CFDP 2140

Information Content of DSGE Forecasts


Publication Date: August 2018

Pages: 17

Abstract: This paper examines the question whether information is contained in forecasts from DSGE models beyond that contained in lagged values, which are extensively used in the models. Four sets of forecasts are examined. The results are encouraging for DSGE forecasts of real GDP. The results suggest that there is information in the DSGE forecasts not contained in forecasts based only on lagged values and that there is no information in the lagged-value forecasts not contained in the DSGE forecasts. The opposite is true for forecasts of the GDP deflator.

Keywords: DSGE forecasts, Lagged values

JEL Classification Codes: E10, E17, C53

JEL Classification Codes: E10E17C53