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Forecasting challanges in emerging countries Zoltán Gyenes

Forecasting challanges in emerging countries Zoltán Gyenes. Double system Modelling group ( 5 people) Experts group ( 15 people) The role of the experts is at least as large as the modelling economists WHY?. Short time series Poor quality of the time series Large and frequent shocks

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Forecasting challanges in emerging countries Zoltán Gyenes

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  1. Forecasting challanges in emerging countries Zoltán Gyenes

  2. Double system • Modelling group ( 5 people) • Experts group ( 15 people) • The role of the experts is at least as large as the modelling economists WHY?

  3. Short time series • Poor quality of the time series • Large and frequent shocks • Structural changes • Market liberalization • Still large share of the government • etc.

  4. What do the experts do? Developed countries – short time forecast Hungary – short and also long forecast • Stance evaluation: catching the underlying development • Short forecast: time series methods, conversation with managers of the market leader companies • Long forecast: partial models • Operate as a simultaneous system

  5. Partial models- an example: the inflation forecasting model • Partial: several RHVs are exogenous • Desaggregated (129 item = 129 equation) • Driver: the change of the input costs and the markup • Correlation between levels • Modelling of the input cost pass-through is sophisticated • Bayes based approach

  6. Thank you

  7. Contribution of selected elements to the cpi

  8. Range of different underlying inflation series(annualised monthly changes)

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