Zhuohui Jerry Chen

Zhuohui Jerry Chen

he/him

Ph.D. student in Information Science. Trustworthy LLMs, agents & forecasting. Formerly IMF.

Liquidity Forecasting—Part II: The Statistical Component

Zhuohui Chen, Nikolaos Kourentzes, Romain Lafarguette, Anastasios Panagiotelis, Romain Veyrune
IMF Monetary and Capital Markets Department Technical Assistance Handbook, October 2024
PDFHandbook

This chapter of the IMF’s Technical Assistance Handbook explains the statistical methods behind liquidity forecasting for central bank staff with a quantitative background. It is the companion to Part I: The Institutional Arrangements, and documents the forecasting framework that IMF teams deliver to central banks through technical assistance.

Recommended citation: Chen, Z., Kourentzes, N., Lafarguette, R., Panagiotelis, A., and Veyrune, R. (2024). "Liquidity Forecasting—Part II: The Statistical Component." IMF MCM Technical Assistance Handbook. International Monetary Fund.