Short Term Forecasting System of Private Demand Components in Armenia

Narek Ghazaryan ()
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Narek Ghazaryan: Monetary Policy Department, Central Bank of Armenia
Authors registered in the RePEc Author Service: Armen Nurbekyan () and Douglas Laxton

No 3, Working Papers from Central Bank of Armenia

Abstract: In this paper a system for the short term forecasting of private consumption and private investments is described used in the CBA. Large amount of time series are used in the system to produce conditional forecasts, giving analysts the opportunity to use all the available information in real time for the assessment of the private demand dynamics before the official estimates are published by the statistical office. The main forecasting methods used are BVAR and FAVAR. In sample quasi-real time recursive forecast evaluation shows that pooled forecasts outperform individual model forecasts and conditioning improves forecast quality. The analysis of the forecast errors confirms that BVAR and FAVAR models produce reliable forecast for 2-3 quarters and hence are good tools for nowcasting and near term analysis of private demand components in CBA.

Keywords: Short term forcasting; combined forecasts; Bayesian and Factor-Augmented VARs (search for similar items in EconPapers)
JEL-codes: C52 C53 E37 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2014-04, Revised 2015-12
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in CBA Working Paper Series, April 2014
Published in CBA Working Paper Series, December 2015, pp. 21-52

Downloads: (external link)
https://www.cba.am/EN/panalyticalmaterialsresearches/Analytical_07.10.2015.pdf First version, 2014 (application/pdf)
http://aea.am/files/papers/a2015_2.pdf Revised version, 2015 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ara:wpaper:003

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