A structural approach to combining external and DSGE model forecasts
研究发现，结合专业预测者调查等外部预测能显著提高DSGE模型的预测准确性，同时保持结构性冲击的可解释性；在金融危机期间，风险溢价冲击的作用更大。
This note shows that combining external forecasts such as the Survey of Professional Forecasters can significantly increase DSGE forecast accuracy while preserving the interpretability in terms of structural shocks. Applied to pseudo real-time from 1997q2 onward, the canonical Smets and Wouters (2007) model has significantly smaller forecast errors when giving a high weight to the SPF forecasts. Incorporating the SPF forecast gives a larger role to risk premium shocks during the global financial crisis. A model with financial frictions favors a larger weight on the DSGE model forecast.