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Forecasting with instabilities: an application to DSGE models with financial frictions

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  • Roberta Cardani

    (European Commission)

  • Alessia Paccagnini

    (University College Dublin)

  • Stefania Villa

    (Bank of Italy)

Abstract

We assess the importance of parameter instabilities from a forecasting standpoint in a set of medium-scale DSGE models with and without financial frictions using US real-time data. We find that failing to update DSGE model parameter estimates with new data arrival deteriorates point forecasts due to the estimated parameters variation. We also find that the presence of financial frictions helps to better forecast GDP and inflation.

Suggested Citation

  • Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2019. "Forecasting with instabilities: an application to DSGE models with financial frictions," Temi di discussione (Economic working papers) 1234, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:wptemi:td_1234_19
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    Cited by:

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      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    3. Concetta Rondinelli & Roberta Zizza, 2020. "Spend today or spend tomorrow? The role of inflation expectations in consumer behaviour," Temi di discussione (Economic working papers) 1276, Bank of Italy, Economic Research and International Relations Area.
    4. Rangan Gupta & Xiaojin Sun, 2022. "Time-Varying Parameter Four-Equation DSGE Model," Working Papers 202234, University of Pretoria, Department of Economics.

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    More about this item

    Keywords

    Bayesian estimation; forecasting; financial frictions; parameter instabilities;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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