Template-Type: ReDIF-Paper 1.0
Author-Name: Viktor Várpalotai
Author-X-Name-First: Viktor
Author-X-Name-Last: Várpalotai
Author-Email: varpalotaiv@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank

Title: Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary

Abstract: This paper presents one of the inflation forecasting models used by the Magyar Nemzeti Bank in its recent inflation forecasts. The model attempts to integrate all the properties of the former models considered by the author as being advantageous and desirable into a unified framework. Thus, this model is based on disaggregated econometric estimates, complemented by expert assumptions. The model explains the prices of marketed goods using their cost factors, capturing an assumed process whereby costs gradually pass through into consumer prices. It is the empirical estimation of this slow cost-price pass-through that provides the uniqueness of the model in terms of economic and econometric theory.

Length: 54 pages
Creation-Date: 2003
File-URL: http://www.mnb.hu/letoltes/wp2003-4.pdf
File-Format: Application/pdf

Number: 2003/4
Classification-JEL: C11, C13, C53, E37.
Keywords: Bayesian Econometrics, Inflation, Forecasting model, Pass-through.
Handle: RePEc:mnb:wpaper:2003/4