Summary of All Sessions |
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| Session ID code | Date/Time | Location | Title | Papers |
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| 1 | March 28, 2013 8:55-9:45 | Martini, U6-4 | Welcoming Plenary Session with Prof. Gary Koop, University of Strathclyde | 0 |
| 2 | March 28, 2013 9:45-11:15 | 1a | Forecast Rationality/Optimality | 3 |
| 3 | March 28, 2013 9:45-11:15 | 1b | Financial Economics | 3 |
| 4 | March 28, 2013 9:45-11:15 | 1c | Tools for Macroeconometric Analysis | 3 |
| 5 | March 28, 2013 9:45-11:15 | 1e | Autoregressive Processes | 3 |
| 6 | March 28, 2013 9:45-11:15 | 1f | Economic Growth | 3 |
| 7 | March 28, 2013 9:45-11:15 | 1d | Long Memory | 3 |
| 8 | March 28, 2013 11:45-13:15 | 1a | Forecasting and Volatility | 3 |
| 9 | March 28, 2013 11:45-13:15 | 1b | Theoretical Finance | 3 |
| 10 | March 28, 2013 11:45-13:15 | 1c | Noise, Stress, and Uncertainty | 3 |
| 11 | March 28, 2013 11:45-13:15 | 1e | Testing Predictability | 2 |
| 12 | March 28, 2013 11:45-13:15 | 1f | Fiscal Policy and Growth | 3 |
| 13 | March 28, 2013 11:45-13:15 | 1d | Commodities and Financial Markets | 3 |
| 14 | March 28, 2013 14:30-16:00 | 1a | VARs and Forecasting | 3 |
| 15 | March 28, 2013 14:30-16:00 | 1b | Financial Market Volatility | 3 |
| 16 | March 28, 2013 14:30-16:00 | 1c | Monetary and Fiscal Policy | 3 |
| 17 | March 28, 2013 14:30-16:00 | 1e | Copulas | 3 |
| 18 | March 28, 2013 14:30-16:00 | 1f | International Macro I | 3 |
| 20 | March 28, 2013 16:30-18:00 | 1a | Forecasting I | 3 |
| 21 | March 28, 2013 16:30-18:00 | 1b | Financial Market Volatility and Speculation | 3 |
| 22 | March 28, 2013 16:30-18:00 | 1c | International Macro II | 3 |
| 23 | March 28, 2013 16:30-18:00 | 1e | Multivariate Modeling | 3 |
| 24 | March 28, 2013 16:30-18:00 | 1f | Learning | 3 |
| 25 | March 28, 2013 16:30-18:00 | 1d | Macro-Finance Linkages | 3 |
| 26 | March 29, 2013 9:00-10:30 | 1a | Forecasting II | 2 |
| 27 | March 29, 2013 9:00-10:30 | 1b | Financial Econometrics I | 3 |
| 28 | March 29, 2013 9:00-10:30 | 1c | Oil Price Shocks | 3 |
| 29 | March 29, 2013 9:00-10:30 | 1e | Structural Breaks | 3 |
| 30 | March 29, 2013 9:00-10:30 | 1f | Financial Frictions I | 3 |
| 31 | March 29, 2013 9:00-10:30 | 1d | Purchasing Power Parity and Interest Rate Parity | 3 |
| 32 | March 29, 2013 11:00-12:30 | 1a | Oil Prices and Financial Markets | 3 |
| 33 | March 29, 2013 11:00-12:30 | 1b | Financial Econometrics II | 2 |
| 34 | March 29, 2013 11:00-12:30 | 1c 1c 1c | Macroeconometrics I | 3 |
| 35 | March 29, 2013 11:00-12:30 | 1e | Skewness | 3 |
| 36 | March 29, 2013 11:00-12:30 | 1f | Financial Frictions II | 3 |
| 38 | March 29, 2013 14:00-15:30 | 1a | Oil Prices and the Macroeconomy | 2 |
| 39 | March 29, 2013 14:00-15:30 | 1b | Financial Econometrics III | 3 |
| 40 | March 29, 2013 14:00-15:30 | 1c | Macroeconometrics II | 3 |
| 41 | March 29, 2013 14:00-15:30 | 1f | Macroeconomics and Growth | 3 |
| 42 | March 29, 2013 16:00-17:30 | U6-4 | Craig Hiemstra Memorial Lecture with Prof. Sir David F. Hendry, University of Oxford, "Deciding between Alternative Approaches in Macroeconomics" | 0 |
40 sessions, 110 papers, and 0 presentations with no associated papers |
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Society for Nonlinear Dynamics and Econometrics 21st Annual Symposium |
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Detailed List of Sessions |
| Session ID 1: Welcoming Plenary Session with Prof. Gary Koop, University of Strathclyde March 28, 2013 8:55 to 9:45 Martini, U6-4 |
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| Session Chair: James Morley, University of New South Wales |
| Session ID 2: Forecast Rationality/Optimality March 28, 2013 9:45 to 11:15 1a |
| Session Chair: Francesco Ravazzolo, Norges Bank |
| Conservatism in Inflation Forecasts |
| By Monica Jain; Bank of Canada |
| Presented by: Monica Jain, Bank of Canada |
| The Federal Reserve's Forecast Asymmetries Over the Business Cycle |
| By Julieta Caunedo; Washington University in St. Louis Riccardo DiCecio; Federal Reserve Bank of St. Louis Ivana Komunjer; University of California, San Diego Michael Owyang; Federal Reserve Bank of St Louis |
| Presented by: Riccardo DiCecio, Federal Reserve Bank of St. Louis |
| Forecast Optimality Tests in the Presence of Instabilities |
| By Barbara Rossi; ICREA-UPF and BGSE Tatevik Sekhposyan; Bank of Canada |
| Presented by: Tatevik Sekhposyan, Bank of Canada |
| Session ID 3: Financial Economics March 28, 2013 9:45 to 11:15 1b |
| Session Chair: Gaetano Antinolfi, Washington University and Federal Reserve Board |
| Linear Predictability Vs. Bull and Bear Market Models in Strategic Asset Allocation Decisions: Evidence from UK Data |
| By Massimo Guidolin; Bocconi University |
| Presented by: Massimo Guidolin, Bocconi University |
| Testing the Economic Value of Asset Return Predictability |
| By Michael McCracken; Federal Reserve Bank of St. Louis |
| Presented by: Michael McCracken, Federal Reserve Bank of St. Louis |
| The Economics of Options-Implied In Probability Density Functions |
| By Yuriy Kitsul; Federal Reserve Board Jonathan Wright; Johns Hopkins University |
| Presented by: Yuriy Kitsul, Federal Reserve Board |
| Session ID 4: Tools for Macroeconometric Analysis March 28, 2013 9:45 to 11:15 1c |
| Session Chair: Sarah Zubairy, Bank of Canada |
| On the Estimation of Dynamic Stochastic General Equilibrium Models: An Empirical Likelihood Approach |
| By Sara Riscado; Universidad Carlos III |
| Presented by: Sara Riscado, Universidad Carlos III |
| Mixed Frequency Structural Models: Identification, Estimation, and Policy Analysis |
| By Claudia Foroni; Norges Bank Massimiliano Marcellino; European University Institute |
| Presented by: Claudia Foroni, Norges Bank |
| A Unified Theory for Time Varying Models with Applications to Economics and Finance (and some results on companion and continuant matrices) |
| By menelaos karanasos; public Stavros Dafnos; Brunel University Alexandros Paraskevopoulos |
| Presented by: menelaos karanasos, public |
| Session ID 5: Autoregressive Processes March 28, 2013 9:45 to 11:15 1e |
| Session Chair: Timo Teräsvirta, Aarhus University |
| A Gaussian Mixture Autoregressive Model for Univariate Time Series |
| By Leena Kalliovirta; University of Helsinki Mika Meitz; Koc University Pentti Saikkonen; University of Helsinki |
| Presented by: Leena Kalliovirta, University of Helsinki |
| Bias-Corrected Estimation in Potentially Mildly Explosive Autoregressive Models |
| By Hendrik Kaufmann; Leibniz Universität Hannover Robinson Kruse; Leibniz University Hannover |
| Presented by: Hendrik Kaufmann, Leibniz Universität Hannover |
| Generalizing Smooth Transition Autoregressions |
| By Emilio Zanetti Chini; University of Rome |
| Presented by: Emilio Zanetti Chini, University of Rome |
| Session ID 6: Economic Growth March 28, 2013 9:45 to 11:15 1f |
| Session Chair: Daniel Henderson, University of Alabama |
| On the Determinants of Distribution Dynamics: a New Method and an Application to a Cross-Section of Countries |
| By Davide Fiaschi; University of Pisa Andrea Mario Lavezzi; Università di Palermo Angela Parenti; Università di Pisa |
| Presented by: Angela Parenti, Università di Pisa |
| Top Incomes, Rising Inequality, and Welfare |
| By Kevin Lansing; Federal Reserve Bank of San Francisco and Norges Bank Agnieszka Markiewicz; Erasmus University Rotterdam |
| Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco and Norges Bank |
| Growth and Convergence with a Normalized CES Production Function and Additive Human Capital |
| By Gerald Daniels; University of California, Riverside |
| Presented by: Gerald Daniels, University of California, Riverside |
| Session ID 7: Long Memory March 28, 2013 9:45 to 11:15 1d |
| Session Chair: M. Ege Yazgan, Istanbul Bilgi University |
| Variance Ratio Testing for Fractional Cointegration in the Presence of Trends and Trendbreaks |
| By Andreas Dechert; Julius-Maximilians-University Wuerzburg |
| Presented by: Andreas Dechert, Julius-Maximilians-University Wuerzburg |
| Fractional Integration Versus Level Shifts: The Case of Realized Asset Correlations |
| By Philip Bertram; University of Hanover Robinson Kruse; Leibniz University Hannover Philipp Sibbertsen; Leibniz Universitaet Hannover |
| Presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover |
| Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS Spreads Term Structure |
| By Claudio Morana; Department of Economics |
| Presented by: Claudio Morana, Department of Economics |
| Session ID 8: Forecasting and Volatility March 28, 2013 11:45 to 13:15 1a |
| Session Chair: Mark Jensen, Atlanta Federal Reserve Bank |
| Do We Need Intra-Daily Data to Forecast Daily Volatility? |
| By GEORGIANA DENISA BANULESCU; Univ of Orléans and Maastricht Univ Bertrand Candelon; Maastricht University Christophe Hurlin; University of Orléans Sébastien Laurent; Maastricht University |
| Presented by: GEORGIANA DENISA BANULESCU, Univ of Orléans and Maastricht Univ |
| Common Drifting Volatility in Large Bayesian Vars |
| By Andrea Carriero; Queen Mary Univerity of London |
| Presented by: Andrea Carriero, Queen Mary Univerity of London |
| The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility |
| By Todd Clark; Federal Reserve Bank of Cleveland Francesco Ravazzolo; Norges Bank |
| Presented by: Francesco Ravazzolo, Norges Bank |
| Session ID 9: Theoretical Finance March 28, 2013 11:45 to 13:15 1b |
| Session Chair: Saskia Ellen, Erasmus University Rotterdam |
| Using Pigouvian Taxes To Correct Banking Externalities: A Cautionary Tale |
| By Enzo Dia; Università degli Studi di Milano-Bicocca David VanHoose; Baylor University |
| Presented by: Enzo Dia, Università degli Studi di Milano-Bicocca |
| Life-Cycle Portfolio Choice with Liquid and Illiquid Financial Assets |
| By Claudio Campanale; University of Alicante Carolina Fugazza; Università Milano Bicocca; CeRP-Collegio Carlo Alberto Francisco Gomes; London Business School |
| Presented by: Claudio Campanale, University of Alicante |
| Monetary Policy and Debt Deflation: Some Computational Experiments |
| By Carl Chiarella; University of Technology Sydney Corrado Di Guilmi; University of Technology, Sydney Timo Henkel; Australian National University |
| Presented by: Carl Chiarella, University of Technology Sydney |
| Session ID 10: Noise, Stress, and Uncertainty March 28, 2013 11:45 to 13:15 1c |
| Session Chair: TengTeng Xu, Bank of Canada |
| Identifying Noise Shocks: a VAR with Data Revisions |
| By Riccardo Maria Masolo; Bank of England Alessia Paccagnini; Bicocca University |
| Presented by: Riccardo Maria Masolo, Bank of England |
| Measuring Economic Stress with a Factor-Augmented Smooth Transition Model |
| By Ana Beatriz Galvao; Queen Mary, University of London Michael Owyang; Federal Reserve Bank of St Louis |
| Presented by: Michael Owyang, Federal Reserve Bank of St Louis |
| Non-Linear Macroeconomic Reactions to Uncertainty Shocks in the U.S. |
| By Giovanni Caggiano; University of Padua Efrem Castelnuovo; University of Padova Nicolas Groshenny; Reserve Bank of New Zealand |
| Presented by: Efrem Castelnuovo, University of Padova |
| Session ID 11: Testing Predictability March 28, 2013 11:45 to 13:15 1e |
| Session Chair: Richard Baillie, Michigan State University |
| The Cross-Quantilogram and Testing Directional Predictability between Time Series |
| By Heejoon Han; Kyung Hee University Tatsushi Oka; National University of Singapore Yoon-Jae Whang; Seoul National University |
| Presented by: Tatsushi Oka, National University of Singapore |
| Nonlinear Granger Causality: Guidelines for Multivariate Analysis |
| By Cees Diks; University of Amsterdam Marcin Wolski; University of Amsterdam |
| Presented by: Marcin Wolski, University of Amsterdam |
| Session ID 12: Fiscal Policy and Growth March 28, 2013 11:45 to 13:15 1f |
| Session Chair: Gerald Daniels, University of California, Riverside |
| Endogenous Growth with Public Capital and Progressive Taxation |
| By Constantine Angyridis; Ryerson University |
| Presented by: Constantine Angyridis, Ryerson University |
| Government Debt and Economic Growth: Threshold Estimation in Nonparametric Regression |
| By Daniel Henderson; University of Alabama |
| Presented by: Daniel Henderson, University of Alabama |
| Balanced Budget, Patterns of Aggregate Fluctuations and an Overlapping Generations Model with Externalities |
| By Yoichi Gokan; Ritsumeikan University |
| Presented by: Yoichi Gokan, Ritsumeikan University |
| Session ID 13: Commodities and Financial Markets March 28, 2013 11:45 to 13:15 1d |
| Session Chair: Ivan Paya, Lancaster University Management School |
| Ethanol and Field Crops in the U.S.: Predictability Beyond the Mean? |
| By Andrea Bastianin; University of Milan-Bicocca Marzio Galeotti; Università degli studi di Milano Matteo Manera; University of Milano-Bicocca |
| Presented by: Matteo Manera, University of Milano-Bicocca |
| Biofuels or Financialization: Explaining the Increased Correlation between Grains and Crude Oil Prices |
| By Harriet Mugera; University of Trento Christopher Gilbert; University of Trento |
| Presented by: Harriet Mugera, University of Trento |
| Testing for Bubbles in LME Metals Prices |
| By Isabel Figuerola-Ferretti; Universidad Carlos III de Madrid Christopher Gilbert; University of Trento Roderick McCrorie; University of St Andrews |
| Presented by: Isabel Figuerola-Ferretti, Universidad Carlos III de Madrid |
| Session ID 14: VARs and Forecasting March 28, 2013 14:30 to 16:00 1a |
| Session Chair: Christiane Baumeister, Bank of Canada |
| Forecasting with a Noncausal VAR Model |
| By Henri Nyberg; University of Helsinki Pentti Saikkonen; University of Helsinki |
| Presented by: Henri Nyberg, University of Helsinki |
| A New Index of Financial Conditions |
| By Gary Koop; University of Strathclyde Dimitris Korobilis; University of Glasgow |
| Presented by: Dimitris Korobilis, University of Glasgow |
| Forecasting with Bayesian Multivariate Vintage-Based VARs |
| By Andrea Carriero; Queen Mary Univerity of London Michael Clements; UNIVERSITY OF WARWICK Ana Beatriz Galvao; Queen Mary, University of London |
| Presented by: Ana Beatriz Galvao, Queen Mary, University of London |
| Session ID 15: Financial Market Volatility March 28, 2013 14:30 to 16:00 1b |
| Session Chair: Drew Creal, University of Chicago |
| A Stochastic Volatility Jump Model: Market Induced or Stock Specific Jumps? |
| By Serda Ozturk; Istanbul Bilgi University |
| Presented by: Serda Ozturk, Istanbul Bilgi University |
| Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Pocess Mixture |
| By Mark Jensen; Atlanta Federal Reserve Bank |
| Presented by: Mark Jensen, Atlanta Federal Reserve Bank |
| Rational Speculators, Contrarians and Excess Volatility |
| By Matthijs Lof; University of Helsinki |
| Presented by: Matthijs Lof, University of Helsinki |
| Session ID 16: Monetary and Fiscal Policy March 28, 2013 14:30 to 16:00 1c |
| Session Chair: Irina Panovska, Washington University in St. Louis |
| Financial Instability and Monetary Policy |
| By Venoo Kakar; University of California, Riverside |
| Presented by: Venoo Kakar, University of California, Riverside |
| Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison |
| By Anna Kormilitsina; Southern Methodist University Sarah Zubairy; Bank of Canada |
| Presented by: Sarah Zubairy, Bank of Canada |
| The Changing Transmission Mechanism of U.S. Monetary Policy |
| By Norhana Endut; Central Bank of Malaysia James Morley; University of New South Wales Pao-Lin Tien; Wesleyan University |
| Presented by: Pao-Lin Tien, Wesleyan University |
| Session ID 17: Copulas March 28, 2013 14:30 to 16:00 1e |
| Session Chair: Svetlana Borovkova, Vrije Universiteit Amsterdam |
| Commodity and Equity Markets: Some Stylized Facts from a Copula Approach. |
| By Claude Lopez; Banque de France Anne-Laure Delatte; Rouen Business School |
| Presented by: Claude Lopez, Banque de France |
| Modeling Contagion in the EMU Crisis: A Conditional Copula Approach |
| By Christian Leschinski; Leibniz Universität Hannover Philip Bertram; University of Hanover |
| Presented by: Christian Leschinski, Leibniz Universität Hannover |
| Copula-Based Nonlinear Models of Spatial Market Linkages |
| By Gulcan Onel; University of Florida Barry Goodwin; North Carolina State University Matthew Holt; Univesity of Alabama Jeffrey Prestemon; Forest Service, Southern Research Servi |
| Presented by: Gulcan Onel, University of Florida |
| Session ID 18: International Macro I March 28, 2013 14:30 to 16:00 1f |
| Session Chair: Efthymios Pavlidis, Lancaster University Management School |
| Consistent Expectations and the Behavior of Exchange Rates |
| By Kevin Lansing; Federal Reserve Bank of San Francisco and Norges Bank Jun Ma; University of Alabama-Tuscaloosa |
| Presented by: Jun Ma, University of Alabama |
| The Cost of Adjustment: On Comovement between the Trade Balance and the Terms of Trade |
| By Alexandre Dmitriev; University of Tasmania Ivan Roberts; Reserve Bank of Australia |
| Presented by: Alexandre Dmitriev, University of Tasmania |
| A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation |
| By Efthymios Pavlidis; Lancaster University Management School Ivan Paya; Lancaster University Management School David Peel; Lancaster University Management School |
| Presented by: Ivan Paya, Lancaster University Management School |
| Session ID 20: Forecasting I March 28, 2013 16:30 to 18:00 1a |
| Session Chair: Richard Ashley, Virginia Tech |
| Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE Model |
| By Stelios Bekiros; European University Institute (EUI) Alessia Paccagnini; Bicocca University |
| Presented by: Alessia Paccagnini, Bicocca University |
| Markov-Switching Mixed Frequency VAR Models |
| By Claudia Foroni; Norges Bank Pierre Guerin; Bank of Canada Massimiliano Marcellino; European University Institute |
| Presented by: Pierre Guerin, Bank of Canada |
| Forecasting the Distribution of Economic Variables in a Data-Rich Environment |
| By Sebastiano Manzan; Baruch College, CUNY |
| Presented by: Sebastiano Manzan, Baruch College, CUNY |
| Session ID 21: Financial Market Volatility and Speculation March 28, 2013 16:30 to 18:00 1b |
| Session Chair: Carl Chiarella, University of Technology Sydney |
| Two Volatility Term Structures |
| By Xiaoyu Shen; VU University Amsterdam |
| Presented by: Xiaoyu Shen, VU University Amsterdam |
| It’s All About Volatility (of volatility): Evidence from a Two-Factor Stochastic Volatility Model |
| By Stefano Grassi; Aarhus University Paolo de Magistris; CREATES - University of Aarhus |
| Presented by: Stefano Grassi, Aarhus University |
| Fear or Fundamentals? Speculative Behaviour in the European CDS Market |
| By Saskia Ellen; Erasmus University Rotterdam Carl Chiarella; University of Technology Sydney Tony He; University of Technology Sydney Eliza Wu; University of Technology, Sydney |
| Presented by: Saskia Ellen, Erasmus University Rotterdam |
| Session ID 22: International Macro II March 28, 2013 16:30 to 18:00 1c |
| Session Chair: Dimitris Korobilis, University of Glasgow |
| Symmetry and Separability in Two--Country Cointegrated VAR Models: Representation and Testing |
| By Hans-Martin Krolzig; The University of Kent Reinhold Heinlein; University of Kent |
| Presented by: Hans-Martin Krolzig, The University of Kent |
| Measuring the Connectedness of the Global Economy |
| By Matthew Greenwood-Nimmo; University of Leeds viet nguyen; Melbourne Institute of Applied Economic and Social Research yongcheol shin; university of york |
| Presented by: Matthew Greenwood-Nimmo, University of Leeds |
| Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis |
| By Yvonne Adema; Erasmus University Rotterdam Lorenzo Pozzi; Erasmus University Rotterdam |
| Presented by: Lorenzo Pozzi, Erasmus University Rotterdam |
| Session ID 23: Multivariate Modeling March 28, 2013 16:30 to 18:00 1e |
| Session Chair: Philip Bertram, University of Hanover |
| Testing Non-linearity in Multivariate Time Series |
| By Marian Vavra; NBS |
| Presented by: Marian Vavra, National Bank of Slovakia |
| Inference for Impulse Response Functions From Multivariate Strongly Persistent Processes |
| By Richard Baillie; Michigan State University George Kapetanios; Queen Mary, University of London |
| Presented by: Richard Baillie, Michigan State University |
| Testing the Constancy of Conditional Correlations in Multivariate GARCH-Type Models |
| By Anne Péguin-Feissolle Bilel Sanhaji; Aix-Marseille University -- Aix-Marseille School of Economics |
| Presented by: Bilel Sanhaji, Aix-Marseille University -- Aix-Marseille School of Economics |
| Session ID 24: Learning March 28, 2013 16:30 to 18:00 1f |
| Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco and Norges Bank |
| On the Plausibility of Adaptive Learning in Macroeconomics: A Puzzling Conflict in the Choice of the Representative Algorithm |
| By Jaqueson Galimberti; The University of Manchester Michele Berardi; University of Manchester |
| Presented by: Jaqueson Galimberti, The University of Manchester |
| E-stability That Does Imply Learnability |
| By Anna Bogomolova; CERGE-EI Dmitri Kolyuzhnov; Charles University-Academy of Sciences |
| Presented by: Dmitri Kolyuzhnov, Charles University-Academy of Sciences |
| Adaptive Learning and Survey Data |
| By Agnieszka Markiewicz; Erasmus University Rotterdam Andreas Pick; Erasmus School of Economics (ESE) |
| Presented by: Agnieszka Markiewicz, Erasmus University Rotterdam |
| Session ID 25: Macro-Finance Linkages March 28, 2013 16:30 to 18:00 1d |
| Session Chair: Tara Sinclair, George Washington University |
| Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities |
| By Gaetano Antinolfi; Washington University and Federal Reserve Board Celso Brunetti; Federal Reserve Board |
| Presented by: Gaetano Antinolfi, Washington University and Federal Reserve Board |
| Does the Central Bank, in Reacting to Macroeconomic Indicators, Influence the Term Structure of Interest Rates When Faced with a Binding Constraint at the Zero Lower Bound? |
| By Laura Jackson; UNC Chapel Hill |
| Presented by: Laura Jackson, UNC Chapel Hill |
| Forecasting with DSGE Models with Financial Frictions |
| By Marcin Kolasa; National Bank of Poland Michal Rubaszek; National Bank of Poland |
| Presented by: Marcin Kolasa, National Bank of Poland |
| Session ID 26: Forecasting II March 29, 2013 9:00 to 10:30 1a |
| Session Chair: Michael McCracken, Federal Reserve Bank of St. Louis |
| Parameter Estimation with Out-of-Sample Objective |
| By Elena-Ivona Dumitrescu; European University Institute Peter Hansen; European University Institute |
| Presented by: Elena-Ivona Dumitrescu, European University Institute |
| Bayesian Model Averaging and Forecasting with the Self-Perturbed Kalman Filter |
| By Stefano Grassi; Aarhus University Nima Nonejad; CREATES - Aarhus University Paolo de Magistris; CREATES - University of Aarhus |
| Presented by: Paolo de Magistris, CREATES - University of Aarhus |
| Session ID 27: Financial Econometrics I March 29, 2013 9:00 to 10:30 1b |
| Session Chair: Jun Ma, University of Alabama |
| Modelling Changes in the Unconditional Variance of Long Stock Return Series |
| By Timo Teräsvirta; Aarhus University |
| Presented by: Timo Teräsvirta, Aarhus University |
| On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Crude Oil and Stock Markets |
| By Christian Conrad; University of Heidelberg Karin Loch; University of Heidelberg Daniel Rittler; University of Heidelberg |
| Presented by: Karin Loch, University of Heidelberg |
| Spatial GARCH: A Spatial Approach to Multivariate Volatility Modelling |
| By Svetlana Borovkova; Vrije Universiteit Amsterdam |
| Presented by: Svetlana Borovkova, Vrije Universiteit Amsterdam |
| Session ID 28: Oil Price Shocks March 29, 2013 9:00 to 10:30 1c |
| Session Chair: Francesco Furlanetto, Norges Bank |
| The Effects of Oil Price Uncertainty on the Macroeconomy |
| By Soojin Jo; Bank of Canada |
| Presented by: Soojin Jo, Bank of Canada |
| The Oil Price-Real Output Relationship: Does Persistence Matter? |
| By Richard Ashley; Virginia Tech Kwok Ping Tsang; Virginia Tech |
| Presented by: Richard Ashley, Virginia Tech |
| Inflation Dynamics and The Role of Oil Shocks: How Different Were the 1970s? |
| By Benjamin Wong; Australian National University |
| Presented by: Benjamin Wong, Australian National University |
| Session ID 29: Structural Breaks March 29, 2013 9:00 to 10:30 1e |
| Session Chair: Hans-Martin Krolzig, The University of Kent |
| A Test of Structural Change of Unknown Location with Wavelets |
| By M. Ege Yazgan; Istanbul Bilgi University Ramo Gencay; Simon Fraser University Harun Ozkan; Istanbul Bilgi University |
| Presented by: M. Ege Yazgan, Istanbul Bilgi University |
| Regime-Switching Cointegration |
| By Markus Jochmann; Newcastle University Gary Koop; University of Strathclyde |
| Presented by: Markus Jochmann, Newcastle University |
| The Lasso for High-Dimensional Regression with a Possible Change-Point |
| By Myung Hwan Seo; London School of Economics |
| Presented by: Myung Hwan Seo, London School of Economics |
| Session ID 30: Financial Frictions I March 29, 2013 9:00 to 10:30 1f |
| Session Chair: Riccardo DiCecio, Federal Reserve Bank of St. Louis |
| Occasionally Binding Credit Constraints |
| By Michal Brzoza-Brzezina; National Bank of Poland Marcin Kolasa; National Bank of Poland Krzysztof Makarski; National Bank of Poland |
| Presented by: Krzysztof Makarski, National Bank of Poland |
| Coordinating Monetary and Macro-Prudential Policies |
| By Alessandro Rebucci; Inter-American Development Bank Ambrogio Cesa-Bianchi; Universita Cattolica del Sacro Cuore |
| Presented by: Alessandro Rebucci, Inter-American Development Bank |
| Risk Channel of Monetary Policy |
| By Oliver de Groot; Federal Reserve Board |
| Presented by: Oliver de Groot, Federal Reserve Board |
| Session ID 31: Purchasing Power Parity and Interest Rate Parity March 29, 2013 9:00 to 10:30 1d |
| Session Chair: Claude Lopez, Banque de France |
| Dynamic Estimation of Trade Costs from Real Exchange Rates |
| By Efthymios Pavlidis; Lancaster University Management School Nicos Pavlidis; Lancaster University Management School |
| Presented by: Efthymios Pavlidis, Lancaster University Management School |
| On the Empirical Failure of Purchasing Power Parity Tests |
| By Matteo Pelagatti; Università degli Studi di Milano-Bicocc Emilio Colombo; University Milano-Bicocca |
| Presented by: Matteo Pelagatti, Università degli Studi di Milano-Bicocca |
| An Event Study Analysis of ECB Unconventional Monetary Policy |
| By Giulia Rivolta; University of Milan |
| Presented by: Giulia Rivolta, University of Milan |
| Session ID 32: Oil Prices and Financial Markets March 29, 2013 11:00 to 12:30 1a |
| Session Chair: Michael Owyang, Federal Reserve Bank of St Louis |
| Oil Price Density Forecasts: Exploring the Linkages with Stock Markets |
| By Marco Lombardi; Bank for International Settlements Francesco Ravazzolo; Norges Bank |
| Presented by: Marco Lombardi, Bank for International Settlements |
| Risk Premia in Crude Oil Futures Prices |
| By Jing Cynthia Wu; University of Chicago |
| Presented by: Jing Cynthia Wu, University of Chicago |
| Can Oil Prices Forecast Exchange Rates? |
| By Domenico Ferraro; Duke University Kenneth Rogoff; Harvard University Barbara Rossi; ICREA-UPF and BGSE |
| Presented by: Barbara Rossi, ICREA-UPF and BGSE |
| Session ID 33: Financial Econometrics II March 29, 2013 11:00 to 12:30 1b |
| Session Chair: Michael Rockinger, HEC Lausanne |
| EarlyWarning Signals for Critical Transitions in Finance |
| By Juanxi WANG; University of Amsterdam Cees Diks; University of Amsterdam |
| Presented by: Juanxi WANG, University of Amsterdam |
| The Time-Varying Leading Properties of the High Yield Spread in the United States |
| By Pierangelo De Pace; Pomona College Kyle Weber; Pomona College |
| Presented by: Pierangelo De Pace, Pomona College |
| Session ID 34: Macroeconometrics I March 29, 2013 11:00 to 12:30 1c 1c 1c |
| Session Chair: Pao-Lin Tien, Wesleyan University |
| Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles |
| By David POLLOCK; Department of Economics |
| Presented by: David POLLOCK, Department of Economics |
| Seventy Five Years Later: Constructing a Coincident Index of Global Economic Activity |
| By Enrique Martinez-Garcia; Federal Reserve Bank of Dallas Shushanik Papanyan; University of North Texas |
| Presented by: Shushanik Papanyan, University of North Texas |
| To What Extent Can We Identify and Time Gradual Change? |
| By Luiggi Donayre; University of Minnesota Duluth Neil Wilmot; University of Minnesota Duluth |
| Presented by: Luiggi Donayre, University of Minnesota Duluth |
| Session ID 35: Skewness March 29, 2013 11:00 to 12:30 1e |
| Session Chair: Lorenzo Pozzi, Erasmus University Rotterdam |
| Regime Switching Skew-normal Model for Measuring Financial Crises and Contagion |
| By Yu-Ling Hsiao; ANU |
| Presented by: Yu-Ling Hsiao, ANU |
| Currency Returns, Skewness and Crash Risk |
| By Barry Rafferty; University of Melbourne |
| Presented by: Barry Rafferty, University of Melbourne |
| Capturing Skewness and Kurtosis by Fitting the QQ-Plot: A Simple Approach with an Application to Option Pricing |
| By Unai Ansejo; Itzarri Aitor Bergara; Univesity of the Basque Country Antoni Vaello-Sebastià; University of Illes Balears |
| Presented by: Antoni Vaello-Sebastià, University of Illes Balears |
| Session ID 36: Financial Frictions II March 29, 2013 11:00 to 12:30 1f |
| Session Chair: Oliver de Groot, Federal Reserve Board |
| Uncertainty in a Model with Credit Frictions |
| By Ambrogio Cesa-Bianchi; Inter-American Development Bank & Universita Cattolica del Sacro Cuore Emilio Fernandez-Corugedo; Bank of England |
| Presented by: Ambrogio Cesa-Bianchi, Universita Cattolica del Sacro Cuore |
| Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults |
| By TengTeng Xu; Bank of Canada Professor M. Hashem Pesaran; University of Southern California |
| Presented by: TengTeng Xu, Bank of Canada |
| Monetary Policy with Consumption Externalities and Limited Asset Market Participation |
| By Luca Bossi; University of Pennsylvania |
| Presented by: Luca Bossi, University of Pennsylvania |
| Session ID 38: Oil Prices and the Macroeconomy March 29, 2013 14:00 to 15:30 1a |
| Session Chair: Barbara Rossi, ICREA-UPF and BGSE |
| What Central Bankers Need to Know About Forecasting Oil Prices |
| By Christiane Baumeister; Bank of Canada Lutz Kilian; University of Michigan |
| Presented by: Christiane Baumeister, Bank of Canada |
| Business Cycles in Commodity Exporter Countries |
| By Francesco Furlanetto; Norges Bank |
| Presented by: Francesco Furlanetto, Norges Bank |
| Session ID 39: Financial Econometrics III March 29, 2013 14:00 to 15:30 1b |
| Session Chair: Xiaoyu Shen, VU University Amsterdam |
| Moment Component Analysis: An Illustration with International Stock Markets |
| By Michael Rockinger; HEC Lausanne |
| Presented by: Michael Rockinger, HEC Lausanne |
| Exact Likelihood Inference for Autoregressive Gamma Stochastic Volatility Models |
| By Drew Creal; University of Chicago |
| Presented by: Drew Creal, University of Chicago |
| Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown |
| By Genaro Sucarrat; BI Norwegian Business School |
| Presented by: Genaro Sucarrat, BI Norwegian Business School |
| Session ID 40: Macroeconometrics II March 29, 2013 14:00 to 15:30 1c |
| Session Chair: Ming Lo, St. Cloud State University |
| Trends and Cycles in U.S. Output and Unemployment |
| By Amy Guisinger; The George Washington University Tara Sinclair; George Washington University |
| Presented by: Tara Sinclair, George Washington University |
| The Asymmetric Effects of Fiscal Cuts and Expansions Across the Business Cycle |
| By Steven Fazzari; Washington University in St. Louis James Morley; University of New South Wales Irina Panovska; Washington University in St. Louis |
| Presented by: Irina Panovska, Washington University in St. Louis |
| Did the Financial Crisis Cause a Regime Shift in Euro Area Government Bond Risk Pricing ? |
| By Lorenzo Pozzi; Erasmus University Rotterdam Barbara Sadaba; Erasmus University - Tinbergen Institute |
| Presented by: Barbara Sadaba, Erasmus University - Tinbergen Institute |
| Session ID 41: Macroeconomics and Growth March 29, 2013 14:00 to 15:30 1f |
| Session Chair: Alexandre Dmitriev, University of Tasmania |
| Nonhomothetic Preferences with Habit Formation in Nondurable and Durable Consumption: Implications for Sectoral Comovement |
| By Engin Volkan; Istanbul Bilgi University Kevin X.D. Huang; Vanderbilt University M. Ege Yazgan; Istanbul Bilgi University |
| Presented by: Engin Volkan, Istanbul Bilgi University |
| Firm Dynamics, Endogenous Markups and the Labor Share of Income |
| By Andrea Colciago; Dutch National Bank and university of Milano Bicocca Lorenza Rossi; University of Pavia |
| Presented by: Andrea Colciago, Dutch National Bank and university of Milano Bicocca |
| Neoclassical, Semi-Endogenous or Endogenous Growth Theory? Evidence Based on New Structural Change Tests |
| By Nuno Sobreira; Insper Institute of Education and Research Luis Nunes; Nova School of Business and Economics Paulo Rodrigues; Economics and Research Department |
| Presented by: Nuno Sobreira, Insper Institute of Education and Research |
| Session ID 42: Craig Hiemstra Memorial Lecture with Prof. Sir David F. Hendry, University of Oxford, "Deciding between Alternative Approaches in Macroeconomics" March 29, 2013 16:00 to 17:30 U6-4 |
| Session Chair: James Morley, University of New South Wales |
This program was last updated on 2013-03-27 11:23:19 EDT