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Alright! Today we premiered the logo of my subject Quantitative Methods 1. Ofc, it presents linear regression output. My question to you is: what's the applied problem we're talking about here? Can you guess?
Reproduction scripts: https://github.com/donotdespair/naklejki/tree/master/qm1
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🪴 Everybody thinks so! My forecasting system, with nearly 200 predictive models, provides an 82 per cent chance of RAISE! 🚀 This probability is in line with those provided by Australian analytical departments and expresses the market expectations ✅ The most recent readings of inflation above the target likewise suggest the same. Therefore, despite the predictive interval including the current cash rate value, I say it’s a likely RAISE.
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💖 Our newest working paper is now available on arxiv: https://doi.org/10.48550/arXiv.2603.16035
💝 We propose a new volatility model for structural vector autoregressions!
🎀 And it's great for even more precise estimation, homoskedasticity verification, forecasting, and structural analyses!
❤️💛 AND the models are all implemented in my R package bsvars! Enjoy the reading and fast computations!
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We remember about folks inspiring and motivating us! #bsvars #bayesian #macroeconometrics
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✨⭐ Here it comes! A new working paper with fantastic Fei Shang. That's another methodological paper for the R package bsvars! 🩷💛 Just have a look at the abstract! Rest assured we provide solid backing for each of them 🦾💪
More details coming up soon.
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And here's the seminar recording https://www.youtube.com/watch?v=ef3eXbqNbr8
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🖤💙 Oh, how nice! The International Labour Organization provided the recording of my yesterday's seminar on my new forecasting system for labour market outcomes and my R package bpvars I developed for them! It's all very good 🤍
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The presentation slides are now available at 🌐 https://bsvars.org/2026-03-bpvars-ilo/
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Have a look at this! 🖤💙 That's my presentation of the forecasting system I developed for the International Labour Organization and implemented in the R package bpvars!
Slides are available at 🌐 https://bsvars.org/2026-03-bpvars-ilo/
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Rather not! I don’t know! What do you think? 🤷♀️ According to my forecasting system, the cash rate is set to hold steady. Despite the forecast mean being on a clear upwards trajectory, the forecast intervals include the current cash rate value decisively. I’m sticking with my call: HOLD! 🛑 My forecasts are available at: https://forecasting-cash-rate.github.io/
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Hey hey, please join me for my webinar for the International Labour Organization next Wednesday that includes precentation of my R package bpvars 💙🖤
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🌐 Registrations and info: https://www.ilo.org/meetings-and-events/forecasting-labour-market-outcomes-using-bayesian-hierarchical-panel-vars -
It’s a RAISE! And maybe for the better! Inflation readings consistently outside of RBA’s target convinced everybody about the inevitability of the RAISEs. That’s what my forecasts capture. The current cash rate value is decisively outside of the predictive interval and the mean indicates an increase in its value. My forecasts are available at: https://forecasting-cash-rate.github.io/
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⬛🟦⚪ Two years in the making! In a fantastic collaboration with Miguel from the International Labour Organisation! 🖤💙 The 'bpvars' package for Forecasting with Bayesian Panel Vector Autoregressions is out on CRAN! And it's spectacular! Have a look:
https://cran.r-project.org/package=bpvars
#bpvars #bsvars.org #rstats -
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It's definitely a possibility! 🤷♀️ That's what market participants think. Different forces are pulling in opposite directions, and no one is 100% certain about the course of action. 🤷♂️ And that's what my forecasts indicate: the bond yield curve models for the monthly data set on the CUT, but weekly data models and other specifications indicate a HOLD decision. The former usually forecasts more precisely, and therefore it's a CUT. But I'm not 100% certain 🤷
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👽 There it is! 👾 Our new and shiny paper for the Journal of Econometrics! 🤖
https://doi.org/10.1016/j.jeconom.2025.106107 🚀In this paper:
✅ we provide general conditions for partial identification of Structural VARs through heteroskedasticity
✅ we show that it's great for analysing fiscal policy effects on the economy
✅ it's the methodological paper for my bsvars package👇
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This time they will, right? 🤖👾 The markets are right in their assessment that the cash rate is on a downward-sloping trajectory. Last month’s decision to HOLD does not contradict this. Unsurprisingly, this month, similarly to July, my predictions indicate a CUT. 👽🚀 The predictive intervals do not contain the current cash rate value, but they include a 25bp cut. The forecast mean suggests a 15bp decrease.
My forecasts are available at: https://forecasting-cash-rate.github.io/
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Hey! Save the date as my new presentation for fantastic 🇺🇦Workshops for Ukraine 🇺🇦 by Dariia Mykhailyshyna is coming up on Sep 25! And it's about:
💙 Intro to C++ programming for R applications for Econometricians 💛
Register following the instructions at: https://sites.google.com/view/dariia-mykhailyshyna/main/r-workshops-for-ukraine#h.54unp6nxuu7k
Nice! ❤️🇺🇦
#IsupportUkraine #UKR #cpp4Rapp #rstats #econometrics #Rcpp #RcppArmadillo
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✨ This is to celebrate a 12-correctly-predicted-decision streak for my forecasting system... that is now over! 🤣
⭐ My system predicted last twelve decisions right, which reaches back to November 2023! ⭐
This time it predicted a decisive CUT but the RBA kept the cash rate at the current level. That's OK!
After another cut, I'll write more about the mid-to-long-term trajectories for cash rate.
In the meantime, enjoy my gif 💜 💙
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👽 Third time lucky! The forecasts from my predictive system indicate another 3️⃣ CUT. The predictive intervals do not contain the current cash rate value. 🤖 They include a 25bp cut, though. The forecast mean suggests a 15bp decrease. 📉
👾 My system predicted correctly last 12 decisions. Will 13 become my lucky number? 🚀
🌐 These forecasts are available at: https://forecasting-cash-rate.github.io/
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It was super cool to visit Macau for the first time and present at the SETA conference! 😎 So many interesting researchers to meet and presentations to watch! ...and to share our essential evidence for Time Varying Identification of Structural VARs! 📊
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Alright! ✨ The teaching semester is over and it was so cool to work with such brilliant first-year students 👩🏫 on Quantitative Method 1 👩💻 at the @unimelb We covered quite some essential topics, and now... I can't wait for the Monday's exam! 🚀
Good luck, everybody! In culo alla balena! 🤗
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😎 In line with expert opinions and market expectations, the combined forecasts from my models indicate a decisive CUT 📉 of the cash rate in May. The predictive intervals do not include the rate’s current value and include a 25bp cut ✅ All the bond yield curve models’ predictions align with these projections, and those that rely more on exchange rates or cash rate persistence do not.
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Having correctly predicted the last cut, my forecasting system has settled on an uncontroversial HOLD 🛑 prediction for the RBA’s April meeting. Regarding the interest rate’s values for the next year’s horizon, one needs to consider the world’s political uncertainty and its impact on inflation and economic activity in Australia. Providing the mid-term cash rate trajectory will not be possible before another two or three rate cuts. 📉
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I have been forecasting RBA's decisions about the cash rate since October 2022⏳ answering the survey by https://www.finder.com.au/rba-cash-rate The 3️⃣ major wins were that my forecasting system predicted:
+ 9 months ahead that the cash rate will be up to 4.1% by mid-2023 📈
+ 20 out of 24 RBA's decisions correctly ✅
+ identified the first CUT after over a year of no movements on the cash rate 📉Good time series econometrics is working! Find my forecasts at: https://forecasting-cash-rate.github.io/
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Woohoo! ✨🌟 I'm so happy that my #forecasting system predicted the CUT 📉 Change-point forecasting is difficult and I never took it for granted that the system will identify the CUT after over a year of no movements on #cashrate. But it managed: https://fosstodon.org/@tomaszwozniak/113990476075526687
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The cash rate has not moved since October 2023. So, how come the forecasts may indicate a CUT for the February meeting?❓❓
https://fosstodon.org/@tomaszwozniak/113990476075526687
✨ That's bc bond yield curve modelling includes rates on bonds of different maturities that contain whole lot of information, also about market participant expectations. And it seems, we all expect a CUT. 📉✅
This or the next time 😎
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Cherish the day! ✨💫 My forecasting system indicates a decisive CUT 📉. The predictive intervals from the pooled forecast, including from all bond yield curve models, for the first time in years, do not include the current value of the cash rate. This seems in line with what the newest data releases, including inflation readings, suggest. ✅
You can access these forecasts at https://forecasting-cash-rate.github.io/
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Expect no changes in the cash rate for now. One should add “unsurprisingly” because all the statistical data releases and RBA’s communication indicate an extension of the wait for the first cut. My forecasts from statistical modelling confirm this. The next board meeting in February will be held after some political changes worldwide, and for now, it is impossible to tell if the monetary policy stance will be affected. So, we keep waiting.
https://forecasting-cash-rate.github.io/
#cashrate #forecasting #rstats -
WOW! I have been doing the 𝘤𝘢𝘴𝘩 𝘳𝘢𝘵𝘦 𝘧𝘰𝘳𝘦𝘤𝘢𝘴𝘵𝘴 for two years now! And it's been so much fun! 🚀
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We're over it! ⭐ ... and we're going down soon! ✨ My forecasts are centred at HOLD for this month. We have just pasted the times of a high probability of RAISE as it went down from over 70 per cent in July to less than 50 per cent for the upcoming meeting. For the first time, my forecasts indicate a decisive CUT for December, as the predictive interval for that month does not include the current cash rate level. 💫
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You can access these forecasts at https://forecasting-cash-rate.github.io/
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Yeah, nah! It’s interesting! 🤣 🤓 👻
My forecast shows only a 60% probability of the cash rate increase in June but as much as a 75% chance in July. Additionally, the multivariate models for weekly data have the cash rate’s current level out of the forecast intervals, indicating a decisive increase. However, the pooled forecast of weekly and monthly data using multi- and uni-variate models says 𝗛𝗢𝗟𝗗. 👫 👬 👭
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Yet unlikely! 👻 👾 👽
My forecasts indicate the beginning of a downward trend in the cash rate. However, the uncertainty around this trend remains large enough to suggest a 𝗛𝗢𝗟𝗗 decision. 🛑
For the first time in my forecasting exercise bond yield curve models for monthly data exclude the hold decision from the forecast interval in favour of a cut. 📉 Other groups of models balance this effect out in my pooled forecast, though.
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And here comes the HEX sticker of my cash rate forecasting website, where I provide codes and forecasts from the predictive system!
That's a hydra plot!
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Here comes a new working paper with Annika featuring a 𝗻𝗲𝘄 𝗺𝗼𝗱𝗲𝗹 and new exciting 𝗳𝗶𝗻𝗱𝗶𝗻𝗴𝘀 from data! https://papers.tinbergen.nl/23074.pdf