Summary of All Sessions |
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39 sessions, 142 papers, and 0 presentations with no associated papers |
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Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium |
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Detailed List of Sessions |
| Session 1: Finance I April 17, 2014 8:30 to 10:10 14-266 |
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| Session Chair: Emre Yoldas, Federal Reserve Board |
| Time Variation in Asset Return Dependence: Strength or Structure? |
| By Thijs Markwat Erik Kole; Erasmus University Rotterdam Dick van Dijk; Erasmus University Rotterdam |
| Presented by: Erik Kole, Erasmus University Rotterdam |
| Asset Pricing, Local Information Aggregation and Network Formation |
| By Mikhail Anufriev; University of Technology, Sydney Valentyn Panchenko; UNSW |
| Presented by: Valentyn Panchenko, UNSW |
| Higher-Order Moments in the Theory of Diversifi cation and Portfolio Composition |
| By Ivan Paya; Lancaster University Management School Trino-Manuel Ñíguez; University of Westminster David Peel; Lancaster University Management School Javier Perote; University of Salamanca |
| Presented by: Ivan Paya, Lancaster University Management School |
| Intraday Price Discovery in Fragmented Markets |
| By Sait Ozturk; Erasmus University Rotterdam Michel van der Wel; Erasmus University Rotterdam Dick van Dijk; Erasmus University Rotterdam |
| Presented by: Sait Ozturk, Erasmus University Rotterdam |
| Session 2: Trends and Cycles April 17, 2014 8:30 to 10:10 14-269 |
| Session Chair: Tara Sinclair, George Washington University |
| Trends and Cycles in the U.S. Labor Market |
| By Amy Guisinger; The George Washington University Tara Sinclair; George Washington University |
| Presented by: Amy Guisinger, The George Washington University |
| Business Cycles Across Space and Time |
| By Neville Francis; University of North Carolina at Chapel Hill Michael Owyang; Federal Reserve Bank of St Louis Daniel Soques; University of North Carolina at Chapel Hill |
| Presented by: Daniel Soques, University of North Carolina at Chapel Hill |
| Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter? |
| By Varang Wiriyawit; Australian National University Benjamin Wong; Reserve Bank of New Zealand |
| Presented by: Benjamin Wong, Reserve Bank of New Zealand |
| Extended Yule-Walker Identification of VARMA Models with Single- or Mixed-Frequency Data |
| By Peter Zadrozny; Bureau of Labor Statistics |
| Presented by: Peter Zadrozny, Bureau of Labor Statistics |
| Session 3: Energy Economics I (Special Session in Honor of James B. Ramsey) April 17, 2014 8:30 to 10:10 14-270 |
| Session Chair: Bruce Mizrach, Rutgers University |
| Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis |
| By Christiane Baumeister; Bank of Canada Lutz Kilian; University of Michigan Xiaoqing Zhou; University of Michigan |
| Presented by: Christiane Baumeister, Bank of Canada |
| Has Asian Emerging Market Monetary Policy Been Too Pro-Cyclical When Responding to Swings in Commodity Prices? |
| By Andrew Filardo; Bank for International Settlements Marco Lombardi; Bank for International Settlements |
| Presented by: Marco Lombardi, Bank for International Settlements |
| Regime-Switching Lévy Jump Modelling for Financial and Commodity Markets |
| By Julien Chevallier; University Paris 8 stephane goutte; CNRS |
| Presented by: Julien Chevallier, University Paris 8 |
| Oil-Price Density Forecasts of U.S. GDP |
| By Francesco Ravazzolo; Norges Bank Philip Rothman; East Carolina University |
| Presented by: Philip Rothman, East Carolina University |
| Session 4: Macro Theory I April 17, 2014 8:30 to 10:10 14-280 |
| Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco |
| Sectoral Composition of Government Spending and Macroeconomic (In)stability |
| By Juin-jen Chang; Academia Sinica Jang-Ting Guo; University of California, Riverside Jhy-yuan Shieh; Soochow University Wei-neng Wang; Feng Chia University |
| Presented by: Jang-Ting Guo, University of California, Riverside |
| The Shadow of a Doubt: the Dynamic Impact of Expectational Uncertainty |
| By Guillaume Chevillon; ESSEC Business School & CREST-INSEE, Paris Sophocles Mavroeidis; Oxford University |
| Presented by: Guillaume Chevillon, ESSEC Business School & CREST-INSEE, Paris |
| Lumpy Investment in Sticky Information General Equilibrium |
| By Fabio Verona; Bank of Finland |
| Presented by: Fabio Verona, Bank of Finland |
| Model Uncertainty and Exchange Rate Forecasting |
| By Agnieszka Markiewicz; Erasmus University Rotterdam |
| Presented by: Agnieszka Markiewicz, Erasmus University Rotterdam |
| Session 5: Forecasting Methods April 17, 2014 8:30 to 10:10 14-285 |
| Session Chair: Peter Fuleky, University of Hawaii |
| Robust Forecasting via Regularization |
| By Dobrislav Dobrev; Federal Reserve Board of Governors Ernst Schaumburg; Federal Reserve Bank of New York |
| Presented by: Dobrislav Dobrev, Federal Reserve Board of Governors |
| Machine Learning and Forecast Combination in Incomplete Panels |
| By Kajal Lahiri; University at Albany: SUNY Huaming Peng; University at Albany:SUNY Yongchen Zhao; University at Albany, SUNY |
| Presented by: Yongchen Zhao, University at Albany, SUNY |
| Probability Forecasting for Infaltion Warnings from the Federal Reserve |
| By Anthony Garratt; University of Warwick James Mitchell; University of Warwick Shaun Vahey; Warwick University |
| Presented by: Anthony Garratt, University of Warwick |
| Session 6: Applied Time Series I April 17, 2014 10:30 to 12:10 14-285 |
| Session Chair: Jun Ma, The University of Alabama |
| Assessing the Importance of Learning in an Empirical Monetary Model for the US |
| By Eleonora Granziera; Bank of Canada |
| Presented by: Eleonora Granziera, Bank of Canada |
| Output Growth and Commodity Prices in Latin America: What Has Changed? |
| By Sebastian Fossati; University of Alberta |
| Presented by: Sebastian Fossati, University of Alberta |
| Testing for Factor Loading Structural Change Under Common Breaks |
| By Yohei Yamamoto; Hitotsubashi University |
| Presented by: Yohei Yamamoto, Hitotsubashi University |
| Outliers and Persistence in Threshold Autoregressive Processes: A Puzzle? |
| By Yamin Ahmad; University of Wisconsin - Whitewater Luiggi Donayre; University of Minnesota - Duluth |
| Presented by: Luiggi Donayre, University of Minnesota - Duluth |
| Session 7: Finance II April 17, 2014 10:30 to 12:10 14-266 |
| Session Chair: Valentyn Panchenko, UNSW |
| Bank Characteristics and the Interbank Money Market: A Distributional Approach |
| By Giulia Iori; City University Burcu Kapar; City University London Jose Olmo; University of Southampton |
| Presented by: Jose Olmo, University of Southampton |
| The Dynamics of International Financial Market Integration: Estimates for European Countries |
| By Gerdie Everaert; Ghent University Lorenzo Pozzi; Erasmus University Rotterdam |
| Presented by: Lorenzo Pozzi, Erasmus University Rotterdam |
| The Pricing of G7 Sovereign Bond Spreads – The Times, They Are A‐Changin |
| By Antonello d'Agostino; European Central Bank Michael Ehrmann; Bank of Canada |
| Presented by: Michael Ehrmann, Bank of Canada |
| Time-varying Risk in Bank Earnings and Macroeconomic Implications |
| By Francisco Covas; Federal Reserve Board Emre Yoldas; Federal Reserve Board Egon Zakrajsek; Federal Reserve Board |
| Presented by: Emre Yoldas, Federal Reserve Board |
| Session 8: Monetary Policy I April 17, 2014 10:30 to 12:10 14-269 |
| Session Chair: Michael Owyang, Federal Reserve Bank of St Louis |
| Macroeconomic News, Monetary Policy and the Real Interest Rate at the Zero Lower Bound |
| By JI ZHANG; Tsinghua Unviersity |
| Presented by: JI ZHANG, Tsinghua Unviersity |
| Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound |
| By Jing Cynthia Wu; University of Chicago Fan Dora Xia; University of California, San Diego |
| Presented by: Fan Dora Xia, University of California, San Diego |
| The Transmission of Euro Area Monetary Policy: Evidence from a Mixed Cross-Section Global VAR Model |
| By Georgios Georgiadis; ECB |
| Presented by: Georgios Georgiadis, ECB |
| How Optimal is US Monetary Policy?∗ |
| By Xiaoshan Chen; University of Stirling Tatiana Kirsanova; University of Glasgow Campbell Leith; University of Glasgow |
| Presented by: Xiaoshan Chen, University of Stirling |
| Session 9: Energy Economics II (Special Session in Honor of James B. Ramsey) April 17, 2014 10:30 to 12:10 14-270 |
| Session Chair: Philip Rothman, East Carolina University |
| Location Basis Differentials in Crude Oil Prices |
| By Yang Li; Rutgers University Bruce Mizrach; Rutgers University YOICHI OTSUBO; University of Luxembourg |
| Presented by: Bruce Mizrach, Rutgers University |
| Forecasting the Brent Oil Price: Addressing Time-variation in Forecast Performance |
| By Cristiana Manescu; European Central Bank Ine Van Robays; European Central Bank |
| Presented by: Cristiana Manescu, European Central Bank |
| Oil Price Forecasting: The Long (and the Short) of It |
| By Maral Kichian; University of Ottawa Jean-Thomas Bernard; University of Ottawa Lynda Khalaf; Carleton University Clement Yelou; Statistics Canada |
| Presented by: Maral Kichian, University of Ottawa |
| Time Varying SVARs, Parameter Histories, and the Changing Impact of Oil Prices on the US Economy |
| By Francesca Rondina; University of Ottawa |
| Presented by: Francesca Rondina, University of Ottawa |
| Session 10: New Keynesian Models April 17, 2014 10:30 to 12:10 14-280 |
| Session Chair: Jacek Suda, Banque de France - Paris School of Economics |
| Asset Prices, Business Cycles, and Markov-Perfect Fiscal Policy when Agents are Risk-Sensitive |
| By Richard Dennis; University of Glasgow |
| Presented by: Richard Dennis, University of Glasgow |
| Monetary Policy Trade-offs and Financial Frictions |
| By Francesco Furlanetto; Norges Bank Paolo Gelain; Norges Bank and Centre for International |
| Presented by: Paolo Gelain, Norges Bank |
| Large Scale Asset Purchases with Segmented Mortgage and Corporate Loan Markets |
| By Frédéric Dufourt; Aix-Marseille University |
| Presented by: Frédéric Dufourt, Aix-Marseille University |
| The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model |
| By Yasuo Hirose; Keio University Atsushi Inoue; Southern Methodist University |
| Presented by: Yasuo Hirose, Keio University |
| Session 11: News and Uncertainty with Serena Ng, Columbia University April 17, 2014 13:30 to 14:40 14-220 |
| Session Chair: James Morley, University of New South Wales |
| Session 12: Exchange Rates I (RAstaNEWS Special Session) April 17, 2014 15:00 to 16:40 14-266 |
| Session Chair: Claudio Morana, Department of Economics |
| Do Exchange Rates Really Help Forecasting Commodity Prices? |
| By Lasse Bork; Aalborg University Pablo Rovira Kaltwasser; Katholieke Universiteit Leuven Piet Sercu; KU Leuven |
| Presented by: Pablo Rovira Kaltwasser, Katholieke Universiteit Leuven |
| Time Variation in the Standard Forward Premium Regression: Some New Models and Tests |
| By Richard Baillie; Michigan State University Dooyeon Cho; Kookmin University |
| Presented by: Dooyeon Cho, Kookmin University |
| Local Deviations from Uncovered Interest Parity: Kernel Smoothing Functions and the Role of Fundamentals |
| By Richard Baillie; Michigan State University |
| Presented by: Richard Baillie, Michigan State University |
| Asymmetric Pass-Through Behavior over the Business Cycle |
| By Luiggi Donayre; University of Minnesota - Duluth Irina Panovska; Lehigh University |
| Presented by: Irina Panovska, Lehigh University |
| Session 13: Modeling Macroeconomic Uncertainty April 17, 2014 15:00 to 16:40 14-269 |
| Session Chair: Christian Conrad, University of Heidelberg |
| Measuring Uncertainty of a Combined Forecast and a New Test for Forecaster Homogeneity |
| By Kajal Lahiri; University at Albany: SUNY Huaming Peng; University at Albany:SUNY Xuguang Sheng; American University |
| Presented by: Kajal Lahiri, University at Albany: SUNY |
| Combination of “Combinations of P-values” with Applications to Testing Purchasing Power Parity and Imperfect Information Models |
| By Lan Cheng; SUNY Fredonia Xuguang Sheng; American University |
| Presented by: Xuguang Sheng, American University |
| Global Inflation and Output Uncertainty |
| By Bernd Kempa; University of Muenster Tino Berger; University of Cologne |
| Presented by: Bernd Kempa, University of Muenster |
| Cross Sectional Evidence on the Relation Between Monetary Policy, Macroeconomic Conditions and Low-Frequency Inflation Uncertainty |
| By Christian Conrad; University of Heidelberg Matthias Hartmann; University of Heidelberg |
| Presented by: Matthias Hartmann, University of Heidelberg |
| Session 14: Forecasting with Mixed Frequency Data April 17, 2014 15:00 to 16:40 14-270 |
| Session Chair: Francesco Ravazzolo, Norges Bank |
| Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work |
| By Christiane Baumeister; Bank of Canada Pierre Guerin; Bank of Canada Lutz Kilian; University of Michigan |
| Presented by: Pierre Guerin, Bank of Canada |
| Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR |
| By Michael McCracken; Federal Reserve Bank of St Louis Michael Owyang; Federal Reserve Bank of St Louis Tatevik Sekhposyan; Bank of Canada |
| Presented by: Tatevik Sekhposyan, Bank of Canada |
| Density Forecasts with MIDAS Models |
| By Knut Are Aastveit; Norges Bank Claudia Foroni; Norges Bank Francesco Ravazzolo; Norges Bank |
| Presented by: Knut Are Aastveit, Norges Bank |
| Realized Volatility and Business Cycle Fluctuations: A Mixed-Frequency VAR Approach |
| By Alain Hecq; Maastricht University |
| Presented by: Alain Hecq, Maastricht University |
| Session 15: Macro Theory II April 17, 2014 15:00 to 16:40 14-280 |
| Session Chair: Carl Chiarella, University of Technology Sydney |
| House Price Dynamics with Long-term Mortgage Debt |
| By Paolo Gelain; Norges Bank Kevin Lansing; Federal Reserve Bank of San Francisco Mathis Mælum; Princeton University and Norges Bank Gisle Natvik; Norges Bank |
| Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco |
| Endogenous Stock Price Cycles with Dynamic Self-Control Preferences |
| By Marco Airaudo; Drexel University, LeBow Business School |
| Presented by: Marco Airaudo, Drexel University, LeBow Business School |
| Asset Prices, Monetary Policy and Determinacy |
| By Aarti Singh; University of Sydney Sophie Stone Jacek Suda; Banque de France - Paris School of Economics |
| Presented by: Jacek Suda, Banque de France - Paris School of Economics |
| Booms and Busts in House Prices under Heterogeneous Expectations |
| By Wilko Bolt; De Nederlandsche Bank N.V. Maria Demertzis; De Nederlandsche Bank Cees Diks; University of Amsterdam Cars Hommes; University of Amsterdam Marco van der Leij; University of Amsterdam |
| Presented by: Cees Diks, University of Amsterdam |
| Session 16: Nonlinear Time Series I (Special Session in Honor of James B. Ramsey) April 17, 2014 15:00 to 16:40 14-285 |
| Session Chair: Marco Gallegati, Polytechnic University of Marche |
| Making Leading Indicators More Leading: A "Wavelet-Based" Method for the Construction of CLI |
| By Marco Gallegati; Università Politecnica delle Marche Mauro Gallegati; Polytechnic University of Marche |
| Presented by: Mauro Gallegati, Polytechnic University of Marche |
| Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatilty |
| By Mark Jensen; Atlanta Federal Reserve Bank |
| Presented by: Mark Jensen, Atlanta Federal Reserve Bank |
| Nonlinearity and Time-varying Dependence in Money Markets |
| By Emre Yoldas; Federal Reserve Board Zeynep Senyuz; Federal Reserve Board Bernd Schlusche; Federal Reserve Board Selva Demiralp; Koc University |
| Presented by: Zeynep Senyuz, Federal Reserve Board |
| A Comovement Test for State-Dependent Stock Returns |
| By Kaihua Deng; University of Washington |
| Presented by: Kaihua Deng, University of Washington |
| Session 17: Interest Rates April 17, 2014 17:00 to 18:15 14-266 |
| Session Chair: Lorenzo Pozzi, Erasmus University Rotterdam |
| Forecasting the Term Structure of Interest Rates with Potentially Misspecified Models |
| By Yunjong Eo; University of Sydney Kyu Ho Kang; Korea University |
| Presented by: Yunjong Eo, University of Sydney |
| Changes in Persistence, Spurious Regressions and the Fisher Hypothesis |
| By Robinson Kruse; Leibniz University Hannover Daniel Ventosa-Santaulària; Centro de Investigación y Docencia Econ Antonio Noriega; Banco de México |
| Presented by: Daniel Ventosa-Santaulària, Centro de Investigación y Docencia Econ |
| A Dynamic Nelson-Siegel Yield Curve Model with Markov Switching |
| By Jared Levant; University of Alabama Jun Ma; The University of Alabama |
| Presented by: Jared Levant, University of Alabama |
| Session 18: Financial Variables and Macroeconomic Forecasting April 17, 2014 17:00 to 18:15 14-270 |
| Session Chair: Ivan Paya, Lancaster University Management School |
| Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance |
| By Marco Del Negro; Federal Reserve Bank of New York Raiden Hasegawa; FRBNY Frank Schorfheide (Inactive); University of Pennsylvania |
| Presented by: Marco Del Negro, Federal Reserve Bank of New York |
| Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity? |
| By Rodrigo Sekkel; Bank of Canada |
| Presented by: Rodrigo Sekkel, Bank of Canada |
| Bond Market and Macroeconomic News |
| By Michele Modugno; Board of Governors of the Federal Reserve System |
| Presented by: Michele Modugno, Board of Governors of the Federal Reserve System |
| Session 19: Applied Time Series II April 17, 2014 17:00 to 18:15 14-280 |
| Session Chair: Zeynep Senyuz, Federal Reserve Board |
| Dynamic Synchronization of Cycles: A Markov-Switching Network Approach |
| By Danilo Leiva-Leon; Bank of Canada |
| Presented by: Danilo Leiva-Leon, Bank of Canada |
| How Did the Financial Crisis Alter the Correlations of U.S. Yield Spreads? |
| By Silvio Contessi; Federal Reserve Bank of St. Louis Pierangelo De Pace; Pomona College Massimo Guidolin; Bocconi University |
| Presented by: Pierangelo De Pace, Pomona College |
| Understanding the Accumulation of Bank and Thrift Reserves During the U.S. Financial Crisis |
| By Su-Hsin Chang; Washington University in St. Louis Silvio Contessi; Federal Reserve Bank of St. Louis Johanna Francis; Fordham University |
| Presented by: Silvio Contessi, Federal Reserve Bank of St. Louis |
| Session 20: Nonlinear Time Series II (Special Session in Honor of James B. Ramsey) April 17, 2014 17:00 to 18:15 14-285 |
| Session Chair: M. Ege Yazgan, Istanbul Bilgi University |
| A Non-linear Forecast Combination Method with Dynamic Misspecification: A Bayesian Approach |
| By Kajal Lahiri; University at Albany: SUNY Yang Liu; University at Albany: SUNY |
| Presented by: Yang Liu, University at Albany: SUNY |
| Testing for Nonlinear GARCH Models |
| By Thomas Chuffart; Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS Emmanuel FLACHAIRE; Aix Marseille University Anne Péguin-Feissolle; Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS |
| Presented by: Thomas Chuffart, Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS |
| Improving Model Performance with Wavelet Decomposition for High-Frequency Financial Data |
| By Edward Sun |
| Presented by: Edward Sun, |
| Session 21: Exchange Rates II April 18, 2014 8:30 to 10:10 14-267 |
| Session Chair: Etsuro Shioji, Hitotsubashi University |
| Nonlinearities in the Real Exchange Rates: New Evidence |
| By Yamin Ahmad; University of Wisconsin - Whitewater Ming Lo; St. Cloud State University Olena Mykhaylova; University of Richmond |
| Presented by: Olena Mykhaylova, University of Richmond |
| FX Options and Excess Returns: A Multi Moment Term Structure of Exchange Rate Dynamics |
| By Yu-chin Chen; University of Washington Ranganai Gwati; University of Washington |
| Presented by: Ranganai Gwati, University of Washington |
| Noisy News and Exchange Rate Bubbles: A SVAR Approach |
| By Chris Redl; Queen Mary, University of London |
| Presented by: Chris Redl, Queen Mary, University of London |
| What Makes a Commodity Currency? |
| By Yu-chin Chen; University of Washington Dongwon Lee; University of California, Riverside |
| Presented by: Dongwon Lee, University of California, Riverside |
| Session 22: Finance III (Special Session in Honor of James B. Ramsey) April 18, 2014 8:30 to 10:10 14-266 |
| Session Chair: Junsoo Lee, University of Alabama |
| Exploring Nonlinearities in Financial Systemic Risk |
| By Marcin Wolski; University of Amsterdam |
| Presented by: Marcin Wolski, University of Amsterdam |
| "Fear and Loathing in the Housing Market: Evidence from Search Query Data" |
| By Marcelle Chauvet; University of California RIverside Chandler Lutz; Copenhagen Business School Stuart Gabriel; UCLA Anderson School of Management |
| Presented by: Marcelle Chauvet, University of California Riverside |
| Interpreting Financial Market Crashes as Earth Quakes: A New Early Warning System for Medium-Term Crashes |
| By Francine Gresnigt; Erasmus University Rotterdam |
| Presented by: Francine Gresnigt, Erasmus University Rotterdam |
| Modelling the “Animal Spirits” of Bank’s Lending Behaviour |
| By Carl Chiarella; University of Technology Sydney Corrado Di Guilmi Tianhao Zhi; University of Technology, Sydney |
| Presented by: Carl Chiarella, University of Technology Sydney |
| Session 23: Output Gap, Unemployment, and Okun's Law April 18, 2014 8:30 to 10:10 14-269 |
| Session Chair: Hauke Vierke, University of Muenster |
| On the Reliability of Output-Gap Estimates in Realtime |
| By Elmar Mertens; Federal Reserve Board |
| Presented by: Elmar Mertens, Federal Reserve Board |
| A State-Level Analysis of Okun’s Law |
| By Amy Guisinger; The George Washington University Ruben Hernandez-Murillo; Federal Reserve Bank of St. Louis Michael Owyang; Federal Reserve Bank of St Louis Tara Sinclair; George Washington University |
| Presented by: Tara Sinclair, George Washington University |
| Asymmetric Labor Force Dynamics, Friedman's Plucking Model, and Jobless Recoveries |
| By Michael Bradley; George Washington University Dennis Jansen; Texas A&M University |
| Presented by: Dennis Jansen, Texas A&M University |
| Session 24: Case Studies in Forecasting April 18, 2014 8:30 to 10:10 14-270 |
| Session Chair: Yunjong Eo, University of Sydney |
| Probability and Severity of Recessions |
| By Rachidi Kotchoni; ThEMA Dalibor Stevanovic; Université du Québec à Montréal |
| Presented by: Dalibor Stevanovic, Université du Québec à Montréal |
| The Real Advantage of the Inflation Gap for Forecasting U.S. Inflation |
| By Christopher Gibbs |
| Presented by: Christopher Gibbs, |
| Forecasting Output and Inflation with Global Components |
| By Hilde Bjørnland; BI Norwegian Business School Francesco Ravazzolo; Norges Bank Leif Thorsrud; BI Norwegian Business School |
| Presented by: Francesco Ravazzolo, Norges Bank |
| Forecasting Fed Funds Target Changes with Large Datasets |
| By Travis Berge; Federal Reserve Bank of Kansas City Michael Owyang; Federal Reserve Bank of St Louis |
| Presented by: Michael Owyang, Federal Reserve Bank of St Louis |
| Session 25: Macro Theory III April 18, 2014 8:30 to 10:10 14-280 |
| Session Chair: Richard Dennis, University of Glasgow |
| Trickle-Down Consumption, Monetary Policy and Inequality |
| By Marco Airaudo; Drexel University, LeBow Business School Luca Bossi; University of Pennsylvania |
| Presented by: Luca Bossi, University of Pennsylvania |
| Research Policy and U.S. Economic Growth |
| By Richard M. H. Suen; University of Connecticut |
| Presented by: Richard M. H. Suen, University of Connecticut |
| Efficiency of the Pension Reform: The Welfare Effects of Various Fiscal Closures |
| By Joanna Tyrowicz; National Bank of Poland Krzysztof Makarski; National Bank of Poland |
| Presented by: Joanna Tyrowicz, National Bank of Poland |
| Endogenous Growth, Inequality and the Composition of Government Expenditures |
| By Constantine Angyridis; Ryerson University |
| Presented by: Constantine Angyridis, Ryerson University |
| Session 26: Granger Causality and Predictive Analysis April 18, 2014 8:30 to 10:10 14-285 |
| Session Chair: Sebastian Fossati, University of Alberta |
| Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach |
| By Richard Ashley; Virginia Tech Kwok Ping Tsang; Virginia Tech |
| Presented by: Richard Ashley, Virginia Tech |
| Granger Causality and Regime Inference in Bayesian Markov-Switching VARs |
| By Matthieu Droumaguet; European University Institute Anders Warne; European Central Bank Tomasz Wozniak; University of Melbourne |
| Presented by: Tomasz Wozniak, University of Melbourne |
| Robust Inference in Smooth Transition Predictive Regressions |
| By Rehim Kilic; Koc University |
| Presented by: Rehim Kilic, Federal Reserve Bank of Atlanta |
| Government Debt and Macroeconomic Activity: A Predictive Analysis for Advanced Economies |
| By Deniz Baglan; Howard University Emre Yoldas; Federal Reserve Board |
| Presented by: Deniz Baglan, Howard University |
| Session 27: Asset Prices and the Macroeconomy April 18, 2014 10:30 to 12:10 14-267 |
| Session Chair: Silvio Contessi, Federal Reserve Bank of St. Louis |
| Identification of Financial Factors in Economic Fluctuations |
| By Francesco Furlanetto; Norges Bank |
| Presented by: Francesco Furlanetto, Norges Bank |
| Macroeconomic Determinants of Time-Varying Persistence in the S&P500 Price-Dividend Ratio |
| By Hendrik Kaufmann; Leibniz Universität Hannover Robinson Kruse; Leibniz University Hannover |
| Presented by: Robinson Kruse, Leibniz University Hannover |
| Understanding Housing Market Volatility |
| By Joseph Fairchild; Bank of America Jun Ma; The University of Alabama Shu Wu; University of Kansas |
| Presented by: Jun Ma, The University of Alabama |
| Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered |
| By Frauke Schleer; ZEW Mannheim Willi Semmler; New School for Social Research |
| Presented by: Frauke Schleer, ZEW Mannheim |
| Session 28: Sovereign Debt, Private Currency, and Social Order April 18, 2014 10:30 to 12:10 14-266 |
| Session Chair: Willi Semmler, New School for Social Research |
| Macro Factors and Sovereign Bond Spreads: A Quadratic No-Arbitrage Model |
| By Peter Hoerdahl; Bank for International Settlements Oreste Tristani; ECB |
| Presented by: Peter Hoerdahl, Bank for International Settlements |
| Limitations to Sovereign Debt Speculation |
| By Remco Zwinkels; Erasmus School of Economics |
| Presented by: Remco Zwinkels, Erasmus School of Economics |
| The Economics of Private Digital Currency |
| By Gerald Dwyer; Clemson University |
| Presented by: Gerald Dwyer, Clemson University |
| Cooperation and Competition in the Emergence of a Social Order |
| By AJ Bostian; University of Virginia David Goldbaum; University of Technology Sydney |
| Presented by: David Goldbaum, University of Technology Sydney |
| Session 29: Inflation and Monetary Policy April 18, 2014 10:30 to 12:10 14-269 |
| Session Chair: Maral Kichian, University of Ottawa |
| Perceived Inflation Persistence |
| By Monica Jain; Bank of Canada |
| Presented by: Monica Jain, Bank of Canada |
| On the Correlation Between Inflation Persistence and The Implicit Inflation Target |
| By Yamin Ahmad; University of Wisconsin - Whitewater Stuart Glosser; University of Wisconsin at Whitewater |
| Presented by: Stuart Glosser, University of Wisconsin at Whitewater |
| Central Bank Credibility and Reputation: An Historical and Quantitative Exploration |
| By Pierre Siklos; Wilfrid Laurier University Michael Bordo; Rutgers University |
| Presented by: Pierre Siklos, Wilfrid Laurier University |
| Monetary Policy Shocks and the Taylor Rule |
| By Edward Gamber; Lafayette College Tara Sinclair; George Washington University Pao-Lin Tien; Wesleyan University |
| Presented by: Pao-Lin Tien, Wesleyan University |
| Session 30: Advances in Forecasting April 18, 2014 10:30 to 12:10 14-270 |
| Session Chair: Tatevik Sekhposyan, Bank of Canada |
| Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts |
| By James Nason; North Carolina State University Gregor Smith; Queen's University |
| Presented by: James Nason, North Carolina State University |
| The Effect of FOMC Forecast Disagreement on U.S. Treasuries |
| By Michael McCracken; Federal Reserve Bank of St Louis |
| Presented by: Michael McCracken, Federal Reserve Bank of St Louis |
| How Biased Are U.S. Government Forecasts of the Federal Debt? |
| By Neil Ericsson; Federal Reserve Board |
| Presented by: Neil Ericsson, Federal Reserve Board |
| Macroprudential Policy and Forecasting Using Hybrid DSGE Models with Financial Frictions and State Space Markov-Switching TVP-VARs |
| By Stelios Bekiros; European University Institute (EUI) Alessia Paccagnini; Bicocca University |
| Presented by: Stelios Bekiros, European University Institute (EUI) |
| Session 31: DSGE Models (RAstaNEWS Special Session) April 18, 2014 10:30 to 12:10 14-280 |
| Session Chair: Sarah Zubairy, Texas A&M University |
| Forecasting in a DSGE Model with Banking Intermediation: Evidence from US |
| By Alessia Paccagnini; Bicocca University Roberta Cardani; Università degli Studi Milano-Bicocca Stefania Villa; University of Foggia and K.U. Leuven |
| Presented by: Alessia Paccagnini, Bicocca University |
| Fiscal Consolidation and Rule of Thumb Consumers: Gain with or without Pain? |
| By Maria Ferrara; University of Milano-Bicocca Patrizio Tirelli; University of Milano-Bicocca |
| Presented by: Maria Ferrara, University of Milano-Bicocca |
| Heterogenous Agents and the Optimal Rate of Inflation |
| By Lorenzo Menna; University of Milan-Bicocca Patrizio Tirelli; University of Milano-Bicocca |
| Presented by: Lorenzo Menna, University of Milan-Bicocca |
| Estimating a DSGE with Limited Asset Market Participation and Fiscal Policy in the Euro Area |
| By Alice Albonico; University of Pavia Alessia Paccagnini; Bicocca University Patrizio Tirelli; University of Milano-Bicocca |
| Presented by: Alessia Paccagnini, Bicocca University |
| Session 32: Time Series I (Special Session in Honor of James B. Ramsey) April 18, 2014 10:30 to 12:10 14-285 |
| Session Chair: Richard Baillie, Michigan State University |
| Heteroskedasticity Autocorrelation Robust Inference in Time Series Regressions with Missing Data |
| By Seunghwa Rho; Louisiana State University Tim Vogelsang; Michigan State U. |
| Presented by: Seunghwa Rho, Louisiana State University |
| Oil Prices, World Output and U.S. Grain Prices: A Nonlinear Cointegration Analysis |
| By Walter Enders; University of Alabama Junsoo Lee; University of Alabama |
| Presented by: Walter Enders, University of Alabama |
| Unfolding GARCH models |
| By Richard Luger; Georgia State University |
| Presented by: Richard Luger, Georgia State University |
| CCE Estimation of Factor-Augmented Regression Models with More Factors than Observables |
| By Hande Karabiyik; Maastricht University Jean-Pierre Urbain; Maastricht University Joakim Westerlund; Deakin University |
| Presented by: Jean-Pierre Urbain, Maastricht University |
| Session 33: Applied Time Series III April 18, 2014 13:30 to 15:10 14-267 |
| Session Chair: Benjamin Wong, Reserve Bank of New Zealand |
| Global Slack as a Determinant of Domestic Inflation Rates: Cross-Country Evidence from an Unobserved Components Model Approach |
| By Pym Manopimoke; University of Kansas |
| Presented by: Pym Manopimoke, University of Kansas |
| Time Varying Pass-Through: Will the Yen Depreciation Help Japan Hit the Inflation Target? |
| By Etsuro Shioji; Hitotsubashi University |
| Presented by: Etsuro Shioji, Hitotsubashi University |
| How much Time-Variation in Fundamental Marcoeconomic Relationships? An Unobserved Components Approach with Time-Varying Parameters and Stochastic Volatility |
| By Tino Berger; University of Cologne Gerdie Everaert; Ghent University Hauke Vierke; University of Muenster |
| Presented by: Hauke Vierke, University of Muenster |
| Global Stochastic Trends in Growth, Interest and Inflation. Is the Post-Bretton-Woods Era Driven by the Volcker Disinflation? |
| By Reinhold Heinlein; Keele University Hans-Martin Krolzig; The University of Kent |
| Presented by: Reinhold Heinlein, Keele University |
| Session 34: Macro-finance Interface and Early Warning Indicators (RAstaNEWS Special Session) April 18, 2014 13:30 to 15:10 14-266 |
| Session Chair: Rehim Kilic, Federal Reserve Bank of Atlanta |
| Insights on the Global Macro-Finance Interface: Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns |
| By Claudio Morana; Department of Economics |
| Presented by: Claudio Morana, Department of Economics |
| Wavelet-Based Early Warning Composite Indicators: An Application to the US |
| By Marco Gallegati; Università Politecnica delle Marche |
| Presented by: Marco Gallegati, Polytechnic University of Marche |
| Measuring Persistence in Volatility Spillovers |
| By Christian Conrad; University of Heidelberg Enzo Weber; University of Regensburg |
| Presented by: Christian Conrad, University of Heidelberg |
| Modelling Returns and Volatilities During Financial Crises: A Time Varying Coefficient Approach |
| By Menelaos Karanasos; Brunel University Michail Karoglou; University of Newcastle Faek Menla Ali Alexandros Paraskevopoulos |
| Presented by: Menelaos Karanasos, Brunel University |
| Session 35: Monetary Policy II April 18, 2014 13:30 to 15:10 14-269 |
| Session Chair: Pao-Lin Tien, Wesleyan University |
| Monetary Policy, Macro Factors, and the Term Structure at the Zero Lower Bound |
| By Laura Jackson; University of North Carolina at Chapel Hill |
| Presented by: Laura Jackson, University of North Carolina at Chapel Hill |
| Monetary Policy Transmission during Financial Crises: An Empirical Analysis |
| By Tatjana Dahlhaus; Bank of Canada |
| Presented by: Tatjana Dahlhaus, Bank of Canada |
| Corporate Bond Yields in the Transmission Mechanism of Monetary Policy |
| By Isaac Sserwanja; University of Kent Hans-Martin Krolzig; The University of Kent |
| Presented by: Isaac Sserwanja, University of Kent |
| Credit Spreads, Asset Prices and Monetary Policy |
| By Marcelle Chauvet; University of California RIverside Venoo Kakar; San Francisco State University |
| Presented by: Venoo Kakar, San Francisco State University |
| Session 36: High Frequency Data and Methods April 18, 2014 13:30 to 15:10 14-270 |
| Session Chair: Mark Jensen, Atlanta Federal Reserve Bank |
| Volatility and Liquidity Costs |
| By Selma Chaker; Bank of Canada |
| Presented by: Selma Chaker, Bank of Canada |
| Forecasting Intraday Volatility Using Limit Order Book Information |
| By Magdalena Sokalska; Queens College |
| Presented by: Magdalena Sokalska, Queens College |
| Downside Variance Risk Premium |
| By BRUNO FEUNOU; Bank of Canada Mohammad Jahan-Parvar; Federal Reserve Board Cedric Okou; HEC Montreal |
| Presented by: Mohammad Jahan-Parvar, Federal Reserve Board |
| Combining Density Forecasts for Improving Value-at-Risk Estimates |
| By Anne Opschoor; VU University Amsterdam Dick van Dijk; Erasmus University Rotterdam Michel van der Wel; Erasmus University Rotterdam |
| Presented by: Dick van Dijk, Erasmus University Rotterdam |
| Session 37: Fiscal Policy, Investment, and Leverage April 18, 2014 13:30 to 15:10 14-280 |
| Session Chair: Irina Panovska, Lehigh University |
| Estimating Fiscal Multipliers: News from a Nonlinear World |
| By Giovanni Caggiano; University of Padua Efrem Castelnuovo; University of Padova Valentina Colombo; University of Padova Gabriela Nodari; University of Verona |
| Presented by: Giovanni Caggiano, University of Padua |
| Government Spending Multipliers in Good Times and in Bad: Evidence from U.S Historical Data |
| By Valerie Ramey; University of California, San Diego Sarah Zubairy; Texas A&M University |
| Presented by: Sarah Zubairy, Texas A&M University |
| Heterogeneity in the Dynamic Effects of Uncertainty on Investment |
| By SUNG JE BYUN; University of California, San Diego Soojin Jo; Bank of Canada |
| Presented by: SUNG JE BYUN, University of California, San Diego |
| Overleveraging and Regime Change in the Banking-Macro Link -- Evaluated by a Multi--Regime VAR |
| By Willi Semmler; New School for Social Research Stefan Mittnik; Universität München |
| Presented by: Willi Semmler, New School for Social Research |
| Session 38: Time Series II (Special Session in Honor of James B. Ramsey) April 18, 2014 13:30 to 15:10 14-285 |
| Session Chair: Cees Diks, University of Amsterdam |
| Quasi-Bayesian Model Selection |
| By Atsushi Inoue; Southern Methodist University Mototsugu Shintani; Vanderbilt University |
| Presented by: Atsushi Inoue, Southern Methodist University |
| Robust and Powerful Tests for Nonlinear Deterministic Components |
| By Sam Astill; University of Warwick David Harvey; University of Nottingham Stephen Leybourne; University of Nottingham Robert Taylor; University of Essex |
| Presented by: Sam Astill, University of Warwick |
| Indirect Inference Based on the Score |
| By Peter Fuleky; University of Hawaii Eric Zivot; University of Washington |
| Presented by: Peter Fuleky, University of Hawaii |
| Persistence in Convergence: Some Further Results |
| By Thanasis Stengos; University of Guelph M. Ege Yazgan; Istanbul Bilgi University |
| Presented by: M. Ege Yazgan, Istanbul Bilgi University |
| Session 39: Booms, Busts and Behavioural Heterogeneity in Stock Prices, with Cars Hommes April 18, 2014 15:30 to 17:10 14-220 |
| Session Chair: James Morley, University of New South Wales |
This program was last updated on 2015-03-10 22:6:34 EDT