## Autonomous Factor Forecast Quality: The Case of the Eurosystem

_IMF Working Papers, December 27, 2019_

## Source details

**Canonical URL:** [Autonomous Factor Forecast Quality: The Case of the Eurosystem](https://www.imf.org/en/publications/wp/issues/2019/12/27/autonomous-factor-forecast-quality-the-case-of-the-eurosystem-48861)

## Other formats

- [Markdown version](/en/publications/wp/issues/2019/12/27/autonomous-factor-forecast-quality-the-case-of-the-eurosystem-48861/index.md)
- [Structured JSON version](/en/publications/wp/issues/2019/12/27/autonomous-factor-forecast-quality-the-case-of-the-eurosystem-48861/index.json)
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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

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### 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

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## Content in this bundle

- **Working Paper**
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_Source: https://www.imf.org/en/publications/wp/issues/2019/12/27/autonomous-factor-forecast-quality-the-case-of-the-eurosystem-48861_