Probabilistic Policy and Macro Forecasting

I’ve had spells at the Reserve Bank of New Zealand and Norges Bank.  The policy dimension focused on developing Dynamic Stochastic General Equilibrium methods at the Reserve Bank and designing a macroeconomic forecasting system at Norges Bank.  The forecasting system took an ensemble approach and subsequently became known as SAM.  It has successfully shaped monetary policy in Norway since 2009.

A couple of subsequent research projects developed further some ideas on probabilistic policy and macro forecasting — drawing on  my spells as a central banker.  The outputs and research projects described on this page (mostly) take that probabilistic route.

PROFOR 

A MATLAB-based toolbox for macroeconomic forecasting that allows the researcher to easily construct models and combine them in a similar way to SAM (the Norges Bank system).  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.

Op-Eds

1) “Uncertainty helps communicate risk”, Financial Times, Letter, August 19, 2013, here

2) “Lessons from down under for the Bank of England”, Financial Times, Letter, February 13, 2014, here

3) “Forward or fuzzy: just how much should central banks reveal?” The Conversation, March 17, 2104, here

4) Older articles in The Conversation

Shadow Board at CAMA (ANU)

1) “Probabilistic interest rate setting with a shadow board”, with Timo Henkel (ANU) and Liz Wakerly (EPS), working paper

2) The current Shadow Board webpage, non-voting chair Timo Henkel (ANU)

Previous Funding (current funding under research)

1) “Probability Forecasting with Macro Variables”, Principal Investigator (with Partner Investigator E. Wakerly), Warwick Business School, funded jointly with Norges Bank and the Bank of England, January 2014 to December 2014, UKP 80k.

2) “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.

3) “Producing Robust Density Forecasts: Applications to Monetary Policy”, A. Garratt, S. Hall, and J. Mitchell, international collaborator, RES-062-23-1753, July 2009 to June 2011, UKP 240k

4) “Real-time Data and Monetary Policy”, A. Garratt and G. Koop, international collaborator, ESRC RES-000-22-1342, June 2005 to May 2007, UKP 42k

5) “Tax Smoothing, Gladstonian Orthodoxy and UK Fiscal Policy”, Principal Investigator, with J. Nason, ESRC RES-000-23-0413, awarded June 2003, declined, UKP 44k

6) “Debt Management and the Evolving Macroeconomy”,  Principal Investigator, ESRC Award L38251021, April 2000 to July 2002, UKP 100k