Short to medium term forecasting David Havrlant Macroeconomic

  • Slides: 22
Download presentation
Short- to medium term forecasting David Havrlant Macroeconomic Forecasting Division Near Term Forecasting Unit

Short- to medium term forecasting David Havrlant Macroeconomic Forecasting Division Near Term Forecasting Unit (NTF) david. havrlant@cnb. cz 1

Objectives of the Presentation • • Role of NTF within the macroeconomic projection exercise

Objectives of the Presentation • • Role of NTF within the macroeconomic projection exercise Importance of coherent framework Interpreting economic development in a consistent way Brief insight into particular forecasting procedures 2

Main NTF Tasks • Experts as regards the Czech economy • Empirical data, structures,

Main NTF Tasks • Experts as regards the Czech economy • Empirical data, structures, institutional and regulation framework • Based on theoretical background consistent with • • Conduct of MP within IT regime Usage of the core projection model (G 3) Discussion on initial state of the economy Comparative benchmark for core model projection Providing disaggregated economic outlook Cyclical decomposition of the variables Research activities 3

Points of view • One model is risky - set of methods is better

Points of view • One model is risky - set of methods is better • Economic theory as basis of analysis • Emphasis on statistical data • Respecting not only economic theory, but also statistical data • Expert approach : possible corrections • Structural changes in economy • Theory vs. measurements • Revisions of data 4

Near Term Forecast (NTF) • Conditional forecast • Foreign macroeconomic outlook from The Consensus

Near Term Forecast (NTF) • Conditional forecast • Foreign macroeconomic outlook from The Consensus Forecast • CPI, PPI, GDP – effective indices (relevance for Czech economy) • World energy and food prices, exchange rate USD/EUR • Standardized source – no arbitrarily changes, potential for alternative scenarios • Near term forecast – 1 Q, 2 Q ahead with high precision • Empirical check in mid-term horizon for the core model 5

NTF - Per Partes • Labour market • Real economic activity • Employment, unemployment

NTF - Per Partes • Labour market • Real economic activity • Employment, unemployment • Domestic demand • Economic productivity • Exports, imports, net export • Average wage • GDP • Wage bill • Trade balance • Current account • Other Prices • Import prices • Terms of trade • Consumer prices • Main components of the consumer basket • Producer prices 6

Consistence through Iteration • NTF is in principle not an interconnected system • Threat

Consistence through Iteration • NTF is in principle not an interconnected system • Threat of inconsistency of the complex forecast • Consistence is achieved through: • Quasi-interconnection • One forecast is the input of other forecasts • Iteration • Consistency check • New forecasting round if necessary • Race against time 7

Multistage Forecast Data Forecast 1 Exogens (CF) Other Prices New data and consistency check

Multistage Forecast Data Forecast 1 Exogens (CF) Other Prices New data and consistency check Exogens (CF) Other Prices Labour market Economic activity Consumer prices Forecast 2: more consistent Other Prices output gap consistency real wages real ER Labour market Economic activity Consumer prices 8

Import Prices • Small opend economy – high importance of foreign prices DCADJ …

Import Prices • Small opend economy – high importance of foreign prices DCADJ … import prices EUR … exchange rate CZK/EUR USD … exchange rate CZK/USD PPIEMU … effective PPI in EU BRENT … oil prices 9

Import Prices • All in CZK DCADJ … import prices EUR … exchange rate

Import Prices • All in CZK DCADJ … import prices EUR … exchange rate CZK/EUR USD … exchange rate CZK/USD PPIEMU … effective PPI in EU BRENT … oil prices 10

Import Prices 11

Import Prices 11

Import Prices 12

Import Prices 12

Import Prices • Other prices and energy prices – impact on terms of trade

Import Prices • Other prices and energy prices – impact on terms of trade 13

Producer Prices • High importance of producer prices PPIPRO … producer prices EUR …

Producer Prices • High importance of producer prices PPIPRO … producer prices EUR … exchange rate CZK/EUR USD … exchange rate CZK/USD PPIEMU … effective PPI in EU BRENT … oil prices 14

Producer Prices 15

Producer Prices 15

Potential Output and Output Gap • Cobb-Douglas production function • HP filter • Kalman

Potential Output and Output Gap • Cobb-Douglas production function • HP filter • Kalman filter 16

Labour Market • Expected inflation • Labour productivity • Position of the trade unions

Labour Market • Expected inflation • Labour productivity • Position of the trade unions - collective bargaining • Position of the economy in the business cycle • Financial position of companies • Development and expectations in industry and constructing 17

Adjusted Inflation • Forecast of Adjusted inflation with different models, Y-O-Y 18

Adjusted Inflation • Forecast of Adjusted inflation with different models, Y-O-Y 18

Adjusted Inflation • Model of adjusted inflation, Y-O-Y KORXPH … adjusted inflation CPIEMU …

Adjusted Inflation • Model of adjusted inflation, Y-O-Y KORXPH … adjusted inflation CPIEMU … effective CPI in EU EUR … exchange rate CZK/EUR DCADJ_F … import prices ULC … unit labour cost Set of models and expert judgment 19

Food Prices • Set of models and expert judgment • Example of NTF Food

Food Prices • Set of models and expert judgment • Example of NTF Food Prices Equation FOOD_YOY_NOTXP … food prices inflation CZV_YOY … agricultural producer prices DCPOT_YOY … import prices of food com. 20

Food Prices • Set of models and expert judgment 21

Food Prices • Set of models and expert judgment 21

Net inflation • Calibrated estimate of inflationary pressures impcost = 0. 9*(eur*ppiemu) + 0.

Net inflation • Calibrated estimate of inflationary pressures impcost = 0. 9*(eur*ppiemu) + 0. 1*(0. 6*(usd*brent) + 0. 4*(usd*gas)) cost = 0. 4*gdp_gap + 0. 7*ulc(-1) + 0. 3*impcost(-2) 22

Forecasting Replenishment Forecasting Replenishment Forecasting Forecasting Replenishment ForecastingForecasting Replenishment Forecasting Replenishment Forecasting Forecasting Replenishment Forecasting
forecasting longterm forecasting middleterm forecasting shortterm forecasting 2forecasting longterm forecasting middleterm forecasting shortterm forecasting 2
Medium Term Budget Policy Statement 2007 Medium termMedium Term Budget Policy Statement 2007 Medium term
Risk Classification Systems Short term risk Medium termRisk Classification Systems Short term risk Medium term
Macroeconomic Long Run and Short Run The MacroeconomicMacroeconomic Long Run and Short Run The Macroeconomic
Forecasting Traffic Flow Short Term Long Term andForecasting Traffic Flow Short Term Long Term and
Westminster Abbey Jakub Havrlant Also know as CollegiateWestminster Abbey Jakub Havrlant Also know as Collegiate
short tall tall short short long long shortshort tall tall short short long long short
Introduction Definition Forecasting Technology Technological Forecasting Process ForecastingIntroduction Definition Forecasting Technology Technological Forecasting Process Forecasting
Forecasting Forecasting Problems and Methods New product forecastingForecasting Forecasting Problems and Methods New product forecasting
Forecasting Forecasting A Basis of Forecasting In businessForecasting Forecasting A Basis of Forecasting In business
Forecasting Forecasting A Basis of Forecasting In businessForecasting Forecasting A Basis of Forecasting In business
DEMAND FORECASTING DEMAND FORECASTING Demand forecasting means estimationDEMAND FORECASTING DEMAND FORECASTING Demand forecasting means estimation
Forecasting Models FORECASTING Forecasting is attempting to predictForecasting Models FORECASTING Forecasting is attempting to predict
term 1 term 2 term 3 term 4term 1 term 2 term 3 term 4
Planning Planning Long medium and short term longPlanning Planning Long medium and short term long
Gene Xus in the short and medium termGene Xus in the short and medium term
The Short and Medium Term OutlookChallenges and PotentialThe Short and Medium Term OutlookChallenges and Potential
Employment Effects of Short and Medium Term FurtherEmployment Effects of Short and Medium Term Further
Linac 4 Project Meeting Short and medium termLinac 4 Project Meeting Short and medium term
Medium Term Plan Base 1 Autumn Term TopicMedium Term Plan Base 1 Autumn Term Topic