Forecasting
Better information bolsters policy pass-through – BoE paper
Where agents lack access to perfect information, publishing forecasts influences potency of monetary policy, study finds
Recent low US inflation figures likely to be revised – Dallas Fed vice-president
Data allows “nowcasting” of inflation, paper argues
China’s current credit trajectory is ‘dangerous’, IMF warns
Fund revises up China’s GDP growth forecast, but warns debt-fuelled growth is unsustainable
Paper’s forecasting technique using Markov-switching models
Results outperform Fed’s survey of professional forecasters, says Bank of Spain paper
San Francisco Fed economist explores methods to forecast interest rates
Michael Bauer aims to forecast interest rates based on the current level and long-run trend, and a narrative linking both
Brexit drives a wedge between BoE and markets
Market expectations of future UK interest rates appear out of line with views expressed by the Bank of England’s Monetary Policy Committee. It comes at a time when Brexit ‘news’ often trumps economic data
Philip Turner urges RBNZ to focus analysis on ‘new normal’
Former BIS official gives positive review of RBNZ’s monetary policymaking process, but recommends the central bank focus its efforts on understanding changing economic structure
Bank of Canada hikes for first time in seven years
Bank of Canada becomes the latest advanced economy central bank to hike as the economy proves robust and inflation moves towards target
Riksbank claims rate forecast success, despite inaccuracies
Study of 10 years of repo rate forecasting concludes it is a useful tool for setting and communicating policy, although forecasts “have not been particularly accurate”
BoE economists criticise DSGE inflation modelling
Team including MPC member Kristin Forbes criticises structural modelling approaches for failing to properly account for trend inflation
Norges Bank sees room for improvement when forecasting wages
Evaluation of forecast performance shows both the central bank and other forecasters struggled to produce accurate estimates of wage growth and unemployment
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