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Использование квартальной прогностической модели и сателлитных моделей в системе анализа и прогнозирования НБ РК // Use of the quarterly predictive model and satellite models in the analysis and forecasting system of the NBK

Author

Listed:
  • Жузбаев А.М. // Zhuzbayev A.M.

    (National Bank of Kazakhstan)

  • Орлов К.В. // Orlov K.V.

    (National Bank of Kazakhstan)

Abstract

Данная работа посвящена описанию структурного моделирования, применяемого в Национальном Банке Банка Республики Казахстан (далее – НБРК) в рамках системы анализа и прогнозирования. Структурные модели позволяют оценить экономические взаимосвязи и спрогнозировать динамику основных макроэкономических переменных на среднесрочную перспективу. Модель, используемая в НБРК, - Квартальная прогностическая модель (далее – КПМ). Она обладает преимуществом анализа действий НБРК в зависимости от внутренних и внешних экономических шоков, а также позволяет принимать решения по базовой ставке на основе прогнозного уровня инфляции. В данной статье описаны основные блоки КПМ, представлена реакция макроэкономических показателей на различные шоки, а также представлен пример использования вспомогательной (сателлитной) модели в дополнение к КПМ.

Suggested Citation

  • Жузбаев А.М. // Zhuzbayev A.M. & Орлов К.В. // Orlov K.V., 2019. "Использование квартальной прогностической модели и сателлитных моделей в системе анализа и прогнозирования НБ РК // Use of the quarterly predictive model and satellite models in the analysis and forec," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue special, pages 3-14.
    • Handle: RePEc:aob:journl:y:2019:i:special:p:3-14
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    More about this item

    Keywords

    КПМ; денежно-кредитная политика; ВВП; краткосрочные прогнозы; динамические факторные модели; метод главных компонент; фильтр Кальмана; QPM; monetary policy; GDP; short-term forecasts; dynamic factor models; Kalman filter; principal component analysis;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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