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The New York Fed DSGE Model: A Post-Covid Assessment

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Abstract

We document the real-time forecasting performance for output and inflation of the New York Fed dynamic stochastic general equilibrium (DSGE) model since 2011. We find the DSGE's accuracy to be comparable to that of private forecasters before Covid, but somewhat worse thereafter.

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  • Marco Del Negro & Keshav Dogra & Aidan Gleich & Pranay Gundam & Donggyu Lee & Ramya Nallamotu & Brian Pacula, 2024. "The New York Fed DSGE Model: A Post-Covid Assessment," Staff Reports 1082, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednsr:97565
    DOI: 10.59576/sr.1082
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    References listed on IDEAS

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    1. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
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    Cited by:

    1. Aguirre, Idoia & Casares, Miguel, 2024. "The post-COVID inflation episode," Economic Modelling, Elsevier, vol. 139(C).
    2. Matthias Burgert & Giulio Cornelli & Burcu Erik & Benoit Mojon & Daniel Rees & Matthias Rottner, 2025. "The BIS multisector model: a multi-country environment for macroeconomic analysis," BIS Working Papers 1297, Bank for International Settlements.

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    Keywords

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    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • 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
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling

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