Understanding DSGE Filters in Forecasting and Policy Analysis

Author/Editor:

Michal Andrle

Publication Date:

May 8, 2013

Electronic Access:

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Summary:

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.

Series:

Working Paper No. 2013/098

Subject:

Dynamic stochastic general equilibrium models Economic forecasting Inflation Output gap

English

Publication Date:

May 8, 2013

ISBN/ISSN:

9781484301357/1018-5941

Stock No:

WPIEA2013098

Pages:

23

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