Forecasting of Key Macroeconomic Variables Using DSGE-BVAR, DSGE and BVAR Models

Student: Dolgov Viktor

Supervisor: Oxana A. Malakhovskaya

Educational Programme: Economics: Research Programme (Master)

Year of Graduation: 2018

We evaluate the forecasting performance of DSGE-BVAR model on russian data in comparison with benchmark models, such as DSGE and BVAR. Forecasts are compared by the root mean square error. We show that forecasts from a DSGE-BVAR model are competitive with DSGE and BVAR benchmarks and in some cases superior to them. DSGE-BVAR forecasts for GDP, inflation and nominal effective exchange rate are more precise than DSGE and DSGE-BVAR forecasts for interest rate are more precise than BVAR.

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