IDEAS home Printed from https://ideas.repec.org/p/nsb/bilten/13.html
   My bibliography  Save this paper

Structural changes to quarterly projection model

Author

Listed:
  • Ana Živkovic, Jelena Momcilovic, Zorica Roljic Mihanovic, Danilo Cerovic
  • Ana Živkovic

    (National Bank of Serbia)

  • Jelena Momcilovic

    (National Bank of Serbia)

  • Zorica Roljic Mihanovic

    (National Bank of Serbia)

  • Danilo Cerovic

    (National Bank of Serbia)

Abstract

In this paper we present structural changes to the macroeconomic model used in the National Bank of Serbia for medium-term inflation forecasting, made in the period since inflation targeting was first introduced as the monetary policy regime. We describe in detail three changes related to inflation determinants. The first change has to do with the aggregation of overall inflation components, with the goal of linking them more directly to the underlying factors driving inflation. The second change is an extension of the model to explicitly include the effect of private sector wages on inflation. The third change is the inclusion of the effect of fiscal policy on aggregate demand, which has increased in significance in the period since the breakout of the COVID-19 pandemic in 2020. From the perspective of a reduced forecast error, the changes are justified by performing historical simulations.

Suggested Citation

  • Ana Živkovic, Jelena Momcilovic, Zorica Roljic Mihanovic, Danilo Cerovic & Ana Živkovic & Jelena Momcilovic & Zorica Roljic Mihanovic & Danilo Cerovic, 2022. "Structural changes to quarterly projection model," Working Papers Bulletin 13, National Bank of Serbia.
    • Handle: RePEc:nsb:bilten:13
    as

    Download full text from publisher

    File URL: https://www.nbs.rs/documents-eng/publikacije/wp_bulletin/wp_bulletin_09_22_1.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    inflation; model; prices; labour market; wages; fiscal impulse;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nsb:bilten:13. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marko Miseljic (email available below). General contact details of provider: https://edirc.repec.org/data/nbjgvyu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.