Forecasting
BoE paper lays out ‘financial conditions index’ for UK
Index proves valuable as a summary measure and also as an input to forecasting
People: Fiji appoints deputy; Commission proposes new SRB chair term
Esala Masitabua will become deputy governor in Fiji on January 1, 2018; European Commission proposes extending Elke König’s mandate as chair of the SRB; and more
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
RBA cuts forecasts as inflation disappoints
The Reserve Bank of Australia expects to undershoot its inflation target for another year
Risk of protectionist policies not yet factored in – Poloz
Bank of Canada governor says household debt, wage growth and labour market are all considered for monetary policy projections
RBA looking to handle uncertainty better, says Debelle
Reserve Bank of Australia to change way it presents forecasts in order to avoid false impression of precision
More communication may hamper monetary policy, paper says
Independence and bigger MPCs may convey confusing messages and provoke forecast errors
Cleland outlines uncertainty of future cash demand
BoE chief cashier says people will move away from cash, but the rate of change is uncertain
Neural network can beat conventional forecasts – Kansas City Fed research
Deep learning model outperforms Survey of Professional Forecasters at all horizons
SNB’s Jordan praises John Taylor legacy
The governor values how the Taylor rule has provided policy guidance, becoming an important benchmark
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
BoE authors outline machine learning framework
Paper offers guide to machine learning in central bank analysis, and sets out a few examples relevant to policy
Better information bolsters policy pass-through – BoE paper
Where agents lack access to perfect information, publishing forecasts influences potency of monetary policy, study finds
Recent low US inflation figures likely to be revised – Dallas Fed vice-president
Data allows “nowcasting” of inflation, paper argues
China’s current credit trajectory is ‘dangerous’, IMF warns
Fund revises up China’s GDP growth forecast, but warns debt-fuelled growth is unsustainable
Paper’s forecasting technique using Markov-switching models
Results outperform Fed’s survey of professional forecasters, says Bank of Spain paper
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
Brexit drives a wedge between BoE and markets
Market expectations of future UK interest rates appear out of line with views expressed by the Bank of England’s Monetary Policy Committee. It comes at a time when Brexit ‘news’ often trumps economic data
Philip Turner urges RBNZ to focus analysis on ‘new normal’
Former BIS official gives positive review of RBNZ’s monetary policymaking process, but recommends the central bank focus its efforts on understanding changing economic structure
Bank of Canada hikes for first time in seven years
Bank of Canada becomes the latest advanced economy central bank to hike as the economy proves robust and inflation moves towards target
Riksbank claims rate forecast success, despite inaccuracies
Study of 10 years of repo rate forecasting concludes it is a useful tool for setting and communicating policy, although forecasts “have not been particularly accurate”
BoE economists criticise DSGE inflation modelling
Team including MPC member Kristin Forbes criticises structural modelling approaches for failing to properly account for trend inflation
Norges Bank sees room for improvement when forecasting wages
Evaluation of forecast performance shows both the central bank and other forecasters struggled to produce accurate estimates of wage growth and unemployment