Economic modelling
BoE paper adds time-varying parameters to DSGE model
Method allows parameters to shift over time as the structure of the economy changes
IMF’s Adrian sketches macro-financial model of term premium
Tobias Adrian outlines a new way of modelling financial cycles within a New Keynesian framework
San Francisco Fed economist explores methods to forecast interest rates
The gap model understands future rates as the sum of inflation expectations and real interest rates
Piecing together a financial theory of stagnation
Thinkers at the BIS AGM offer views on how the financial system may be dragging down the real economy
Paper proposes method to estimate network of exposures
Researcher draws on aggregate exposures and market data to build more complete picture of network of bank exposures
BoE economists issue ‘call to arms’ for macro-prudential research
Researchers outline a simple framework to help understand the macro-prudential “balancing act”
BoE paper warns escape from secular stagnation may ‘beggar thy self’
Authors outline an unappealing situation where escaping secular stagnation harms domestic welfare
BoE economists criticise DSGE inflation modelling
Team including MPC member Kristin Forbes criticises structural modelling approaches
IMF economist builds agent-based banking system model
Model captures diversity of agents and use of rules of thumb
Central banks should test robustness of their main macro models – paper
Researchers warn non-linearities could distort results
Fed paper warns on helicopter money risks
Tool appears much less powerful when less realistic elements of model are removed
Authors struggle to cut ‘price puzzle’ from Australian data
Authors find various approaches to removing the puzzle from VAR models fail for Australian data
RBNZ’s Krippner: term structure models can make for better policy
Central bank economist talks about his work on modelling monetary policy at the zero lower bound
Type of uncertainty matters for modelling – Norges Bank paper
Author develops method to “disentangle” various forms of uncertainty
Brazil can no longer rely on consumption for growth – paper
IMF paper highlights need for Brazil to adopt investment-led growth model
BoE paper: ‘imperfect common knowledge’ implies Taylor principle need not hold
Result challenges findings such a ‘Neo Fisherism’
Scrap micro-foundations to repair macroeconomics – Steve Keen
Professor says economy should be viewed as a dynamic system
RBA paper assesses FOMC’s forecasting performance
RBA and Fed economists collaborate on study of forecasting errors
Fed’s Fischer: econometric models are still flawed
US Fed vice-chair says models still cannot capture complexities of economy
Fed paper flags risk of low rates misallocating capital
Lower rates could be fuelling secular stagnation, authors warn
Poloz considers the future of economic modelling
Theoretical and empirical two-pronged approach likely to stay, governor says
RBNZ paper sheds light on core macro model
Model features a DSGE core augmented with additional equations
Riksbank early warning indicator signals high risks
Financial fragility indicator performs better than credit gap method, economists say
BoE article sees benefits to agent-based modelling
“Bottom-up approach” is complementary to models already used widely