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

Objective

Central banks worldwide routinely use models in assessing and forecasting the global and domestic economic outlook in order to determine the most suitable monetary policies. Economies evolve over time and policies that worked in the 1980s might not be viable at the present time, thus models must be flexible to account for these changes. Undoubtedly, it is difficult to identify the exact point in time when a change in macroeconomic behaviour occurs, particularly a change that will trigger a reactive monetary policy to neutralise its negative effects. The current project proposes a new methodology, which due to its local nature can react faster to changes in the process than other existing methodologies. This project aims at breaking new ground in several respects. First, by proposing for the first time a nonparametric local linear estimator of multivariate processes with possible smooth or abrupt changes in the parameters. Second, by developing a user-friendly computational package with the aforementioned functionality. Finally, by investigating the effect for G7 and Eurozone economies of the monetary policies driven by the global financial crisis.
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Coordinator

BCAM - BASQUE CENTER FOR APPLIED MATHEMATICS

Address

Al Mazarredo 14
48009 Bilbao

Spain

Activity type

Research Organisations

EU Contribution

€ 158 121,60

Project information

Grant agreement ID: 657182

Status

Closed project

  • Start date

    20 January 2016

  • End date

    19 January 2018

Funded under:

H2020-EU.1.3.2.

  • Overall budget:

    € 158 121,60

  • EU contribution

    € 158 121,60

Coordinated by:

BCAM - BASQUE CENTER FOR APPLIED MATHEMATICS

Spain

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