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Financial Sector Policies

Forecasting Framework for Central Bank Systemic Liquidity

Deadline passed

Session No.: ST 23.30

Location: Singapore, Singapore

Date: November 27, 2023 - December 1, 2023 (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.

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    Qualifications

    Participants with experience in bank central bank operations, financial markets, and basic knowledge of quantitative methods.

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    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 systemThe 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.

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    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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