Forecast of time-varying effects of post-GFC monetary policy + a novel computing application

Project Information

Post-GFC Monetary Policy

Grant agreement ID: 657182

DOI

10.3030/657182

Project closed

EC signature date 27 August 2015

Start date 20 January 2016

End date 19 January 2018

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost

€ 158 121,60

EU contribution

€ 158 121,60

Coordinated by

BCAM - BASQUE CENTER FOR APPLIED MATHEMATICS
Spain

Periodic Reporting for period 1 - Post-GFC Monetary Policy (Forecast of time-varying effects of post-GFC monetary policy + a novel computing application)

Reporting period: 2016-01-20 to 2018-01-19

Summary of the context and overall objectives of the project

During my Marie-Curie Fellowship I worked to reach the different objectives we proposed in the initial proposal. We recall quickly the general framework: we are interested in the theoretical development of new models with time-varying coefficients which can be applied macroeconomics and finance. These models detect changes in the relationship between variables automatically making them more reliable for policymakers and investors. Another important objective of this project is to make these models more accessible to other researchers who do not work in this field by providing the computing functions in a format that is easy to use. Although many econometrics models have been expanded to have time-varying coefficients, using kernel smoothing techniques in the last decade, no software with those algorithms is publically available. Finally, as a spill-over, we wanted to explain the most important concepts of monetary policy in layman's terms.

Work performed from the beginning of the project to the end of the period covered by the report and main results achieved so far

Here are the major milestones and results of this work:
* Development of time-varying SURE model. We presented results at two international conferences: the COMPSTAT 2016 and the CFE 2016. Also we submitted an article in September 2017 which is in the process of revise and resubmit.
* Development of new time-varying linear models to estimate and forecast the realized volatility which is used to forecast financial returns, economic output and financial instability. We presented results in three invited seminars (at Sydney University, Monash University and the Australian National University) and two international conferences: the CFE 2017 and the China International Risk Forum 2017. It will be presented at the 2018 China Meeting of the Econometric Society, the SMBD 2018 and Computing in Economics and Finance 2018 amongst others. An article was submitted in February 2018 to a very good journal in econometrics.
* Development of R package with the functionality of different time-varying coefficients models. Submitted and accepted in the CRAN repository in November 2017. We already achieved significant results in our investigation of the dynamics of fermions with long-ranged interactions on lattices.
* Public dissemination in a YouTube list of 5 videos explaining the basics of monetary policy. Submitted in March 2017.

Progress beyond the state of the art and expected potential impact (including the socio-economic impact and the wider societal implications of the project so far)

"This MFC project has enhance my professional skills greatly. I feel ready to supervise and guide other researchers in the field of my expertise. In particular, my understanding of econometrics methods for time-varying coefficients in many different types of models and several new applications has improved enormously. Having the opportunity to work with experts in this fields have made it possible. Worth mentioning: a) the work with Eva Ferreira who is a world expert in tv-SURE models and has a great statistical intuition and b) the work with Richard Gerlach who knows how to manage a department and many projects and students, while keeping a good level of research.

Working in BCAM has put me in contact with Mikel Lezaun, Jon Sáenz and Gabriel Berastegui (University of Basque Country) who are involved in wave power electricity production projects. It is my hope to commence some work in this field that is so close to my personal interests and that can result in important societal improvements. We have already shared data for this project and I started working on it in March 2018.

The scholarship has also provided me with funds to attend three courses that have broaden my knowledge of modelling. One in ""Extreme Events"" in Italy, one in ""Data Assimilation"" in Romania and one in ""Deep Learning"" in Spain. In addition, I have been able to fund my research visits to work with Rubén Fernández-Casal in the University of A Coruña and Helena Veiga in the University Carlos III. These two collaborations not only have resulted in deliverables of this project, but also have open two new fronts of research in my careers. I have also been able to invite Yanrong Yang to give a seminar in BCAM and discuss future collaboration. My

The part of the project related with public dissemination gave me the opportunity to experience a hiring process for a BCAM internship. A German student was hired whom I supervised during his visit in BCAM.
"

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