Tools for Central Banking Implementation: Liquidity Forecasting and FX Intervention

The course teaches advanced statistical methods to estimate and implement foreign exchange intervention rules based on a risk approach, to forecast systemic liquidity in the context of different operational frameworks, and to conduct stress tests on central bank’s balance sheet as well as its profit & loss.

The course covers topics:

1. FX Intervention Tool
   • Theoretical background for risk-based FX interventions
   • The econometric theory of risk estimation
   • Application on a country case
2. Liquidity Forecasting Tool
   • Institutional framework for liquidity forecasting
   • Statistical basics for forecasting
   • Forecast the autonomous factors (currency in circulation, net foreign assets, state account balance) and total liquidity using a comprehensive, cutting-edge statistical framework
   • Application on a case
3. Central Bank Balance Sheet Stress Testing
   • General framework for modeling central bank’s balance sheet and how to tailor it to a specific country
   • Forecasting central bank’s balance sheet and profit & loss
   • Stress testing central bank’s equity and evaluating solutions to enhance financial soundness of central bank’s balance sheet (e.g., recapitalization)
   • Satellite models for forecasting key balance sheet items

Past course announcements:

The IMF Singapore Regional Training Institute