Forecasting
Croatian National Bank sees inflation recovering this year and next
Annual CPI inflation fell to –1.8% in May, but the central bank expects it to pick up in the coming months, eventually rising to 1.2% in 2017
RBNZ can evaluate forecasts using benchmarks – McDermott
Inflation has been weaker and the NZ dollar stronger than the central bank forecast, assistant governor says; can gain insight from comparing its forecast with others
BoE’s Weale: t-distribution may outperform normal
Representing monetary policy committee’s judgements using the t-distribution implies GDP outcomes are skewed to the downside and inflation to the upside
Mester favours ‘error band’ around FOMC projections
Cleveland Fed president Loretta Mester would like to some kind of “error band” introduced around FOMC projections, to reflect the uncertainty the committee is grappling with
Building a fast, flexible and free DSGE model
A team at the New York Fed is part way through translating its DSGE model into Julia, a fast, open-source mathematical programming language
Researchers conduct ‘horse race’ of financial crisis early-warning models
Statistical approaches based on machine learning appear to offer more robust early warnings of financial crisis than models based on more conventional techniques, two researchers say
US data can help nowcast Canadian growth, paper finds
Working paper published by Fed board introduces US data into dynamic factor model used for nowcasting the quarterly real GDP growth rate
Aussie dollar drops as RBA cuts inflation outlook
Reserve Bank of Australia cuts forecasts for headline and underlying inflation; lowered its key rate by 25bp to 1.75% earlier this week
Nonlinear models struggle to outperform VARs, Azerbaijani paper finds
Central bank’s first working paper finds various different nonlinear forecasting models perform poorly against autoregressive and VAR models, and even random walks
Research digs into disagreement about inflation expectations
Paper published by Reserve Bank of Australia examines how the disagreement within stakeholder groups about inflation expectations has evolved
RBA establishes new macro modelling division
External review recommends new approach to “full-system” models at heart of policy analysis, warning modelling expertise is limited at the central bank
Sweden’s Riksbank has mixed forecasting performance, report finds
Riksbank “relatively good” at projecting growth and unemployment, but less so when it comes to the policy rate; this is “notable” and not “particularly satisfactory”, report notes
Paper uses machine learning to nowcast GDP in Lebanon
Working paper published by IMF explores use of machine learning technique in assessing economic conditions in Lebanon, where analysis is a ‘distinct challenge’ on account of data lags
Central Bank of Malta revamps main structural model
Version three of the ‘Stream’ model captures the interlinked nature of the fiscal and financial sectors, with extra detail added to the financial block and new data used for estimation
GDP lag overcome with nowcasting, Sarb paper says
Nowcasting will assist policy-makers understand path of real economic activity, authors say, finding model outperforms others significantly
BIS paper finds forecasters put too much faith in private information
‘Noisy information model’ of inflation forecasting implies forecasters put inefficient weightings on private information to differentiate themselves
Turkish inflation seen returning to 5% in 2018
Latest projections from the Central Bank of the Republic of Turkey suggest headline inflation will only return to target in 2018, after it overshot October forecasts, rising to 8.8%
BoE paper seeks to improve forecasts with adaptive model
Using an adaptive model in conjunction with heavy-tailed t-distributions allows authors to deliver ‘substantial improvements’ in forecasting inflation
Better data collection would aid forecasting at Belize central bank, research argues
Forecasting could be improved with better data collection, working paper published by central bank finds
Stevens calls for end to obsession with central forecasts
RBA governor emphasises the uncertainty around forecasting; says he considered abolishing the central line in fan charts
Economists outline improved DSGE forecasting method
Bank of England working paper attempts to improve forecast performance by using a multi-step approach to estimating parameters, delivering what the authors say are ‘significant’ improvements
Riksbank paper examines mixed forecast performance
Researchers find the central bank has tended to be overly optimistic on foreign economic performance, but makes similar errors to other institutions
BoE Court recommends forecasting rethink
Review of forecasting sheds light on strengths and weaknesses of central bank’s approach; recommends more systematic performance evaluation and new modelling techniques
Norges Bank paper tries to extract high-frequency forecasts from low-frequency data
Researchers find low-frequency information can be important in forecasting high-frequency variables, designing a model that outperforms a random walk benchmark