Laurent Ferrara has been elected in July 2024 as President of the International Institute of Forecasters. He has been full Professor of International Economics at SKEMA Business School since September 2019. He is also Adjunct Professor at the Paris School of Economics, a research associate at the Centre for Applied Macro Analysis of the Australian National University, as well as at CNRS research unit of the University of Paris Nanterre.
How did you become a forecaster?
After earning my MSc in Statistics, I quickly transitioned to forecasting as my PhD thesis was funded by RATP, the company managing public transportation in the Paris area. My role involved developing new time series models to forecast traffic and ticket sales throughout the region. At the same time, my PhD dissertation focused on innovative non-linear time series models, particularly fractionally integrated ones, capable of accounting for long memory in the data.
Following my PhD, I continued exploring non-linearities and their integration into econometric models. I began macroeconomic forecasting at a research institute in Paris, where I developed numerous leading and coincident indicators of business cycles to track economic activity in various countries. This research led to collaboration with Eurostat, the European Statistical Institute, where I engaged with a talented group of statisticians and econometricians. This experience broadened my research scope, especially in managing large datasets and in exploring new econometric modelling.
After several years, I joined the Banque de France to forecast economic growth in the euro area and its major countries. I later became the Head of the International Macro division, responsible for monitoring and forecasting global economic and financial conditions. My duties included briefing the central bank’s government before international meetings such as the IMF, ECB, and G20.
For me, forecasting is an excellent way to bridge theoretical approaches and practical data analysis.
What areas of forecasting interest you?
My problem is that I’m interested in too many forecasting areas! As you know, I began with macroeconomic forecasting and business cycle analysis, then transitioned to international finance and its cross-border spillovers. Recently, I’ve embarked on a research project focusing on commodities, particularly examining how volatility in commodity prices can impact macroeconomic variables. I remain deeply interested in non-linearities, as I believe our world is inherently non-linear.
Currently, I am captivated by new approaches like Natural Language Processing and its applications in forecasting. I strive to stay updated on emerging Machine Learning methods and what we now call Artificial Intelligence. It’s amusing to see some statistical approaches I learned 20 years ago reemerge under different names, now with an impressive range of applications.
Additionally, I’m keen on statistical and econometric methods for real-time analysis, also sometimes known as nowcasting. Policymakers and decision-makers require accurate, real-time information across various domains to make informed decisions, especially given the multitude of uncertainties we face today. This research area is now exploding and I’m convinced that extremely important applications will soon emerge.
How has the International Journal of Forecasting influenced you?
The International Journal of Forecasting (IJF) was the first academic journal I began reading regularly. I was amazed to find that my research questions were consistently addressed by its authors. Although I initially published my work in other journals, I was thrilled to see my name in the IJF for the first time in 2013 when I wrote a discussion of a paper. My first full paper in the IJF was published exactly 10 years ago. In that work, we aimed to forecast GDP growth using non-linear models that account for a bounce-back after a significant drop, similar to what occurred during the Covid-19 crisis a few years later.
It is remarkable to see how the IJF’s impact factor has increased over time. Our journal now surpasses many competitors in the field, and it is incredibly satisfying to witness this impressive evolution.
What do you do in your free time?
Having recently been elected President of the IIF, I anticipate my free time becoming even more limited. But engaging in sports is crucial for my balance: tennis, padel, golf—you can see I need a small ball to play with! Otherwise, I enjoy cooking with my daughter or relaxing with a good book on the sofa.