Abstract (eng)
Besides an introductory chapter, the present dissertation entitled Monetary DSGE Models of Two Countries: Set-Up, Estimation, and Forecasting Performance is divided into three more chapters. In Chapter 2, we develop a two-country DSGE model and investigate what are the implications of diverging interest-rate rules on key macroeconomic variables of the EU and the US in terms of impulse responses. We ¯nd that positive realizations of all types of disturbances have a negative impact on output of both economies. Expansionary monetary policy shocks always have a prosper thyself and beggar thy neighbor effect. Moreover, we find that if the ECB implemented the interest-rate rule proposed in this chapter, it would encounter lower fluctuations in EU PPI inflation compared to an interest-rate rule as proposed for the Fed. This is consistent with the ECB's paramount objective of price stability. In Chapter 3, we estimate and forecast with the two-country DSGE model developed in Chapter 2 and a VAR model using Euro area and US data. We find that the estimated DSGE model qualitatively reproduces most of the findings of the calibrated one from Chapter 2. Estimating the VAR does not yield the identical causal relationships as implied by the DSGE and impulse responses based on the VAR sometimes differ from the ones based on the DSGE. Both models as well as some extrapolation benchmark are not able to predict the severeness or, at least, the evolution of the economic and financial crisis. Finally, we obtain the result that the accuracy of one-step-ahead DSGE forecasts can compete well with the accuracy of VAR, extrapolation, and uniformly combined forecasts in times of regular economic activity. In Chapter 4, we shift the focus to Austria and Hungary. We compare the forecasting accuracy of closed- and open-economy variants of the DSGE model from Chapter 2 for four variables with respect to closed- and open-economy Bayesian and classical (V)AR benchmarks. We obtain the result that these benchmarks deliver the most accurate one-step-ahead forecasts, but cannot significantly outperform the DSGE models. For three out of four variables open-economy models perform best with respect to other single forecasts. If we calculate uniformly combined forecasts, we obtain similar results. Even if single DSGE forecasts were
not able to deliver the most accurate one-step-ahead forecasts, this additional information is important for uniform forecast combination for two of the four variables. Taking into account the economic interrelations between Austria and Hungary by using open-economy models leads to a more accurate prediction of most of their macro variables in general.