Forecasting and Policy Analysis Systems (FPAS) to Support Forward-Looking Monetary Policies

FPAS.JPG

This course develops a plan for all the elements of a well-tailored and structured FPAS to support forward-looking monetary policy frameworks (e.g. flexible IT, flexible average IT, dual mandates). This includes: (1) the Quarterly Projection Exercise (QPE) that is used to inform policymakers about revisions to the central bank's (CB's) baseline projection and key risk assessments; (2) the core Quarterly Projection Model (QPM) that is used to organize and help to impose macroeconomic and policy consistency in the QPE; (3) the suite of models that is used to support the QPE (e.g. DSGE models, near-term forecasting models, etc.); (4) the design of data bases and reporting systems to make the entire FPAS process robust, seamless and less subject to avoidable errors; (5) construction of measures of fan-charts; (6) schedule with all deadlines and for each QPE. The course should be of interest to CBs that are interested in improving their existing IT frameworks that are based on exogenous policy rate paths or CBs that are in the process of extending or enhancing their existing IT framework  (e.g. flexible IT, flexible average IT, dual mandates). 

This course will last 4 weeks. Participants will be expected to work full time but will have access to 2 hours of training each working day. The courses are organized to focus on the needs of each central bank. Class sizes are limited to 1-5 participants. There are significant discounts for central banks from low-income countries and for CBs that enroll more than 4 participants through the year.

 

Prerequisites

This online course is designed for managers and economists working in central banks. The participants need to:

  • Knowledge of the of existing framework.

  • Have at least intermediate knowledge about macroeconomics and statistics.

  • MATLAB 2017a or later versions. 

  • Latest version of Dynare (4.6.2).

  • IRIS-Toolbox-Master will be provided by instructors.

  • Being an intermediate user of Dynare/Matlab would be an asset but no previous knowledge of it is required as there will be an optional short course for beginners.

 

Reading Material

Adrian T, D. Laxton, and M. Obstfeld 2018, "Advancing the Frontiers of Monetary Policy."

 

Al-Mashat, R., K. Clinton, D. Laxton, and H. Wang, 2018, “Nuts and Bolts of a Forecasting and Policy Analysis System,” in Advancing the Frontiers of Monetary Policy, ed. by T. Adrian, D. Laxton, and M. Obstfeld (Washington: International Monetary Fund). CHAPTER 4.

Adrian, T., D. Laxton, and M. Obstfeld, 2018, “An Overview of Inflation-Forecast Targeting,” in Advancing the Frontiers of Monetary Policy, ed. by T. Adrian, D. Laxton, and M. Obstfeld (Washington: International Monetary Fund). CHAPTER 1.

 

Adrian, T., D. Laxton, and M. Obstfeld, 2018, “A Robust and Adaptable Nominal Anchor,” in Advancing the Frontiers of Monetary Policy, ed. by T. Adrian, D. Laxton, and M. Obstfeld (Washington: International Monetary Fund). CHAPTER 14.

 

Al-Mashat, R., K. Clinton, D. Laxton, and H. Wang, 2018, “First Principles,” in Advancing the Frontiers of Monetary Policy, ed. by T. Adrian, D. Laxton, and M. Obstfeld (Washington: International Monetary Fund). CHAPTER 2.

 

Al-Mashat, R., K. Clinton, D. Laxton, and H. Wang, 2018, “Managing Expectations,” in Advancing the Frontiers of Monetary Policy, ed. by T. Adrian, D. Laxton, and M. Obstfeld (Washington: International Monetary Fund). CHAPTER 3.

Laxton D., A. Kostanyan, A. Liqokeli, G. Minasyan, A. Nurbekyan and T. Sopromadze, 2019, "Mind the Gaps! Financial-Cycle Output Gaps and Monetary-Policy-Relevant Output Gaps," London School of Economics and Political Science.

Laxton, D., D. Rose and A. Scott, 2009, "Developing a Structured Forecasting and Policy Analysis System," IMF Working Paper 09/65 (March 2009).

Argov, E., N. Epstein, P. Karam, D. Laxton, and D. Rose, 2007, "Endogenous Monetary Policy Credibility in a Small Structural Model of Israel," IMF Working Paper 07/207 (August 2007).

Berg, A., P. Karam, and D. Laxton, 2006, "A Practical Model-Based Approach to Monetary Policy Analysis. Overview," IMF Working Paper 06/080 (April 2006).

 

Berg, A., P. Karam, and D. Laxton, 2006, "Practical Model-Based Monetary Policy Analysis. A How-to Guide," IMF Working Paper 06/081 (April 2006).

Christiano, L.J., R. Motto, and M. Rostagno. 2014. “Risk Shocks.” American Economic Review 104 (1): 27–65,

Clark, Peter, Douglas Laxton, and David Rose, 2001, An Evaluation of Alternative Monetary Policy Rules in a Model with Capacity Constraints, Journal of Money Credit and Banking, Vol. 33, No. 1 (February), pp. 42-64.

Benes, J., C. Freedman, M. Kumhof, D. Laxton, D. Muir, S. Mursula, H. Wang, 2016, "The Benefits of International Policy Coordination Reconsidered: Some Important Lessons from the Global Financial Crisis," pp. 77-110, in Managing Complexity: Economic Policy Cooperation after the Crisis, edited by Tamim Bayoumi, Stephen Pickford and Paola Subacchi, Brookings Institution Press.

Laxton, D., and P. Pesenti, 2003, Monetary Policy Rules for Small, Open, Emerging Economies, Journal of Monetary Economics, Vol. 50 (July), pp. 1109-1146.

 Laxton, D., D. Rose and A. Scott, 2008, “Developing a Structured Forecasting and Policy Analysis System,” Chapter prepared for a book on implementation issues for Inflation Targeting. Draft available from authors.

Laxton,Douglas, David Rose, Robert Tetlow, 1993, Monetary Policy, Uncertainty and the Presumption of Linearity, Technical Report No. 63, (Ottawa: Bank of Canada), August. http://www.bankofcanada.ca/en/res/tr/1993/tr63-e.html

Woodford, M. 2003. “Optimal Interest Rate Smoothing.” Review of Economic Studies 70 (4): 861–86.

 
 

Course Structure

Week 1

Summary and elements of the FPAS.

Week 2

Examples of structured analysis and forecasting reports, introduction to DYNARE and IRIS.

Week 3

Preparing a plan with detailed recommendations to develop a structured FPAS.

Week 4

Prepare presentation for management with detailed recommendations.

 

Dates for 2021 - 2022

Duration - 4 Weeks, 2 Hours Per Day

May 2 - 27, 2022

June 1 - 28, 2022

July 4 - 29, 2022

August 1 - 26, 2022

September 1 - 28, 2022

October 3 - 28, 2022

November 1 - 28, 2022

Price

Price for One Person Without any Discounts is €3000

This course will last 4 weeks. Participants will be expected to work full time but will have access to 2 hours of training each working day. The courses are organized to focus on the needs of each central bank. Class sizes are limited to 1-5 participants. There are significant discounts for central banks from low-income countries and for CBs that enroll more than 4 participants through the year.