Forecasting banking system liquidity is crucial for the effective monetary policy implementation. This study investigates the effectiveness of various econometric and machine learning models in predicting the autonomous factors of banking system liquidity. The research compares widely used...

This paper examines estimated forward-looking interest rate rules as a tool for measuring and forecasting monetary policy. Estimation and forecasting results are presented referring to the U.S. monetary policy. Provided that an accurate set of imputs is used, such simple rules prove very helpful...

When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...

Central bank lending to commercial banks is typically collateralized which reduces central bank's credit risk exposure to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a short period of time. This paper presents a simple model...

Central bank lending to commercial banks is typically collateralized which reduces central bank's credit risk exposure to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a short period of time. This paper presents a simple model...

Selgin's Theorem -- that a free banking system operating on a fixed supply of commodity reserves acts to stabilize total nominal spending per year -- provides an analytical bridge between this alternative regime and conventional monetary theory. For a system of competing banks subject to...

In a large sample of countries across different geographic regions and over a long period of time, we find limited country- and variable-specific effects of central bank transparency on forecast accuracy and their dispersion among a large set of professional forecasts of financial and...

Surveying the forecasting practice of several central banks, we find that all these banks issue statements about risks to their macroeconomic forecasts. Often the balance of these risks is assessed as well. Upward [downward] risks to the forecast commonly imply that the outturn is expected to...

To assess the Bank of England Monetary Policy Committee decisions about the Official Bank Rate under forecast uncertainty, I estimate simple forecast-based interest rate rules augmented by the forecast standard deviations recovered directly from the Inflation Report fan charts. I find that...

To assess the Bank of England's Monetary Policy Committee decisions on the official bank rate under forecast uncertainty, I estimate simple forecast-based interest rate rules augmented by the exact forecast standard deviations recovered directly from the Inflation Report fan charts. I find that...