Title Page
DEPARTMENTAL PAPER
INTERNATIONAL MONETARY FUND
INSTITUTE FOR CAPACITY DEVELOPMENT AND MONETARY AND CAPITAL MARKETS DEPARTMENTS
Taking Stock of IMF Capacity Development on Monetary Policy Forecasting and Policy Analysis Systems
Prepared by Nils Mæhle, Tibor Hlédik, Carina Selander, and Mikhail Pranovich
DP/2021/026
2021
DEC
Title Page
INTERNATIONAL MONETARY FUND
INSTITUTE FOR CAPACITY DEVELOPMENT AND MONETARY CAPITAL MARKETS DEPARTMENTS
DEPARTMENTAL PAPER
Taking Stock of IMF Capacity Development on Monetary Policy Forecasting and Policy Analysis Systems
Prepared by Nils Maehle, Tibor Hlédik, Carina Selander, and Mikhail Pranovich
Copyright Page
Copyright ©2021 International Monetary Fund
Cataloging-in-Publication Data
IMF Library
Names: Maehle, Nils, author. | Hlédik, Tibor, author. | Selander, Carina, author. | Pranovich, Mikhail, author. | International Monetary Fund, publisher.
Title: Taking stock of IMF capacity development on monetary policy forecasting and policy analysis systems / Prepared by Nils Mæhle, Tibor Hlédik, Carina Selander, and Mikhail Pranovich.
Other titles: International Monetary Fund. Institute for Capacity Development (Series). | International Monetary Fund. Monetary and Capital Markets Department (Series).
Description: Washington, DC : International Monetary Fund, 2021. | 2021 Dec. | Departmental Paper Series. | DP/2021/026 |
Includes bibliographical references.
Identifiers: ISBN 9781557753274 (paper)
Subjects: LCSH: Economic forecasting. | Monetary policy.
Classification: LCC HB3730 .M3 2021
The Departmental Paper Series presents research by IMF staff on issues of broad regional or cross-country interest. The views expressed in this paper are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Publication orders may be placed online or through the mail:
International Monetary Fund, Publication Services
P.O. Box 92780, Washington, DC 20090, USA
T. +(1) 202.623.7430
Contents
Glossary
1. Background and Purpose
2. The FPAS: Designing It and Developing It
A. Designing the FPAS to Support Policy Decision-Making
B. Developing FPAS Capacity: Scope of CD Activities
3. The Forecasting and Policy Analysis Toolkit
A. Sectoral Analysis, Nowcasting, and Near-Term Forecasting Tools
B. The Core Medium-Term Forecasting and Policy Analysis Model
C. The Basic “Textbook” Version of the QPM
D. Incorporating the Impact of Changes in Fiscal Policy
E. Incorporating Terms of Trade Effects
F. Addressing Domestic Supply Shocks and Adding Multiple Phillips Curves
G. Incorporating Money and Money Targeting in the QPM
H. Incorporating Exchange Rate Persistence, Limited Foreign Exchange Market Arbitrage, Foreign Exchange Interventions, and Pegged or Managed Exchange Rates
I. Persistent Deviations of Market Interest Rates from the Policy Rate
J. Central Bank Credibility and Expectations
K. Calibration of the QPM
4. The Forecasting Process, Incorporating the FPAS into the Decision-Making Process
A. The Forecasting, Policy Analysis, and Decision-Making Process
B. Staffing and Organization
5. Assessment and Lessons
A. Assessment
B. Lessons
Annex 1. The Forecast Calendar
Week 0
Week 1
Week 2
Week 3
Week 4
Week 5
Week 6
Annex 2. Examples of Typical Forecasting and Policy Analysis System Capacity Development Log Frames
References
FIGURES
Figure 1. The Forecasting Process in a Nutshell
Figure 2. Ex Post Forecast Evaluation
Figure 3. Precision, Tools, and Forecast Horizon
Figure 4. The Forecasting and Decision-Making Process
Figure 5. Basic Structure of the Textbook
Figure 6. The Forecasting Calendar
Glossary
| BOP | balance of payment |
| CD | capacity development |
| CPI | consumer price index |
| DSGE | dynamic stochastic general equilibrium |
| FPAS | forecasting and policy analysis system |
| FT | forecasting and policy analysis team |
| IT | inflation targeting |
| MPC | monetary policy committee |
| NTF | near-term forecasting |
| QPM | quarterly projection model |
| TOT | terms of trade |
