Forecasting
Wheeler hits out at commercial bank for unforgiving commentary
RBNZ governor says commentary threatens its integrity, damaging the central bank and financial markets; former RBNZ official says Wheeler overreacting
BoE paper tackles multidimensional tail risk forecasting
Researchers set out method that can capture the multiple sources of risk feeding into a tail event and help understand how risks interact
Riksbank unveils results of web-scraping project
The big data technique for collecting prices could better capture volatile inflation components, allowing for more accurate forecasts, economists say
Policy rate forecasts influence expectations – Riksbank paper
New data allows researcher to assess the “potency” of rate forecasts, which do appear to influence expectations
Forecasting would improve with more regular data, says RBNZ’s McDermott
New Zealand is one of two advanced economies that uses quarterly data instead of monthly; current schedule has limited forecast improvements, RBNZ assistant governor says
Riksbank says own inflation forecasts are among least accurate
Study compares central bank’s forecasts with those of nine other institutions
Fed paper seeks better forecasts from information inefficiencies
Paper finds it is difficult to build a better forecast on the basis of deviations from rationality in surveys, implying such inefficiencies are not “economically meaningful”
BoE’s Vlieghe: good policy is more than accurate forecasting
MPC member says doctors cannot forecast heart attacks, but are still pretty useful before and after the event
Time to shrink Fed’s $4.5 trillion balance sheet, say presidents
Cleveland Fed president is “comfortable” changing reinvestment programme this year; balance sheet plan should be published as soon as possible, says Kashkari
Federal Reserve publishes its first fan chart
Fed unveils new communication method as Janet Yellen makes clearest statement yet that a March hike is on the table
RBA paper assesses FOMC’s forecasting performance
RBA and Fed economists collaborate on study of forecasting errors by the Federal Open Market Committee
BoE unlikely to predict next financial crisis, says MPC member
BoE MPC members grilled by MPs in forecasting models and past errors; Vlieghe says current models are just not good enough
RBNZ paper sheds light on core macro model
'NZSIM' is a semi-structural model, with a DSGE core augmented with a handful of additional equations
Bank of Canada re-modelling export links to US – Poloz
Previous approach may have over-estimated importance of US when modelling exports, governor says; uncertainties over US fiscal policy makes forecasting challenging
Carney admits Brexit is no longer UK’s biggest stability risk
Bank of England governor quizzed on importance of transitional arrangements for Brexit; external financial policy member defends forecasting, but admits “surprise” at the health of the economy
Haldane hopeful for ‘rebirth’ of economics
BoE chief economist believes crisis for the profession could lead to a break with past thinking; offers solutions to productivity problems
Changing policy impact may knock forecasts askew – Riksbank economists
Economists suggest systematic errors of forecasts in recent years may reflect changes in the effectiveness of monetary policy
Dallas Fed research seeks to improve real-time inflation forecasts
Economists break surveys of inflation expectations down into parts, finding stripping out the noise component improves forecasting
RBNZ moves to publish policy rate forecasts
Central bank scraps forecasts of 90-day bank bill rate as relationship with policy rate has been affected by global regulatory changes
BIS research seeks to forecast global inflation
Economist builds global inflation forecast using country-level survey forecasts, finding it can be used to improve domestic inflation projections in some countries
Norges Bank paper studies forecast asymmetry at lower bound
Effective lower bound need not translate into asymmetries in other forecast variables, authors find; regime-switching DSGE model helps overcome Lucas critique
Riksbank paper offers method for tackling distorted forecast evaluation
Authors adjust for different amounts of information available, allowing them to overcome distortions in forecast evaluation
Signs of ‘de-anchoring’ inflation expectations in eurozone – ECB paper
Study finds professional forecasts are paying more attention to ECB inflation projections and less to the target; authors suggest “extensive use of forward guidance” could help
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, finding judgement tends to work well, but both types of forecast struggle with exchange rates