Comparing the DSGE model
with the factor model:
an out-of
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e fo
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e
c
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tin
g
e
x
perimen
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Mu-Chun Wang
(JohannWolfgang Goethe University of Frankfurt)
Discussion Paper
Series 1: Economic Studies
No 04/2008
Discussion Papers represent the authors’ personal opinions and do not necessarily reflect the views of the Deutsche Bundesbank or its staff.
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Heinz
Herrmann
Thilo
Liebig
Karl-Heinz
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ISBN
978-
3–86558–
379
–
6
(Printversion)
ISBN
978-
3–86558–
380
–
2
(Internetversion)
/0. 0
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Non-technical summary
Recently, a growing literature has dealt with forecasting using large factor models. Typically, the modern factor models extract only a few components (called common factors) representing the overall economic activities of a large dataset. These factors can then be used to forecast some key economic variables. Various applications of such models in forecasting macroeconomic and financial variables claim that forecasts generated from factor models are superior to simple time series benchmark models. A totally different approach to forecast economic variables is to specify and estimate a dynamic stochastic general equilibrium (DSGE) model. DSGE models have recently become popular in terms of policy analysis because they are very useful storytelling devices due to their rigorous microeconomic foundations. In this paper, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model, on the one hand, has a strong theoretical economic background. The factor model, on the other hand, is mainly data-driven. In addition, unrestricted vector autoregressive (VAR) and simple univariate autoregressive (AR) models are considered as benchmark models. We implement out-of-sample forecasting experiments, using the aforementioned models, on output growth and inflation in the US economy on a quarterly basis.
The underlying factor forecasting model is the diffusion indexes model (DI) proposed by Stock and Watson (2002b). The DI model produces direct multistep forecasts without having to specify the dynamics of the factors explicitly. We collect, in total, 83 macroeconomic and financial series and use the static principle component method to extract the factors. The underlying DSGE model is a prototypical monetary New-Keynesian model proposed by Del Negro and Schorfheide (2004). The estimation of the DSGE model is carried out using the Bayesian framework.
Regarding the informativeness of forecasts, model-based output growth forecasts are generally not informative for forecast horizons exceeding one year. However, inflation forecasts computed from the models are vastly informative at every forecast horizon. In terms of the forecasting performance measured in mean squared forecast errors, the factor model is, in general, superior to any other model in the short run. The DSGE model is able to outperform the unrestricted VAR. However, the VAR turns out to be an unreliable benchmark since it is, in most cases, the worst forecasting model.
To a certain extent our results are consistent with the prevailing view that time series models should be used in short-horizon forecasting and structural models should be used in long-horizon forecasting. Our paper closes the existing gap in the literature which up to now has investigated the predictive ability of data-driven factor models and theoretical DSGE models separately from each other.
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Prices
1 cpiuaa_us cpi: urban consumer - apparel, (1982-84=100, sa) 4 2 cpiuac_us cpi: urban consumer - commodities, (1982-84=100, sa) 4 3 cpiuad_us cpi: urban consumer - durables, (1982-84=100, sa) 4 4 cpiuam_us cpi: urban consumer - medical care, (1982-84=100, sa) 4 5 cpiuas_us cpi: urban consumer - services, (1982-84=100, sa) 4 6 cpiuat_us cpi: urban consumer - transportation, (1982-84=100, sa) 4 7 cpiul1_us cpi: urban consumer - all items less food, (1982-84=100, sa) 4 8 cpiul2_us cpi: urban consumer - all items less shelter, (1982-84=100, sa) 4 9 cpiul5_us cpi: urban consumer - all items less medical care, (1982-84=100, sa) 4 10 ppisp1000_us ppi: stage of processing - crude materials, (index 1982=100, sa) 4 11 ppisp2000_us ppi: stage of processing - intermediate materials, (index 1982=100, sa) 4 12 ppisp3000_us ppi: stage of processing - finished goods, (index 1982=100, sa) 4 13 ppisp3100_us ppi: stage of processing - finished consumer goods, (index 1982=100, sa) 4
Consumption
14 uscdtan_b pce - durables, new autos (ar) cura 3 15 uscondurb personal consumption expenditures - durables (ar) cura 3 16 usconndrb personal consumption expenditures - nondurables (ar) cura 3 17 usconsrvb personal consumption expenditures - services (ar) cura 3 18 usperconb personal consumption expenditures (ar) cura 3
Employment
19 usem21__o employed - mining vola 3 20 usem23__o employed - construction vola 3 21 usem42__o employed - wholesale trade vola 3 22 usem81__o employed - otherservices vola 3 23 usemig__o employed - government vola 3 24 usemimd_o employed - durable goods vola 3 25 usemip__o employed - totalprivate vola 3 26 usemir__o employed - retail trade vola 3 27 usemit__o employed - trade, transportation, & utilities vola 3 28 usempallo employed - nonfarm industries total (payroll survey) vola 3 29 usempg__o employed - goods-producing vola 3 30 usempmano employed - manufacturing vola 3 31 usemps__o employed - service-providing vola 3 32 usemptoto total civilian employment vola 3 33 ushlpwadq help wanted-proportion of labor markets w/rising want-ad vola 1 34 usun_totq unemployment rate sadj 2 35 usundurne average durationof unemployment (weeks) vola 1 36 usunw14_q unemployed distribution - 5 to 14 weeks sadj 1 37 usunw15_q unemployed distribution - 15 weeks & over sadj 1 38 usunw26_q unemployed distribution - 15 to 26 weeks & over sadj 1 39 usunw5__q unemployed distribution - less than 5 weeks sadj 1 40 usvactoto index of help wanted advertising vola 3
Housing
41 ushbrm__o housing started - midwest (ar) vola 3 42 ushbrn__o housing started - northeast (ar) vola 3 43 ushbrs__o housing started - south (ar) vola 3 44 ushbrw__o housing started - west (ar) vola 3 45 ushouse_o new private housing units started (ar) vola 3
Hours and earnings
46 ushkim__o avg wkly hours -manufacturing vola 3 47 ushxpmano avg overtime hours - manufacturing vola 3 48 uswr23__b avg hrly earn -construction cura 4 49 uswrim__b avg hrly earn -manufacturing cura 4
Output and income
50 usipmbuqg indl prod - business equipment vola 3 51 usipmcogg indl prod - consumer goods vola 3 52 usipmducg indl prod - durable consumer goods vola 3 53 usipmfgsg industrial production - manufacturing (sic) vola 3 54 usipmfing indl prod - final products, total vola 3 55 usipmmatg indl prod - materials, total vola 3 56 usipmnocg indl prod - nondurable consumer goods vola 3 57 usipmprog indl prod - final products & nonindustrial supplies vola 3 58 usiptot_g industrial production - total index vola 3 59 usiumfgsq indl utilization- manufacturing (sic) sadj 1 60 uspdispib disposable personal income (ar) cura 3 61 uspersinb personal income (ar) cura 3
Interest rates
62 uscrbbaa corporate bond yield - moody's baa, seasoned issues 2 63 uscrbyld corporate bond yield - moody's aaa, seasoned issues 2 64 ustrb3av treasury bill secondary market rate on discount basis-3 month 2 65 ustrcn10 treasury yield adjusted to constant maturity - 10 year 2 66 ustrcn1_ treasury yield adjusted to constant maturity - 1 year 2 67 ustrcn5_ treasury yield adjusted to constant maturity - 5 year 2 68 usytb6sm treasury bill secondary market rate on discount basis-6 month 2 69 ussfycrbyld spread uscrbyld - federal funds 1 70 ussfycrbbaa spread uscrbbaa - federal funds 1 71 ussfytrb3av spread ustrb3av - federal funds 1 72 ussfyytb6sm spread usytb6sm - federal funds 1 73 ussfytrcn1_ spread ustrcn1_ - federal funds 1 74 ussfytrcn10 spread ustrcn10 - federal funds 1 75 ussfytrcn5_ spread ustrcn5_ - federal funds 1
Other
76 usm0____b monetary base cura 4 77 usnbrrsab nonborrowed reserves of depository institutions cura 3 78 uspmchin chicago purchasingmanager diffusion index-inventories(sa) 1 79 uspmchlt chicago purchasingmanager diffusion index-deliveries(sa) 1 80 uspmchp_ chicago purchasingmanager diffusion index-prodn. (sa) sadj 1 81 ustotrsab total reserves of depository institutions cura 3 82 usexpgdsb exports f.a.s. cura 3 83 uscnfbusq ism purchasing managers index (mfg survey) sadj 1
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><JG: !6>C &DHH >C ', H BD9:AH K:GHJH JC8DC9>I>DC6A B:6C 1 2 3 4 5 6 7 8 9 10 11 12 -0.6 -0.4 -0.2 0 0.2 0.4 Output Growth DSGE AR VAR DI 1 2 3 4 5 6 7 8 9 10 11 12 -0.2 0 0.2 0.4 0.6 0.8 Inflation
><JG: !6>C &DHH >C ', H # K:GHJH + 1 2 3 4 5 6 7 8 9 10 11 12 -0.1 0 0.1 0.2 0.3 0.4 Output Growth 1 2 3 4 5 6 7 8 9 10 11 12 -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 Inflation BIC k=1 k=2 k=3 k=4
><JG: !6>C &DHH >C ', H ,! K:GHJH /+ 1 2 3 4 5 6 7 8 9 10 11 12 -0.2 -0.1 0 0.1 0.2 0.3 0.4 Output Growth 1 2 3 4 5 6 7 8 9 10 11 12 0 0.1 0.2 0.3 0.4 0.5 0.6 Inflation BIC p=1 p=2 p=3 p=4
27
The following Discussion Papers have been published since 2007:
Series 1: Economic Studies
01
2007
The effect of FDI on job separation
Sascha O. Becker
Marc-Andreas
Mündler
02
2007
Threshold dynamics of short-term interest rates:
empirical evidence and implications for the
Theofanis Archontakis
term structure
Wolfgang Lemke
03
2007
Price setting in the euro area:
Dias, Dossche, Gautier
some stylised facts from individual
Hernando, Sabbatini
producer price data
Stahl, Vermeulen
04
2007
Unemployment and employment protection
in a unionized economy with search frictions
Nikolai Stähler
05
2007
End-user order flow and exchange rate dynamics S. Reitz, M. A. Schmidt
M.
P.
Taylor
06
2007
Money-based interest rate rules:
C. Gerberding
lessons from German data
F. Seitz, A. Worms
07
2007
Moral hazard and bail-out in fiscal federations: Kirsten H. Heppke-Falk
evidence for the German Länder
Guntram B. Wolff
08
2007
An assessment of the trends in international
price competitiveness among EMU countries
Christoph Fischer
09
2007
Reconsidering the role of monetary indicators
for euro area inflation from a Bayesian
Michael Scharnagl
perspective using group inclusion probabilities Christian Schumacher
10
2007
A note on the coefficient of determination in
Jeong-Ryeol Kurz-Kim
regression models with infinite-variance variables Mico Loretan
28
11
2007
Exchange rate dynamics in a target zone -
Christian Bauer
a heterogeneous expectations approach
Paul De Grauwe, Stefan Reitz
12
2007
Money and housing -
Claus Greiber
evidence for the euro area and the US
Ralph Setzer
13
2007
An affine macro-finance term structure model
for the euro area
Wolfgang Lemke
14
2007
Does anticipation of government spending matter? Jörn Tenhofen
Evidence from an expectation augmented VAR Guntram B. Wolff
15
2007
On-the-job search and the cyclical dynamics
Michael Krause
of the labor market
Thomas Lubik
16
2007
Heterogeneous expectations, learning and
European inflation dynamics
Anke Weber
17
2007
Does intra-firm bargaining matter for
Michael Krause
business cycle dynamics?
Thomas Lubik
18
2007
Uncertainty about perceived inflation target
Kosuke Aoki
and monetary policy
Takeshi Kimura
19
2007
The rationality and reliability of expectations
reported by British households: micro evidence James Mitchell
from the British household panel survey
Martin Weale
20
2007
Money in monetary policy design under
uncertainty:
the
Two-Pillar
Phillips Curve
Günter W. Beck
versus ECB-style cross-checking
Volker Wieland
21
2007
Corporate marginal tax rate, tax loss carryforwards
and investment functions – empirical analysis
29
22
2007
Volatile multinationals? Evidence from the
Claudia M. Buch
labor demand of German firms
Alexander Lipponer
23
2007
International investment positions and
Michael Binder
exchange rate dynamics: a dynamic panel analysis Christian J. Offermanns
24
2007
Testing for contemporary fiscal policy discretion
Ulf von Kalckreuth
with real time data
Guntram B. Wolff
25
2007
Quantifying risk and uncertainty
Malte Knüppel
in macroeconomic forecasts
Karl-Heinz Tödter
26
2007
Taxing deficits to restrain government
spending and foster capital accumulation
Nikolai Stähler
27
2007
Spill-over effects of monetary policy – a progress
report on interest rate convergence in Europe
Michael Flad
28
2007
The timing and magnitude of exchange rate
Hoffmann
overshooting
Sondergaard,
Westelius
29
2007
The timeless perspective vs. discretion: theory and
monetary policy implications for an open economy Alfred V. Guender
30
2007
International cooperation on innovation: empirical Pedro Faria
evidence for German and Portuguese firms
Tobias Schmidt
31
2007
Simple interest rate rules with a role for money
M. Scharnagl
C. Gerberding, F. Seitz
32
2007
Does Benford’s law hold in economic Stefan
Günnel
research and forecasting?
Karl-Heinz Tödter
33
2007
The welfare effects of inflation:
Karl-Heinz Tödter
a cost-benefit perspective
Bernhard Manzke
30
34
2007
Factor-MIDAS for now- and forecasting with
ragged-edge data: a model comparison for
Massimiliano Marcellino
German
GDP
Christian
Schumacher
35
2007
Monetary policy and core inflation
Michele Lenza
01
2008
Can capacity constraints explain
asymmetries of the business cycle?
Malte Knüppel
02
2008
Communication, decision-making and the
optimal degree of transparency of monetary
policy
committees
Anke
Weber
03
2008
The impact of thin-capitalization rules on
Buettner, Overesch
multinationals’ financing and investment decisions Schreiber, Wamser
04
2008
Comparing the DSGE model with the factor model:
31
Series 2: Banking and Financial Studies
01
2007
Granularity adjustment for Basel II
Michael B. Gordy
Eva
Lütkebohmert
02
2007
Efficient, profitable and safe banking:
an oxymoron? Evidence from a panel
Michael Koetter
VAR approach
Daniel Porath
03
2007
Slippery slopes of stress: ordered failure
Thomas Kick
events in German banking
Michael Koetter
04
2007
Open-end real estate funds in Germany –
C. E. Bannier
genesis
and
crisis
F. Fecht, M. Tyrell
05
2007
Diversification and the banks’
risk-return-characteristics – evidence from
A. Behr, A. Kamp
loan portfolios of German banks
C. Memmel, A. Pfingsten
06
2007
How do banks adjust their capital ratios?
Christoph Memmel
Evidence from Germany
Peter Raupach
07
2007
Modelling dynamic portfolio risk using
Rafael Schmidt
risk drivers of elliptical processes
Christian Schmieder
08
2007
Time-varying contributions by the corporate bond
and CDS markets to credit risk price discovery Niko Dötz
09
2007
Banking consolidation and small business
K. Marsch, C. Schmieder
finance – empirical evidence for Germany
K. Forster-van Aerssen
10
2007
The quality of banking and regional growth
Hasan, Koetter, Wedow
11
2007
Welfare effects of financial integration
Fecht, Grüner, Hartmann
12
2007
The marketability of bank assets and managerial Falko Fecht
rents: implications for financial stability
Wolf Wagner
32
13
2007
Asset correlations and credit portfolio risk –
K. Düllmann, M. Scheicher
an empirical analysis
C. Schmieder
14
2007
Relationship lending – empirical evidence
C. Memmel
for Germany
C. Schmieder, I. Stein
15
2007
Creditor concentration: an empirical investigation S. Ongena, G.Tümer-Alkan
N.
von
Westernhagen
16
2007
Endogenous credit derivatives and bank behaviour Thilo Pausch
17
2007
Profitability of Western European banking
systems: panel evidence on structural and
cyclical determinants
Rainer Beckmann
18
2007
Estimating probabilities of default with
W. K. Härdle
33
Visiting researcher at the Deutsche Bundesbank
The Deutsche Bundesbank in Frankfurt is looking for a visiting researcher. Among others
under certain conditions visiting researchers have access to a wide range of data in the
Bundesbank. They include micro data on firms and banks not available in the public.
Visitors should prepare a research project during their stay at the Bundesbank. Candidates
must hold a Ph D and be engaged in the field of either macroeconomics and monetary
economics, financial markets or international economics. Proposed research projects
should be from these fields. The visiting term will be from 3 to 6 months. Salary is
commensurate with experience.
Applicants are requested to send a CV, copies of recent papers, letters of reference and a
proposal for a research project to:
Deutsche Bundesbank
Personalabteilung
Wilhelm-Epstein-Str. 14
60431 Frankfurt
GERMANY
