IMF Working Papers

Autonomous Factor Forecast Quality: The Case of the Eurosystem

By Romain M Veyrune, Shaoyu Guo

December 27, 2019

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Romain M Veyrune, and Shaoyu Guo. Autonomous Factor Forecast Quality: The Case of the Eurosystem, (USA: International Monetary Fund, 2019) accessed November 21, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

The publication of liquidity forecasts can be understood as part of central banks’ push toward greater transparency regarding monetary policy implementation. However, the advantages of transparency can only be realized if the information provided is accurate and reliable. This paper (1) provides an overview of the international practice of publishing the forecasts; (2) proposes and implements a framework to evaluate the accuracy and reliability of forecasts using the long history of Eurosystem forecasts as a case study; and (3) analyzes the Eurosystem forecast errors to determine the factors influencing forecast quality. A supporting factor for a high-quality forecast is the contemporaneousness of the information used, whereas money market segmentation can weigh on forecast quality.

Subject: Asset and liability management, Banking, Central bank accounting, Central banks, Exchange rate arrangements, Financial markets, Foreign exchange, Liquidity, Money markets, Open market operations

Keywords: Autonomous factor, Autonomous factors, Balance sheet development, Central bank accounting, Central banking, ECB estimate, Evaluation, Exchange rate arrangements, Forecast error, Forecasting, Global, Liquidity, Liquidity manager, Market segmentation, Money markets, Open market operations, Operational frameworks, Refinancing operation, WP

Publication Details

  • Pages:

    40

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2019/296

  • Stock No:

    WPIEA2019296

  • ISBN:

    9781513522005

  • ISSN:

    1018-5941

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