Template-Type: ReDIF-Paper 1.0
Author-Name: László Békési
Author-X-Name-First: László 
Author-X-Name-Last: Békési
Author-Email: bekesil@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank, Central Bank of Hungary
Author-Name: Csaba Köber
Author-X-Name-First: Csaba
Author-X-Name-Last: Köber
Author-Email: csaba.kober@ogresearch.com
Author-Workplace-Name: OG Research
Author-Name: Henrik Kucsera
Author-X-Name-First: Henrik 
Author-X-Name-Last: Kucsera
Author-Email: hkucsera@gmail.com
Author-Name: Tímea Várnai
Author-X-Name-First: Tímea 
Author-X-Name-Last: Várnai
Author-Email: varnait@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank, Central Bank of Hungary
Author-Name: Balázs Világi
Author-X-Name-First: Balázs 
Author-X-Name-Last: Világi
Author-Email: vilagib@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank, Central Bank of Hungary
Title: The macroeconomic forecasting model of the MNB
Abstract: 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.
Length: 54 pages
Creation-Date: 2016
File-URL: http://www.mnb.hu/letoltes/mnb-wp-2016-4-final.pdf
File-Format: Application/pdf
Number: 2016/4
Classification-JEL: E21, E27, E31, E37, E44, E52
Keywords: DSGE models, forecasting, precautionary motive, buffer stock model, heterogeneous households, financial accelerator,
non-rational expectations.
Handle: RePEc:mnb:wpaper:2016/4