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Financial Sector Policies

Tools for Central Banking Implementation FX Intervention, Liquidity Forecasting, and Central Bank Balance Stress Test

Apply online by June 21, 2024 Deadline extended

Session No.: ST 24.24

Location: Singapore, Singapore

Date: November 11-15, 2024 (1 week)

Delivery Method: In-person Training

Primary Language: English

Interpretation Language: English

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    Target Audience

    Mid-level to senior central bank officials interested in market operations, monetary policy strategy, and/or conducting stress tests on central bank's balance sheet.

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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 estimate and implement foreign exchange intervention rules based on a risk approach, to forecast systemic liquidity in the context of different operational frameworks, and to conduct stress tests on central bank's balance sheet as well as its profit & loss.The course covers techniques suitable for:

    • Central banks operating an interest rate corridor
    • Central banks operating a flexible exchange rate arrangement, intervening on the foreign exchange market with financial and price stability objectives
    • Central banks transitioning from a fixed exchange rate arrangement to a floating exchange rate arrangement

    The course covers topics:

    • FX Intervention Tool
      • Theoretical background for risk-based FX interventions
      • The econometric theory of risk estimation
      • Application on a country case

     

    • Liquidity Forecasting Tool
      • Institutional framework for liquidity forecasting
      • Statistical basics for forecasting
      • Forecast the autonomous factors (currency in circulation, net foreign assets, state account balance) and total liquidity using a comprehensive, cutting-edge statistical framework
      • Application on a case

     

    • Central Bank Balance Sheet Stress Testing
      • General framework for modeling central bank's balance sheet and how to tailor it to a specific country
      • Forecasting central bank's balance sheet and profit & loss
      • Stress testing central bank's equity and evaluating solutions to enhance financial soundness of central bank's balance sheet (e.g., recapitalization)
      • Satellite models for forecasting key balance sheet items
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    Course Objectives

    Upon completion of this course, participants should be able to implement:

    • An FX risk model that can be used for:
      • Conducting FX market monitoring and inform policymakers decisions
      • Intervening on the FX markets via a risk-optimal approach
    • A liquidity forecasting framework that can be used for:
      • Forecasting autonomous factors and total liquidity
      • Forecasting demand for reserve
      • Calibrating operations

    And participants should be able to analyze central bank's balance sheet.

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