The Reserve Bank of Australia The process

Monetary policy in Australia is set by the Reserve Bank of Australia (RBA) Board. This Board consists of nine members, seven of whom are external to the Bank. No regular set of published forecasts is provided but they can sometimes be gleaned, at least on a qualitative dimension, from studying the Semi-Annual Statement on Monetary Policy, the quarterly reports on The Economy and Financial Markets and speeches of RBA officials.12 One peculiarity of monetary policy in Australia is that the...

What type of forecasting system is desirable

Often forecasting is performed in different sections of a policy-making institution, each with responsibilities for specific parts of the forecast horizon. In particular, it is very common to have two sections. One section concentrates upon modeling of the whole system with a core model, adopting an horizon that is longer than six months, while the other focuses upon the initial six months. This latter group generally employs either an indicator or spreadsheet model, but also uses a good deal...

BEA Auto Unit Sales

We now provide an example of univariate modeling and forecasting with structural time-series models with respect to the monthly domestic auto unit sales made available by the U.S. Bureau of Economic Analysis (BEA) at the URL http www.bea.doc.gov bea pn ndn0207.exe. The series covers the sample period 1967.1-1998.6, and is an extension of that studied in Findley et al. (1998), to compare a subjective pre-adjustment made by an expert analyst and an objective one, based upon five user-defined...

Density forecasts from options prices

A recent development is the derivation of density forecasts from the information about market participants' perceptions of the underlying asset price distribution contained in option market data. Soderlind and Svensson 1997 describe how methods of extracting information about market expectations from asset prices for monetary policy purposes have developed from the estimation of expected means of future interest rates and exchange rates from forward rates to estimation of their complete...

What are the main problems Do these have potential solutions

Clements and Hendry argue that the main problems that afflict economic forecasting arise from the things we don't know we don't know, and of these, shifts in deterministic terms might be the most pernicious. Other possible sources of forecast errors - such as misspecifying the stochastic components or uncertainty due to estimating their parameters - are likely to be less important. Potential solutions such as updating the models parameters, differencing to exploit the rapid adaptability of a...