Forecasting
People: BIS picks Lamfalussy fellow; Iceland appoints research director
BIS names 2020 fellow; Icelandic central bank promotes economist; Jekaterina Govina becomes director of supervision in Lithuania
RBI on hold despite weak growth and inflation
Committee votes unanimously to wait for more data despite seeing “space for future action”
Canada’s Poloz on monetary policy limits, transparency and cyber recovery
Speaks about stagflation risks from trade wars, the value of market signals and Canada’s CBDC plans
Big data in central banks: 2019 survey results
Many central banks are overhauling their data governance, facilitating a broadening in their use of big data
BoE redesigns inflation report
New design intended to give MPC more flexibility in emphasising changing circumstances
CBRT slashes rates again as inflation enters single digits
Central bank makes further sizeable cut as inflation hits lowest level for over two years
Inside the ECB’s upgraded multi-country model
ECB-Base sets the blueprint for a new semi-structural workhorse model of the eurozone
BdF paper uses professional forecasts to improve BVAR model
Authors use “entropic tilting and soft conditioning” to incorporate survey data into model
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