Olga Bespalova
I am currently an Economist at the International Monetary Fund, where I specialize in Latin America and the Caribbean economies. My work focuses on economic growth, monetary policy, financial sector, macro-financial linkages, reserve adequacy, external and financing needs, data adequacy, and structural issues. I graduated with Ph.D. in Economics from the George Washington University (2018), where I specialized in Econometric Modeling and Forecasting, Macroeconomics, International Finance, and Monetary Economics.My dissertation, titled "Forecast Evaluation in Macroeconomics and International Finance," was directed by Professors Robert Phillips, Frederick Joutz, and Michael Bradley. In the first essay, I assessed the directional accuracy of the World Economic Survey to predict the U.S. macro indicators. In the second essay, I analyzed the forecasting power of the signal approach to force currency crisis episodes. In the third essay, I applied textual analysis to elicit the FOMC forecasts and used encompassing tests to assess informational asymmetry between the FOMC and SPF forecasts for the US GDP.
Address: Washington, District of Columbia, United States
Address: Washington, District of Columbia, United States
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Papers by Olga Bespalova
using the IMF metric. Section G discusses an indicator for government liquidity. Finally, section H concludes with a discussion of the policy implications.
Chapter 1 contributes to the literature on evaluation of the qualitative survey directional forecasts using the World Economic Survey (WES) for the U.S. economy in 1989q1-2015q4. I offer a methodology which combines the ROC curves analysis with the traditional analysis of the contingency tables. I propose criteria to assess in-sample and out-of-sample directional predictive value of the binary indicators, including directional forecasts from the qualitative surveys. I find that the WES has high out-of-sample value in forecasting movements in GDP and consumption, and moderate for imports, trade balance, inflation, and short-term interest rate. It has no value in predicting changes in investment and exports. I also motivate and confirm that the WES Economic Climate (EC) indicator is as a more accurate predictor of future movements in the real GDP than future expectations alone. Additionally, I show that the ROC-optimal thresholds yield more accurate predictions than their alternatives proposed by Hutson et al. (2014).
Chapter 2 re-examines indicators of currency crises suggested by Kaminsky and Reinhart (1999) and subsequent studies using the ROC curves analysis. I utilize a training set (1975-1995) to confirm a list of indicators with the in-sample predictive value, and test their out-of-sample using data for 1996-2002. Four variables have both in-sample and out-of-sample predictive value: the deviation of the real exchange rate (RER) from a trend, the foreign reserves, the ratio of broad money M2 to reserves, and the decline in exports. I show that the ROC-optimal thresholds issue more accurate signals than the minimum noise-to-signal ratio previously used in the literature. I also employ modified ROC curves to display the relationship between the precision of sent signals and recall of crisis episodes. Finally, I propose forecast combinations using several ad-hoc rules which help to improve forecast accuracy.
Chapter 3 contributes to the discussion of asymmetric information about the U.S. economy between the Federal Reserve System (FRS) and the Survey of Professional Forecasters (SPF) via textual analysis of the Federal Open Market Committee (FOMC) minutes. It builds on Stekler and Symington (2016), who scored the texts of the FOMC minutes in 2006-2010 to produce the indexes for the current and future outlooks and their calibrations to the U.S. real GDP. I extend their timeseries adding 26 years of observations to cover 1986Q1-2016Q4. Following Ericsson (2016), I interpret the derived calibrations (FMIs) as elicitcasts of the Greenbook (GB) forecasts. Results indicate that the FMIs are unbiased, efficient, rational, and contain the same informational advantage as the GB forecasts. The forecast encompassing tests suggest that both the FMIs and the SPF forecasts contain their own unique knowledge and can learn from each other. I find that the SPF forecasters already pay close attention to the FOMC minutes available to them at the time of forecast deadline and efficiently use its information in their set. Yet, they could improve their forecasts should the FOMC minutes from the first quarterly meetings become available without a three-week publication lag. During their second quarterly meetings, the FOMC policy-makers accounted only for their own earlier assessment of the U.S. macroeconomy – they did not put weight on the SPF forecasts released a few weeks earlier in the same quarter. The results are robust to the use of alternative scale. Overall, I find that directional forecasts are informative. The qualitative WES survey can produce accurate directional macroeconomic forecasts. The ROC curves analysis helps to set an association between the consensus scores and the growth rates as well as to find accurate indicators of currency crisis. The qualitative statements from monetary policy deliberations can be converted in to the GDP growth forecasts with unique information about the US economy.
Thesis Chapters by Olga Bespalova
One of the most promoted renewable energy policies in this industry is a renewable portfolio standard (RPS), which requires electric utilities and other retail electric providers to supply a specified amount of electricity sales from renewable energy sources. Currently 29 states and District of Columbia have the RPSs, while 7 states have goals; but only about two third of those with the RPS have certain targets to meet.
To my best knowledge, there are no studies analyzing compliance with the RPSs targets or the role of penalty mechanism in the RPS design on meeting its goal. In my Master Thesis I estimate which states are in compliance with their individual RPSs goals and analyze which factors affect the probability of compliance, with the focus on the role of penalty size, and controlling for complimentary policies promoting renewable energy production. I use a fixed effects linear probability model and state level data. Results indicate that including a penalty in the RPS design significantly increases the probability that states will comply with their goals.
Books by Olga Bespalova
Outlook and Risks. The outlook remains positive. Growth is projected to decelerate to 4⅓ percent in 2018 and to rebound to 6⅓ percent in 2019 before converging to its potential of 5½ percent over the medium-term. However, the balance of risks is tilted to the downside. Domestic risks include reputational risks from potential setbacks in addressing outstanding GAFILAT recommendations and tax transparency initiatives, as well as risks to financial stability and the real sector from the oversupply in property markets and winding down of several large infrastructure projects. External risks include rising protectionism, a sharper-than-expected tightening of global financial conditions that may contribute to an appreciation of the U.S. dollar, and weaker-than-expected global growth.
Policy Advice. Maintain the conditions for sustained growth by preserving Panama’s competitive advantage as an attractive destination for business. Further enhance AML/CFT and tax transparency and information exchange, including criminalization of tax evasion, to prepare for the Global Forum and GAFILAT reviews and solidify Panama’s position as a regional financial center. Preserve fiscal discipline and establish a fiscal council. Ensure adequate buffers to mitigate fiscal risks. Further enhance revenue administration and review of tax exemptions to create space for key social needs. Rebalance expenditure from current to strategic public investment and enhance recording the public investment in fiscal accounts. Continue vigilant monitoring of the financial system and alignment of prudential regulation with Basel III. Enhance the role of the Financial Coordination Council in systemic risk assessment and put in place robust frameworks for macroprudential policy, crisis management, bank resolution and FinTech regulation.
using the IMF metric. Section G discusses an indicator for government liquidity. Finally, section H concludes with a discussion of the policy implications.
Chapter 1 contributes to the literature on evaluation of the qualitative survey directional forecasts using the World Economic Survey (WES) for the U.S. economy in 1989q1-2015q4. I offer a methodology which combines the ROC curves analysis with the traditional analysis of the contingency tables. I propose criteria to assess in-sample and out-of-sample directional predictive value of the binary indicators, including directional forecasts from the qualitative surveys. I find that the WES has high out-of-sample value in forecasting movements in GDP and consumption, and moderate for imports, trade balance, inflation, and short-term interest rate. It has no value in predicting changes in investment and exports. I also motivate and confirm that the WES Economic Climate (EC) indicator is as a more accurate predictor of future movements in the real GDP than future expectations alone. Additionally, I show that the ROC-optimal thresholds yield more accurate predictions than their alternatives proposed by Hutson et al. (2014).
Chapter 2 re-examines indicators of currency crises suggested by Kaminsky and Reinhart (1999) and subsequent studies using the ROC curves analysis. I utilize a training set (1975-1995) to confirm a list of indicators with the in-sample predictive value, and test their out-of-sample using data for 1996-2002. Four variables have both in-sample and out-of-sample predictive value: the deviation of the real exchange rate (RER) from a trend, the foreign reserves, the ratio of broad money M2 to reserves, and the decline in exports. I show that the ROC-optimal thresholds issue more accurate signals than the minimum noise-to-signal ratio previously used in the literature. I also employ modified ROC curves to display the relationship between the precision of sent signals and recall of crisis episodes. Finally, I propose forecast combinations using several ad-hoc rules which help to improve forecast accuracy.
Chapter 3 contributes to the discussion of asymmetric information about the U.S. economy between the Federal Reserve System (FRS) and the Survey of Professional Forecasters (SPF) via textual analysis of the Federal Open Market Committee (FOMC) minutes. It builds on Stekler and Symington (2016), who scored the texts of the FOMC minutes in 2006-2010 to produce the indexes for the current and future outlooks and their calibrations to the U.S. real GDP. I extend their timeseries adding 26 years of observations to cover 1986Q1-2016Q4. Following Ericsson (2016), I interpret the derived calibrations (FMIs) as elicitcasts of the Greenbook (GB) forecasts. Results indicate that the FMIs are unbiased, efficient, rational, and contain the same informational advantage as the GB forecasts. The forecast encompassing tests suggest that both the FMIs and the SPF forecasts contain their own unique knowledge and can learn from each other. I find that the SPF forecasters already pay close attention to the FOMC minutes available to them at the time of forecast deadline and efficiently use its information in their set. Yet, they could improve their forecasts should the FOMC minutes from the first quarterly meetings become available without a three-week publication lag. During their second quarterly meetings, the FOMC policy-makers accounted only for their own earlier assessment of the U.S. macroeconomy – they did not put weight on the SPF forecasts released a few weeks earlier in the same quarter. The results are robust to the use of alternative scale. Overall, I find that directional forecasts are informative. The qualitative WES survey can produce accurate directional macroeconomic forecasts. The ROC curves analysis helps to set an association between the consensus scores and the growth rates as well as to find accurate indicators of currency crisis. The qualitative statements from monetary policy deliberations can be converted in to the GDP growth forecasts with unique information about the US economy.
One of the most promoted renewable energy policies in this industry is a renewable portfolio standard (RPS), which requires electric utilities and other retail electric providers to supply a specified amount of electricity sales from renewable energy sources. Currently 29 states and District of Columbia have the RPSs, while 7 states have goals; but only about two third of those with the RPS have certain targets to meet.
To my best knowledge, there are no studies analyzing compliance with the RPSs targets or the role of penalty mechanism in the RPS design on meeting its goal. In my Master Thesis I estimate which states are in compliance with their individual RPSs goals and analyze which factors affect the probability of compliance, with the focus on the role of penalty size, and controlling for complimentary policies promoting renewable energy production. I use a fixed effects linear probability model and state level data. Results indicate that including a penalty in the RPS design significantly increases the probability that states will comply with their goals.
Outlook and Risks. The outlook remains positive. Growth is projected to decelerate to 4⅓ percent in 2018 and to rebound to 6⅓ percent in 2019 before converging to its potential of 5½ percent over the medium-term. However, the balance of risks is tilted to the downside. Domestic risks include reputational risks from potential setbacks in addressing outstanding GAFILAT recommendations and tax transparency initiatives, as well as risks to financial stability and the real sector from the oversupply in property markets and winding down of several large infrastructure projects. External risks include rising protectionism, a sharper-than-expected tightening of global financial conditions that may contribute to an appreciation of the U.S. dollar, and weaker-than-expected global growth.
Policy Advice. Maintain the conditions for sustained growth by preserving Panama’s competitive advantage as an attractive destination for business. Further enhance AML/CFT and tax transparency and information exchange, including criminalization of tax evasion, to prepare for the Global Forum and GAFILAT reviews and solidify Panama’s position as a regional financial center. Preserve fiscal discipline and establish a fiscal council. Ensure adequate buffers to mitigate fiscal risks. Further enhance revenue administration and review of tax exemptions to create space for key social needs. Rebalance expenditure from current to strategic public investment and enhance recording the public investment in fiscal accounts. Continue vigilant monitoring of the financial system and alignment of prudential regulation with Basel III. Enhance the role of the Financial Coordination Council in systemic risk assessment and put in place robust frameworks for macroprudential policy, crisis management, bank resolution and FinTech regulation.