Forecasting
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
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