Economic modelling
Adding QE can fix New Keynesian models – BoE paper
“Mild adjustments” to balance sheet are enough to avoid paradoxical results, authors find
Central banks look to shockproof models in wake of Covid-19
Covid-19 caused many central bank models to break down. Economists are now testing new tools
Epidemics cause delayed political unrest – IMF paper
Infectious disease outbreaks lead to upheaval after health crisis has passed, researchers say
More capital could increase lending during pandemic – paper
Philadelphia Fed research finds capital injections and lower requirements would both increase lending
BoE paper explores macroeconomic impact of macro-pru
Authors build DSGE model featuring “detailed banking sector” and sticky interest rates
Paper lays groundwork for Canadian ‘Hank’ model
Author estimates “earnings process” as step towards heterogeneous agent modelling
Central banks are using biased estimates of pass-through – BIS paper
Standard measures exchange rate pass-through fail to account for market power, researcher argues
Modellers should not exclude pandemic-era data – ECB paper
Excluding pandemic data from time series would “vastly underestimate uncertainty”, authors argue
Fed paper: market power can cause inequality and instability
Market power can explain a lot of recent undesirable “secular trends”, authors say
Growth has replaced slack in Phillips curve relationship – Cleveland Fed paper
Findings could have “substantial disinflationary” implications during current recession, researchers say
Economists race to merge epidemiology and macro
Promising results are emerging, but workable forecasts may be some way off
BoE paper argues for heterogeneous agent modelling
Authors use heterogeneous agent model to study fiscal policy and redistribution
RBI economists build nowcast using dynamic factor model
Model closely tracks recent slowdown in activity, authors say
Yield curve models overstate chances of US recession – ECB research
Models need to account for effects of QE asset purchases on bond premia, authors say
Fed forecasters now less optimistic on growth – San Fran Fed paper
Forecasters have eliminated “overoptimism” bias in recent years, researchers find
Paper takes ‘Hank’ approach to eurozone policy transmission
Authors identify three key dimensions of household heterogeneity
Paper models monetary policy in a ‘Hank’ framework
Authors combine micro and macro “moments”, finding investment is “crucial” to policy transmission
Research proposes ‘Monk’ model of long-term monetary transmission
Equilibrium in standard models only affected by short rates, say Garriga, Kydland and Šustek
Inside the ECB’s upgraded multi-country model
ECB-Base sets the blueprint for a new semi-structural workhorse model of the eurozone
BdF paper uses professional forecasts to improve BVAR model
Authors use “entropic tilting and soft conditioning” to incorporate survey data into model
King calls for radical shake-up to escape ‘low-growth trap’
Central bank models fail to appreciate demand-side secular stagnation
Interbank networks may be too decentralised – BoE paper
Model of how networks develop implies laissez-faire may not be optimum policy
Borio and co-authors attack concept of natural interest rate
BIS paper sets out a model in which “monetary policy hysteresis” can do lasting damage to the economy
Machine learning can help spot bank distress – BoE paper
Use of confidential data helps catch distress early, and ML can cope with complexity, authors say