About this learning event

Forecasting systemic liquidity is crucial to central banks' liquidity management. Accurate autonomous factors forecasts contribute to smoothly operating the monetary framework, calibrating the open-market operations, strengthening monetary transmission, and taming interbank market volatility. 

The Monetary and Capital Markets Department of the IMF has developed a new framework to help central banks to forecast the autonomous factors over short horizons. This new tool leverages the latest developments in the statistical literature and features an easy-to-use interface for daily operations. The framework entirely automates a set of forecasting models, featuring multiple model estimation, automatic fine-tuning, treatment of structural breaks, model validation, dynamic selection on out-of-sample performances, forecasts reconciliation, and interactive report generation. 

The software infrastructure is based on a state-of-the-art, open-source programming R language and can be installed at no cost. This new methodology has already been deployed in a dozen central banks worldwide, including those with limited staffing and data availability. This course will present the new framework and deliver a live demo to participants. Previous statistical or programming knowledge is not necessary.

Faculty

Romain Lafarguette - Central Bank Operations division, IMF
Romain provides technical assistance in financial modeling and forecasting, domestic liquidity management, and foreign reserves management.

Target audience

Central bank experts responsible for monetary policy operations and liquidity forecasting, researchers,  also colleagues in the economics department dealing with near-term forecasting frameworks.

Practical information

This webinar is free to join and there is no limitation on the number of participants per institution. Please feel free to bring this webinar to the attention of your colleagues who may find the discussion timely and useful for their work!

When: May 31, 2022, at 14:30 CEST.  Access will be possible 15 minutes before the official start. The webinar will last appr. 1,5 hours.
Where: From the convenience of your computer or smartphone. Please note that to participate in this webinar, you need to install ZOOM on your computer or smartphone. This will take only a minute but may require you to inform your system administrator.
Language: English. No interpretation will be provided

Partners

This learning initiative was supported by: