{
  "title": "Autonomous Factor Forecast Quality: The Case of the Eurosystem",
  "publication": "IMF Working Papers, December 27, 2019",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2019/12/27/autonomous-factor-forecast-quality-the-case-of-the-eurosystem-48861",
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  "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.",
  "sections": [
    {
      "heading": "Overview and objectives",
      "content": "- Authors: Romain M Veyrune, Shaoyu Guo\n- Publication date: December 27, 2019\n- Purpose:\n  - Provide an overview of the international practice of publishing liquidity forecasts.\n  - 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.\n  - Analyze Eurosystem forecast errors to determine factors influencing forecast quality."
    },
    {
      "heading": "Key findings and analysis",
      "content": "- Forecast evaluation framework:\n  - The paper proposes and implements a framework to evaluate accuracy and reliability of liquidity forecasts based on Eurosystem historical forecasts.\n- Empirical findings:\n  - A supporting factor for a high-quality forecast is the contemporaneousness of the information used.\n  - Money market segmentation can weigh on forecast quality.\n- Interpretation:\n  - The advantages of transparency in publishing liquidity forecasts depend critically on the accuracy and reliability of the information provided."
    },
    {
      "heading": "Subjects and keywords",
      "content": "- Subjects:\n  - Asset and liability management\n  - Banking\n  - Central bank accounting\n  - Central banks\n  - Exchange rate arrangements\n  - Financial markets\n  - Foreign exchange\n  - Liquidity\n  - Money markets\n  - Open market operations\n- Keywords:\n  - autonomous factor\n  - autonomous factors\n  - balance sheet development\n  - Central bank accounting\n  - central banking\n  - ECB estimate\n  - evaluation\n  - Exchange rate arrangements\n  - forecast error\n  - forecasting\n  - Global\n  - Liquidity\n  - liquidity manager\n  - market segmentation\n  - Money markets\n  - Open market operations\n  - operational frameworks\n  - refinancing operation\n  - WP\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2019/12/27/autonomous-factor-forecast-quality-the-case-of-the-eurosystem-48861"
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    "Authors: Romain M Veyrune, Shaoyu Guo",
    "Published: December 27, 2019",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781513522005.001",
    "Authors: Romain M Veyrune, Shaoyu Guo",
    "Publication date: December 27, 2019",
    "Purpose:",
    "Forecast evaluation framework:",
    "Empirical findings:",
    "Interpretation:",
    "Subjects:",
    "Keywords:",
    "**Working Paper**"
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