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Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections »

Source: Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Volume/Issue: 2018/260

Series: IMF Working Papers

Author(s): Klaus-Peter Hellwig

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 December 2018

ISBN: 9781484386187

Keywords: forecast evaluation, bias-variance trade-off, machine learning, Forecasting, GDP growth, Model Evaluation and Testing, Forecasting and Other Model Applications, Forecasting and Simulation

I regress real GDP growth rates on the IMF's growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimati...

Assessing Corporate Vulnerabilities in Indonesia

Assessing Corporate Vulnerabilities in Indonesia »

Source: Assessing Corporate Vulnerabilities in Indonesia : A Bottom-Up Default Analysis

Volume/Issue: 2017/97

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Weimin Miao , Ken Miyajima , and Jongsoon Shin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 April 2017

ISBN: 9781475595130

Keywords: Indonesia, Corporate sector, Asia and Pacific, bottom-up default analysis, default risk, scenario analysis, simulation, hazard rate models, Model Evaluation and Testing, General

Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This paper assesses corporate vulnerabilities in Indonesia by using a Bot...

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections »

Volume/Issue: 2018/260

Series: IMF Working Papers

Author(s): Klaus-Peter Hellwig

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 December 2018

DOI: http://dx.doi.org/10.5089/9781484386187.001

ISBN: 9781484386187

Keywords: forecast evaluation, bias-variance trade-off, machine learning, Forecasting, GDP growth, Model Evaluation and Testing, Forecasting and Other Model Applications, Forecasting and Simulation

I regress real GDP growth rates on the IMF's growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimati...

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks1

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks1 »

Source: Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Volume/Issue: 2018/197

Series: IMF Working Papers

Author(s): Ron Anderson , Jon Danielsson , Chikako Baba , Udaibir Das , Heedon Kang , and Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2018

ISBN: 9781484375839

Keywords: Financial crises, Systemic risk, Macroprudential Policy, Financial stability, Macroprudential Stress testing, Asset Pricing, Financial Markets and the Macroeconomy, Bayesian Analysis, Semiparametric and Nonparametric Methods, Cross-Sectional Models

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resil...

Assessing Corporate Vulnerabilities in Indonesia
			: A Bottom-Up Default Analysis

Assessing Corporate Vulnerabilities in Indonesia : A Bottom-Up Default Analysis »

Volume/Issue: 2017/97

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Weimin Miao , Ken Miyajima , and Jongsoon Shin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 April 2017

DOI: http://dx.doi.org/10.5089/9781475595130.001

ISBN: 9781475595130

Keywords: Indonesia, Corporate sector, Asia and Pacific, bottom-up default analysis, default risk, scenario analysis, simulation, hazard rate models, Model Evaluation and Testing, General

Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This paper assesses corporate vulnerabilities in Indonesia by using a Bot...

A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)

A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN) »

Source: A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)

Volume/Issue: 2018/14

Series: IMF Working Papers

Author(s): Fabio Cortes , Peter Lindner , Sheheryar Malik , and Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 January 2018

ISBN: 9781484338605

Keywords: Financial stability; systemic risk; shadow banks; mutual funds; spillovers, Financial stability, systemic risk, shadow banks, mutual funds, spillovers, Mathematical Methods, Other, Model Evaluation and Testing, Financial Markets and the Macroeconomy

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to intercon...

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks »

Volume/Issue: 2018/197

Series: IMF Working Papers

Author(s): Ron Anderson , Jon Danielsson , Chikako Baba , Udaibir Das , Heedon Kang , and Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2018

DOI: http://dx.doi.org/10.5089/9781484375839.001

ISBN: 9781484375839

Keywords: Financial crises, Systemic risk, Macroprudential Policy, Financial stability, Macroprudential Stress testing, Asset Pricing, Financial Markets and the Macroeconomy, Bayesian Analysis, Semiparametric and Nonparametric Methods, Cross-Sectional Models

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resil...

A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)

A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN) »

Volume/Issue: 2018/14

Series: IMF Working Papers

Author(s): Fabio Cortes , Peter Lindner , Sheheryar Malik , and Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 January 2018

DOI: http://dx.doi.org/10.5089/9781484338605.001

ISBN: 9781484338605

Keywords: Financial stability; systemic risk; shadow banks; mutual funds; spillovers, Financial stability, systemic risk, shadow banks, mutual funds, spillovers, Mathematical Methods, Other, Model Evaluation and Testing, Financial Markets and the Macroeconomy

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to intercon...

The Needle in the Haystack: What Drives Labor and Product Market Reforms in Advanced Countries?

The Needle in the Haystack: What Drives Labor and Product Market Reforms in Advanced Countries? »

Source: The Needle in the Haystack: What Drives Labor and Product Market Reforms in Advanced Countries?

Volume/Issue: 2018/101

Series: IMF Working Papers

Author(s): Romain Duval , Davide Furceri , and Jakob Miethe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 May 2018

ISBN: 9781484353639

Keywords: Structural reforms; labor market; product market; deregulation; employment protection; unemployment benefits; Bayesian averaging of maximum likelihood estimates, Structural reforms, labor market, product market, deregulation, employment protection, unemployment benefits, Bayesian averaging of maximum likelihood estimates, Model Evaluation and Testing, Labor Economics Policies

The political economy literature has put forward a multitude of hypotheses regarding the drivers of structural reforms, but few, if any, empirically robust findings have emerged thus far. To make progress, we draw...

Inflation-Forecast Targeting for India

Inflation-Forecast Targeting for India »

Source: Inflation-Forecast Targeting for India : An Outline of the Analytical Framework

Volume/Issue: 2017/32

Series: IMF Working Papers

Author(s): Jaromir Benes , Kevin Clinton , Asish George , Joice John , Ondra Kamenik , Douglas Laxton , Pratik Mitra , G.V. Nadhanael , Hou Wang , and Fan Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 February 2017

ISBN: 9781475578690

Keywords: Asia and Pacific, Disinflation, India, Inflation targeting, Forecasting models, Monetary policy, Price stabilization, Central banks and their policies, inflation targeting; Reserve Bank of India; inflation episodes in India; forecasting models; monetary policy models; model calibration; monetary policy rules; monetary policy simulations, Reserve Bank of India

India formally adopted flexible inflation targeting (FIT) in June 2016 to place price stability, defined in terms of a target CPI inflation, as the primary objective of monetary policy. In this context, the paper d...