voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2016-12-129-146voprecotest-264Research ArticleВОПРОСЫ ТЕОРИИISSUES OF THEORYИспользование моделей DSGE для прогнозирования: есть ли перспектива?DSGE-based forecasting: What should our perspective be?МалаховскаяО. А.MalakhovskayaO.

сотрудник Научноучебной лаборатории макроэкономического анализа Национального исследовательского университета «Высшая школа экономики» (НИУ ВШЭ) (Москва)

omalakhovskaya@hse.ruНациональный исследовательский университет «Высшая школа экономики» (НИУ ВШЭ)РоссияNational Research University Higher School of EconomicsRussian Federation201620122016012129146Copyright © Voprosy Ekonomiki, NP, 20162016Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/264

Работа посвящена сравнению качества точечных макроэкономических прогнозов, построенных с помощью структурной динамической стохастической модели общего равновесия (DSGE) и векторных авторегрессионных моделей (VAR, BVAR). На базе среднеквадратических ошибок прогноза сделан вывод о том, что хотя, как правило, DSGE-модель уступает в точности модели BVAR, существенных отличий у них нет. Для некоторых рассмотренных переменных и некоторых прогнозных горизонтов именно DSGE-модель позволяет получить прогноз с минимальной ошибкой.

The article compares the accuracy of point forecasts made with a structural dynamic stochastic general equilibrium model (DSGE) to those made with vector autoregressions estimated by OLS (VAR) and by Bayesian methods (BVAR). The main question addressed in the article is whether DSGE-based forecasts are as accurate as non-structural model ones. The comparison is made on the ground of mean squared forecast errors. The results show that the forecasting ability of the DSGE model is in general inferior to that of the BVAR. However, the difference is not critical. Moreover, for some variables and forecasting horizons, the DSGE model produces the forecast with the lowest error among all three models in question.

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The authors declare that there are no conflicts of interest present.