Predicting Long-Term Financial Returns: VAR versus DSGE Model—A Horse Race
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Material Type |
Article
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Author(s) |
JONDEAU, ERIC (Author)
ROCKINGER, MICHAEL (Author)
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Source Journal Info. |
Title:
Journal of Money, Credit, and Banking
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Volume/ Issue No.: 2019/DEC V.51 N.8
Call No.:332.05 JMC Location: Periodicals & References Hall - 2nd floor
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Physical Description |
p 2239-2291
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Subject Area/ Descriptors |
Economics
(9033)
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Abstract |
This paper considers a U.S. institutional investor who is implementing a long?term portfolio allocation using forecasts of financial returns. We compare the predictive performance of two competing macrofinance models—an unrestricted vector autoRegression (VAR) and a fully?structural dynamic stochastic general equilibrium (DSGE) model—for horizons up to 15 years....
Full Abstract
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| More Articles from:
Journal:
Journal of Money, Credit, and Banking
(532)
Issu: 2019/DEC V.51 N.8
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