Browsing by Subject "DSGE"
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Item Open Access Do DSGE models forecast more accurately out-of sample than VAR models?(Emerald, 2013) Gürkaynak, Refet S.; Kisacikoǧlu, B.; Rossi, B.Recently, it has been suggested that macroeconomic forecasts from estimated dynamic stochastic general equilibrium (DSGE) models tend to be more accurate out-of-sample than random walk forecasts or Bayesian vector autoregression (VAR) forecasts. Del Negro and Schorfheide (2013) in particular suggest that the DSGE model forecast should become the benchmark for forecasting horse-races. We compare the real-time forecasting accuracy of the Smets and Wouters (2007) DSGE model with that of several reduced-form time series models. We first demonstrate that none of the forecasting models is efficient. Our second finding is that there is no single best forecasting method. For example, typically simple AR models are most accurate at short horizons and DSGE models are most accurate at long horizons when forecasting output growth, while for inflation forecasts the results are reversed. Moreover, the relative accuracy of all models tends to evolve over time. Third, we show that there is no support to the common practice of using large-scale Bayesian VAR models as the forecast benchmark when evaluating DSGE models. Indeed, low-dimensional unrestricted AR and VAR forecasts may forecast more accurately. Copyright © 2013 by Emerald Group Publishing Limited.Item Open Access Effectiveness of reserve requirements on current account imbalances(2012) Dalkıran, Dilşat TugbaFollowing the recent financial crisis, reserve requirements have become a policy instrument preferred in many emerging markets such as China, Brazil and Turkey for various purposes. Therefore, the formulating a theoretical framework to study the policy effectiveness remains an important issue. In this thesis, I develop a DSGE model with the financial accelerator mechanism so as to see the effectiveness of reserve requirement in small open economies, especially in influencing the external imbalances. External imbalances can either be interpreted as current account imbalances or its mirroring capital account imbalances. The main channel through which the external balances play a role is via the banking sector, which is modelled as engaging in international borrowing. This framework allows examination of the responses of the external imbalances to shocks to the reserve requirement ratio As a result, higher reserve requirements make domestic borrowing cheaper than foreign borrowing and by this way, changes in net foreign liabilities create a current account surplus. Thus, a country with current account deficit can use reserve requirements to readjust its external imbalances.Item Open Access Monetary - fiscal joint policy analysis: a regime switching DSGD model(2016-06) Akbal, Ömer FarukRecent literature on the macroeconomic theory examines the importance of the regime switching in macroeconomic dynamics. Using a regime switching structure, this paper studies a baseline New Keynesian model with fiscal block where regimes are deffined as active monetary passive fiscal (AMPF) and passive monetary active fiscal (PMAF) regimes. In this paper, I demonstrate that the dynamics of aggregate variables differ markedly when non-linear regime switching solutions are considered. To be specific, output and in ation level are more sensitive to the monetary policy shock under PMAF regime and more sensitive to the technological shocks under AMPF regime.