Template-Type: ReDIF-Paper 1.0
Author-Name: Zoltán M. Jakab
Author-X-Name-First: Zoltán
Author-X-Name-Last: M. Jakab
Author-Email: jakabz@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Name: Mihály András Kovács
Author-X-Name-First: Mihály András
Author-X-Name-Last: Kovács
Author-Email: kovacsm@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank 
Author-Name: Szabolcs Lőrincz
Author-X-Name-First: Szabolcs
Author-X-Name-Last: Lőrincz
Author-Email: 
Author-Workplace-Name: Magyar Nemzeti Bank (at the time of writing the study)

Title: Forecasting Hungarian Export Volume

Abstract: The paper summarizes the research on forecasting the Hungarian export volume. We elaborated a two-step procedure. In the first step we forecasted foreign demand, then in the second step we forecasted Hungarian export using the best outcome of the first step together with real exchange rate and import series. We used several econometric techniques and tested our results statistically by two criteria. We compared the precision and stability of the different forecasts. The ARIMA forecasts were employed as a benchmark. We found that in terms of both criteria foreign demand forecasts were significantly better than those obtained with ARIMA. However, in the case of the Hungarian export volume our results were only better in terms of the stability properties. Therefore the choice between the different forecasting methods was not obvious, so a ’Consensus’ index was also computed as a weighted average of different forecasts, where the weights were negative functions of imprecision and instability.

Length: 38 pages
Creation-Date: 2000
File-URL: http://www.mnb.hu/letoltes/wp2000-4.pdf
File-Format: Application/pdf

Number: 2000/4
Classification-JEL: 
Keywords: 
Handle: RePEc:mnb:wpaper:2000/4