Model-Based Monetary Policy Analysis and Forecasting

Model-Based Monetary Policy Analysis and Forecasting (MPAF)

This course, presented by the IMF’s Institute for Capacity Development, provides rigorous training on the use of simple Dynamic New Keynesian (DNK) models to conduct monetary analysis and forecasting with an emphasis on analyzing monetary policy responses to macroeconomic imbalances and shocks. Participants are provided with the tools needed to develop and/or extend the model to fit their own monetary policyexchange rate regime. Country case studies are used to reinforce participants’ understanding and to help them compare, contrast, and assess various experiences.

Course Objectives: Upon completion of this course, participants should be able to: 

• Customize a simple model of an economy in the region that embodies the monetary policy transmission mechanism and the shocks it may face. 

• Acquire and apply tools used in modern central banks to conduct "model-based" monetary policy analysis and forecasting utilizing a hands-on Matlab-based framework. Conduct nowcasting and near-term forecasting for that economy using various estimation-based econometric techniques and expert judgment. 

• Use the model to develop consistent medium-term quarterly projections of key macro variables such as output, inflation, interest rate, and the exchange rate. 

• Identify risks in the baseline forecast and develop contingency plans and policy measures to deal with those risks. 

• Start building a simple model for monetary policy analysis using their own country data, when they return home (if relevant for their work).