Forecasting
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
FOMC forecasts perform better in short- than long-term, Fed paper finds
Forecasts prepared ahead of FOMC meetings from 1997-2008 considerably outperform benchmarks at short horizons, but the results are much more mixed in the longer term
RBA’s Kent seeks to explain divergent labour and growth outcomes
Assistant governor says range of factors may have contributed to a unexpectedly strong performance of Australian unemployment, even as growth remains subdued
ECB paper finds fiscal targets are useful for forecasting
Ex-ante fiscal targets can convey useful information to forecasters despite the possibility of bias, researchers find
Norges Bank paper outlines forecasting method for big data
Researchers aim to forecast US stock market and economy using a Bayesian non-parametric model, with a dataset large enough that computing power becomes a problem
Fed mistakenly releases confidential staff forecasts
Economic projections show staff expect a more gradual pace of rate increases than most Fed officials; supposed to be released to public with a five-year lag
NBER paper seeks better model of trend inflation
James Stock and Mark Watson use disaggregated data on sectoral inflation with time-varying weights, finding this can produce a more accurate model of inflation’s long-term trend
Overconfident forecasters may be ‘overrepresented’ in ECB survey
Working paper finds participation in the Survey of Professional Forecasters drops when uncertainty rises, suggesting the results may be biased
BoE paper questions dominance of Normal distribution
Using the t distribution and time-varying variance improves a vector autoregression’s fit with the data and forecasting performance, researchers find
Riksbank’s new approach to nowcasting reviewed
Article in Economic Review evaluates the forecasting performance of a dynamic factor model adopted by Sweden's central bank, finding it a useful addition to its suite of tools
South African Reserve Bank reflects on forecasts
Latest monetary policy review analyses the central bank's inflation forecasts between 2003 and 2014, finding they 'marginally' outperform outside efforts
Book notes: Finding Equilibrium, by Till Düppe & Roy Weintraub
This unusual book describes the early progress in the mathematisation of economics and, in particular, micro-economic model building
Book notes: Fortune Tellers: The Story of America’s First Economic Forecasters, by Walter Friedman
A fascinating book that crosses the traditional boundaries between the history of economic thought and cultural history
Banque de France ‘significantly’ improves research output
External review of central bank research finds ‘significant rise in quantity and quality’ in past six years; suggests improvements in communication with policy-makers
Spanish economists devise system for detecting risks to budget forecasts
Working paper published by the Bank of Spain presents a new ‘toolkit’ to monitor the government budget in real time; authors say it will help protect state’s reputation
Forecasting of ECB and New York Fed became ‘noticeably worse’ during crisis
Researchers at the ECB and New York Fed examined forecasting performance of their central banks; finding they suffered during the crisis, but not more than external parties
Revisions to output gap estimates can skew fiscal stabilisers, IMF says
Working paper proposes a ‘rule of thumb' to take into account the likelihood of revisions to estimates of potential GDP when activating fiscal stabilisers
Inflation report forecasts tend to be right, research shows
IMF and Czech National Bank economists check inflation outcomes against central bank predictions, finding them to be broadly in line
Book notes: The Map and the Territory: Risk, Human Nature and the Future of Forecasting
The Map and the Territory is an enigmatic title for a book written by a former chairman of the Federal Reserve, Alan Greenspan.