Exploiting the monthly data flow in structural forecasting

A-Tier
Journal: Journal of Monetary Economics
Year: 2016
Volume: 84
Issue: C
Pages: 201-215

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A quarterly stochastic general equilibrium (DSGE) model is combined with a now-casting model designed to read timely monthly information as it becomes available. This implies (1) mapping the structural quarterly DSGE with a monthly version that maintains the same economic restrictions; (2) augmenting the model with a richer data set and (3) updating the estimates of the DSGE׳s structural shocks in real time following the publication calendar of the data. Our empirical results show that our methodology enhances the predictive accuracy in now-casting. An analysis of the Great Recession also shows that our framework would have helped tracing the DSGE׳s structural shocks in real time, obtaining, for example, a more timely account of the 2008 contraction.

Technical Details

RePEc Handle
repec:eee:moneco:v:84:y:2016:i:c:p:201-215
Journal Field
Macro
Author Count
3
Added to Database
2026-01-25