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Development and Application of Econometric Models for Forecasting and Analysis of Monetary Policy Scenarios

Author

Listed:
  • Malugin, Vladimir

    (Belarusian State University, Belarus)

  • Demidenko , Mikhail

    (National Bank of the Republic of Belarus, Belarus)

  • Kalechits, Dmitry

    (National Bank of the Republic of Belarus, Belarus)

  • Miksjuk , Alexei

    (National Bank of the Republic of Belarus, Belarus)

  • Tsukarev , Taras

    (National Bank of the Republic of Belarus, Belarus)

Abstract

A system of econometric models designed for forecasting target monetary indicators as well as conducting monetary policy scenarios analysis is presented. The econometric models integrated in the system are represented in the error correction form and are interlinked by means of monetary policy instruments variables, common exogenous variables characterizing external shocks, and monetary policy target endogenous variables. Forecast accuracy estimates and monetary policy analysis results are provided

Suggested Citation

  • Malugin, Vladimir & Demidenko , Mikhail & Kalechits, Dmitry & Miksjuk , Alexei & Tsukarev , Taras, 2009. "Development and Application of Econometric Models for Forecasting and Analysis of Monetary Policy Scenarios," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 14(2), pages 24-38.
    • Handle: RePEc:ris:apltrx:0030
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    References listed on IDEAS

    as
    1. Tatiana Fic & Marcin Kolasa & Adam Kot & Karol Murawski & Michal Rubaszek & Magdalena Tarnicka, 2005. "ECMOD Model of the Polish Economy," NBP Working Papers 36, Narodowy Bank Polski.
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    More about this item

    Keywords

    Econometric Modeling; Error Correction; Forecasting; Inflation; Exchange Rates; Interest Rates; Monetary Instrument; Monetary Policy; Policy Making;
    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

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