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International Monetary Fund. Monetary and Capital Markets Department
At the request of the National Bank of Rwanda (NBR), a technical assistance (TA) mission from the Monetary and Capital Markets (MCM) department was conducted from October 9 to 18, 2023, to enhance the NBR’s Forecasting and Policy Analysis System (FPAS). The mission aimed to strengthen the understanding and application of nowcasting frameworks for Gross Domestic Product (GDP) and Consumer Price Index (CPI) inflation, as well as to analyze the effects of weather shocks on food crop production and fresh food prices. The mission included interactive technical sessions with NBR staff and achieved the following: (1) Improved forecast evaluation by resolving discrepancies in the use of different Core CPI definitions in the medium-term Quarterly Projection Model (QPM) and nowcasting models; (2) Established a system for analyzing the impact of weather shocks, particularly rainfall, on food crop production and fresh food prices; (3) Provided hands-on training for NBR staff on using CPI nowcasting tools to monitor monthly inflation outcomes and creating and interpreting uncertainty fan charts for GDP and CPI projections; and (4) Enhanced understanding of the construction of high-frequency real sector indicators in GDP nowcasting models.
Iaroslav Miller
,
Daniel Baksa
,
Philippe D Karam
, and
Tugrul Vehbi
This paper develops G3MOD, a semi-structural gap-trend model designed for frequent external sector forecasts crucial in macroeconomic forecasting. Focused on the G3 economies (US, Euro Area, and China) and the rest of the world, G3MOD leverages insights from central banks’ policy models, to consistently translate external forecasts such as the IMF’s World Economic Outlook into a Quarterly Projection Model format. The model offers flexible simulations and policy assessments and is structured around trade and financial linkages. G3MOD supports model-based forecasts and risk evaluations, helping central banks integrate external forecasts and scenarios into their own forecasts, thus generating timely macroeconomic projections. Its calibration ensures alignment with historical data, economic coherence, and robust predictive capability, and it has been validated against major global projection models. The complete set of codes, calibrated parameter values, and supporting programs are posted with this working paper.
International Monetary Fund. Institute for Capacity Development
Further to Mongolia’s Ministry of Finance (MOF) request, an assessment mission was carried out from May 24 to June 2, 2023. The mission reviewed the needs, capacity and constraints for the development of institutional macroeconomic forecasting capacity at the Financial and Fiscal Research Department (FFRD). Notably, despite FFRD’s ambitious goals in fiscal policymaking, a comprehensive macroeconomic framework for analysis, forecasting, and assessing fiscal policy's macroeconomic impact is not yet in place. The action plan and logical framework is centered around capacity development and customization of the Comprehensive Adaptive Expectations Model (CAEM) to the Mongolia economy. This note summarizes the main findings and action plan agreed on for the project.