Autonomous Factor Forecast Quality: The Case of the Eurosystem
IMF Working Papers, December 27, 2019
Source details
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- Autonomous Factor Forecast Quality: The Case of the Eurosystem
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Bibliographic details
- Authors: Romain M Veyrune, Shaoyu Guo
- Published: December 27, 2019
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781513522005.001
Overview and objectives
- Authors: Romain M Veyrune, Shaoyu Guo
- Publication date: December 27, 2019
- Purpose:
- Provide an overview of the international practice of publishing liquidity forecasts.
- Propose and implement a framework to evaluate the accuracy and reliability of liquidity forecasts using the long history of Eurosystem forecasts as a case study.
- Analyze Eurosystem forecast errors to determine factors influencing forecast quality.
Key findings and analysis
- Forecast evaluation framework:
- The paper proposes and implements a framework to evaluate accuracy and reliability of liquidity forecasts based on Eurosystem historical forecasts.
- Empirical findings:
- A supporting factor for a high-quality forecast is the contemporaneousness of the information used.
- Money market segmentation can weigh on forecast quality.
- Interpretation:
- The advantages of transparency in publishing liquidity forecasts depend critically on the accuracy and reliability of the information provided.
Subjects and keywords
- Subjects:
- Asset and liability management
- Banking
- Central bank accounting
- Central banks
- Exchange rate arrangements
- Financial markets
- Foreign exchange
- Liquidity
- Money markets
- Open market operations
- Keywords:
- autonomous factor
- autonomous factors
- balance sheet development
- Central bank accounting
- central banking
- ECB estimate
- evaluation
- Exchange rate arrangements
- forecast error
- forecasting
- Global
- Liquidity
- liquidity manager
- market segmentation
- Money markets
- Open market operations
- operational frameworks
- refinancing operation
- WP
Content in this bundle
- Working Paper