Data and Code for: "The NY Fed DSGE model: A Post-Covid Assessment"

Principal Investigator(s): View help for Principal Investigator(s) Marco Del Negro, New York Fed; Keshav Dogra, New York Fed; Aidan Gleich, Duke University; Pranay Gundam, New York Fed; Donggyu Lee, New York Fed; Ramya Nallamotu, New York Fed; Brian Pacula, New York Fed

Version: View help for Version V1

Name	File Type	Size	Last Modified
data			02/28/2024 03:31:PM
forecasts			02/28/2024 03:32:PM
output_data_figs			02/28/2024 03:30:PM
revisedfinals			02/28/2024 03:32:PM
src			02/28/2024 03:33:PM
.Rhistory	application/octet-stream		02/28/2024 10:30:AM
RUNALL.jl	text/x-common-lisp	5.9 KB	02/28/2024 10:30:AM
ReadMe.Rmd	text/plain	7.7 KB	02/28/2024 10:30:AM

Project Citation:

Del Negro, Marco, Dogra, Keshav, Gleich, Aidan, Gundam, Pranay, Lee, Donggyu, Nallamotu, Ramya, and Pacula, Brian. Data and Code for: “The NY Fed DSGE model: A Post-Covid Assessment.” Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-05-21. https://doi.org/10.3886/E198725V1

Project Description

Summary: We document the real-time forecasting performance for output and inflation of the New York Fed dynamic stochastic general equilibrium (DSGE) model since 2011. We find the DSGE's accuracy to be comparable to that of private forecasters before Covid, but somewhat worse thereafter.

Scope of Project

Subject Terms: DSGE Models; real-time forecasts; inflation

JEL Classification:
      C11 Bayesian Analysis: General
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      C54 Quantitative Policy Modeling
      E30 Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
      E43 Interest Rates: Determination, Term Structure, and Effects
      E44 Financial Markets and the Macroeconomy

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Published Versions

V1 [2024-05-21]

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