Monetary Policy and Global Spillovers

The Bank of Chile's latest Annual Conference volume, Monetary Policy and Global Spillovers: Mechanisms, Effects, and Policy Measures, is now out, here.  In addition to the research presented in the volume, I love the picture on its front cover. So peaceful.

National Bank of Poland

It strikes me that I'm seeing progressively more research in dynamic predictive modeling from the National Bank of Poland.  A few recent examples appear below.  Related information is here.  Nice job.

Author		Title
Karol Szafranek		Bagged artificial neural networks in forecasting inflation: An extensive comparison with current modelling frameworks
Date	Number	Download
2017	262	(PDF)

Author		Title
Siem Jan Koopman André Lucas Marcin Zamojski		Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
Date	Number	Download
2017	258	(PDF)

Author		Title
Piotr Bańbuła Marcin Pietrzak		Early warning models of banking crises applicable to non-crisis countries
Date	Number	Download
2017	257	(PDF)

Author		Title
Alessia Paccagnini		Forecasting with FAVAR: macroeconomic versus financial factors
Date	Number	Download
2017	256	(PDF)

Author		Title
Paweł Pońsko Bartosz Rybaczyk		Fan chart – a tool for NBP’s monetary policy making
Date	Number	Download
2016	241	(PDF)

Author		Title
Halina Kowalczyk Ewa Stanisławska		Are experts’ probabilistic forecasts similar to the NBP projections?
Date	Number	Download
2016	238	(PDF)

Central Bank Forecast Accuracy

[Sorry for being AWOL.  Like everyone else, I'm generally three feet underwater and breathing through a straw, but in March and April it seems that even the straw goes under.  Anyway, lots of stuff in the pipeline, so let's try to get going again.]

Rummaging around in the basement I just found this Bloomberg piece on comparative central bank forecasting performance.  A friend emailed it a little more than six months ago (ouch), but it's still interesting.  Maybe you missed it.

Bloomberg's first-ever ranking of central bank forecasting, which is relied on by business and finance, turns up winners and losersBloomberg's first-ever ranking of central bank forecasting, which is relied on by business and finance, turns up winners and losers

New Review of Forecasting at Bank of England

Check it out here. It's thorough and informative.  

It's interesting and unfortunate that even the Bank of England, the great "fan chart pioneer," produces density forecasts for only three of eleven variables forecasted (p. 15). In my view, the most important single forecasting improvement that the Bank of England -- and all central banks -- could implement is a complete switch from point to density forecast construction, evaluation and combination.

The Superiority of Economists

The title of this post is the title of a newish paper by Marion Fourcade (Berkeley), Etienne Ollion (Strasbourg), and Yann Algan (Sciences Po, Paris) (FOA). 

Yes, I know FOA is already published, even insightfully blogged by Krugman. (Blogged on? Blogged upon? Or maybe give up and just say "reviewed"?) But I'm often slow to notice things; maybe you are too. So if you haven't read it yet, take a look. Regardless of your reaction, it's undeniably fascinating reading.

FOA popped back into my head because I recently received an email announcing its September 2015 presentation at the 20th Anniversary Conference of the Foundation Banque de France, with discussion by Ramon Marimon (EUI) and Lucrezia Reichlin (LBS).

It's interesting that FOA is still being presented after publication, which is highly unusual in economics. But it makes sense: it's a unique paper, and there's still a lot to discuss.

Being a Millionaire Isn't What it Used to be

One evening a few weeks ago, some friends and I wound up talking about the "roaring twenties" in the U.S., and all the "millionaires" created, and wondering just what $1 million 1925 dollars would be in 2015 dollars. Obviously the price level has multiplied greatly since 1925, but how many times? Five? Fifteen? Fifty? Five hundred? We weren't really sure.

The handy CPI calculator at FRB Minneapolis came to the rescue: $1 in 1925 is $13.67 in 2015. That is, you'd need $13.67 million in 2015 to have the purchasing power of someone with $1 million in 1925!

If you want to dig a little deeper, the Fed's full annual CPI data 1801-2015 appear in the table below (year, CPI price level, inflation rate). Note that the price level was stable during 1801-1913, after which it grew steadily forevermore. Quiz: Besides steady inflation, what didn't exist in the U.S. before 1913 but has been with us ever since? You know the answer.

Don't get me wrong. I'm not wishing we were back in 1880 with no Federal Reserve System. But the price level pattern certainly does suggest that the benefits delivered by central banks, printing fiat money, come at a significant cost -- the inflation tax -- which is highly regressive, borne disproportionately by the unsophisticated poor.

1801	50	-2.0%
1802	43	-14.0%
1803	45	4.7%
1804	45	0.0%
1805	45	0.0%
1806	47	4.4%
1807	44	-6.4%
1808	48	9.1%
1809	47	-2.1%
1810	47	0.0%
1811	50	6.4%
1812	51	2.0%
1813	58	13.7%
1814	63	8.6%
1815	55	-12.7%
1816	51	-7.3%
1817	48	-5.9%
1818	46	-4.2%
1819	46	0.0%
1820	42	-8.7%
1821	40	-4.8%
1822	40	0.0%
1823	36	-10.0%
1824	33	-8.3%
1825	34	3.0%
1826	34	0.0%
1827	34	0.0%
1828	33	-2.9%
1829	32	-3.0%
1830	32	0.0%
1831	32	0.0%
1832	30	-6.3%
1833	29	-3.3%
1834	30	3.4%
1835	31	3.3%
1836	33	6.5%
1837	34	3.0%
1838	32	-5.9%
1839	32	0.0%
1840	30	-6.3%
1841	31	3.3%
1842	29	-6.5%
1843	28	-3.4%
1844	28	0.0%
1845	28	0.0%
1846	27	-3.6%
1847	28	3.7%
1848	26	-7.1%
1849	25	-3.8%
1850	25	0.0%
1851	25	0.0%
1852	25	0.0%
1853	25	0.0%
1854	27	8.0%
1855	28	3.7%
1856	27	-3.6%
1857	28	3.7%
1858	26	-7.1%
1859	27	3.8%
1860	27	0.0%
1861	27	0.0%
1862	30	11.1%
1863	37	23.3%
1864	47	27.0%
1865	46	-2.1%
1866	44	-4.3%
1867	42	-4.5%
1868	40	-4.8%
1869	40	0.0%
1870	38	-5.0%
1871	36	-5.3%
1872	36	0.0%
1873	36	0.0%
1874	34	-5.6%
1875	33	-2.9%
1876	32	-3.0%
1877	32	0.0%
1878	29	-9.4%
1879	28	-3.4%
1880	29	3.6%
1881	29	0.0%
1882	29	0.0%
1883	28	-3.4%
1884	27	-3.6%
1885	27	0.0%
1886	27	0.0%
1887	27	0.0%
1888	27	0.0%
1889	27	0.0%
1890	27	0.0%
1891	27	0.0%
1892	27	0.0%
1893	27	0.0%
1894	26	-3.7%
1895	25	-3.8%
1896	25	0.0%
1897	25	0.0%
1898	25	0.0%
1899	25	0.0%
1900	25	0.0%
1901	25	0.0%
1902	26	4.0%
1903	27	3.8%
1904	27	0.0%
1905	27	0.0%
1906	27	0.0%
1907	28	3.7%
1908	27	-3.6%
1909	27	0.0%
1910	28	3.7%
1911	28	0.0%
1912	29	3.6%
1913	29.7	2.4%
1914	30.1	1.3%
1915	30.4	0.9%
1916	32.7	7.7%
1917	38.5	17.8%
1918	45.2	17.3%
1919	52.1	15.2%
1920	60.2	15.6%
1921	53.6	-10.9%
1922	50.3	-6.2%
1923	51.2	1.8%
1924	51.5	0.4%
1925	52.7	2.4%
1926	53.2	0.9%
1927	52.2	-1.9%
1928	51.6	-1.2%
1929	51.6	0.0%
1930	50.2	-2.7%
1931	45.7	-8.9%
1932	41.0	-10.3%
1933	38.9	-5.2%
1934	40.2	3.5%
1935	41.2	2.6%
1936	41.7	1.0%
1937	43.2	3.7%
1938	42.3	-2.0%
1939	41.8	-1.3%
1940	42.1	0.7%
1941	44.2	5.1%
1942	49.1	10.9%
1943	52.0	6.0%
1944	52.9	1.6%
1945	54.1	2.3%
1946	58.6	8.5%
1947	67.1	14.4%
1948	72.2	7.7%
1949	71.5	-1.0%
1950	72.3	1.1%
1951	78.0	7.9%
1952	79.8	2.3%
1953	80.4	0.8%
1954	80.7	0.3%
1955	80.5	-0.3%
1956	81.7	1.5%
1957	84.4	3.3%
1958	86.7	2.7%
1959	87.6	1.0%
1960	88.9	1.5%
1961	89.8	1.1%
1962	90.9	1.2%
1963	92.0	1.2%
1964	93.2	1.3%
1965	94.7	1.6%
1966	97.5	3.0%
1967	100.2	2.8%
1968	104.5	4.3%
1969	110.2	5.5%
1970	116.7	5.8%
1971	121.7	4.3%
1972	125.7	3.3%
1973	133.4	6.2%
1974	148.2	11.1%
1975	161.7	9.1%
1976	171.0	5.7%
1977	182.1	6.5%
1978	196.0	7.6%
1979	218.1	11.3%
1980	247.6	13.5%
1981	273.2	10.3%
1982	290.0	6.1%
1983	299.3	3.2%
1984	312.2	4.3%
1985	323.2	3.5%
1986	329.4	1.9%
1987	341.4	3.7%
1988	355.4	4.1%
1989	372.5	4.8%
1990	392.6	5.4%
1991	409.3	4.2%
1992	421.7	3.0%
1993	434.1	3.0%
1994	445.4	2.6%
1995	457.9	2.8%
1996	471.3	2.9%
1997	482.4	2.3%
1998	489.8	1.6%
1999	500.6	2.2%
2000	517.5	3.4%
2001	532.1	2.8%
2002	540.5	1.6%
2003	552.8	2.3%
2004	567.6	2.7%
2005	586.9	3.4%
2006	605.8	3.2%
2007	623.1	2.9%
2008	647.0	3.8%
2009	644.7	-0.4%
2010	655.3	1.6%
2011	676.0	3.2%
2012	689.9	2.1%
2013	700.0	1.5%
2014	711.4	1.6%
2015*	720.3	2%