Forecasting
ECB paper looks at market expectations of Fed policy
“Monetary policy slope” predicts changes in stock markets and professional forecasts – researchers
Emir data can give valuable insights on rate expectations – ECB paper
New methodology uses data on OTC transactions to track market expectations of interest rates
Inflation models must pay more attention to globalisation – Brookings paper
Global factors more important for some inflation measures since 2008 financial crisis, researcher finds
30 years of central banking
Central banks face credibility tests on a number of fronts
Book notes: Narrative economics, by Robert Shiller
The book is good fun to read, but some elements are a little disappointing
Machine learning can produce better forecasts – RBI paper
ML tends to outperform standard models, but combining forecasts is best, authors say
Bank of Israel research derives growth estimate from survey data
Researchers construct real-time indicator that can be produced earlier than nowcasts
30 years of forecasting: have central banks learned anything?
Forecasting models are constantly being upgraded, but forecast errors are still persistent
RBA sheds light on new ‘Martin’ macro model
Large-scale “macroeconometric” model designed to balance flexibility and theoretical rigour
BdF paper looks at FOMC hawks and doves
Predictions of rate-setters with hawkish reputations often biased towards higher inflation – researcher
The IMF should adopt a ‘real SDR’
A vibrant market in SDR linked to commodity prices could create a powerful new monetary anchor
BDF paper presents model for larger stress-tests
Model can be used to analyse impact of macro-prudential measures, authors say
ECB paper models eurozone’s vulnerabilities
Model can be used to predict build-up of major macroeconomic imbalances, researchers say
Hurricane forecasting has ‘significant effects’ on financial markets – Fed
Cutting forecast errors could reduce additional volatility, researchers say
‘Night-time luminosity’ can shed light on growth – RBI paper
Satellite data is useful as a high-frequency indicator of economic activity, authors find
Proposal to axe Phillips curve triggers controversy
“One cannot just ignore an equation,” retorts Olivier Blanchard
Fed researchers gauge tightening from balance sheet normalisation
Tightening is ‘modest’ compared to accommodation provided by asset purchases, researchers find
Climate change will hit US growth hard – Dallas Fed study
US growth could fare worse than China’s with projected temperature rises, researchers find
British lawmakers ask BoE for latest Brexit analysis
Publication of previous analysis led to angry criticism by UK politicians
BoI paper presents new method for eurozone inflation forecasts
Model works well to predict inflation using data from bloc’s four largest economies, authors say
Construction trends can predict yield curve inversions – St Louis Fed
Housebuilding expectations should be considered when forecasting economic activity, researchers say
Trinidad and Tobago prime minister ridicules central bank’s migrant figures
Acting PM says he has “no idea” how central bank estimated cost of Venezuela crisis
San Francisco Fed researcher seeks to improve Phillips curve
Introducing an “interaction variable” can increase predictive performance, researcher says
Time for resilience
Events that impact markets have made it crucial to build resilient portfolios that are aware of downside risks. BlackRock explores the importance of protection in downturn scenarios for reserve managers.