Forecasting Framework for Central Bank Systemic Liquidity
Deadline passed
Session No.: ST 22.32
Location: Singapore, Singapore
Date: November 7-11, 2022 (1 week)
Delivery Method: In-person Training
Primary Language: English
Target Audience
Mid-level to senior central bank officials interested in market operations and monetary policy strategy.
Qualifications
Participants with experience in bank central bank operations, financial markets, and basic knowledge of quantitative methods.
Course Description
The course teaches advanced statistical methods to forecast systemic liquidity in the context of different operational frameworks. The course covers techniques suitable for:
- Central banks with fixed exchange rate arrangements
- Central banks operating an interest rate corridor
- Central banks with an interest rate floor system
The IMF has designed a full-fledged software infrastructure for forecasting central banks' autonomous factors. IMF staff will present the infrastructure during the course. The forecasting framework designed by IMF staff is also tailored for countries with limited data and under-developed financial markets.
Course Objectives
Upon completion of this course, participants should be able to forecast the autonomous factors (currency in circulation, net foreign assets, state account balance) using a comprehensive, cutting-edge statistical framework with:
- Model estimation and selection among a dozen algorithms based on out-of-sample performance and information criterion.
- Estimation of the forecasts confidence interval.
- Forecasts reconciliation to forecast the sum of the autonomous factors (the structural liquidity).
- Automatic model re-parametrization to adjust for new data and structural breaks.
- Output and reports generation, with interactive data visualization and results display.
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