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We compare macroeconomic density forecasts for the euro area of a DSGE model to those of a DSGE\u2010VAR, a BVAR and a multivariate random walk over 1999:Q1\u20132011:Q4. While the BVAR generally provides superior forecasts, its performance deteriorates substantially with the onset of the Great Recession. This is particularly notable for longer\u2010horizon real GDP forecasts, where the DSGE and DSGE\u2010VAR models perform better. 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