IMF | STI

Details

Start: 
November 11, 2024

End:
November 15, 2024

Course Number:
ST24.24

Application Deadline

July 19, 2024

In-Person : Tools for Central Banking Implementation: FX Intervention, Liquidity Forecasting, and Central Bank Balance Stress Testing (CB)

November 11 - 15

Target Audience

Mid-level to senior central bank officials interested in market operations, monetary policy strategy, and/or conducting stress tests on central bank's balance sheet.

Qualifications

Participants with experience in bank central bank operations, financial markets, and basic knowledge of quantitative methods.

Course Description

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 techniques suitable for:

• Central banks operating an interest rate corridor
• Central banks operating a flexible exchange rate arrangement, intervening on the foreign exchange market with financial and price stability objectives
• Central banks transitioning from a fixed exchange rate arrangement to a floating exchange rate arrangement

The course covers topics:

• FX Intervention Tool
  • Theoretical background for risk-based FX interventions
  • The econometric theory of risk estimation
  • Application on a country case

• 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

• 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

Course Objectives

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

• An FX risk model that can be used for:
  • Conducting FX market monitoring and inform policymakers decisions
  • Intervening on the FX markets via a risk-optimal approach
• A liquidity forecasting framework that can be used for:
  • Forecasting autonomous factors and total liquidity
  • Forecasting demand for reserve
  • Calibrating operations

And participants should be able to analyze central bank's balance sheet.