• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
For visually-impairedUser profile (HSE staff only)Search

The Comparison of Forecasting Performance of a DSGE Model With Stochastic Volatility and a Bvar Model

Student: Rifat Eniliev

Supervisor: Oxana A. Malakhovskaya

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Final Grade: 10

Year of Graduation: 2018

This paper compares point based macroeconomic forecasting performance of two models on various time horizons. Point – based macroeconomic forecasts in the following work are obtained using structural and non-structural models. The structural model is represented by New-Keynesian small-scale DSGE model in two specifications: the first specification includes stochastic volatility (DSGE- SV), and second does not (DSGE). Non-structural models are represented by VAR and Bayesian VAR (BVAR). Accuracy is estimated using standard metric - root of mean squared forecast error (RMSFE). The results suggest that, DSGE – SV performs quite poorly in comparison with non-structural models while forecasting interest rate and inflation on all time horizons. At the same time, by utilizing DSGE –SV it is possible to obtain a forecast for output growth rates more accurate than BVAR model forecasts.

Full text (added May 15, 2018)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses