IDEAS home Printed from https://ideas.repec.org/p/fip/fednls/86979.html
   My bibliography  Save this paper

An Assessment of the FRBNY DSGE Model's Real-Time Forecasts, 2010-2013

Author

Listed:
  • Matthew Cocci
  • Marco Del Negro
  • Stefano Eusepi
  • Marc Giannoni
  • M. Henry Linder
  • Sara Shahanaghi

Abstract

In this blog post, we discuss the real-time forecasts from the FRBNY DSGE model starting from March 2010, when we began producing policy forecasts, and provide an assessment of the model’s overall forecasting accuracy. The forecasts have been produced roughly eight times a year, about two weeks before each Federal Open Market Committee (FOMC) meeting, and have all been released in internal documents. Note that the FRBNY DSGE forecast is not the official FRBNY staff forecast and that the specification of the model has evolved over time, reflecting attempts to capture important features of the economy more precisely as well as researchers’ progress in modeling. For instance, in 2011 we introduced financial frictions, which play a crucial role in explaining the Great Recession and shaping the current forecast. In addition, we use market-based observations of the expected future federal funds rate to capture the changing nature of the forward guidance provided by the FOMC.

Suggested Citation

  • Matthew Cocci & Marco Del Negro & Stefano Eusepi & Marc Giannoni & M. Henry Linder & Sara Shahanaghi, 2014. "An Assessment of the FRBNY DSGE Model's Real-Time Forecasts, 2010-2013," Liberty Street Economics 20140925b, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednls:86979
    as

    Download full text from publisher

    File URL: https://libertystreeteconomics.newyorkfed.org/2014/09/an-assessment-of-the-frbny-dsge-models-real-time-forecasts.html
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Forecasting; DSGE models;

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednls:86979. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gabriella Bucciarelli (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.