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

Author

Listed:
  • Viktor Várpalotai

    (Magyar Nemzeti Bank)

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.

Suggested Citation

  • Viktor Várpalotai, 2003. "Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary," MNB Working Papers 2003/4, Magyar Nemzeti Bank (Central Bank of Hungary).
    • Handle: RePEc:mnb:wpaper:2003/4
    as

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    File URL: http://www.mnb.hu/letoltes/wp2003-4.pdf
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    References listed on IDEAS

    as
    1. Cecília Hornok & Zoltán M. Jakab, 2002. "Forecasting Inflation - A Case Study on the Czech, Hungarian, Polish, Slovakian and Slovenian Central Banks," MNB Background Studies (discontinued) 2002/2, Magyar Nemzeti Bank (Central Bank of Hungary).
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    More about this item

    Keywords

    Bayesian Econometrics; Inflation; Forecasting model; Pass-through.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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