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Forecasting Romanian GDP Using a Small DSGE Model

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  • Caraiani, Petre

    ()
    (Institute of Economic Forecasting, Romanian Academy)

Abstract

In this study I apply a simple DSGE model to forecast the quarterly Romanian GDP. The forecast is based on the posterior distribution of the model parameters resulted from the Bayesian estimation. The forecast for the 2006-2007 period shows that the realized GDP is within the confidence interval of the forecast when the shock uncertainty is also included. The projection for the 2007-2010 period indicates an average growth rate of almost 6%.

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Bibliographic Info

Article provided by Institute for Economic Forecasting in its journal Romanian Journal of Economic Forecasting.

Volume (Year): 5 (2008)
Issue (Month): 1 (March)
Pages: 182-192

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Handle: RePEc:rjr:romjef:v:5:y:2008:i:1:p:182-192

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Related research

Keywords: forecasting methods; DSGE models; Bayesian methods; real business cycles.;

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References

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  1. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
  2. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2006. "Forecasting Canadian Time Series with the New Keynesian Model," Working Papers 06-4, Bank of Canada.
  3. Juillard, Michel, 1996. "Dynare : a program for the resolution and simulation of dynamic models with forward variables through the use of a relaxation algorithm," CEPREMAP Working Papers (Couverture Orange) 9602, CEPREMAP.
  4. Guangling (dave Liu & Rangan Gupta, 2007. "A Small-Scale Dsge Model For Forecasting The South African Economy," South African Journal of Economics, Economic Society of South Africa, vol. 75(2), pages 179-193, 06.
  5. Gary Hansen, 2010. "Indivisible Labor and the Business Cycle," Levine's Working Paper Archive 233, David K. Levine.
  6. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
  7. Dobrescu, Emilian, 1996. "Macromodels of the Romanian transition Economy," MPRA Paper 35810, University Library of Munich, Germany.
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Cited by:
  1. Altar, Moisa & Necula, Ciprian & Bobeica, Gabriel, 2008. "Modeling The Economic Growth In Romania. The Role Of Human Capital," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(3), pages 115-128, September.

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