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Forecasting Hungarian Export Volume

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Author Info

  • Zoltán M. Jakab

    ()
    (Magyar Nemzeti Bank)

  • Mihály András Kovács

    ()
    (Magyar Nemzeti Bank)

  • Szabolcs Lõrincz

    (Magyar Nemzeti Bank (at the time of writing the study))

Abstract

The paper summarizes the research on forecasting the Hungarian export volume. We elaborated a two-step procedure. In the first step we forecasted foreign demand, then in the second step we forecasted Hungarian export using the best outcome of the first step together with real exchange rate and import series. We used several econometric techniques and tested our results statistically by two criteria. We compared the precision and stability of the different forecasts. The ARIMA forecasts were employed as a benchmark. We found that in terms of both criteria foreign demand forecasts were significantly better than those obtained with ARIMA. However, in the case of the Hungarian export volume our results were only better in terms of the stability properties. Therefore the choice between the different forecasting methods was not obvious, so a ’Consensus’ index was also computed as a weighted average of different forecasts, where the weights were negative functions of imprecision and instability.

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File URL: http://english.mnb.hu/Root/Dokumentumtar/ENMNB/Kiadvanyok/mnben_mnbfuzetek/mnben_WP2000_4/wp2000_4.pdf
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Bibliographic Info

Paper provided by Magyar Nemzeti Bank (the central bank of Hungary) in its series MNB Working Papers with number 2000/4.

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Length: 38 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:mnb:wpaper:2000/4

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