Forecasting
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
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