Monetary Policy Implementation Tools

Source details

Target Audience: Mid-level to senior central bank officials interested in market operations and monetary policy strategy.
Qualifications: Participants with experience in central bank operations, financial markets, and basic knowledge of quantitative methods.

The course presents how to use advanced forecasting techniques to estimate autonomous factors of the central bank balance sheet.
Objective: improve the calibration of the monetary policy liquidity operations, rightsizing the reserve requirement, and/or publishing liquidity information for the market.
Curriculum elements:
- Incorporates recent advances in forecasting literature and international best practices.
- Back-tests different forecasting models with various degrees of complexity.
- Provides guidance to implement the most suitable model.
- Faculty will deliver the software infrastructure (open source) so that the authorities can easily apply the model to their day-to-day work.

The course presents methods to estimate and implement foreign exchange intervention rules based on a risk approach.
Applicable techniques:
- For central banks operating a flexible exchange rate arrangement, intervening on the foreign exchange market with financial and price stability objectives.
- For central banks transitioning from a fixed exchange rate arrangement to a floating exchange rate arrangement.
The course covers the theoretical background for risk-based FX interventions, as explained in the IMF Working Paper No. 21/32 (Lafarguette and Veyrune 2021).

Use the advanced models for domestic liquidity forecasting in their day-to-day work.
Implement an FX risk model that can be used for intervening on the FX markets via a risk-optimal approach.