Economic modelling
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 including Olivier Blanchard, Andy Haldane and Simon Wren-Lewis 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
Policymakers need wider range of systemic risk models – paper
Researchers attempt to combine systemic importance and systemic risk approaches
BoE seeks to enhance stress-test model oversight
Prudential Regulatory Authority to enforce new stress-test model principles in 2018; smaller banks asked to tailor them to their operations
Haldane outlines ‘interdisciplinary’ economics model
Andy Haldane and Arthur Turrell describe a way of broadening the scope of economics’ limited array of core models
NY Fed economists reveal big-data approach to nowcasting
Paper sets out the New York Fed’s model for producing early estimates of major indicators
Central banks should combine monetary rules to achieve objectives – research
Estimates based on different models should be updated regularly, authors say
Text mining reveals differences in PRA approach
Researchers compare Prudential Regulation Authority’s communications to its predecessor using a machine-learning algorithm
BoE paper adds time-varying parameters to DSGE model
Method allows parameters to shift over time as the structure of the economy changes, yielding improvements to forecasting
IMF’s Adrian sketches macro-financial model of term premium
Tobias Adrian outlines a new way of modelling financial cycles within a New Keynesian framework, which produces a good fit with empirical observations on the term structure
San Francisco Fed economist explores methods to forecast interest rates
Michael Bauer aims to forecast interest rates based on the current level and long-run trend, and a narrative linking both
Piecing together a financial theory of stagnation
Ideas presented at recent BIS annual meetings reveal an emerging framework that explains how the financial system may be dragging down the real economy; Hélène Rey was the latest to contribute
Paper proposes method to estimate network of exposures
Researcher draws on aggregate exposures and market data to build a more complete picture of the network of bank exposures
BoE economists issue ‘call to arms’ for macro-prudential research
Researchers outline a simple framework to help understand the macro-prudential “balancing act”, but say there is a long way to go in developing a definitive model
BoE paper warns escape from secular stagnation may ‘beggar thy self’
Authors outline an unappealing situation where the only escape comes from currency depreciation, but may nevertheless end up harming domestic welfare
BoE economists criticise DSGE inflation modelling
Team including MPC member Kristin Forbes criticises structural modelling approaches for failing to properly account for trend inflation
IMF economist builds agent-based banking system model
Model captures the diversity of agents and the use of rules of thumb; the author says the modular nature allows “straightforward” enhancements
Central banks should test robustness of their main macro models – paper
Bank of Canada paper says users of large-scale macroeconomic models should develop tools to assess whether non-linearities could be distorting results
Fed paper warns on helicopter money risks
Tool appears much less powerful when less realistic elements of the New Keynesian framework are removed; other options could work better, authors say
Authors struggle to cut ‘price puzzle’ from Australian data
Authors find various approaches to removing the puzzle from VAR models fail for Australian data, calling into question the usefulness of the models
RBNZ’s Krippner: term structure models can make for better policy
Central bank economist talks about his work on modelling monetary policy at the zero lower bound, and what comes next
Type of uncertainty matters for modelling – Norges Bank paper
Author develops method to “disentangle” various forms of uncertainty, finding they can have good and bad effects
Brazil can no longer rely on consumption for growth – paper
IMF paper highlights need for Brazil to switch to investment-led growth model as infrastructure caps threaten productivity and competitiveness