power for longer time horizons which is in accordance with its structure. On the other hand, DSGE model better predicts behaviour of variables for short periods, up to four quarters.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 32nd International Conference Mathematical Methods in Economics
ISBN
9788024442099
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
536-541
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Jan 1, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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