Forecasting
Financial frictions key to DSGE performance – NY Fed paper
Post-crisis period was a harsh testing ground for structural models, but the New York Fed’s DSGE model was at least equal to private forecasts, researchers say
Measuring Venezuela’s hyperinflation
Steve Hanke discusses how economists can make use of high-frequency exchange rate data to track rapid price movements in Venezuela
Canada’s polymer versus paper substrate cycle
Empirical evidence indicates the switch to a polymer substrate has improved the lifespan of Canadian banknotes, write Ramesh Paskarathas, Lynne Graaskamp, Erik Balodis and Theodoros Garanzotis
Bank of Korea unveils changes to its DSGE model
The existing model’s accuracy was reduced following structural changes in the economy
US real GDP growth accelerating in 2018 – Atlanta Fed
The real-time index GDPNow forecasts an annualised expansion of 4% in the first quarter
Deflation tends to de-anchor expectations – BIS paper
Deflationary episodes seem to render expectations lower and more backward-looking
Carney rejects accusations of ‘cognitive bias’ at BoE
Parliamentary committee members say BoE relied on inaccurate forecasts before Brexit, affecting policy decisions
Big data can give valuable labour market signal – Fed paper
High-frequency private payroll data is useful in forecasting the labour market, researchers find
Combined nowcasts can improve GDP estimates – paper
Paper compares performance of nowcast models in estimating GDP from 2016–2015
Central bank projections of target variables most influential - paper
Paper examines the impact of central bank forecasts and forward guidance on private sector projections, concluding most firms use them primarily as monetary policy indicators
Botswana chooses polymer for latest banknote launch
African nation partners with UK printer De La Rue for new banknote launch, opting for polymer to prolong life
Google’s Hal Varian on how technology is changing economics
Google’s chief economist talks to Christopher Jeffery about how big data and machine learning are facilitating changes in economic thinking; discusses the impact technical breakthroughs may have for central banks
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