The macroeconomic forecasting model of the MNB

Arbeitspapier

The lessons of the financial and macroeconomic crisis of 2007-2008 made the development of a new macroeconomic forecasting model necessary in the MNB. The model represents a small open economy. It is based on the DSGE philosophy but it deviates from it at several points. The new features of the model, compared to previous forecasting models of the MNB, are that the debt constraint and the heterogeneity of households and financial accelerator mechanism through the financing constraints of the firms appear. From methodological point of view, it is important that the model deviates from rational expectation hypothesis at several points and treats expectations pragmatically and flexibly. The model parameters are calibrated according to experts' experience and SVAR estimations. The properties of the calibrated model are studied by impulse responses analysis, and the model fits into the MNB's forecasting framework successfully.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: MNB Working Papers ; No. 2016/4

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Macroeconomics: Consumption; Saving; Wealth ; Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications ; Price Level; Inflation; Deflation ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Financial Markets and the Macroeconomy ; Monetary Policy
• Thema: DSGE models ; forecasting ; precautionary motive ; buffer stock model ; heterogeneous households ; financial accelerator ; non-rational expectations

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Békési, László ; Köber, Csaba ; Kucsera, Henrik ; Várnai, Tímea ; Világi, Balázs
• Ereignis: Veröffentlichung
• (wer): Magyar Nemzeti Bank
• (wo): Budapest
• (wann): 2016

Weitere Informationen

• Handle: http://hdl.handle.net/10419/173439
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ