Economic modelling
Risk-adjusted model anticipates rate changes better – paper
Monetary policy forecasts perform better when adjusted to risk, authors say
Podcast: David Hendry and John Muellbauer on empirical macro
The econometricians cast a sceptical eye over DSGE models and weigh up some alternatives
New York Fed publishes nowcasting code
Matlab code for estimating a dynamic factor model now available in online repository
Non-linear mortgage features can impact policymaking – BoE paper
Non-linear features of mortgages impact policymaking in a DSGE model, the authors find
BoE updates estimate of equilibrium interest rates
Latest data shows demographic factors have weighed heavily on real interest rates
Podcast: David Vines on how to reform the DSGE model
Oxford University’s David Vines believes the New Keynesian DSGE model is salvageable – but needs work
Fed paper builds dynamic factor model for nowcasting
Model produces “reasonably good” estimates of Ecuadorian GDP and outperforms other models
BoE paper models bank runs in general equilibrium
Daisuke Ikeda finds regulations must be comprehensive to prevent risk shifting
Good policy makes Phillips curve harder to identify – BoE’s Tenreyro
MPC member argues fears the Phillips curve has disappeared are “largely misplaced”
Dudley says more effort needed in modelling financial factors
“We were nowhere. Now we’re probably at the first or second grade,” says outgoing New York Fed chief
BoE paper studies ‘multiplex’ network model of derivatives market
Low liquidity buffers can lead to significant spillovers for some firms, authors warn
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