Autonomous Factor Forecast Quality: The Case of the Eurosystem

Author/Editor:

Romain M Veyrune ; Shaoyu Guo

Publication Date:

December 27, 2019

Electronic Access:

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Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

The publication of liquidity forecasts can be understood as part of central banks’ push toward greater transparency regarding monetary policy implementation. However, the advantages of transparency can only be realized if the information provided is accurate and reliable. This paper (1) provides an overview of the international practice of publishing the forecasts; (2) proposes and implements a framework to evaluate the accuracy and reliability of forecasts using the long history of Eurosystem forecasts as a case study; and (3) analyzes the Eurosystem forecast errors to determine the factors influencing forecast quality. A supporting factor for a high-quality forecast is the contemporaneousness of the information used, whereas money market segmentation can weigh on forecast quality.

Series:

Working Paper No. 19/296

Subject:

English

Publication Date:

December 27, 2019

ISBN/ISSN:

9781513522005/1018-5941

Stock No:

WPIEA2019296

Format:

Paper

Pages:

40

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