Summary of All Sessions
Click here for an index of all participants

Date/Time	Location	Title	Papers
March 28, 2019 9:00-10:40	Tejas	Session 1: Unconventional Monetary Policy	4
March 28, 2019 9:00-10:40	Navarro	Session 2: Assessing Effects of Uncertainty I	4
March 28, 2019 9:00-10:40	LaSalle	Session 3: Labor Markets	4
March 28, 2019 9:00-10:40	Dona Ana	Session 4: Stock Markets	4
March 28, 2019 9:00-10:40	Bexar	Session 5: Time-Varying Parameters	4
March 28, 2019 9:00-10:40	Goliad	Session 6: Macroeconomic Forecasting	4
March 28, 2019 11:10-12:50	Tejas	Session 7: Oil Prices and Macro	4
March 28, 2019 11:10-12:50	Navarro	Session 8: Forecasting	4
March 28, 2019 11:10-12:50	LaSalle	Session 9: Transmission through Economic Networks	4
March 28, 2019 11:10-12:50	Dona Ana	Session 10: Sovereign Debt/Exchange Rates	4
March 28, 2019 11:10-12:50	Bexar	Session 11: Financial Frictions	4
March 28, 2019 11:10-12:50	Goliad	Session 12: Monetary Policy in Uncertain Environments	4
March 28, 2019 14:00-15:00	Auditorium	Plenary I: Barbara Rossi, "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It And What Have We Learned?"	0
March 28, 2019 15:30-17:10	Tejas	Session 13: Zero Lower Bound	4
March 28, 2019 15:30-17:10	Navarro	Session 14: Output Gaps, Natural Unemployment and Interest Rates	4
March 28, 2019 15:30-17:10	LaSalle	Session 15: Financial Frictions and the Macroeconomy	4
March 28, 2019 15:30-17:10	Dona Ana	Session 16: Nonlinear Models I	4
March 28, 2019 15:30-17:10	Bexar	Session 17: Inflation Dynamics and Forecasts	4
March 28, 2019 15:30-17:10	Goliad	Session 18: Social Security and Macro	4
March 29, 2019 9:00-10:40	Tejas	Session 19: Monetary Policy and Financial Markets	4
March 29, 2019 9:00-10:40	Navarro	Session 20: Assessing the Effects of Uncertainty II	4
March 29, 2019 9:00-10:40	LaSalle	Session 21: Regime Switches/Policy Reforms	4
March 29, 2019 9:00-10:40	Dona Ana	Session 22: Business Cycle and News	4
March 29, 2019 9:00-10:40	Bexar	Session 23: Econometric Studies of Housing	4
March 29, 2019 9:00-10:40	Goliad	Session 24: Machine Learning	4
March 29, 2019 11:10-12:50	Tejas	Session 25: Nonstationarity, Cointegration and Long Memory	4
March 29, 2019 11:10-12:50	Navarro	Session 26: Empirical Macro and Finance	4
March 29, 2019 11:10-12:50	Lasalle	Session 27: Inflation and Financial Linkages	4
March 29, 2019 11:10-12:50	Dona Ana	Session 28: Nonlinear Models II	4
March 29, 2019 11:10-12:50	Bexar	Session 29: Cryptocurrencies and Macro Models	3
March 29, 2019 11:10-12:50	Goliad	Session 30: Labor Markets/Investment/Consumption Expenditures	4
March 29, 2019 14:00-15:00	Auditorium	Plenary II: Frank Schorfheide, "Piecewise Linear DSGE Models"	0
March 29, 2019 15:30-17:10	Tejas	Session 31: Econometrics Techniques	4
March 29, 2019 15:30-17:10	Navarro	Session 32: Fiscal Policies	4
March 29, 2019 15:30-17:10	Lasalle	Session 33: Cointegration	4
March 29, 2019 15:30-17:10	Dona Ana	Session 34: Monetary Policy	4
March 29, 2019 15:30-17:10	Bexar	Session 35: International Finance and Trade	4

 

37 sessions, 139 papers, and 0 presentations with no associated papers

27th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics
Detailed List of Sessions

Session: Session 1: Unconventional Monetary Policy March 28, 2019 9:00 to 10:40 Tejas
Session Chair: Garo Garabedian, Central Bank of Ireland, Ghent University
Understanding the Aspects of Federal Reserve Forward Guidance
By Kurt Lunsford; Federal Reserve Bank of Cleveland
presented by: Kurt Lunsford, Federal Reserve Bank of Cleveland
The Macroeconomic Effects of Forward Communication
By Ørjan Robstad; Norges Bank Leif Brubakk; Norges Bank Saskia ter Ellen; Norges Bank Hong Xu; Norges Bank
presented by: Ørjan Robstad, Norges Bank
Reverse Quantitative Easing: What are the macroeconomic consequences of shrinking the Federal Reserve's balance sheet?
By Kyle Rechard; Clemson University
presented by: Kyle Rechard, Clemson University
Could a Large Scale Asset Purchase Programme Have Mitigated the Great Depression?
By Garo Garabedian; Central Bank of Ireland, Ghent University Rebecca Stuart; Central Bank of Ireland
presented by: Garo Garabedian, Central Bank of Ireland, Ghent University
Session: Session 2: Assessing Effects of Uncertainty I March 28, 2019 9:00 to 10:40 Navarro
Session Chair: Pratiti Chatterjee, University of New South Wales
Uncertainty Matters: Evidence from Close Election
By Christopher Redl; Bank of England
presented by: Christopher Redl, Bank of England
Monetary Policy Uncertainty: A Tale of Two Tails
By Tatjana Dahlhaus; Bank of Canada Tatevik Sekhposyan; Texas A&M University
presented by: Tatevik Sekhposyan, Texas A&M University
Model Uncertainty and the Direction of Fit of the Postwar U.S. Phillips Curve(s)
By Francesca Rondina; University of Ottawa
presented by: Francesca Rondina, University of Ottawa
Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle
By Fabio Milani; University of California, Irvine Pratiti Chatterjee; University of New South Wales
presented by: Pratiti Chatterjee, University of New South Wales
Session: Session 3: Labor Markets March 28, 2019 9:00 to 10:40 LaSalle
Session Chair: Daniela Hauser, Bank of Canada
The Cyclical Behavior of Labor Force Participation
By Didem Tuzemen; Federal Reserve Bank of Kansas City Willem Van Zandweghe; Federal Reserve Bank of Kansas City
presented by: Willem Van Zandweghe, Federal Reserve Bank of Kansas City
Uncertainty and Labor Market Fluctuations
By Soojin Jo; Federal Reserve Bank of Dallas
presented by: Soojin Jo, Federal Reserve Bank of Dallas
A Look at Jobless Recoveries in G-7 Countries
By Ahmed Elroukh; Lehigh University Alex Nikolsko-Rzhevskyy; Lehigh University Irina Panovska; Lehigh University
presented by: Irina Panovska, Lehigh University
Labor Mobility in a Monetary Union
By Daniela Hauser; Bank of Canada Martin Seneca; Bank of England
presented by: Daniela Hauser, Bank of Canada
Session: Session 4: Stock Markets March 28, 2019 9:00 to 10:40 Dona Ana
Session Chair: Laura Jackson Young, Bentley University
Monetary Shock Measurement and Stock Markets
By Arabinda Basistha; West Virginia University Richard Startz; University of California, Santa Barbara
presented by: Arabinda Basistha, West Virginia University
The Effects of Upside, Downside, Small and Large Jumps on Stock Return Predictability
By Bruce Mizrach; Rutgers University
presented by: Bruce Mizrach, Rutgers University
Speculative Dynamics in the Chinese Stock Market: Evidence from Cross-Listed Stocks
By Efthymios Pavlidis; Lancaster University Management School Kostas Vasilopoulos; Lancaster University Management School
presented by: Efthymios Pavlidis, Lancaster University Management School
International Stock Comovements with Endogenous Clusters
By Laura Coroneo; University of York Laura Jackson Young; Bentley University Michael Owyang; Federal Reserve Bank of St Louis
presented by: Laura Jackson Young, Bentley University
Session: Session 5: Time-Varying Parameters March 28, 2019 9:00 to 10:40 Bexar
Session Chair: Philippe Goulet Coulombe, University of Pennsylvania
A New Unified Theory for the Large Family of Time Series Models with ARMA Representations and Varying Coefficients: One Solution Fits All
By Menelaos Karanasos; Brunel University alexandros paraskevopoulos; University of Piraeus Alessandra Canepa; university of torino
presented by: Menelaos Karanasos, Brunel University
Large Hybrid Time-Varying Parameter VARs
By Joshua Chan; Purdue University
presented by: Joshua Chan, Purdue University
Endogenous Time-Variation in Vector Autoregressions
By Luis Uzeda; Bank of Canada Danilo Leiva Leon; Bank of Spain
presented by: Luis Uzeda, Bank of Canada
Sparse and Dense Time-varying Parameters Models using Ridge Regressions
By Philippe Goulet Coulombe; University of Pennsylvania
presented by: Philippe Goulet Coulombe, University of Pennsylvania
Session: Session 6: Macroeconomic Forecasting March 28, 2019 9:00 to 10:40 Goliad
Session Chair: Laurent Ferrara, Banque de France
Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts
By Julien Champagne; Bank of Canada Guillaume Poulin-Bellisle; Bank of Canada Rodrigo Sekkel; Bank of Canada
presented by: Rodrigo Sekkel, Bank of Canada
Construction of Leading Economic Index for Recession Prediction using Vine Copulas
By Kajal Lahiri; State University New York Albany Liu Yang; Nanjing University
presented by: Kajal Lahiri, State University New York Albany
Measuring GDP Growth Data Uncertainty
By Ana Beatriz Galvao; University of Warwick James Mitchell; University of Warwick
presented by: Ana Beatriz Galvao, University of Warwick
Short-Term Macroeconomic Forecasting and Turning Point Detection after the Great Recession
By Laurent Ferrara; Banque de France Catherine Doz; Université Paris 1 Pierre-Alain PIONNIER; OECD
presented by: Pierre-Alain PIONNIER, OECD
Session: Session 7: Oil Prices and Macro March 28, 2019 11:10 to 12:50 Tejas
Session Chair: Laura Moretti, European Central Bank
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
By Christiane Baumeister; University of Notre Dame James Hamilton; University of California, San Diego
presented by: Christiane Baumeister, University of Notre Dame
The Macroeconomic Effects of Oil Supply Shocks: New Evidence from OPEC Announcements
By Diego Känzig; London Business School
presented by: Diego Känzig, London Business School
Closer to One Great Pool? Evidence from Structural Breaks in Oil Price Differentials
By Michael Plante; Federal Reserve Bank of Dallas Grant Strickler
presented by: Michael Plante, Federal Reserve Bank of Dallas
News, Noise and Oil Price Swings
By Luca Gambetti; Collegio Carlo Alberto Laura Moretti; European Central Bank
presented by: Laura Moretti, European Central Bank
Session: Session 8: Forecasting March 28, 2019 11:10 to 12:50 Navarro
Session Chair: Michael McCracken, Federal Reserve Bank of St. Louis
The Bias-Variance Trade-off in Multistep Forecasting and Predictive Regressions at Intermediate and Long Horizons
By Guillaume Chevillon; ESSEC Business School
presented by: Guillaume Chevillon, ESSEC Business School
Sequential Bayesian Estimation of Vector Autoregressions with Stochastic Volatility
By Mark Bognanni; Federal Reserve Bank of Cleveland
presented by: Mark Bognanni, Federal Reserve Bank of Cleveland
Censoring and Fat Tails on the Bank of England's Monetary Policy Committee
By James Mitchell; University of Warwick Martin Weale; Kings College London
presented by: James Mitchell, University of Warwick
Binary Conditional Forecasts
By Michael McCracken; Federal Reserve Bank of St. Louis Michael Owyang; Federal Reserve Bank of St Louis
presented by: Michael McCracken, Federal Reserve Bank of St. Louis
Session: Session 9: Transmission through Economic Networks March 28, 2019 11:10 to 12:50 LaSalle
Session Chair: Pierre Siklos, Wilfrid Laurier University
Upstream, Downstream & Common Firm Shocks
By Everett Grant; Federal Reserve Bank of Dallas Julieta Yung; Bates College
presented by: Everett Grant, Federal Reserve Bank of Dallas
Sectoral Heterogeneity, Production Networks, and the Effects of Government Spending
By Omar Rachedi; Banco de España
presented by: Omar Rachedi, Banco de España
Propagation of Micro and Macro Shocks
By Sinem Hacioglu Hoke; Bank of England
presented by: Sinem Hacioglu Hoke, Bank of England
Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach
By Christian Gross; European Systemic Risk Board, European Central Bank Pierre Siklos; Wilfrid Laurier University
presented by: Pierre Siklos, Wilfrid Laurier University
Session: Session 10: Sovereign Debt/Exchange Rates March 28, 2019 11:10 to 12:50 Dona Ana
Session Chair: Renee Fry-McKibbin, Australian National University
Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO
By Tatsuma Wada; Keio University
presented by: Tatsuma Wada, Keio University
The Pricing of Sovereign Risk Under Costly Information
By Grace GU; UC Santa Cruz Zachary Stangebye; University of Notre Dame
presented by: Grace GU, UC Santa Cruz
Sovereign Debt, Collateral Policy, and Default Risk
By Matthias Kaldorf; University of Cologne Joost Roettger; University of Cologne
presented by: Matthias Kaldorf, University of Cologne
An Analysis of Comoment Relations in Currency Markets
By Renee Fry-McKibbin; Australian National University Matthew Greenwood-Nimmo; University of Melbourne Cody Yu-Ling Hsiao; Macau University of Science and Technology
presented by: Renee Fry-McKibbin, Australian National University
Session: Session 11: Financial Frictions March 28, 2019 11:10 to 12:50 Bexar
Session Chair: Kristine Koponen, University of Helsinki
Measuring Financial Cycle Time
By Andrew Filardo; Bank for International Settlements Marco Lombardi; Bank for International Settlements Marek Raczko; Barclays Bank PLC
presented by: Andrew Filardo, Bank for International Settlements
A Sparse Measure of Liquidity, and the Impact of Monetary Policy
By Garo Garabedian; Central Bank of Ireland, Ghent University
presented by: Garo Garabedian, Central Bank of Ireland, Ghent University
Fueling the Credit Crisis
By Tingting Zhu; Unversity of California, Davis
presented by: Tingting Zhu, Unversity of California, Davis
Financial Dependence and Endogenous Entry of Firms in Emerging Economies
By Kristine Koponen; University of Helsinki
presented by: Kristine Koponen, University of Helsinki
Session: Session 12: Monetary Policy in Uncertain Environments March 28, 2019 11:10 to 12:50 Goliad
Session Chair: Craig Fratrik, Duke University
A New Measure of Monetary Policy Shocks
By Xu Zhang; University of California, San Diego
presented by: Xu Zhang, University of California, San Diego
Robust Optimal Monetary Policy Under Heterogeneous Beliefs
By David Finck; Justus-Liebig University Giessen
presented by: David Finck, Justus-Liebig University Giessen
Performance of Simple Interest Rate Rules Subject to Fiscal Policy
By Nigel McClung
presented by: Nigel McClung,
Intermediate Commitment, Temptation, and Central Banks
By Craig Fratrik; Duke University
presented by: Craig Fratrik, Duke University
Session: Plenary I: Barbara Rossi, "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It And What Have We Learned?" March 28, 2019 14:00 to 15:00 Auditorium
Session Chair: Carlos Zarazaga, Federal Reserve Bank of Dallas
Session: Session 13: Zero Lower Bound March 28, 2019 15:30 to 17:10 Tejas
Session Chair: Ragnar Juelsrud, Norges Bank
Monetary Policy Options in a `Low for Long' Era
By Richard Harrison; Bank of England Martin Seneca; Bank of England Matthew Waldron; Bank of England
presented by: Martin Seneca, Bank of England
Variance Decomposition Analysis for Nonlinear DSGE Models: An Application with ZLB
By Maksim Isakin; Cleveland State University, Economics Phuong Ngo; Cleveland State University
presented by: Phuong Ngo, Cleveland State University
What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices
By Thomas Mertens; Federal Reserve Bank of San Francisco
presented by: Thomas Mertens, Federal Reserve Bank of San Francisco
Negative Nominal Interest Rates and the Bank Lending Channel
By Gauti Eggertsson; Brown University Ragnar Juelsrud; Norges Bank Ella Wold; Brown University
presented by: Ragnar Juelsrud, Norges Bank
Session: Session 14: Output Gaps, Natural Unemployment and Interest Rates March 28, 2019 15:30 to 17:10 Navarro
Session Chair: Ivan Mendieta-Munoz, University of Utah
Norges Banks Output Gap Estimates: Cyclical Sensitivity, Real-Time Evaluation and Forecasting Properties
By Francesco Furlanetto; Norges Bank Ørjan Robstad; Norges Bank
presented by: Francesco Furlanetto, Norges Bank
The Duration Structure of Unemployment Hazards and the Natural Rate of Unemployment
By Hie Joo Ahn; Federal Reserve Board
presented by: Hie Joo Ahn, Federal Reserve Board
Estimating the Natural Interest Rate of the Euro Area with Reduced Uncertainty
By Tino Berger; University of Goettingen Bernd Kempa; University of Muenster
presented by: Tino Berger, University of Goettingen
Are Long-Run Output Growth Rates Falling?
By Ivan Mendieta-M; University of Utah
presented by: Ivan Mendieta-Munoz, University of Utah
Session: Session 15: Financial Frictions and the Macroeconomy March 28, 2019 15:30 to 17:10 LaSalle
Session Chair: Junior Maih, Norges Bank
Estimating Financial Frictions under Learning
By Patrick Pintus; CNRS-InSHS and Aix-Marseille University Jacek Suda; Narodowy Bank Polski Mehmet Turgut; Bocconi University
presented by: Jacek Suda, Narodowy Bank Polski
DSGE Models with Financial Frictions: Does Frequency Matter?
By Claudia Foroni; European Central Bank Paolo Gelain; Federal Reserve Bank of Cleveland Massimiliano Marcellino; Bocconi University
presented by: Paolo Gelain, Federal Reserve Bank of Cleveland
Trade Liberalization, Local Credit Supply, and Amplified Impacts in the Presence of Financial Frictions in U.S. Banking Industry
By Sung Je Byun; Federal Reserve Bank of Dallas Seung Hoon Lee; Georgia Institute of Technology
presented by: Sung Je Byun, Federal Reserve Bank of Dallas
When Do Financial Frictions Really Matter for the Macroeconomy?: A Structural Regime-Switching Investigation
By Hilde Bjørnland; BI Norwegian Business School Junior Maih; Norges Bank Yasin Mimir; Norges Bank
presented by: Junior Maih, Norges Bank
Session: Session 16: Nonlinear Models I March 28, 2019 15:30 to 17:10 Dona Ana
Session Chair: Zehao Li, University of Wisconsin-Madison
Adaptive Learning in Nonlinear Models
By Richard Higgins; Colgate University
presented by: Richard Higgins, Colgate University
A New Approach to Multivariate Beveridge-Nelson Decomposition
By Chang-Jin Kim; University of Washington Jun Ma; Northeastern University
presented by: Jun Ma, Northeastern University
Improved Methods for Combining Point Forecasts for an Asymmetrically Distributed Variable
By Ozer Karagedikli; The South East Asian Central Banks Research and Training (SEACEN) Centre Shaun Vahey; Warwick University Liz Wakerly; CAMA
presented by: Ozer Karagedikli, The South East Asian Central Banks Research and Training (SEACEN) Centre
Leverage of the Intermediary and the Transmission of Monetary Policy
By Zehao Li; University of Wisconsin-Madison
presented by: Zehao Li, University of Wisconsin-Madison
Session: Session 17: Inflation Dynamics and Forecasts March 28, 2019 15:30 to 17:10 Bexar
Session Chair: Yunjong Eo, University of Sydney
Is Euro Area Lowflation Here to Stay? Insights from a Time-Varying Parameter Model with Survey Data.
By Arnoud Stevens; National Bank Belgium Joris Wauters; National Bank of Belgium and Ghent University
presented by: Arnoud Stevens, National Bank Belgium
Global Factors and Trend Inflation
By Gunes Kamber; Bank for International Settlements Benjamin Wong; Monash University
presented by: Benjamin Wong, Monash University
News-Driven Inflation Expectations and Information Rigidities
By Vegard Larsen; Norges Bank Leif Anders Thorsrud; Norges Bank Julia Zhulanova; BI Norwegian Business School
presented by: Julia Zhulanova, BI Norwegian Business School
Changes in the Inflation Target and the Comovement between Inflation and the Nominal Interest Rate
By Yunjong Eo; University of Sydney Denny Lie; The University of Sydney
presented by: Yunjong Eo, University of Sydney
Session: Session 18: Social Security and Macro March 28, 2019 15:30 to 17:10 Goliad
Session Chair: Nick Pretnar, Carnegie Mellon University, Tepper School of Business
Earnings Inequality And Income Redistribution Through Social Security
By Pavel Brendler; University of Bonn
presented by: Pavel Brendler, University of Bonn
Efficiency Versus Insurance: The Role for Fiscal Policy in Social Security Privatization
By Joanna Tyrowicz; FAME|GRAPE Krzysztof Makarski; Warsaw School of Economics and Narodowy Bank Polski Oliwia Komada; Warsaw School of Economics, GRAPE|FAME
presented by: Joanna Tyrowicz, FAME|GRAPE
Political (In)Stability of Social Security
By Oliwia Komada Krzysztof Makarski; Warsaw School of Economics and Narodowy Bank Polski Joanna Tyrowicz; FAME|GRAPE
presented by: Oliwia Komada,
The Costs and Benefits of Caring: Aggregate Burdens of an Aging Population
By Finn Kydland; University of California, Santa Barbara Nicholas Pretnar; Carnegie Mellon University
presented by: Nick Pretnar, Carnegie Mellon University, Tepper School of Business
Session: Session 19: Monetary Policy and Financial Markets March 29, 2019 9:00 to 10:40 Tejas
Session Chair: Hilde Bjørnland, BI Norwegian Business School
Macroeconomic Effects of Collateral Price Fluctuations and Financial Shocks
By Aicha Kharazi; University of Rome II Tor Vergata
presented by: Aicha Kharazi, University of Rome II Tor Vergata
Measuring the Cost of U.S. Housing Policy
By Richard Condor Castillo; Banco de Mexico
presented by: Richard Condor Castillo, Banco de Mexico
Anticipated House Purchases and Household Consumption
By Isaac Gross; Monash University
presented by: Isaac Gross, Monash University
Is Monetary Policy Always Effective? Incomplete Interest Rate Pass-through in a DSGE Model
By Hilde Bjørnland; BI Norwegian Business School Andrew Binning; Norges Bank Junior Maih; Norges Bank
presented by: Hilde Bjørnland, BI Norwegian Business School
Session: Session 20: Assessing the Effects of Uncertainty II March 29, 2019 9:00 to 10:40 Navarro
Session Chair: Christopher Gibbs, The University of Sydney
Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates
By Magnus Reif; ifo Institute
presented by: Magnus Reif, ifo Institute
International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach
By Jamie Cross; BI Norwegian Business School Chenghan Hou; Hunan University Aubrey Poon; University of Strathclyde
presented by: Jamie Cross, BI Norwegian Business School
The Term Structure of Uncertainty: New Evidence from Survey Expectations
By Carola Binder; Haverford College Tucker McElroy; U.S. Census Bureau Xuguang Simon Sheng; American University
presented by: Carola Binder, Haverford College
Optimal Monetary Policy at the ZLB with Imperfect Knowledge
By Christopher Gibbs; The University of Sydney Bruce Preston; The University of Melbourne
presented by: Christopher Gibbs, The University of Sydney
Session: Session 21: Regime Switches/Policy Reforms March 29, 2019 9:00 to 10:40 LaSalle
Session Chair: Sarah Zubairy, Texas A&M University
Contagious Switching
By Michael Owyang; Federal Reserve Bank of St Louis Jeremy Piger; University of Oregon Daniel Soques; University of North Carolina Wilmington
presented by: Daniel Soques, University of North Carolina Wilmington
Non-Markovian Regime-Switching Models
By Jaeho Kim; University of Oklahoma
presented by: Jaeho Kim, University of Oklahoma
Do They Hurt? Macroeconomic Effects of Reforms on Three Diverse Oil Exporters: Russia, Saudi Arabia and the UK
By Marco Lorusso; Northumbria University Samya Beidas-Strom; International Monetary Fund,
presented by: Marco Lorusso, Northumbria University
Pension Reforms in OECD Countries: Narrative Evidence
By Huixin Bi; Federal Reserve Bank of Kansas City Sarah Zubairy; Texas A&M University
presented by: Sarah Zubairy, Texas A&M University
Session: Session 22: Business Cycle and News March 29, 2019 9:00 to 10:40 Dona Ana
Session Chair: Danilo Cascaldi-Garcia, Federal Reserve Board
Distributional Imbalances and the U.S. Business Cycle
By Nikolaos Charalampidis; University of California, Irvine
presented by: Nikolaos Charalampidis, University of California, Irvine
Business Cycle Narratives
By Vegard Larsen; Norges Bank Leif Anders Thorsrud; Norges Bank
presented by: Vegard Larsen, Norges Bank
Forecasting Japanese Inflation with News-Based Business Cycle Indexes
By Keiichi Goshima; Bank of Japan Hiroshi Ishijima; Chuo University Mototsugu Shintani; University of Tokyo Hiroki Yamamoto; Bank of Japan
presented by: Mototsugu Shintani, University of Tokyo
Forecast Revisions as Instruments for News Shocks
By Danilo Cascaldi-Garcia; Federal Reserve Board
presented by: Danilo Cascaldi-Garcia, Federal Reserve Board
Session: Session 23: Econometric Studies of Housing March 29, 2019 9:00 to 10:40 Bexar
Session Chair: Knut Are Aastveit, Norges Bank
Understanding Comovements of House Prices: Evidence from U.S. Cities
By Chi-Young Choi; University of Texas Arlington
presented by: Chi-Young Choi, University of Texas Arlington
Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World
By Enrique Martinez-Garcia; Federal Reserve Bank of Dallas Valerie Grossman; Federal Reserve Bank of Dallas
presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
Housing (Un)affordability and Systemic Risk
By Efthymios Pavlidis; Lancaster University Management School Ivan Paya; Lancaster University Management School Alex Skouralis; Lancaster University
presented by: Ivan Paya, Lancaster University Management School
Changing Supply Elasticities and Regional Housing Booms
By Knut Are Aastveit; Norges Bank Bruno Albuquerque; Ghent University Andre Anundsen; Norges Bank
presented by: Knut Are Aastveit, Norges Bank
Session: Session 24: Machine Learning March 29, 2019 9:00 to 10:40 Goliad
Session Chair: Dalibor Stevanovic, Université du Québec à Montréal
Unit Root Tests and Machine Learning
By Yamin Ahmad; University of Wisconsin - Whitewater Adam Check; University of St. Thomas Ming Lo; Metropolitan State University
presented by: Adam Check, University of St. Thomas
Predicting the Distribution of Inflation Expectations: A Machine Learning Perspective
By Yamin Ahmad; University of Wisconsin - Whitewater Yanif Ahmad; Google
presented by: Yamin Ahmad, University of Wisconsin - Whitewater
Break or No Break? Identifying Structural Breaks using Classical, Bayesian and Machine Learning Approaches
By Yamin Ahmad; University of Wisconsin - Whitewater Adam Check; University of St. Thomas Ming Lo; Metropolitan State University
presented by: Ming Lo, Metropolitan State University
How is Machine Learning Useful for Macroeconomic Forecasting?
By Philippe Goulet Coulombe; University of Pennsylvania Maxime Leroux; Université du Québec à Montréal Stephane Surprenant; Université du Québec à Montréal Dalibor Stevanovic; Université du Québec à Montréal
presented by: Dalibor Stevanovic, Université du Québec à Montréal
Session: Session 25: Nonstationarity, Cointegration and Long Memory March 29, 2019 11:10 to 12:50 Tejas
Session Chair: Richard Baillie, Michigan State University
How Important is Modeling Long Memory in Realized Volatility?
By Richard Baillie; Michigan State University
presented by: Richard Baillie, Michigan State University
Econometric Analysis of Functional Dynamics in the Presence of Persistence
By Yoosoon Chang; Indiana University Bo Hu; Peking University Joon Park; Indiana University
presented by: Yoosoon Chang, Indiana University
Panel Unit Root Tests with Smooth Structural Changes and A Factor Structure
By Margie Tieslau; University of North Texas Junsoo Lee; University of Alabama
presented by: Margie Tieslau, University of North Texas
Testing Frequency Domain Causality for Cointegrated Tme Series
By Yanfeng Wei; Jiangxi University of Finance and Economics
presented by: Yanfeng Wei, Jiangxi University of Finance and Economics
Session: Session 26: Empirical Macro and Finance March 29, 2019 11:10 to 12:50 Navarro
Session Chair: Nathaniel Throckmorton, William & Mary
New Tests of Expectation Formation with Applications to Asset Pricing Models
By Pei Kuang; University of Birmingham Renbin Zhang; Universitat Autonoma de Barcelona and Barcelona GSE Tongbin Zhang; Shanghai University of Finance and Economics
presented by: Pei Kuang, University of Birmingham
Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?
By Kevin Lansing; Federal Reserve Bank of San Francisco Stephen LeRoy; UC Santa Barbara Jun Ma; Northeastern University
presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
How Learning from Macroeconomic Experiences Shapes the Yield Curve
By Kasper Jørgensen; Federal Reserve Board
presented by: Kasper Jørgensen, Federal Reserve Board
Valuation Risk Revalued
By Oliver de Groot; University of St Andrews Alexander Richter; Federal Reserve Bank of Dallas Nathaniel Throckmorton; William & Mary
presented by: Nathaniel Throckmorton, William & Mary
Session: Session 27: Inflation and Financial Linkages March 29, 2019 11:10 to 12:50 Lasalle
Session Chair: Peter Lihn Jorgensen, UC Berkeley
International Macro-Financial Linkages Matter: Estimating Finance-Neutral Output Gaps in G7 Countries
By Tino Berger; University of Goettingen Julia Richter; University of Goettingen
presented by: Julia Richter, University of Goettingen
Fiscal Multipliers and Financial Crises
By Miguel Faria-e-Castro; Federal Reserve Bank of St. Louis
presented by: Miguel Faria-e-Castro, Federal Reserve Bank of St. Louis
Effects of Unconventional Monetary Policy on Disaggregate Euro Area Consumer Inflation Expectations.
By Vlad Skovorodov; Queen Mary University of London
presented by: Vlad Skovorodov, Queen Mary University of London
Inflation Puzzles in the New Keynesian Model: The Implications of Anchored Expectations
By Peter Lihn Jorgensen; UC Berkeley Kevin Lansing; Federal Reserve Bank of San Francisco
presented by: Peter Lihn Jorgensen, UC Berkeley
Session: Session 28: Nonlinear Models II March 29, 2019 11:10 to 12:50 Dona Ana
Session Chair: Matthew Klepacz, College of William and Mary
Modeling the Asymmetric Effects of Oil Price Shocks
By Benjamin Keen; University of Oklahoma
presented by: Benjamin Keen, University of Oklahoma
State Space Models with Endogenous Regime Switching
By Yoosoon Chang; Indiana University Junior Maih; Norges Bank Fei Tan; Saint Louis University
presented by: Fei Tan, Saint Louis University
Non-Linear Approach for Inflation Forecasting: The Case of Russia
By Mariam Mamedli; Bank of Russia, National Research University Higher School of Economics Zigfrid Zvezdin; Moscow Institute of Physics and Technology and Ecole polytechnique
presented by: Mariam Mamedli, Bank of Russia, National Research University Higher School of Economics
Price Setting and Volatility: Evidence from Oil Price Volatility Shocks
By Matthew Klepacz; College of William and Mary
presented by: Matthew Klepacz, College of William and Mary
Session: Session 29: Cryptocurrencies and Macro Models March 29, 2019 11:10 to 12:50 Bexar
Session Chair: Sergei Seleznev, Bank of Russia
A New Economic Framework: A DSGE with Cryptocurrency
By Stylianos Asimakopoulos; University of Bath Marco Lorusso; Northumbria University Francesco Ravazzolo; Free University of Bozen/Bolzano
presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano
Co-Movements & Bubbles in Cryptocurrency Markets
By Pierangelo De Pace; Pomona College
presented by: Pierangelo De Pace, Pomona College
Stochastic Gradient Variational Bayes and Normalizing Flows for Estimating Macroeconomic Models
By Ramis Khabibullin; Bank of Russia Sergei Seleznev; Bank of Russia
presented by: Sergei Seleznev, Bank of Russia
Session: Session 30: Labor Markets/Investment/Consumption Expenditures March 29, 2019 11:10 to 12:50 Goliad
Session Chair: Anna Sokolova, University of Nevada, Reno
Business Cycles with Oligopsonistic Competition in Labor Markets
By Sami Alpanda; University of Central Florida
presented by: Sami Alpanda, University of Central Florida
The Decline of the Labor Income Share: New Empirical Evidence
By Drago Bergholt; Norges Bank Research Francesco Furlanetto; Norges Bank Nicolò Maffei Faccioli; UAB & Barcelona GSE
presented by: Drago Bergholt, Norges Bank Research
Investment, Vintage Capital and Productivity: Theory and Evidence
By Giuseppe Fiori; North Carolina State University Filippo Scoccianti; Bank of Italy
presented by: Giuseppe Fiori, North Carolina State University
How Does Consumption Respond to Expected Income Changes? Evidence from 144 Studies
By Tomas Havranek; Czech National Bank Anna Sokolova; University of Nevada, Reno
presented by: Anna Sokolova, University of Nevada, Reno
Session: Plenary II: Frank Schorfheide, "Piecewise Linear DSGE Models" March 29, 2019 14:00 to 15:00 Auditorium
Session Chair: Alexander Richter, Federal Reserve Bank of Dallas
Session: Session 31: Econometrics Techniques March 29, 2019 15:30 to 17:10 Tejas
Session Chair: Alessia Paccagnini, University College Dublin
Regularized Semiparametric Estimation of High Dimensional Dynamic Conditional Covariance Matrices
By Claudio Morana; University Milano Bicocca
presented by: Claudio Morana, University Milano Bicocca
Bootstrap Procedures for Detecting Multiple Persistence Shifts in a Heteroskedastic Time Series
By Mohitosh Kejriwal; Purdue University
presented by: Mohitosh Kejriwal, Purdue University
Nonparanormal Structural VAR for Non-Gaussian Data
By Aramayis Dallakyan; Texas A&M University
presented by: Aramayis Dallakyan, Texas A&M University
Extracting Factors from Large Datasets
By Alessia Paccagnini; University College Dublin
presented by: Alessia Paccagnini, University College Dublin
Session: Session 32: Fiscal Policies March 29, 2019 15:30 to 17:10 Navarro
Session Chair: Cristiano Cantore, Bank of England
Policy Effects of International Taxation on Firm Dynamics and Capital Structure
By Adam Spencer; The University of Nottingham
presented by: Adam Spencer, The University of Nottingham
Tax Progressivity Shocks
By Laura Jackson Young; Bentley University Christopher Otrok; University of Missouri Michael Owyang; Federal Reserve Bank of St Louis
presented by: Michael Owyang, Federal Reserve Bank of St Louis
Fiscal Policy in Monetary Unions: State Partisanship and its Macroeconomic Effects
By Gerald Carlino; Federal Reseve Bank of Philadelphia Thorsten Drautzburg; Federal Reserve Bank of Philadelphia Robert Inman; University of Pennsylvania Nicholas Zarra; New York University
presented by: Thorsten Drautzburg, Federal Reserve Bank of Philadelphia
Workers, Capitalists, and the Government: The Labor Share Response to Fiscal Spending Shocks
By Cristiano Cantore; Bank of England Lukas Freund; University of Cambridge Giovanni Melina; International Monetary Fund
presented by: Cristiano Cantore, Bank of England
Session: Session 33: Cointegration March 29, 2019 15:30 to 17:10 Lasalle
Session Chair: J. Isaac Miller, University of Missouri
Granger Causality Testing in Mixed-Frequency VARs with Possibly (Co)Integrated Processes
By Thomas Götz; Deutsche Bundesbank Alain Hecq; Maastricht University
presented by: Thomas Götz, Deutsche Bundesbank
Spurious Fractional Cointegration
By Christian Leschinski; Leibniz Universität Hannover Philipp Sibbertsen; Leibniz Universitaet Hannover
presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover
Bayesian Multivariate Beveridge--Nelson Decomposition of I(1) and I(2) Series with Cointegration
By Yasutomo Murasawa; Konan University
presented by: Yasutomo Murasawa, Konan University
Testing Cointegrating Relationships Using Irregular and Non-Contemporaneous Series with an Application to Paleoclimate Data
By J. Isaac Miller; University of Missouri
presented by: J. Isaac Miller, University of Missouri
Session: Session 34: Monetary Policy March 29, 2019 15:30 to 17:10 Dona Ana
Session Chair: Eunseong Ma, Texas A&M University
Yield Curve Rotations, Monetary Shocks, and Greenspan's Conundrum
By Victor Valcarcel; University of Texas at Dallas
presented by: Victor Valcarcel, University of Texas at Dallas
Debt Overhang and Monetary Policy Transmission: An International Perspective
By Sami Alpanda; University of Central Florida Eleonora Granziera; Bank of Finland Sarah Zubairy; Texas A&M University
presented by: Eleonora Granziera, Bank of Finland
Monetary Policy Rules and the Equity Premium
By Anastasia Zervou; UT Austin
presented by: Anastasia Zervou, UT Austin
Monetary Policy and Inequality: How Does One Affect the Other?
By Eunseong Ma; Texas A&M University
presented by: Eunseong Ma, Texas A&M University
Session: Session 35: International Finance and Trade March 29, 2019 15:30 to 17:10 Bexar
Session Chair: Mohammad Farhad, The University of Western Australia
Time Varying Effects of External Imbalances when Forecasting Exchange Rates
By Leslie Djuranovik; University of Warwick
presented by: Leslie Djuranovik, University of Warwick
European Spreads at the Interest Rate Lower Bound
By Laura Coroneo; University of York sergio pastorello; Bologna University
presented by: Laura Coroneo, University of York
The Great Trade Collapse: An Evaluation of Competing Stories
By Hakan Yilmazkuday; Florida International University
presented by: Hakan Yilmazkuday, Florida International University
Misreported Trade
By Mohammad Farhad; The University of Western Australia
presented by: Mohammad Farhad, The University of Western Australia

 

This program was last updated on 2020-02-24 13:19:13 EDT