Topic: Forecasting output and inflation with global components. This time is different
Speaker: Hilde C. Bj?rnland, Professor of Economics, BI Norwegian Business School
Date: May 21st, 2014 (Wed.)
Time: 1:00-2:30pm
Location: Building 4, Room 101
Language: English
Abstract:
Designing a forecasting experiment where we include foreign factors in the predictive regressions, we show that there is a significant increase in short term forecasting performance of output for nearly all countries at the start of the financial crisis (2007). Hence, we confirm Imbs (2010) who using a correlation study find the financial crisis to be the first global recession in decades. However, 1-2 years into the crisis, we find that there is a substantial decline in forecast performance across the world, suggesting a recovery phase that has been far from global. Moreover, while co-movement in output increases in particular during global crisis episodes (recessions), co-movement in inflation rates instead increases systematically over time. Interestingly, we find that the countries that have the most synchronized inflation rates are the same countries that have adopted inflation targeting as their framework for monetary policy.
About the speaker:
Hilde C. Bj?rnland is a Professor of Economics at the BI Norwegian Business School. She holds a Master of Science in Econometrics and Mathematical Economics from London School of Economics, and a PhD (Dr.Polit) in Economics from the University of Oslo. She was awarded His Majesty, The King of Norway’s Gold medal from the University of Oslo for the Ph.D. thesis. Professor Bj?rnland’s main area of research is within applied macroeconomics and econometrics. She has published in leading journals such as the Journal of Monetary Economics, Journal of International Economics, and Journal of Forecasting. Professor Bj?rnland is also the Director of the research center CAMP (Centre for Applied Macro- and Petroleum economics) at the BI Norwegian Business School. Since 2006 she has been a board member of the Financial Supervisory Authority of Norway (Finanstilsynet) and the Petroleum Price Board (PPB).
