Related papers: Forecasting for monetary policy
Prediction problems in finance go beyond estimating the unknown parameters of a model (e.g. of expected returns). This is because such a model would have to include parameters governing the market participants' propensity to change their…
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…
The ex-ante evaluation of policies using structural econometric models is based on estimated parameters as a stand-in for the true parameters. This practice ignores uncertainty in the counterfactual policy predictions of the model. We…
The fixed-event forecasting setup is common in economic policy. It involves a sequence of forecasts of the same (`fixed') predictand, so that the difficulty of the forecasting problem decreases over time. Fixed-event point forecasts are…
The Bank of Korea (BoK) regularly publishes the Economic Outlook, offering forecasts for key macroeconomic variables such as GDP growth, inflation, and unemployment rates. This study examines whether the BoK's inflation forecasts exhibit…
When providing probabilistic forecasts for uncertain future events, it is common to strive for calibrated forecasts, that is, the predictive distribution should be compatible with the observed outcomes. Several notions of calibration are…
Communication is now a standard tool in the central bank's monetary policy toolkit. Theoretically, communication provides the central bank an opportunity to guide public expectations, and it has been shown empirically that central bank…
Accurate forecasts of the impact of spatial weather and pan-European socio-economic and political risks on hourly electricity demand for the mid-term horizon are crucial for strategic decision-making amidst the inherent uncertainty. Most…
The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an investment context where market…
Performative predictions are forecasts which influence the outcomes they aim to predict, undermining the existence of correct forecasts and standard methods of elicitation and estimation. We show that conditioning forecasts on covariates…
This study leverages narrative from global newspapers to construct theme-based knowledge graphs about world events, demonstrating that features extracted from such graphs improve forecasts of industrial production in three large economies…
This expository paper discusses Bayesian decision analysis perspectives on problems of constrained forecasting. Foundational and pedagogic discussion contrasts decision analytic approaches with the traditional, but typically inappropriate,…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…
Recent results from the Planck satellite combined with earlier observations from WMAP, ACT, SPT and other experiments eliminate a wide spectrum of more complex inflationary models and favor models with a single scalar field, as reported by…
Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between…
Probability forecasts are intended to account for the uncertainties inherent in forecasting. It is suggested that from an end-user's point of view probability is not necessarily sufficient to reflect uncertainties that are not simply the…
For any business, planning is a continuous process, and typically business-owners focus on making both long-term planning aligned with a particular strategy as well as short-term planning that accommodates the dynamic market situations. An…
This chapter addresses the question of who benefits from forecasting, using Forecasting for Social Good as a motivating framework. Barriers to broadening the base of beneficiaries are identified, and some parallels are drawn with similar…
This paper assesses the link between central bank's policy rate, inflation rate and output gap through Taylor rule equation in both United States and United Kingdom from 1990 to 2020. Also, it analyses the relationship between monetary…