Economic modelling
RBNZ can evaluate forecasts using benchmarks – McDermott
Inflation has been weaker and the NZ dollar stronger than the central bank forecast
Japanese inflation target a partial success – Fed paper
Effects seem to have been hampered by limited credibility
BoE’s Weale: t-distribution may outperform normal
T-distribution may better reflect the possibility of extreme outcomes
Building a fast, flexible and free DSGE model
The New York Fed is translating its DSGE model into the Julia programming language
Researchers conduct ‘horse race’ of financial crisis early-warning models
Machine learning-based approaches outperform more conventional methods, authors say
Nonlinear models struggle to outperform VARs, Azerbaijani paper finds
Models can still be useful for producing inflation probability distributions
Researchers explore link between rates and consumption in new model
Paper constructs heterogeneous agent New Keynesian model
Paper finds Norwegian housing market is ‘micro efficient’
Research published by Norges Bank exploits dataset comprising 472,378 housing transactions
BoJ paper attempts to ditch Friedman rule with new model
Paper outlines model where mild inflation is welfare-optimising
Competition in treasury auctions reduces bidder surplus, working paper finds
Paper uses data from Austrian entry into European Union
Norges Bank researchers grapple with nonlinear exchange rate pass-through
Authors find empirical results are hard to pin down
Paper uses machine learning to nowcast GDP in Lebanon
Analysis is a ‘distinct challenge’ in the country on account of data lags
RBNZ tweaks forecasting models and cuts key rate
Reserve Bank of New Zealand cuts rates by 25bp to 2.25% in attempt to prevent inflation expectations from falling further
BoJ’s Nakaso sees analytical challenge in gauging reforms
Debate continues between demand- and supply-side theories
Financial variables improve output gap estimates, BoE paper finds
Measure gives policy-makers better early-warning indicators
Research considers impact of fiscal consolidation on debt-to-GDP ratio
Working paper published by ECB analyses different types of consolidation
Research considers why macroeconomic announcements impact asset prices
Working paper published by ECB weighs ‘intrinsic value’
Kansas Fed researchers bridge gap between forward guidance data and theory
Working paper tests theoretical model against empirical findings
BIS paper says trade finance impacts global spillovers
Working paper emphasises importance of trade finance when modelling global shocks
ECB paper quantifies spillover from sovereign to corporate credit risk
Research studies direct spillover effects in the aftermath of the first Greek bailout