We introduce machine learning in the context of central banking and policy analyses. Our aim is to give an overview broad enough to allow the reader to place machine learning within the wider range of statistical modelling and computational analyses, and provide an idea of its scope and...

Libor is arguably the world's most important number, with more than USD 200 trillion of derivatives, loans, securities and mortgages referencing this rate in the US markets alone. The Libor benchmark rate is being replaced with alternative reference rates (ARRs) and there is no guarantee the...

Online storage service providers such as Amazon S3 grant a way for companies, particularly startups, to avoid spending resources on maintaining their own in-house storage infrastructure and thereby allowing them to focus on their core business activities. These providers however follow a fixed,...

We present an algorithm and software routines for computing nth order Taylor series approximate solutions to dynamic, discrete-time rational expectations models around a nonstochastic steady state. The primary advantage of higher-order (as opposed to first- or second-order) approximations is...

Recent experience with interest rates hitting the effective lower bound and agents facing binding borrowing constraints has emphasised the importance of understanding the behaviour of an economy in which some variables may be restricted at times. The extended path algorithm is a commonly used...

Optimization of process, use of Solver Premium: A simulation of cost of fuelling for an international cargo company solved using linear solving software Solver. Starting from a base model, we considered various extensions of the problem in order to take into account other elements that we...

The primary aim of this presentation is to introduce my new book "Low Latency Interest Rate Markets" and expose the reader to the theory and practice of interest rate markets. Interest rate markets exist to support government, corporate and project finance, however the financing of large-scale...

Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified...

This paper outlines the practical steps which need to be undertaken to use autoregressive integrated moving average (ARIMA) time series models for forecasting Irish inflation. A framework for ARIMA forecasting is drawn up. It considers two alternative approaches to the issue of identifying ARIMA...

First-order approximations to the solution to a Dynamic Stochastic General Equilibrium Model (DGSE) are now widely used in the literature. In particular, the solution is usually based on the standard log-linearisation procedure around the steady-state. However, it may be not enough especially...