Real‐Time Data, Revisions and the Predictive Ability of DSGE Models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F25%3A00140951" target="_blank" >RIV/00216224:14560/25:00140951 - isvavai.cz</a>

Výsledek na webu

<a href="https://onlinelibrary.wiley.com/doi/10.1111/obes.12677" target="_blank" >https://onlinelibrary.wiley.com/doi/10.1111/obes.12677</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1111/obes.12677" target="_blank" >10.1111/obes.12677</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Real‐Time Data, Revisions and the Predictive Ability of DSGE Models

Popis výsledku v původním jazyce

We evaluate the impact of real-time macroeconomic data and data revisions on the forecasting performance of DSGE models in the US and the euro area. We identify significant differences in data revisions between the two world regions: Negative revisions (due to overestimation in early data releases) are prevalent in the US, while the euro area data tends to be dominated by positive revisions. These biases are most significant in consumption growth, output growth, and hours worked. Parameter estimates in small-sized DSGE models are not strongly affected by the use of real-time data, while larger models exhibit substantial differences depending on the data used, especially during large economic downturns. Revisions significantly affect the predictive accuracy of the DSGE model for output growth in the US and for inflation and interest rates in the euro area. Our findings highlight the central role of data revisions as a determinant of predictive accuracy in macroeconomic models and thus of the quality of such specifications as an instrument to inform evidence-based policy-making.

Název v anglickém jazyce

Real‐Time Data, Revisions and the Predictive Ability of DSGE Models

Popis výsledku anglicky

We evaluate the impact of real-time macroeconomic data and data revisions on the forecasting performance of DSGE models in the US and the euro area. We identify significant differences in data revisions between the two world regions: Negative revisions (due to overestimation in early data releases) are prevalent in the US, while the euro area data tends to be dominated by positive revisions. These biases are most significant in consumption growth, output growth, and hours worked. Parameter estimates in small-sized DSGE models are not strongly affected by the use of real-time data, while larger models exhibit substantial differences depending on the data used, especially during large economic downturns. Revisions significantly affect the predictive accuracy of the DSGE model for output growth in the US and for inflation and interest rates in the euro area. Our findings highlight the central role of data revisions as a determinant of predictive accuracy in macroeconomic models and thus of the quality of such specifications as an instrument to inform evidence-based policy-making.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Oxford Bulletin of Economics and Statistics

ISSN

0305-9049

e-ISSN

1468-0084

Svazek periodika

87

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

22

Strana od-do

1059-1080

Kód UT WoS článku

001459843700001

EID výsledku v databázi Scopus

2-s2.0-105001132791