Economic modelling
Agent-based models shed light on CBDC dynamics
Take-up could be as high as 25% of total money, but depends on design choices, IMF research finds
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Bank of Thailand governor calls for better inflation model
Phillips curve model under-predicts inflation, argues governor Sethaput
Christopher Sims on modelling the inflation surge
Unprecedented series of shocks creates major challenges for central bank forecasters, the Nobel Prize-winning economist tells Daniel Hinge
IMF publishes sober outlook for 2023
“Worst is yet to come”, says chief economist
IMF paper offers ‘fear-based theory’ of economy
Central banks risk distorting the economy if they don’t move interest rates to offset “fear cycle”
RBA’s Lowe admits inflation models need rethink
Governor acknowledges forecasting mistakes but rejects calls to resign
Modelling the short-term economic impacts of climate change
Econometric models can give central banks a clearer picture of short-term climate impacts, says Stephen Millard
Atlanta Fed revises growth estimate downward
This quarter has the possibility of officially beginning a US recession
Fed paper argues capitalism killed the Phillips curve
Shift in the balance of power between capital and labour likely to hold down inflation, authors find
Paper explains why ‘Fed put’ is not as reliable as investors might like
Disagreement between Fed and market can create perception central bank is “behind the curve”
RBA develops new method of modelling financial sector
Approach takes Martin model “beyond the existing macroeconometric frontier”, say researchers
Mervyn King attacks central bank theories of inflation
Expectations are “too fragile” to serve as an anchor for inflation, former BoE governor says
NGFS’s climate stress tests bolstered by new macroeconomic modelling
NiGem model will help central banks better understand economic transmission channels
Hiking rates before asset sales may constrict credit – paper
Kansas City Fed research says raising the fed funds rate first may cause yield curve inversion
Dallas Fed predicts 2022 core inflation above 2%
Economists expect auto and transportation costs to abate, but spike in housing prices
BIS paper outlines model of managed floats
Framework captures financial frictions while being simpler than other models, authors say
Pandemic Treasuries market calmed quickly – research
Dallas Fed analysis finds “headwinds” early on, but not lasting pandemic disruptions
BoE paper builds GDP-at-risk model
Authors generate “fat-tailed” distribution to explore economy’s tendency to hit lower bound on rates
Economists win prize for agent-based forecast model
Authors say theirs is the first agent-based model to produce competitive economic forecasts
Financial sector still a headache for central bank modellers
Macro-financial links are difficult to integrate into key models, with progress since the global financial crisis slow. But some central banks are making breakthroughs
Biden stimulus will not move inflation much – Chicago Fed paper
Research finds most models predict very limited and short-term increases
‘Bottom-up’ approach can improve inflation forecasts – BoE paper
Item-level inflation data contains useful information for forecasting, authors find
Newspaper text can improve growth forecasts – DNB research
Sentiment index can cut errors in short-term forecasts, study finds