Economic modelling
Poloz considers the future of economic modelling
Theoretical and empirical two-pronged approach likely to stay, governor says
RBNZ paper sheds light on core macro model
Model features a DSGE core augmented with additional equations
Riksbank early warning indicator signals high risks
Financial fragility indicator performs better than credit gap method, economists say
BoE article sees benefits to agent-based modelling
“Bottom-up approach” is complementary to models already used widely
BIS economists model benefits of leaning against the wind
Results contrast with many earlier studies
Researcher uses dynamic factor model for ‘nowcasting’
New model makes three additions to widely-used model
Changing policy impact may knock forecasts askew – Riksbank economists
Weaker policy pass-through may have impaired forecasting
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