Discussion of Suero (2025)

BSP Research Huddle

2025-05-21

Thanks

  1. Harold for the invitation

  2. Joshua for the chance to read some work on forecasting

    • led to thinking about some connections to work-in-progress about combining data from probability and non-probability samples
    • one fo the figures in the paper motivated me to think about forecast combinations with large and non-interpretable model universes

My dips into forecasting – supervision

  1. 2 bachelor’s theses on fixed-\(T\) panel data forecasting

    • working out theoretical details of a base case
    • application

  2. 1 master’s thesis on fixed-\(T\) panel data forecasting

    • forecasting using correlated random effects

  3. 1 master’s thesis on forecasting aggregated NPL ratios in the Philippines

    • reverse MIDAS application

Summary

  1. Goal: Forecast total external debt in the Philippines

  2. Purpose: Attempt to provide a standardized workflow

  3. Presumed audience:

    • Central bank staff: For easy and fast deployment
    • The proactive policy-maker: Lessen reliance on one misspecified model

  4. (New-ish?) Time-varying optimal weighting of forecasts

  5. (New-ish?) Using the lasso for recovering weights

External debt?

  1. Uncommon to hear forecasts of the level of external debt

    • External debt as a percent of GDP?
    • Internal reports to BSP seems to contain decomposition of external debt
    • What are the reactions of economic agents to external debt projections?