Economic modelling
Poloz urges economists to create new economic models
Rise of the service sector has changed the way productivity and output can be calculated, Canadian governor says
Colombian paper models non-linearity in sovereign risk
Global volatility affects importance of sovereign risk, authors find
Haldane turns to other disciplines to solve big economic questions
BoE chief economist calls for interdisciplinary approach
Fed research proposes micro-founded approach to term structure modelling
Economists identify key factors shaping term premiums
BoE paper takes DSGE approach to deflation probabilities
DSGE model simulations can help pick out causality, researchers say
Riksbank paper shows importance of modelling bank costs
Inefficiency can mean banks have a negative impact on welfare
BoE paper tackles ‘sectoral co-movement puzzle’
Adding labour market frictions and habit formation helps solve problem
BoE paper tests agent-based model of macro-prudential policy
Researchers use agent-based model to capture diversity of behaviour
Danish economist updates DSGE model with financial frictions
Improved model is better able to explain financial crises
ECB paper aims to improve small-scale models for assessing policy shocks
Paper outlines a structural factor model
BIS research seeks to forecast global inflation
Economist builds global inflation forecast using country-level survey forecasts
Norges Bank paper studies forecast asymmetry at lower bound
Effective lower bound need not translate into asymmetries in other forecast variables, authors find
Riksbank paper offers method for tackling distorted forecast evaluation
Authors adjust for different amounts of information available
Bank of Finland looking to streamline and upgrade payments simulator
Economist sheds light on the bank’s plans for adding new features
Economists add to theory and empirics of economy’s non-linear dynamics
Paper by Bank of England economists finds “strong evidence” of non-linearity in UK data
RBNZ better at forecasting growth and inflation than exchange rate, notes study
Economists compare judgement-based forecasts with benchmark set by suite of statistical models
BoE paper finds fault with empirical methods for studying contagion
Review of spillover and contagion literature finds methods plagued by bias and heteroskedasticity
Climbing ‘Mount Economy’
The BIS’s quest for financial stability-orientated monetary policy raises profound challenges
Blanchard sees reformed DSGE as ‘central’ to future of macroeconomics
Former IMF chief economist says DSGE models are “seriously flawed” but “eminently improvable”
BoJ research uses ‘global game’ to explain zero inflation
Co-ordination may lead to firms refusing to raise prices, author shows
Philadelphia paper explores drivers of bankruptcy decisions
Working paper considers how much the structure of a household’s balance sheet and income statement matters
IMF paper offers alternative explanation for Venezuelan inflation
Working paper argues fall in oil prices combined with restrictions in foreign exchange fuels inflation
Dutch paper explores information content of asset prices for inflation
Working paper finds high asset prices can indicate either high or low inflation, though most commonly it is high
Atlanta Fed paper demonstrates signalling mechanism in mortgage market
Lenders in mortgage market able to reveal quality of loans by delaying trade