Economic modelling
Fed forecasts overcompensate for trend deviations, paper says
Federal Reserve tends to “overpredict” growth when the economy is running below trend
BoE paper hunts for shifts in forecast accuracy
Authors outline new method of detecting when forecasts break down
RBA paper offers new way to add housing sector to DSGE models
Authors find their model delivers “reasonable” forecast performance
Yield curve can help improve forecasts – RBNZ economists
Yield curve information tends to improve forecasts of economic activity, researchers find
BIS’s da Silva defends DSGE modelling efforts
New research efforts are opening up fresh possibilities – BIS
Financial frictions key to DSGE performance – NY Fed paper
The New York Fed’s DSGE model was at least equal to private forecasts, researchers say
NY Fed paper studies when government should issue safe assets
Model implies only under certain situations should the government issue new debt
Central bank communications risk circularity, says BIS paper
Policy communications influence market prices and market prices influence policy
Fed paper models risk-taking channel of monetary policy
Model in which monetary expansion increases risk-taking appears to fit with the data
Economists need to better understand macrofinancial links – BIS paper
Stijn Claessens and Ayhan Kose call for “new generation of models”
Combined nowcasts can improve GDP estimates – paper
Paper compares performance of nowcast models in estimating GDP from 2016–2015
Veteran economists weigh in on ‘rebuilding’ macro theory
Economists tackle the question of how – and whether – to save the DSGE model
Fed paper sets out model of financial panics
Mark Gertler, Nobuhiro Kiyotaki and Andrea Prestipino examine banking panics in a DSGE model
Policymakers need wider range of systemic risk models – paper
Researchers attempt to combine systemic importance and systemic risk approaches
BoE seeks to enhance stress-test model oversight
Prudential Regulatory Authority to enforce new stress-test model principles in 2018
Haldane outlines ‘interdisciplinary’ economics model
Andy Haldane and Arthur Turrell describe a more interdisciplinary approach to modelling
NY Fed economists reveal big-data approach to nowcasting
Paper sets out New York Fed’s model for producing early estimates of major indicators
Central banks should combine monetary rules to achieve objectives – research
Estimates based on different models should be updated regularly, authors say
Text mining reveals differences in PRA approach
Researchers compare Prudential Regulation Authority’s communications to its predecessor
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