Economic modelling
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
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