The New York Fed DSGE Model: A Post-Covid Assessment Marco Del Negro | Keshav Dogra | Aidan Gleich | Pranay Gundam | Donggyu Lee | Ramya Nallamotu| Brian Pacula NO. 1082 JANUARY 2024 The New York Fed DSGE Model: A Post-Covid Assessment Marco Del Negro, Keshav Dogra, Aidan Gleich, Pranay Gundam, Donggyu Lee, Ramya Nallamotu, and Brian Pacula Federal Reserve Bank of New York Staff Reports, no. 1082 January 2024 https://doi.org/10.59576/sr.1082 Abstract We document the real-time forecasting performance for output and inflation of the New York Fed dynamic stochastic general equilibrium (DSGE) model since 2011. We find the DSGE's accuracy to be comparable to that of private forecasters before Covid, but somewhat worse thereafter. JEL classification: E3, E43, E44, C32, C11, C54 Keywords: DSGE models, real-time forecasts, inflation _________________ Del Negro, Dogra, Gundam, Lee, Nallamotu, Pacula: Federal Reserve Bank of New York (emails: marco.delnegro@ny.frb.org, keshav.dogra@ny.frb.org, pranay.gundam@ny.frb.org, donggyu.lee@ny.frb.org, ramya.nallomotu@ny.frb.org, brian.pacula@ny.frb.org). Gleich: Duke University (email: aidan.gleich@duke.edu). This paper owes much to the many economists and RAs who were at some point part of the New York Fed DSGE Team, and in particular to William Chen, Marc Giannoni, Shlok Goyal, Alissa Johnson, Ethan Matlin, Reca Sarfati, and Andrea Tambalotti. This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. The New York Fed DSGE forecast is not an official New York Fed forecast, but only an input to the Research staff’s overall forecasting process. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visit https://www.newyorkfed.org/research/staff_reports/sr1082.html. 1IntroductionThe implicit promise of Smets and Wouters (2007)’s work was to deliver a structural modelthat could be reliably used by central banks for understanding and forecasting economic de-velopments and conducting quantitative policy analysis. Many policy institutions, includingthe Federal Reserve Bank of New York (NY Fed), followed up on that promise and addedDSGEs to their existing suite of models. How did the promise pan out? We address thisquestion by providing evidence on the relative forecasting performance of the NY Fed DSGEmodel over the past twelve years comparing it to the average expectation of professionalforecasters such as the Blue Chip Economic Indicators (BCEI) consensus and the medianSurvey of Economic Forecasters (SPF). We find that the forecast accuracy of the NY FedDSGE model has been by and large comparable to t...
