This page summarises some impact aspects of previous research and funding.
The Real-time Economics Conference hosted by FRB Philadelphia and other central banks since 2001 provides annual meetings for researchers interested in real-time economic analysis, encompassing nowcasting, high-frequency data, surveys, expectations, macroeconometrics, real-time data and macroeconomic policy. The permanent program committee members are Dean Croushore (Richmond), Domenico Giannone (Amazon), Simon van Norden (HEC Montreal) and me.
The macroeconomic ensemble forecasting system at Norges Bank, subsequently known as SAM, built on ideas from a research team developing methods for real-time forecasting using density combinations from a large number of time series models.
The PROFOR toolbox for MATLAB allows the researcher to easily construct models and combine them. Forecasts can be constructed with real-time data and estimated recursively to facilitate the production of forecasts at regular intervals eg for forecasting rounds at a central bank. A separate webpage describes this project. Developed with support from the Bank of England and Norges Bank during 2014.
The RBA Shadow Board project at ANU stems from my spell as CAMA Director and founding chair of the Board. Virtual shadow monetary policymakers assess probabilistically the appropriate interest rate path for Australia since 2011. Timo Henkel (ANU) chairs the current Shadow Board. The working paper “Probabilistic interest rate setting with a shadow board”, with Timo Henkel and Liz Wakerly, describes the pilot project. A related FT letter,”Lessons from down under for the Bank of England” (February 13, 2014) flags the Shadows and the NZ equivalent. A longer article in The Conversation, “Forward or fuzzy: just how much should central banks reveal?” fleshed out the implications for probabilistic communication by policymakers. Some older articles about the Shadow Board can be found in The Conversation.
“The Money Cloud: Democratising FX Expertise” Principal Academic Investigator, with Craig Thamotheram (NIESR) and international collaborator Simon van Norden (HEC Montreal). The Money Cloud Consortium comprises The Money Cloud, the Coefficiency Lab and the University of Warwick. Innovate UK, July 2019 to March 2020, UKP 560k.
“What are Words Worth? The predictive content of big data news sentiment indicators for real-time assessments of the vulnerability to UK’s economic growth”. Principal Investigator, with Craig Thamotheram (NIESR), Danilo Giannone (Warwick) and international collaborator Leifa Thorsrud (BI). Turing-HSBC-ONS Economic Data Science Award 2018, October 2018 to December 2019, UKP 50k.
“Probability Forecasting with Macro Variables”, Principal Investigator, with Partner Investigator E. Wakerly, Warwick Business School, funded jointly by Norges Bank and the Bank of England, January 2014 to December 2014, UKP 80k.
“Helping Central Banks Measure Unobserved Variables with Real-time Forecasts”, Principal Investigator, with Partner Investigators A. Garratt, J. Mitchell and F. Ravazzolo, LP0991098, July 2009 to June 2011, Australian Research Council Linkage Grant, AUD 386k.
“Producing Robust Density Forecasts: Applications to Monetary Policy”, A. Garratt, S. Hall, and J. Mitchell, as international collaborator, ESRC, RES-062-23-1753, July 2009 to June 2011, UKP 240k.
“Real-time Data and Monetary Policy”, A. Garratt and G. Koop, as international collaborator, ESRC, RES-000-22-1342, June 2005 to May 2007, UKP 42k.
“Tax Smoothing, Gladstonian Orthodoxy and UK Fiscal Policy”, Principal Investigator, with J. Nason, ESRC RES-000-23-0413, awarded June 2003, declined, UKP 44k.
“Debt Management and the Evolving Macroeconomy”, Principal Investigator, ESRC Award L38251021, April 2000 to July 2002, UKP 100k.