Research & Projects
Research & Projects
Publications
A Python Package to Assist Macroframework Forecasting: Concepts and Examples with Sakai Ando and Sultan Orazbayev. IMF Working Papers 2025, 172 (2025)
Abstract: In forecasting economic time series, statistical models often need to be complemented with a process to impose various constraints in a smooth manner. Systematically imposing constraints and retaining smoothness are important but challenging. Ando (2024) proposes a systematic approach, but a user-friendly package to implement it has not been developed. This paper addresses this gap by introducing a Python package, macroframe-forecast, that allows users to generate forecasts that are both smooth over time and consistent with user-specified constraints. We demonstrate the package’s functionality with two examples about forecasting US GDP and fiscal variables.
Work In Progress
AI Meets Fiscal Policy: Mapping Government Spending Actions Across 64 Countries with Davide Furceri, Adrian Peralta Alva and Nikhil Patel.
We build the first global quarterly narrative database of discretionary government spending actions by applying a fixed GPT–4.1 prompt to Economist Intelligence Unit (EIU) Country Reports. The resulting unbalanced panel covers 64 countries from 1952– 2023 and identifies exogenous spending shocks. We validate the measure by replicating expert narrative coding in Romer and Romer (2019), showing that the actions predict subsequent movements in measured government spending, and documenting close alignment with action-based consolidation series in Adler et al. (2024). Using countryspecific VARs that treat the narrative indicator as an internal instrument, we derive the first set of comparable cumulative government spending multipliers. The median multiplier is 0.7 at horizons up to two years, with substantial heterogeneity across countries and over time. Pooled estimates imply larger multipliers in less open economies, under fixed exchange-rate regimes, and in downturns. Multipliers are smaller when uncertainty is high and larger when political support is stronger.