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Understanding DSGE Filters in Forecasting and Policy Analysis

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  • Michal Andrle

Abstract

This paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data, (ii) to better understand revision properties of the model, and (iii) to impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, a decomposition of the flexible-price output gap, or a technology shock, into contributions of output, inflation, interest rates, and other observed variables' contribution is feasible. The intuitive nature and analytical clarity of the suggested procedures are appealing for policy-related and forecasting models.

Suggested Citation

  • Michal Andrle, 2013. "Understanding DSGE Filters in Forecasting and Policy Analysis," IMF Working Papers 2013/098, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2013/098
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    References listed on IDEAS

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    Cited by:

    1. Chung, Hess & Fuentes-Albero, Cristina & Paustian, Matthias & Pfajfar, Damjan, 2021. "Latent variables analysis in structural models: A New decomposition of the kalman smoother," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    2. Salome Tvalodze & Shalva Mkhatrishvili & Tamar Mdivnishvili & Davit Tutberidze & Zviad Zedginidze, 2016. "The National Bank of Georgia's Forecasting and Policy Analysis System," NBG Working Papers 01/2016, National Bank of Georgia.
    3. Salome Tvalodze & Shalva Mkhatrishvili & Tamar Mdivnishvili & Davit Tutberidze & Zviad Zedginidze, 2016. "The National Bank of Georgia's Forecasting and Policy Analysis System," NBG Working Papers 01/2016, National Bank of Georgia.
    4. Nicholas Sander, 2013. "Fresh perspectives on unobservable variables: Data decomposition of the Kalman smoother," Reserve Bank of New Zealand Analytical Notes series AN2013/09, Reserve Bank of New Zealand.

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    Keywords

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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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