Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/173439
Authors: 
Békési, László
Köber, Csaba
Kucsera, Henrik
Várnai, Tímea
Világi, Balázs
Year of Publication: 
2016
Series/Report no.: 
MNB Working Papers 2016/4
Abstract: 
The lessons of the financial and macroeconomic crisis of 2007-2008 made the development of a new macroeconomic forecasting model necessary in the MNB. The model represents a small open economy. It is based on the DSGE philosophy but it deviates from it at several points. The new features of the model, compared to previous forecasting models of the MNB, are that the debt constraint and the heterogeneity of households and financial accelerator mechanism through the financing constraints of the firms appear. From methodological point of view, it is important that the model deviates from rational expectation hypothesis at several points and treats expectations pragmatically and flexibly. The model parameters are calibrated according to experts' experience and SVAR estimations. The properties of the calibrated model are studied by impulse responses analysis, and the model fits into the MNB's forecasting framework successfully.
Subjects: 
DSGE models
forecasting
precautionary motive
buffer stock model
heterogeneous households
financial accelerator
non-rational expectations
JEL: 
E21
E27
E31
E37
E44
E52
Document Type: 
Working Paper
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