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Short Term Forecasting System of Private Demand Components in Armenia

Author

Listed:
  • Narek Ghazaryan

    (Monetary Policy Department, 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.

Suggested Citation

  • Narek Ghazaryan, 2014. "Short Term Forecasting System of Private Demand Components in Armenia," Working Papers 3, Central Bank of the Republic of Armenia, revised Dec 2015.
    • Handle: RePEc:ara:wpaper:003
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    File URL: https://www.cba.am/EN/panalyticalmaterialsresearches/Analytical_07.10.2015.pdf
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    File URL: http://aea.am/files/papers/a2015_2.pdf
    File Function: Revised version, 2015
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    References listed on IDEAS

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    4. Tóth, Máté, 2021. "A multivariate unobserved components model to estimate potential output in the euro area: a production function based approach," Working Paper Series 2523, European Central Bank.
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    More about this item

    Keywords

    Short term forcasting; combined forecasts; Bayesian and Factor-Augmented VARs;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • 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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