Understanding DSGE Filters in Forecasting and Policy Analysis

May 8, 2013

Preview Citation

Format: Chicago

Michal Andrle. Understanding DSGE Filters in Forecasting and Policy Analysis, (USA: International Monetary Fund, 2013) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Subject: Dynamic stochastic general equilibrium models, Economic forecasting, Inflation, Output gap

Keywords: WP

Publication Details

Pages:

23
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2013/098
Stock No:

WPIEA2013098
ISBN:

9781484301357
ISSN:

1018-5941

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