The Federal Reserve Board eagle logo links to home page
Skip to: [Printable Version (PDF)] [Bibliography] [Footnotes]
Finance and Economics Discussion Series: Data for paper 001130 ♣

Evaluating DSGE Model Forecasts of Comovements

Edward Herbst and Frank Schorfheide

Figure 1: RMSEs of Unconditional Forecasts Panel Row 1 Left Column: Small DSGE GDP

horizon Actual RMSE 5% Credible Band 95% Credible Band
1 0.5833 0.3863 0.6127
2 0.4406 0.2834 0.4856
3 0.3951 0.2529 0.4596
4 0.3562 0.2319 0.455
5 0.3439 0.2157 0.4679
6 0.3334 0.2004 0.4728
7 0.3207 0.1838 0.4705
8 0.3087 0.1765 0.472
Return to Figure 1

Figure 1: RMSEs of Unconditional Forecasts Panel Row 1 Middle Column: Small DSGE INF

horizon Actual RMSE 5% Credible Band 95% Credible Band
1 0.2624 0.1772 0.2848
2 0.2666 0.1858 0.3072
3 0.276 0.1908 0.3372
4 0.2788 0.1957 0.3666
5 0.2851 0.1953 0.3911
6 0.2927 0.1941 0.4123
7 0.3007 0.1887 0.4255
8 0.3122 0.1806 0.4445
Return to Figure 1

Figure 1: RMSEs of Unconditional Forecasts Panel Row 1 Right Column: Small DSGE FFR

horizon Actual RMSE 5% Credible Band 95% Credible Band
1 0.1133 0.1204 0.2002
2 0.1577 0.1261 0.2159
3 0.1969 0.1301 0.2359
4 0.2316 0.133 0.2536
5 0.262 0.1345 0.2671
6 0.2888 0.1357 0.279
7 0.3123 0.1352 0.2883
8 0.34 0.129 0.3006
Return to Figure 1

Figure 1: RMSEs of Unconditional Forecasts Panel Row 2 Left Column: SW GDP

horizon Actual RMSE 5% Credible Band 95% Credible Band
1 0.5833 0.3863 0.6127
2 0.4406 0.2834 0.4856
3 0.3951 0.2529 0.4596
4 0.3562 0.2319 0.455
5 0.3439 0.2157 0.4679
6 0.3334 0.2004 0.4728
7 0.3207 0.1838 0.4705
8 0.3087 0.1765 0.472
Return to Figure 1

Figure 1: RMSEs of Unconditional Forecasts -- Panel Row 2 MIddle Column: SW INF

horizon Actual RMSE 5% Credible Band 95% Credible Band
1 0.2624 0.1772 0.2848
2 0.2666 0.1858 0.3072
3 0.276 0.1908 0.3372
4 0.2788 0.1957 0.3666
5 0.2851 0.1953 0.3911
6 0.2927 0.1941 0.4123
7 0.3007 0.1887 0.4255
8 0.3122 0.1806 0.4445
Return to Figure 1

Figure 1: RMSEs of Unconditional Forecasts Panel Row 2 Right Column: SW FFR

horizon Actual RMSE 5% Credible Band 95% Credible Band
1 0.1133 0.1204 0.2002
2 0.1577 0.1261 0.2159
3 0.1969 0.1301 0.2359
4 0.2316 0.133 0.2536
5 0.262 0.1345 0.2671
6 0.2888 0.1357 0.279
7 0.3123 0.1352 0.2883
8 0.34 0.129 0.3006
Return to Figure 1

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 1 Left Column: 3EQ GDP 1 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 23.91 10.87 30.43
[0.2 0.4] 30.43 10.87 30.43
[0.4 0.6] 10.87 10.87 30.43
[0.6 0.8] 19.57 10.87 30.43
[0.8 1.0] 15.22 10.87 30.43
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 1 Middle Column: 3EQ INF 1 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 13.04 10.87 30.43
[0.2 0.4] 21.74 10.87 28.26
[0.4 0.6] 19.57 10.87 30.43
[0.6 0.8] 15.22 10.87 30.43
[0.8 1.0] 30.43 10.87 30.43
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 1 Right Column: 3EQ FFR 1 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 23.91 10.87 28.26
[0.2 0.4] 26.09 10.87 28.26
[0.4 0.6] 21.74 10.87 30.43
[0.6 0.8] 26.09 10.87 30.43
[0.8 1.0] 2.174 10.87 28.26
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 2 Left Column: 3EQ GDP 4 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 27.91 6.977 34.88
[0.2 0.4] 20.93 9.302 32.56
[0.4 0.6] 13.95 9.302 32.56
[0.6 0.8] 25.58 9.302 30.23
[0.8 1.0] 11.63 6.977 37.21
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 2 Middle Column: 3EQ INF 1 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 11.63 6.977 34.88
[0.2 0.4] 20.93 9.302 32.56
[0.4 0.6] 20.93 9.302 32.56
[0.6 0.8] 16.28 9.302 32.56
[0.8 1.0] 30.23 4.651 37.21
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 2 Right Column: 3EQ FFR 4 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 37.21 6.977 34.88
[0.2 0.4] 16.28 9.302 32.56
[0.4 0.6] 13.95 9.302 32.56
[0.6 0.8] 13.95 9.302 32.56
[0.8 1.0] 18.6 6.977 34.88
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 3 Left Column: SW GDP 1 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 11.11 10.87 30.43
[0.2 0.4] 37.78 10.87 30.43
[0.4 0.6] 24.44 10.87 30.43
[0.6 0.8] 17.78 10.87 28.26
[0.8 1.0] 8.889 10.87 30.43
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 3 Middle Column: SW INF 1 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 11.11 10.87 32.61
[0.2 0.4] 17.78 9.756 30
[0.4 0.6] 22.22 9.375 28.26
[0.6 0.8] 20 10.87 28.26
[0.8 1.0] 28.89 10.87 32.61
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 3 Right Column: SW FFR 1 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 24.44 10.87 32.61
[0.2 0.4] 17.78 9.302 29.55
[0.4 0.6] 35.56 10.87 30.43
[0.6 0.8] 20 9.091 30.43
[0.8 1.0] 2.222 10.87 32.61
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 4 Left Column: SW GDP 4 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 14.29 4.878 37.21
[0.2 0.4] 23.81 9.302 32.56
[0.4 0.6] 40.48 9.302 30.23
[0.6 0.8] 16.67 7.317 30.95
[0.8 1.0] 4.762 4.651 39.02
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 4 Middle Column: SW INF 4 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 11.9 6.977 37.21
[0.2 0.4] 16.67 6.977 29.27
[0.4 0.6] 19.05 9.302 30.23
[0.6 0.8] 28.57 6.977 32.56
[0.8 1.0] 23.81 6.977 39.53
Return to Figure 2

Figure 2: PIT Histograms Unconditional Forecasts Panel Row 4 Right Column: SW FFR 4 Step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 33.33 6.977 37.21
[0.2 0.4] 14.29 9.302 32.56
[0.4 0.6] 33.33 9.302 30.23
[0.6 0.8] 16.67 9.302 31.71
[0.8 1.0] 2.381 5.263 37.5
Return to Figure 2

Figure 3: PIT Autocorrelations of One-Step Forecasts Panel Row 1 Left Column: Small DSGE GDP

autocorrelation lag Actual Autocorrelation 5% Credible Band 95% Credible Band
1 0.1207 -0.2616 0.216
2 0.1682 -0.2497 0.2205
3 0.08087 -0.2367 0.1997
4 0.1927 -0.2633 0.2
Return to Figure 3

Figure 3: PIT Autocorrelations of One-Step Forecasts Panel Row 1 Middle Column: Small DSGE INF

autocorrelation lag Actual Autocorrelation 5% Credible Band 95% Credible Band
1 0.1321 -0.2388 0.1888
2 0.103 -0.2687 0.2139
3 0.2083 -0.2677 0.2178
4 0.04772 -0.2475 0.2085
Return to Figure 3

Figure 3: PIT Autocorrelations of One-Step Forecasts Panel Row 1 Right Column: Small DSGE FFR

autocorrelation lag Actual Autocorrelation 5% Credible Band 95% Credible Band
1 0.7906 -0.2363 0.2249
2 0.5606 -0.2773 0.2108
3 0.3194 -0.2498 0.2148
4 0.1258 -0.2376 0.2247
Return to Figure 3

Figure 3: PIT Autocorrelations of One-Step Forecasts Panel Row 2 Left Column: SW GDP

autocorrelation lag Actual Autocorrelation 5% Credible Band 95% Credible Band
1 -0.1148 -0.247 0.2306
2 0.0858 -0.2364 0.2256
3 0.08164 -0.2391 0.2254
4 0.06326 -0.2352 0.1887
Return to Figure 3

Figure 3: PIT Autocorrelations of One-Step Forecasts Panel Row 2 Middle Column: SW INF

autocorrelation lag Actual Autocorrelation 5% Credible Band 95% Credible Band
1 0.1106 -0.2105 0.2682
2 -0.01515 -0.2412 0.2684
3 0.1412 -0.2358 0.2575
4 0.1006 -0.2327 0.2548
Return to Figure 3

Figure 3: PIT Autocorrelations of One-Step Forecasts Panel Row 2 Right Column: SW FFR

autocorrelation lag Actual Autocorrelation 5% Credible Band 95% Credible Band
1 0.6251 -0.2497 0.2637
2 0.4308 -0.2939 0.2652
3 0.1729 -0.2453 0.2437
4 -0.01016 -0.209 0.2569
Return to Figure 3

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 1 Left Column: Small DSGE GDP Conditional on IINF

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9917 0.9746 1.013
2 0.9809 0.8643 1.043
3 1.008 0.7599 1.073
4 1.058 0.667 1.093
5 1.081 0.595 1.11
6 1.097 0.54 1.104
7 1.131 0.5064 1.115
8 1.157 0.4676 1.118
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 1 Middle Column: Small DSGE INF Conditional on GDP

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9838 0.9732 1.012
2 0.9692 0.8616 1.043
3 1.005 0.7489 1.066
4 1.054 0.6494 1.076
5 1.081 0.584 1.068
6 1.089 0.5307 1.074
7 1.098 0.4968 1.074
8 1.082 0.4548 1.069
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 1 Left Column: Small DSGE FFR Conditional on GDP

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9591 0.8154 1.035
2 0.9155 0.7919 1.049
3 0.9121 0.7757 1.062
4 0.9115 0.7637 1.079
5 0.9179 0.7538 1.101
6 0.9117 0.7529 1.119
7 0.9179 0.7474 1.141
8 0.9128 0.7357 1.155
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 2 Left Column: Small DSGE GDP Conditional on FFR

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9492 0.8056 1.032
2 0.9056 0.791 1.046
3 0.9053 0.7794 1.067
4 0.925 0.7676 1.087
5 0.9334 0.7561 1.098
6 0.9237 0.7465 1.12
7 0.9313 0.7325 1.142
8 0.9141 0.7225 1.167
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 2 Middle Column: Small DSGE INF Conditional on FFR

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 1.008 0.9543 1.015
2 1.022 0.9562 1.02
3 1.031 0.9524 1.024
4 1.056 0.9466 1.026
5 1.073 0.9478 1.028
6 1.074 0.9467 1.034
7 1.082 0.9456 1.035
8 1.055 0.9339 1.043
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 2 Right Column: Small DSGE FFR Conditional on INF

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 1.016 0.9554 1.014
2 1.021 0.9553 1.019
3 1.02 0.9465 1.022
4 1.021 0.9448 1.025
5 1.02 0.9401 1.028
6 1.019 0.938 1.03
7 1.019 0.9366 1.033
8 1.016 0.9313 1.042
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 3 Left Column: SW GDP Conditional on INF

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 1.001 0.9708 1.023
2 1.045 0.9547 1.036
3 1.042 0.9523 1.043
4 1.015 0.9351 1.057
5 0.9835 0.9231 1.071
6 0.9553 0.9091 1.075
7 0.953 0.9127 1.081
8 0.9778 0.8902 1.105
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 3 Middle Column: SW INF Conditional on GDP

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 1.023 0.9599 1.018
2 1.042 0.9385 1.022
3 1.04 0.9471 1.026
4 1.046 0.936 1.03
5 1.038 0.9213 1.033
6 1.014 0.9256 1.038
7 0.9953 0.9244 1.049
8 0.9779 0.9068 1.059
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 3 Right Column: SW FFR Conditional on GDP

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9558 0.9293 1.03
2 0.957 0.9422 1.032
3 0.9737 0.9419 1.033
4 0.9812 0.9347 1.039
5 0.988 0.9258 1.041
6 0.9868 0.9185 1.045
7 0.9897 0.9193 1.05
8 1.002 0.9107 1.056
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 4 Left Column: SW GDP Conditional on FFR

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9585 0.924 1.04
2 0.9054 0.9342 1.058
3 0.9056 0.9382 1.068
4 0.9255 0.9356 1.059
5 0.935 0.9205 1.052
6 0.944 0.9167 1.067
7 0.972 0.9163 1.084
8 1.035 0.9079 1.093
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 4 Middle Column: SW INF Conditional on FFR

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 1.064 0.7693 1.028
2 1.124 0.7061 1.028
3 1.156 0.6497 1.014
4 1.218 0.6002 1.028
5 1.279 0.5582 1.035
6 1.331 0.5187 1.045
7 1.375 0.4817 1.045
8 1.482 0.4503 1.069
Return to Figure 4

Figure 4: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 4 Right Column: SW FFR Conditional on INF

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 1.128 0.7848 1.028
2 1.126 0.7221 1.025
3 1.101 0.6626 1.021
4 1.089 0.6123 1.026
5 1.086 0.5694 1.016
6 1.086 0.5256 1.032
7 1.083 0.497 1.039
8 1.117 0.4601 1.065
Return to Figure 4

Figure 5: PIT Histograms -- Forecasts Given Future Output Panel Row 1 Left Column: Small DSGE INF 1 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 13.04 10.87 30.43
[0.2 0.4] 23.91 10.87 30.43
[0.4 0.6] 15.22 10.87 30.43
[0.6 0.8] 17.39 10.87 30.43
[0.8 1.0] 30.43 10.87 30.43
Return to Figure 5

Figure 5: PIT Histograms -- Forecasts Given Future Output Panel Row 1 Right Column: Small DSGE FFR 1 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 23.91 10.87 28.26
[0.2 0.4] 26.09 10.87 28.26
[0.4 0.6] 23.91 10.87 30.43
[0.6 0.8] 21.74 10.87 30.43
[0.8 1.0] 4.348 10.87 30.43
Return to Figure 5

Figure 5: PIT Histograms -- Forecasts Given Future Output Panel Row 2 Left Column: Small DSGE INF 4 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 25.58 4.651 37.21
[0.2 0.4] 11.63 9.302 32.56
[0.4 0.6] 23.26 9.302 32.56
[0.6 0.8] 13.95 9.302 32.56
[0.8 1.0] 25.58 4.651 34.88
Return to Figure 5

Figure 5: PIT Histograms -- Forecasts Given Future Output Panel Row 2 Right Column: Small DSGE FFR 4 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 39.53 6.977 34.88
[0.2 0.4] 20.93 9.302 32.56
[0.4 0.6] 9.302 9.302 30.23
[0.6 0.8] 11.63 9.302 32.56
[0.8 1.0] 18.6 6.977 34.88
Return to Figure 5

Figure 5: PIT Histograms -- Forecasts Given Future Output Panel Row 3 Left Column: SW INF 1 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 11.11 10.87 32.61
[0.2 0.4] 15.56 8.889 30
[0.4 0.6] 24.44 10.87 28.26
[0.6 0.8] 17.78 10.87 30.43
[0.8 1.0] 31.11 10.87 32.61
Return to Figure 5

Figure 5: PIT Histograms -- Forecasts Given Future Output Panel Row 3 Right Column: SW FFR 1 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 22.22 10.87 32.61
[0.2 0.4] 20 10.87 28.57
[0.4 0.6] 31.11 10.87 30.43
[0.6 0.8] 22.22 10.87 28.26
[0.8 1.0] 4.444 10.87 32.61
Return to Figure 5

Figure 5: PIT Histograms -- Forecasts Given Future Output Panel Row 4 Left Column: SW INF 4 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 9.524 6.977 37.21
[0.2 0.4] 19.05 6.977 29.73
[0.4 0.6] 19.05 9.302 30.23
[0.6 0.8] 23.81 6.977 32.56
[0.8 1.0] 28.57 6.977 39.53
Return to Figure 5

Figure 5: PIT Histograms -- Forecasts Given Future Output Panel Row 4 Right Column: SW FFR 4 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 26.19 6.977 37.21
[0.2 0.4] 26.19 9.302 30.23
[0.4 0.6] 23.81 9.302 30.23
[0.6 0.8] 19.05 9.302 31.25
[0.8 1.0] 4.762 5.263 37.21
Return to Figure 5

Figure 6: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 1 Left Column: Small DSGE GDP 1 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 19.57 10.87 30.43
[0.2 0.4] 30.43 10.87 30.43
[0.4 0.6] 10.87 10.87 30.43
[0.6 0.8] 17.39 10.87 30.43
[0.8 1.0] 21.74 10.87 30.43
Return to Figure 6

Figure 6: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 1 Right Column: Small DSGE INF 1 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 10.87 10.87 30.43
[0.2 0.4] 21.74 10.87 28.26
[0.4 0.6] 21.74 10.87 30.43
[0.6 0.8] 15.22 10.87 30.43
[0.8 1.0] 30.43 10.87 30.43
Return to Figure 6

Figure 6: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 2 Left Column: Small DSGE GDP 4 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 27.91 6.977 37.21
[0.2 0.4] 18.6 9.302 32.56
[0.4 0.6] 4.651 9.302 30.23
[0.6 0.8] 23.26 9.302 30.23
[0.8 1.0] 25.58 4.651 37.21
Return to Figure 6

Figure 6: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 2 Right Column: Small DSGE INF 4 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 13.95 6.977 34.88
[0.2 0.4] 18.6 9.302 32.56
[0.4 0.6] 20.93 9.302 30.23
[0.6 0.8] 16.28 9.302 32.56
[0.8 1.0] 30.23 4.651 37.21
Return to Figure 6

Figure 6: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 3 Left Column: SW GDP 1 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 8.889 10.87 30.43
[0.2 0.4] 35.56 10.87 30.43
[0.4 0.6] 24.44 10.87 28.89
[0.6 0.8] 22.22 10.87 28.26
[0.8 1.0] 8.889 10.87 30.43
Return to Figure 6

Figure 6: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 3 Right Column: SW INF 1 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 11.11 10.87 32.61
[0.2 0.4] 13.33 9.302 30.43
[0.4 0.6] 22.22 9.302 28.26
[0.6 0.8] 17.78 9.091 28.26
[0.8 1.0] 35.56 10.87 32.61
Return to Figure 6

Figure 6: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 4 Left Column: SW GDP 4 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 9.524 6.25 39.53
[0.2 0.4] 28.57 9.302 32.56
[0.4 0.6] 30.95 9.302 30.95
[0.6 0.8] 21.43 9.302 30.23
[0.8 1.0] 9.524 4.651 37.21
Return to Figure 6

Figure 6: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 4 Right Column: SW INF 4 Step

Interval Actual Relative Frequency 5% Credible Interval 95% Credible Interval
[0.0 0.2] 4.762 4.651 39.53
[0.2 0.4] 23.81 6.977 32.56
[0.4 0.6] 19.05 9.302 30.23
[0.6 0.8] 4.762 8.571 32.56
[0.8 1.0] 47.62 6.977 39.53
Return to Figure 6

Figure 7: Event Occurrence Minus Event Probabilities Panel Row 1 Left Column: Small DSGE GDP(+) INF(+)

horizon Actual Occurrence Minus Event Probability 5% Credible Interval 95% Credible Interval
1 0.02601 -0.07851 0.07981
2 0.02686 -0.08867 0.09431
3 0.06954 -0.09793 0.1042
4 0.04697 -0.09663 0.1231
5 0.06812 -0.09228 0.1271
6 0.06759 -0.09674 0.1204
7 0.08891 -0.1022 0.1386
8 0.07664 -0.1025 0.1497
Return to Figure 7

Figure 7: Event Occurrence Minus Event Probabilities Panel Row 1 Right Column: Small DSGE GDP(-) INF(-)

horizon Actual Occurrence Minus Event Probability 5% Credible Interval 95% Credible Interval
1 0.09565 -0.07491 0.09176
2 0.2003 -0.07923 0.1103
3 0.2057 -0.08539 0.1236
4 0.2917 -0.09052 0.1394
5 0.2866 -0.09701 0.1505
6 0.3004 -0.09726 0.1556
7 0.2905 -0.1002 0.1663
8 0.2989 -0.1031 0.1924
Return to Figure 7

Figure 7: Event Occurrence Minus Event Probabilities Panel Row 2 Left Column: Small DSGE GDP(-) INF(+)

horizon Actual Occurrence Minus Event Probability 5% Credible Interval 95% Credible Interval
1 -0.03782 -0.07402 0.08435
2 -0.04908 -0.08981 0.1099
3 -0.06042 -0.1146 0.1408
4 -0.07109 -0.1337 0.1472
5 -0.08097 -0.1599 0.1772
6 -0.08992 -0.1768 0.1851
7 -0.09807 -0.1897 0.2073
8 -0.09274 -0.2093 0.2296
Return to Figure 7

Figure 7: Event Occurrence Minus Event Probabilities Panel Row 2 Right Column: Small DSGE GDP(+) INF(-)

horizon Actual Occurrence Minus Event Probability 5% Credible Interval 95% Credible Interval
1 -0.08384 -0.08662 0.09287
2 -0.1781 -0.1021 0.1092
3 -0.2149 -0.1199 0.1294
4 -0.2676 -0.1465 0.1561
5 -0.2738 -0.1679 0.1759
6 -0.2781 -0.1885 0.1982
7 -0.2813 -0.2045 0.2273
8 -0.2828 -0.2154 0.26
Return to Figure 7

Figure 7: Event Occurrence Minus Event Probabilities Panel Row 3 Left Column: SW GDP(+) INF(+)

horizon Actual Occurrence Minus Event Probability 5% Credible Interval 95% Credible Interval
1 -0.04719 -0.07394 0.1067
2 -0.03168 -0.09614 0.128
3 -0.03717 -0.1161 0.1177
4 -0.1014 -0.1234 0.1454
5 -0.06391 -0.1281 0.1391
6 -0.04506 -0.1391 0.1716
7 -0.045 -0.1617 0.1928
8 -0.06454 -0.1731 0.2194
Return to Figure 7

Figure 7: Event Occurrence Minus Event Probabilities Panel Row 3 Right Column: SW GDP(-) INF(-)

horizon Actual Occurrence Minus Event Probability 5% Credible Interval 95% Credible Interval
1 -0.03945 -0.05919 0.103
2 -0.01515 -0.08161 0.1346
3 0.008767 -0.1107 0.1902
4 0.0733 -0.1188 0.1672
5 0.1173 -0.1473 0.1785
6 0.08139 -0.1463 0.1852
7 0.1445 -0.151 0.1957
8 0.1371 -0.1779 0.2127
Return to Figure 7

Figure 7: Event Occurrence Minus Event Probabilities Panel Row 4 Left Column: SW GDP(-) INF(+)

horizon Actual Occurrence Minus Event Probability 5% Credible Interval 95% Credible Interval
1 0.1291 -0.0898 0.1126
2 0.1095 -0.1025 0.1073
3 0.08675 -0.1203 0.1543
4 0.1218 -0.1377 0.1524
5 0.0558 -0.1486 0.166
6 0.0695 -0.169 0.1842
7 0.04292 -0.1888 0.1783
8 0.09888 -0.1962 0.2077
Return to Figure 7

Figure 7: Event Occurrence Minus Event Probabilities Panel Row 4 Right Column: SW GDP(+) INF(-)

horizon Actual Occurrence Minus Event Probability 5% Credible Interval 95% Credible Interval
1 -0.04247 -0.09306 0.05663
2 -0.06264 -0.1226 0.08908
3 -0.05835 -0.1403 0.1002
4 -0.09374 -0.1589 0.1169
5 -0.1092 -0.1572 0.1561
6 -0.1058 -0.1496 0.16
7 -0.1424 -0.1786 0.185
8 -0.1714 -0.1856 0.2045
Return to Figure 7

Figure 8: Smets-Wouters Model: Consumption Investment Hours: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 1 Left Column: CONS 1 step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 4.444 10.87 30.43
[0.2 0.4] 26.67 10.87 30.43
[0.4 0.6] 8.889 10.87 28.26
[0.6 0.8] 31.11 10.87 28.57
[0.8 1.0] 28.89 10.87 32.61
Return to Figure 8

Figure 8: Smets-Wouters Model: Consumption Investment Hours: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 1 Middle Column: INV 1 step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 24.44 10.87 30.43
[0.2 0.4] 17.78 10.87 30.43
[0.4 0.6] 20 10.87 29.55
[0.6 0.8] 20 10.87 30.43
[0.8 1.0] 17.78 10.87 30.43
Return to Figure 8

Figure 8: Smets-Wouters Model: Consumption Investment Hours: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 1 Right Column: HOURS 1 step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 15.56 10.87 30.43
[0.2 0.4] 24.44 10.87 30.43
[0.4 0.6] 24.44 10.87 30.43
[0.6 0.8] 13.33 10.87 29.55
[0.8 1.0] 22.22 10.87 32.61
Return to Figure 8

Figure 8: Smets-Wouters Model: Consumption Investment Hours: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 2 Left Column: CONS 4 step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 2.381 4.651 37.21
[0.2 0.4] 16.67 7.317 32.56
[0.4 0.6] 21.43 9.302 32.56
[0.6 0.8] 16.67 9.302 32.56
[0.8 1.0] 42.86 6.977 37.21
Return to Figure 8

Figure 8: Smets-Wouters Model: Consumption Investment Hours: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 2 Middle Column: INV 4 step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 14.29 6.977 37.21
[0.2 0.4] 23.81 9.302 32.56
[0.4 0.6] 9.524 9.302 30.23
[0.6 0.8] 28.57 8.571 30.23
[0.8 1.0] 23.81 6.977 37.21
Return to Figure 8

Figure 8: Smets-Wouters Model: Consumption Investment Hours: PIT Histograms -- Forecasts Given Future Interest Rates Panel Row 2 Right Column: Hours 4 step

Interval Actual Relative Frequency 5% Credible Band 95% Credible Band
[0.0 0.2] 16.67 4.878 37.21
[0.2 0.4] 26.19 9.302 32.56
[0.4 0.6] 28.57 9.302 32.56
[0.6 0.8] 14.29 9.302 30.23
[0.8 1.0] 14.29 4.762 37.21
Return to Figure 8

Figure 8: Smets-Wouters Model: Consumption Investment Hours: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 3 Left Column: CONS Given FFR

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9971 0.9481 1.022
2 0.987 0.9289 1.036
3 0.9873 0.87 1.044
4 0.9946 0.8229 1.067
5 0.9817 0.8022 1.071
6 0.9816 0.7903 1.085
7 0.9886 0.7859 1.095
8 0.9981 0.7684 1.109
Return to Figure 8

Figure 8: Smets-Wouters Model: Consumption Investment Hours: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 3 Middle Column: INV Given FFR

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9663 0.9456 1.027
2 0.9654 0.9393 1.033
3 0.9436 0.9258 1.042
4 0.9687 0.9008 1.06
5 0.9841 0.88 1.086
6 0.9964 0.8667 1.104
7 0.9848 0.8483 1.119
8 1.058 0.8235 1.147
Return to Figure 8

Figure 8: Smets-Wouters Model: Consumption Investment Hours: RMSE Ratios of Conditional and Unconditional Forecasts Panel Row 3 Right Column: HOURS Given FFR

horizon Actual RMSE Ratio 5% Credible Band 95% Credible Band
1 0.9868 0.8378 1.027
2 0.8789 0.8193 1.05
3 0.8067 0.8202 1.062
4 0.7654 0.8275 1.063
5 0.7295 0.8105 1.066
6 0.7106 0.8024 1.077
7 0.7095 0.7968 1.095
8 0.6946 0.782 1.099
Return to Figure 8
♣ This version is optimized for use by screen readers. Descriptions for all mathematical expressions are provided in LaTex format. A printable pdf version is available. Return to Text
Home | Working Papers | Accessibility | Contact us
Last update: April 27, 2012