SCE - Computing in Economics and Finance - CEF 2016

Bordeaux, France

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

Date/TimeLocationTitlePapers
June 26, 2016
9:00-10:40
Gentilhommes 3 A1: Experiments I4
June 26, 2016
9:00-10:40
Gentilhommes 1 A2: Monetary Macroeconomics I4
June 26, 2016
9:00-10:40
Bacchus 1 A3: Housing and Credit Cycles 4
June 26, 2016
9:00-10:40
Bacchus 2 A4: Financial Variables and the Macroeconomy3
June 26, 2016
9:00-10:40
Gentilhommes 2 A5: Agent-based Models: Finance4
June 26, 2016
9:00-10:40
Alienor 2 A6: Emerging Macroeconomic Dynamics4
June 26, 2016
9:00-10:40
Jurade A7: Monetary Theory and Policy I: Solution Methods2
June 26, 2016
9:00-10:40
Alienor 3 A8: Topics in Applied Time Series Analysis3
June 26, 2016
9:00-10:40
Alienor 1 A9: Financial Networks I4
June 26, 2016
11:10-12:25
Gentilhommes 2 B1: Indeterminacy and Sunspots in Macroeconomics3
June 26, 2016
11:10-12:25
Alienor 3 B2: Empirical Aspects of Fiscal Policy3
June 26, 2016
11:10-12:25
Gentilhommes 1 B3: Applied Macroeconometrics3
June 26, 2016
11:10-12:25
Bacchus 2 B4: Economic Growth3
June 26, 2016
11:10-12:25
Gentilhommes 3 B5: New Quantitative Tools for the Analysis of Complex Market Interactions3
June 26, 2016
11:10-12:25
Bacchus 1 B6: Housing3
June 26, 2016
11:10-12:25
Alienor 2 B7: Econometrics3
June 26, 2016
11:10-12:25
Alienor 1 B8: Methodological Advances I3
June 26, 2016
11:10-12:25
Jurade B9: Great Recession3
June 26, 2016
16:00-17:40
Alienor 1 C1: Financial and Real Networks 4
June 26, 2016
16:00-17:40
Alienor 2 C2: Labor Market Dynamics and International Trade4
June 26, 2016
16:00-17:40
Alienor 3 C3: Agent Based Models of Financial Markets I4
June 26, 2016
16:00-17:40
Gentilhommes C4: Monetary Macroeconomics II4
June 26, 2016
16:00-17:40
Jurade C5: Empirical Methods for Agent-based Financial Markets4
June 26, 2016
16:00-17:40
Bacchus 1 C6: Agent-based Models: Macro4
June 26, 2016
16:00-17:40
Bacchus 2 C7: Monetary Theory and Policy II: Instruments and Interactions3
June 27, 2016
9:00-10:40
Gentilhommes 3 D1: Patent Dynamics and Innovation Networks 4
June 27, 2016
9:00-10:40
Gentilhommes 1 D2: Optimal Monetary and Fiscal Policy4
June 27, 2016
9:00-10:40
Bacchus 1 D3: Finance4
June 27, 2016
9:00-10:40
Bacchus 2 D4: Monetary Macroeconomics III4
June 27, 2016
9:00-10:40
Alienor 3 D5: Bayesian Inference4
June 27, 2016
9:00-10:40
Alienor 2 D6: Intertemporal Decisions4
June 27, 2016
9:00-10:40
Gentilhommes 2 D7: Distribution and Fiscal Policy4
June 27, 2016
9:00-10:40
Alienor 1 D8: Solution Methods for DSGE and Heterogeneous Agent Models4
June 27, 2016
9:00-10:40
Jurade D9: Banks and Shadow Banks4
June 27, 2016
11:10-12:25
Gentilhommes 2 E1: Labor Markets and the Business Cycle2
June 27, 2016
11:10-12:25
Bacchus 1 E2: Structural Macroeconomic Modeling3
June 27, 2016
11:10-12:25
Gentilhommes 1 E3: Fiscal Policy I3
June 27, 2016
11:10-12:25
Alienor 1 E4: International Macro Policy 3
June 27, 2016
11:10-12:25
Gentilhommes 3 E5: Macroeconomic Theory3
June 27, 2016
11:10-12:25
Alienor 3 E6: Inequality, Mobility and Debt3
June 27, 2016
11:10-12:25
Alienor 2 E7: Housing Markets3
June 27, 2016
11:10-12:25
Bacchus 2 E8: Nowcasting and Real Time Forecasting2
June 27, 2016
11:10-12:25
Jurade E9: Financial Frictions3
June 27, 2016
16:00-17:40
Jurade F1: Advances in Benchmarking, Temporal Disaggregation and Reconciliation of Economic Data: Theory and Practice4
June 27, 2016
16:00-17:40
Bacchus 2 F2: Innovation-fueled, Inclusive and Sustainable Growth 4
June 27, 2016
16:00-17:40
Bacchus 1 F3: Agent-Based Modeling of Markets and Networks4
June 27, 2016
16:00-17:40
Alienor 1 F4: Term Structure and Credit Risk4
June 27, 2016
16:00-17:40
Alienor 2 F5: Monetary Policy I4
June 27, 2016
16:00-17:40
Alienor 3 F6: Business Cycle Dynamics4
June 27, 2016
16:00-17:40
Gentilhommes F7: Fiscal and Monetary Policy, Expectations and Learning4
June 28, 2016
9:00-10:40
Bacchus 2 G1: Experiments II4
June 28, 2016
9:00-10:40
Alienor 2 G2: Empirical Estimation of Agent-Based Models4
June 28, 2016
9:00-10:40
Gentilhommes 2 G3: Employment Dynamics, Investment and Inequality4
June 28, 2016
9:00-10:40
Gentilhommes 1 G4: Monetary Policy II4
June 28, 2016
9:00-10:40
Gentilhommes 3 G5: Fiscal Policy II4
June 28, 2016
9:00-10:40
Bacchus 1 G6: Incomplete Markets and Information4
June 28, 2016
9:00-10:40
Alienor 3 G7: Monetary Theory and Policy III: Risk, Learning and Welfare4
June 28, 2016
9:00-10:40
Alienor 1 G8: Methodological Advances II4
June 28, 2016
9:00-10:40
Jurade G9: Financial Networks II4
June 28, 2016
11:10-12:50
Bacchus 2 H1: Agent-Based Models of Financial Markets II4
June 28, 2016
11:10-12:50
Gentilhommes 2 H2: Trade, Exchange Rates and News4
June 28, 2016
11:10-12:50
Alienor 2 H3: Business Cycles and Shocks4
June 28, 2016
11:10-12:50
Gentilhommes 1 H4: Macroeconomic Trends and Welfare4
June 28, 2016
11:10-12:50
Bacchus 1 H5: Structural Empirical Models4
June 28, 2016
11:10-12:50
Gentilhommes 3 H6: Expectations and Sentiment 4
June 28, 2016
11:10-12:50
Jurade H7: Monetary and Macroprudential Policies3
June 28, 2016
11:10-12:50
Alienor 1 H8: Computational Finance4
June 28, 2016
11:10-12:25
Alienor 3 H9: Zero Lower Bound for Nominal Interest Rates4
June 28, 2016
16:00-17:40
Alienor 1 I1: Uncertainty and Business Cycles4
June 28, 2016
16:00-17:40
Bacchus 1 I2: Asset Pricing4
June 28, 2016
16:00-17:40
Bacchus 2 I3: DSGE4
June 28, 2016
16:00-17:40
Connetablie I4: Capital Flows and Crisis3
June 28, 2016
16:00-17:40
Gentilhommes I5: Expectations and Financial Markets4
June 28, 2016
16:00-17:40
Alienor 3 I6: Labor and the Business Cycle4
June 28, 2016
16:00-17:40
Alienor 2 I7: Risk, Regimes and Uncertainty4
June 28, 2016
16:00-17:40
Jurade I8: Macro and Asset Market Experiments4
 

76 sessions, 277 papers, and 0 presentations with no associated papers


 

SCE - Computing in Economics and Finance - CEF 2016

Detailed List of Sessions

 
Session: A1: Experiments I
June 26, 2016 9:00 to 10:40
Gentilhommes 3
 
Session Chair: Nobuyuki Hanaki, University of Nice Sophia Antipolis
 

Experimental study on the effect of nominal price level versus inflation targeting with and without guidance.
By Cars Hommes; University of Amsterdam
Tomasz Makarewicz; University of Amsterdam
   presented by: Tomasz Makarewicz, University of Amsterdam
 

Staff rotation: Lessons from the Laboratory experiment
By Milos Fisar; Masaryk University
Jiri Spalek; Masaryk University
Rostislav Stanek; Masaryk university
Ondrej Krcal; Masaryk university
   presented by: Milos Fisar, Masaryk University
 

Short and Long run Expectations in a Learning to Forecast Experiment
By Simone Alfarano; University Jaume I
Eva Camacho Cuena; Universitat Jaume I
Annarita Colasante; Università Politecnica delle Marche
Mauro Gallegati; Universita Politecnica delle Marche
   presented by: Annarita Colasante, Università Politecnica delle Marche
 

Diversity in cognitive ability enlarges mispricing
By Nobuyuki Hanaki; University of Nice
Eizo Akiyama; University of Tsukuba
Yukihiko Funaki; Waseda University
Ryuichiro Ishikawa; University of Tsukuba
   presented by: Nobuyuki Hanaki, University of Nice Sophia Antipolis
 
Session: A2: Monetary Macroeconomics I
June 26, 2016 9:00 to 10:40
Gentilhommes 1
 
Session Chair: Martin Seneca, Bank of England
 

A framework for analysing quantitative easing in the open economy
By Romanos Priftis; European Commission
Lukas Vogel; European Commission
   presented by: Romanos Priftis, European Commission
 

The Effects of Unconventional Monetary Policy in an Open Economy
By Mitsuru Katagiri; Bank of Japan
Koji Takahashi; Bank of Japan
   presented by: Koji Takahashi, Bank of Japan
 

2+2<4? Monetary policy in the presence of downward nominal wage rigidity and the zero lower bound
By Robert Amano; Bank of Canada
Stefano Gnocchi; Bank of Canada
   presented by: Stefano Gnocchi, Bank of Canada
 

Risk shocks close to the Zero Lower Bound
By Martin Seneca; Bank of England
   presented by: Martin Seneca, Bank of England
 
Session: A3: Housing and Credit Cycles
June 26, 2016 9:00 to 10:40
Bacchus 1
 
Session Chair: Sami Alpanda, University of Central Florida
 

On the limits of macroprudential policy
By Marcin Kolasa; National Bank of Poland
   presented by: Marcin Kolasa, National Bank of Poland
 

Residential construction lags across the US and their implications for housing supply
By Hyunseung Oh; Vanderbilt University
Chamna Yoon; City University of New York Baruch Colle
   presented by: Hyunseung Oh, Vanderbilt University
 

Asset Holdings, Information Aggregation in Secondary Markets and Credit Cycles
By Henrique Basso; Bank of Spain
   presented by: Henrique Basso, Bank of Spain
 

Should Monetary Policy Lean Against Housing Market Booms?
By Sami Alpanda; University of Central Florida
Alexander Ueberfeldt; Bank of Canada
   presented by: Sami Alpanda, University of Central Florida
 
Session: A4: Financial Variables and the Macroeconomy
June 26, 2016 9:00 to 10:40
Bacchus 2
 
Session Chair: Giovanni Caggiano, University of Padua
 

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis
By Knut Are Aastveit; Norges Bank
Francesco Furlanetto; Norges Bank
Francesca Loria; European University Institute
   presented by: Francesco Furlanetto, Norges Bank
 

Financial shocks and inflation
By Angela Abbate; Deutsche Bundesbank
Sandra Eickmeier; Deutsche Bundesbank
Esteban Prieto; Deutsche Bundesbank
   presented by: Sandra Eickmeier, Deutsche Bundesbank
 

Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound
By Giovanni Caggiano; University of Padua
Efrem Castelnuovo; University of Melbourne
Giovanni Pellegrino; University of Verona
   presented by: Giovanni Caggiano, University of Padua
 
Session: A5: Agent-based Models: Finance
June 26, 2016 9:00 to 10:40
Gentilhommes 2
 
Session Chair: Blake LeBaron, Brandeis University
 

Herding behavior and volatility clustering in financial markets
By Noemi Schmitt; University of Bamberg
Frank Westerhoff; University of Bamberg
   presented by: Frank Westerhoff, University of Bamberg
 

Prospect Theory in the Heterogeneous Agent Model
By Jiri Kukacka; UTIA AV CR, v.v.i., Czech Academy of Sciences
   presented by: Jiri Kukacka, UTIA AV CR, v.v.i., Czech Academy of Sciences
 

Real- Financial Market Interactions with Heterogeneous Opinion Dynamics
By Matthieu Charpe; International Labour Organization
Peter Flaschel; Bielefeld University
Giorgos Galanis; University of Warwick
Roberto Veneziani; Queen Mary University of London
   presented by: Giorgos Galanis, University of Warwick
 

Microconsistency in Simple Empirical Agent-based Financial Model
By Blake LeBaron; Brandeis University
   presented by: Blake LeBaron, Brandeis University
 
Session: A6: Emerging Macroeconomic Dynamics
June 26, 2016 9:00 to 10:40
Alienor 2
 
Session Chair: Pascal Seppecher, University of Paris 13
 

Technology Shocks, Coordination Failures and Emergent Macroeconomic Dynamics
By Mattia Guerini; Scuola Superiore Sant'Anna
Mauro Napoletano; OFCE-Sciences Po
Andrea Roventini; Scuola Superiore Sant'Anna
   presented by: Mattia Guerini, Scuola Superiore Sant'Anna
 

The Behavioral Origins of Aggregate Fluctuations
By Jakob Grazzini; Catholic University of Milan
Domenico Massaro; Universita Cattolica del Sacro Cuore
   presented by: Jakob Grazzini, Catholic University of Milan
 

Towards a post-classical synthesis: a multi-agent stock-flow consistent approach
By Marc Lavoie; University of Ottawa
Pascal Seppecher; University of Paris 13
Isabelle Salle; CeNDEF, Amsterdam School of Economics
   presented by: Isabelle Salle, CeNDEF, Amsterdam School of Economics
 

Heterogeneous Firms and International Trade: The role of productivity and financial fragility
By Tiziana Assenza; Università Cattolica del Sacro Cuore
Domenico Delli Gatti; Università Cattolica
Jakob Grazzini; Catholic University of Milan
Giorgio Ricchiuti; Università degli Studi di Firenze
   presented by: Giorgio Ricchiuti, Università degli Studi di Firenze
 
Session: A7: Monetary Theory and Policy I: Solution Methods
June 26, 2016 9:00 to 10:40
Jurade
 
Session Chair: Gary Anderson, Board of Governors, Federal Reserve
 

Solving forward-looking models with PETSc and PARDISO
By Michel Juillard; Banque de France
   presented by: Michel Juillard, Banque de France
 

A Solution Technique for Regime Switching DSGE Models with Occasionally Binding Constraints
By Gary Anderson; Board of Governors, Federal Reserve
   presented by: Gary Anderson, Board of Governors, Federal Reserve
 
Session: A8: Topics in Applied Time Series Analysis
June 26, 2016 9:00 to 10:40
Alienor 3
 
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
 

Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
By Gunes Kamber; Reserve Bank of New Zealand
James Morley; University of New South Wales
Benjamin Wong; Reserve Bank of New Zealand
   presented by: Benjamin Wong, Reserve Bank of New Zealand
 

The Economics of Bitcoins - News, Supply vs. Demand and Jumps
By Marc Gronwald; University of Aberdeen
   presented by: Marc Gronwald, University of Aberdeen
 

Asymmetry and Federal Reserve Forecasts
By Julieta Caunedo; Cornell University
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: Michael Owyang, Federal Reserve Bank of St Louis
 
Session: A9: Financial Networks I
June 26, 2016 9:00 to 10:40
Alienor 1
 
Session Chair: Daniel Ladley, University of Leicester
 

Variance decomposition of forecast errors as linkage measure: A banking network application
By Sachapon Tungsong; University College London
   presented by: Sachapon Tungsong, University College London
 

Precommitments for Financial Self-Control? Micro Evidence from the 2003 Korean Credit Crisis
By Sung-Jin Cho; Seoul National University
John Rust; Georgetown University
   presented by: Sung-Jin Cho, Seoul National University
 

A Network Analysis of the 1873 Financial Crisis
By Daniel Ladley; University of Leicester
Peter Rousseau; Vanderbilt University
   presented by: Daniel Ladley, University of Leicester
 

Firm’s Network versus Board Members’ Network: Who to Appoint?
By Thomas Vallee; University of Nantes
Joel Massol; LEMNA, University of Nantes
   presented by: Thomas Vallee, University of Nantes
 
Session: B1: Indeterminacy and Sunspots in Macroeconomics
June 26, 2016 11:10 to 12:25
Gentilhommes 2
 
Session Chair: Thomas Lubik, Federal Reserve Bank of Richmond
 

Decoupling Nominal and Real Rigidities
By Alexander Meyer-Gohde; University of Hamburg
Philipp König; DIW
   presented by: Alexander Meyer-Gohde, University of Hamburg
 

Rational Sunspots
By Guido Ascari; University of Oxford
Paolo Bonomolo; Sveriges Riksbank
Hedibert Lopes; University of Chicago
   presented by: Guido Ascari, University of Oxford
 

Indeterminacy and Imperfect Information
By Thomas Lubik; Federal Reserve Bank of Richmond
Christian Matthes; Federal Reserve Bank of Richmond
Elmar Mertens; Federal Reserve Board
   presented by: Thomas Lubik, Federal Reserve Bank of Richmond
 
Session: B2: Empirical Aspects of Fiscal Policy
June 26, 2016 11:10 to 12:25
Alienor 3
 
Session Chair: Viacheslav Sheremirov, Federal Reserve Bank of Boston
 

Aging of the Baby Boomers: Demographics and Propagation of Tax Shocks
By Domenico Ferraro; Arizona State University
Giuseppe Fiori; North Carolina State University
   presented by: Giuseppe Fiori, North Carolina State University
 

A Test of Identification for Government Spending Shocks
By Anna Kormilitsina; Southern Methodist University
   presented by: Anna Kormilitsina, Southern Methodist University
 

Output Response to Government Spending: Evidence from New International Military Spending Data
By Viacheslav Sheremirov; Federal Reserve Bank of Boston
Sandra Spirovska; University of Wisconsin, Madison
   presented by: Viacheslav Sheremirov, Federal Reserve Bank of Boston
 
Session: B3: Applied Macroeconometrics
June 26, 2016 11:10 to 12:25
Gentilhommes 1
 
Session Chair: Matthew Pritsker, Federal Reserve Bank of Boston
 

Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content
By Claudia Foroni; Norges Bank
Francesco Ravazzolo; Free University of Bozen/Bolzano
Pinho Ribeiro; University of Glasgow
   presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano
 

A Reliable and Testable Alternative to Long-run Restrictions in Structural VAR models
By Florian Pelgrin; EDHEC Business School
   presented by: Florian Pelgrin, EDHEC Business School
 

Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction
By Matthew Pritsker; Federal Reserve Bank of Boston
   presented by: Matthew Pritsker, Federal Reserve Bank of Boston
 
Session: B4: Economic Growth
June 26, 2016 11:10 to 12:25
Bacchus 2
 
Session Chair: Hwan C. Lin, University of North Carolina at Charlotte
 

Should Sovereigns with Large Debt Exit Nominal Anchors to Avoid Default?
By Enes Sunel; Central Bank of the Republic of Turkey
Yasin Kursat Onder; Central Bank of Turkey
   presented by: Enes Sunel, Central Bank of the Republic of Turkey
 

Time-to-Build and the Business Cycle
By Matthias Meier; Universitaet Bonn
   presented by: Matthias Meier, Universitaet Bonn
 

Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model
By Hwan C. Lin; University of North Carolina at Charlotte
   presented by: Hwan C. Lin, University of North Carolina at Charlotte
 
Session: B5: New Quantitative Tools for the Analysis of Complex Market Interactions
June 26, 2016 11:10 to 12:25
Gentilhommes 3
 
Session Chair: Simone Alfarano, University Jaume I
 

Uncertainty Quantification and Global Sensitivity Analysis for Economic Models
By Viktor Winschel; ETH Zurich
Daniel Harenberg; ETH Zurich
Bruno Sudret; ETH Zurich
Stefano Marelli; ETH Zurich
   presented by: Viktor Winschel, ETH Zurich
 

Early warning signs of financial turmoil
By Nils Bertschinger; FIAS
Oliver Pfante; Frankfurt Institute for Advanced Studies
   presented by: Oliver Pfante, Frankfurt Institute for Advanced Studies
 

Distributional analysis of the largest Spanish firms' profit and growth rates
By David Vidal-Tomas; Universitat Jaume I
Simone Alfarano; University Jaume I
Alba Ruiz-Buforn; Universitat Jaume I
   presented by: David Vidal-Tomas, Universitat Jaume I
 
Session: B6: Housing
June 26, 2016 11:10 to 12:25
Bacchus 1
 
Session Chair: Aaron Hedlund, University of Missouri
 

Housing and the Redistributive Effects of Monetary Policy
By Philipp Hergovich; University of Vienna
Michael Reiter; Institute for Advanced Studies
   presented by: Philipp Hergovich, University of Vienna
 

Reluctant Savers and Mortgage Subsidies
By Antonio Bellofatto; University of Queensland
Sevin Yeltekin; Carnegie Mellon University
   presented by: Antonio Bellofatto, University of Queensland
 

Mortgage Debt, Consumption, and Illiquid Housing Markets in the Great Recession
By Carlos Garriga; Federal Reserve Bank of St. Louis
Aaron Hedlund; University of Missouri
   presented by: Aaron Hedlund, University of Missouri
 
Session: B7: Econometrics
June 26, 2016 11:10 to 12:25
Alienor 2
 
Session Chair: Peter Zadrozny, Bureau of Labor Statistics
 

Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility
By Giuseppe Cavaliere; University of Bologna
Anton Skrobotov; Russian Presidential Academy of National
Robert Taylor; University of Essex
   presented by: Anton Skrobotov, Russian Presidential Academy of National
 

A Perturbation Approach to Filtering Hidden States
By Ivana Komunjer; University of California San Diego
Natalia Sizova; Rice University
   presented by: Ivana Komunjer, University of California San Diego
 

An Econometric Method for Decomposing Total-Input Productivity into Input-Specific Productivities
By Peter Zadrozny; Bureau of Labor Statistics
   presented by: Peter Zadrozny, Bureau of Labor Statistics
 
Session: B8: Methodological Advances I
June 26, 2016 11:10 to 12:25
Alienor 1
 
Session Chair: Irina Panovska, Lehigh University
 

Estimating Discrete-Continuous Choice Models: The Endogenous Grid Method with Taste Shocks
By Fedor Iskhakov; University of New South Wales
Thomas Jørgensen; University of Copenhagen
John Rust; Georgetown University
Bertel Schjerning; University of Copenhagen
   presented by: Fedor Iskhakov, University of New South Wales
 

Pseudo-Analytical Solutions for Stochastic Options Pricing Models using Monte-Carlo Simulations and Neural Networks
By Samuel Palmer; University college London
   presented by: Samuel Palmer, University college London
 

Weak Identification and the Pile-up Problem in Finite Sample Inference for an ARMA(1,1) Model
By James Morley; University of New South Wales
Irina Panovska; Lehigh University
   presented by: Irina Panovska, Lehigh University
 
Session: B9: Great Recession
June 26, 2016 11:10 to 12:25
Jurade
 
Session Chair: Krzysztof Makarski, Narodowy Bank Polski
 

The Post-Crisis Slump in the Euro Area and the US: Evidence from an Estimated Three-Region DSGE Model
By Robert Kollmann; ECARES, Université Libre de Bruxelles &
Beatrice Pataracchia; European Commission -Joint Research Centre
Rafal Raciborski; European Commission
Marco Ratto; European Commission - Joint Research Centre
Werner Roeger; European Commission
Lukas Vogel; European Commission
   presented by: Rafal Raciborski, European Commission
 

Debt Deflation, Financial Market, and Regime Change--Evidence from Europe Using MRVAR
By Ekkehard Ernst; ILO
Willi Semmler; New School NY, University of Bielefeld
Alexander Haider; New School
   presented by: Willi Semmler, New School NY, University of Bielefeld
 

Could the boom-bust in eurozone's periphery have been prevented?
By Marcin Bielecki; University of Warsaw and Narodowy Bank Polski
Michał Brzoza-Brzezina; National Bank of Poland
Marcin Kolasa; National Bank of Poland
Krzysztof Makarski; Narodowy Bank Polski
   presented by: Krzysztof Makarski, Narodowy Bank Polski
 
Session: C1: Financial and Real Networks
June 26, 2016 16:00 to 17:40
Alienor 1
 
Session Chair: Thomas Lux, Kiel Institute for the World Economy
 

The Social Network of Money
By Boyan Bejanov; Bank of Canada
Geoffrey Dunbar; Bank of Canada
   presented by: Geoffrey Dunbar, Bank of Canada
 

Learning and coordinating in a multilayer network: The initial conditions matter
By Juan Carlos Gonzalez-Avella; PUC-RJ, Instituto de Física
Haydee Lugo; Universidad Complutense de Madrid
Maxi San Miguel; IFISC (CSIC-UIB)
   presented by: Haydee Lugo, Universidad Complutense de Madrid
 

Fragility and instability in a conformity-driven social network
By David Goldbaum; University of Technology Sydney
   presented by: David Goldbaum, University of Technology Sydney
 

A Model of the Topology of the Bank - Firm Credit Network and Its Role as Channel of Contagion
By Thomas Lux; Kiel Institute for the World Economy
   presented by: Thomas Lux, Kiel Institute for the World Economy
 
Session: C2: Labor Market Dynamics and International Trade
June 26, 2016 16:00 to 17:40
Alienor 2
 
Session Chair: Federico Mandelman, Federal Reserve Bank of Atlanta
 

Labor Market Distortions under Sovereign Default Crises
By Tiago Tavares; CIE ITAM
   presented by: Tiago Tavares, CIE ITAM
 

Commodity prices and labour market dynamics in small open economies
By Martin Bodenstein; National University of Singapore
Gunes Kamber; Reserve Bank of New Zealand
Christoph Thoenissen; University of Sheffield
   presented by: Christoph Thoenissen, University of Sheffield
 

Skill Premium Divergence: The Roles of Trade, Capital and Demographics
By Sang-Wook (Stanley) Cho; University of New South Wales
Julian Diaz; Loyola University Chicago
   presented by: Sang-Wook (Stanley) Cho, University of New South Wales
 

Offshoring, Low-Skilled Immigration and Labor Market Polarization
By Federico Mandelman; Federal Reserve Bank of Atlanta
Andrei Zlate; Federal Reserve Bank of Boston
   presented by: Federico Mandelman, Federal Reserve Bank of Atlanta
 
Session: C3: Agent Based Models of Financial Markets I
June 26, 2016 16:00 to 17:40
Alienor 3
 
Session Chair: Xuezhong (Tony) He, University of Technology Sydney
 

The Under- and Over-reaction Effect of Behavioral Sentiment in Limit Order Markets
By Lei Shi; University of Technology, Sydney
Lijian Wei; Sun Yat-sen University
   presented by: Lijian Wei, Sun Yat-sen University
 

Hidden order strategies and market quality in a dynamic limit order market
By Ryuichi Yamamoto; Waseda University
   presented by: Ryuichi Yamamoto, Waseda University
 

A Model of Market Sentiment
By Giulio Bottazzi; Scuola Superiore Sant'Anna
Pietro Dindo; Scuola Superiore Sant'Anna
Daniele Giachini; Scuola Superiore Sant'Anna
   presented by: Daniele Giachini, Scuola Superiore Sant'Anna
 

High Frequency Trading and Learning
By Jasmina Arifovic; Simon Fraser University
Carl Chiarella; University of Technology, Sydney
Xue-Zhong He; University of Technology Sydney
Lijian Wei; Sun Yat-sen University
   presented by: Xuezhong (Tony) He, University of Technology Sydney
 
Session: C4: Monetary Macroeconomics II
June 26, 2016 16:00 to 17:40
Gentilhommes
 
Session Chair: Robert Tetlow, Federal Reserve Board
 

Cross-border Banking, Macroprudential Policy and Global Spillovers
By Matthieu Darracq Paries; ECB
Gauthier Vermandel; University Paris-Dauphine
   presented by: Gauthier Vermandel, University Paris-Dauphine
 

Cross-border banking and business cycles in asymmetric currency unions
By Lena Dräger; University of Hamburg
Christian Proaño; University of Bamberg
   presented by: Lena Dräger, University of Hamburg
 

When the Central Bank Meets the Financial Authority: Strategic Interactions and Institutional Design
By Julio Carrillo; Banco de Mexico
Enrique Mendoza; University of Pennsylvania
Victoria Nuguer; Banco de México
Jessica Roldan-Pena; Banco de Mexico
   presented by: Victoria Nuguer, Banco de México
 

On the Interaction of Central Bank Balance Sheet Policies and Conventional Monetary Policy
By Christopher Erceg; Federal Reserve Board
Robert Tetlow; Federal Reserve Board
   presented by: Robert Tetlow, Federal Reserve Board
 
Session: C5: Empirical Methods for Agent-based Financial Markets
June 26, 2016 16:00 to 17:40
Jurade
 
Session Chair: Mikhail Anufriev, University of Technology Sydney
 

Network Calibration and Metamodeling of a Financial Accelerator Agent Based Model
By Leonardo Bargigli; Università politecnica delle Marche
Luca Riccetti; Sapienza Università di Roma
Alberto Russo; Università Politecnica delle Marche
Mauro Gallegati; Universita Politecnica delle Marche
   presented by: Leonardo Bargigli, Università politecnica delle Marche
 

Bayesian Estimation of the Heuristic Switching Model using Experimental Data
By Mikhail Anufriev; University of Technology Sydney
Cars Hommes; University of Amsterdam
Valentyn Panchenko; UNSW
   presented by: Mikhail Anufriev, University of Technology Sydney
 

Comparing Behavioral Heterogeneity across Asset Classes
By Saskia ter Ellen; Norges Bank
Cars Hommes; University of Amsterdam
Remco Zwinkels; VU University Amsterdam
   presented by: Saskia ter Ellen, Norges Bank
 

Structural Estimation of Information-Driven Heterogeneity
By Zhentao Shi; The Chinese University of Hong Kong
Huanhuan Zheng; Chinese University of Hong Kong
   presented by: Huanhuan Zheng, Chinese University of Hong Kong
 
Session: C6: Agent-based Models: Macro
June 26, 2016 16:00 to 17:40
Bacchus 1
 
Session Chair: Mauro Napoletano, OFCE-Sciences Po
 

Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems
By Noemi Schmitt; University of Bamberg
Jan Tuinstra; University of Amsterdam
Frank Westerhoff; University of Bamberg
   presented by: Noemi Schmitt, University of Bamberg
 

The Expectation Formation Process along the Business Cycle: More Information or Better Information ?
By Jeremy Boccanfuso; Paris school of Economics
   presented by: Jeremy Boccanfuso, Paris school of Economics
 

Taming Macroeconomic Instability: Monetary and Macro Prudential Policy Interactions in an Agent-Based Model
By Lilit Popoyan; Scuola Superiore Sant'Anna
   presented by: Lilit Popoyan, Scuola Superiore Sant'Anna
 

Faraway, so close: an agent-based model for climate, energy and macroeconomic policy
By Giovanni Dosi; Scuola Superiore Sant'Anna
Francesco Lamperti; Sant'Anna School of Advanced Studies
Mauro Napoletano; OFCE-Sciences Po
Andrea Roventini; Scuola Superiore Sant'Anna
Alessandro Sapio; Parthenope University of Naples
   presented by: Mauro Napoletano, OFCE-Sciences Po
 
Session: C7: Monetary Theory and Policy II: Instruments and Interactions
June 26, 2016 16:00 to 17:40
Bacchus 2
 
Session Chair: Luca Guerrieri, Federal Reserve Board
 

DSGE Model with Interbank Market Failure: Implications for Policy
By Tobias Schuler; University of Rome Tor Vergata
Luisa Corrado; University of Rome II Tor Vergata
   presented by: Tobias Schuler, University of Rome Tor Vergata
 

Debt Maturity, Monetary Policy and Fiscal Sustainability without Commitment
By Dmitry Matveev; University of Mannheim
   presented by: Dmitry Matveev, University of Mannheim
 

Macroeconomic Policy Games
By Martin Bodenstein; Federal Reserve Board
Luca Guerrieri; Federal Reserve Board
   presented by: Luca Guerrieri, Federal Reserve Board
 
Session: D1: Patent Dynamics and Innovation Networks
June 27, 2016 9:00 to 10:40
Gentilhommes 3
 
Session Chair: Johannes van der pol, University of Bordeaux
 

Pervasive Enough? General Purpose Technologies as an Emergent Property
By Ivan Savin; KIT and BETA
Vladimir Korzinov; Karlsruhe Institute of Technology
   presented by: Ivan Savin, KIT and BETA
 

Co-authorship and the Measurement of Individual Productivity
By Rafael Treibich; University of Southern Denmark
   presented by: Rafael Treibich, University of Southern Denmark
 

Technology Polarization
By Minoru Kitahara; Osaka City University
Koki Oikawa; Waseda University
   presented by: Koki Oikawa, Waseda University
 

Searching for the optimal structure for innovation networks
By Johannes van der pol; University of Bordeaux
Murat Yildizoglu; Université Bordeaux IV
   presented by: Johannes van der pol, University of Bordeaux
 
Session: D2: Optimal Monetary and Fiscal Policy
June 27, 2016 9:00 to 10:40
Gentilhommes 1
 
Session Chair: Andrew Foerster, Federal Reserve Bank of Kansas City
 

Sovereign risk, private credit and stabilization policies
By Roberto Pancrazi; University of Warwick
Hernan Seoane; Universidad Carlos III de Madrid
Marija Vukotic; University of Warwick
   presented by: Hernan Seoane, Universidad Carlos III de Madrid
 

Fiscal policy, interest rate spreads, and the zero lower bound
By Christian Bredemeier; University of Cologne
Falko Juessen; University of Wuppertal
Andreas Schabert; University of Cologne
   presented by: Falko Juessen, University of Wuppertal
 

US Monetary and Fiscal Policies - Conflict or Cooperation?
By Xiaoshan Chen; Durham University
Eric Leeper; Indiana University
Campbell Leith
   presented by: Xiaoshan Chen, Durham University
 

Optimal Monetary Policy Regime Switches
By Andrew Foerster; Federal Reserve Bank of Kansas City
   presented by: Andrew Foerster, Federal Reserve Bank of Kansas City
 
Session: D3: Finance
June 27, 2016 9:00 to 10:40
Bacchus 1
 
Session Chair: Pietro Dindo, Ca' Foscari University of Venice
 

Power Law of Market Capitalization and Stock Market Bubble
By Takayuki Mizuno; National Institute of Informatics
TAKAAKI Ohnishi; University of Tokyo
Tsutomu Watanabe; University of Tokyo
   presented by: Takayuki Mizuno, National Institute of Informatics
 

Growing through the Merger and Acquisition
By Jianhuan Xu; Singapore Management
   presented by: Jianhuan Xu, Singapore Management University
 

Productivity and Liquidity Management
By Felix Feng; University of Notre Dame
Jianyu Lu; University of Notre Dame
Jing Wang; University of Notre Dame
   presented by: Jianyu Lu, University of Notre Dame
 

Survival in Speculative Markets
By Pietro Dindo; Scuola Superiore Sant'Anna
   presented by: Pietro Dindo, Ca' Foscari University of Venice
 
Session: D4: Monetary Macroeconomics III
June 27, 2016 9:00 to 10:40
Bacchus 2
 
Session Chair: Christian Jensen, University of South Carolina
 

The calm policymaker: an information-based theory of the price level
By John Barrdear; Bank of England
   presented by: John Barrdear, Bank of England
 

Cross-country disagreement about inflation expectations in a currency union and monetary policy
By Mathias Hoffmann; Deutsche Bundesbank
Patrick Hürtgen; Deutsche Bundesbank
   presented by: Mathias Hoffmann, Deutsche Bundesbank
 

Forward Guidance and the Role of Central Bank Credibility under Heterogeneous Beliefs
By Gavin Goy; University of Amsterdam
Cars Hommes; University of Amsterdam
Kostas Mavromatis; University of Amsterdam
   presented by: Gavin Goy, University of Amsterdam
 

On the Role of Forward Guidance through Economic Projections in Monetary Policymaking
By Christian Jensen; University of South Carolina
   presented by: Christian Jensen, University of South Carolina
 
Session: D5: Bayesian Inference
June 27, 2016 9:00 to 10:40
Alienor 3
 
Session Chair: Sebastiano Manzan, Baruch College, CUNY
 

Variational Bayes Inference for Large Vector Autoregressions
By Gholamreza Hajargasht; University of Melbourne
Tomasz Wozniak; University of Melbourne
   presented by: Tomasz Wozniak, University of Melbourne
 

Multi-country Panel Markov-switching Unrestricted MIDAS
By Roberto Casarin; University Ca' Foscari of Venice
Claudia Foroni; Norges Bank
Massimiliano Marcellino; Bocconi University
Francesco Ravazzolo; Free University of Bozen/Bolzano
   presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano
 

Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression
By Markku Lanne; University of Helsinki
Jani Luoto; University of Helsinki
   presented by: Markku Lanne, University of Helsinki
 

Are professional forecasters bayesian?
By Sebastiano Manzan; Baruch College, CUNY
   presented by: Sebastiano Manzan, Baruch College, CUNY
 
Session: D6: Intertemporal Decisions
June 27, 2016 9:00 to 10:40
Alienor 2
 
Session Chair: Luca Colombo, Università Cattolica del Sacro Cuore
 

Learning to Dynamically Optimize from Individual Experience
By Nathan Palmer; George Mason University and Office of Financial Research
   presented by: Nathan Palmer, George Mason University and Office of Financial Research
 

Household Expectations and Durable Consumption
By Filip Rozsypal; London School of Economics
Kathrin Schlafmann; Institute for International Economic Stu
   presented by: Filip Rozsypal, London School of Economics
 

Seemingly Equivalent Firm Decision Heuristics
By Luzius Meisser; University of Zurich
   presented by: Luzius Meisser, University of Zurich
 

Firms’ R&D Location Choices: An Agent-Based Approach
By Luca Colombo; Università Cattolica del Sacro Cuore
Herbert Dawid; U Bielefeld
Philipp Harting; Bielefeld University
   presented by: Luca Colombo, Università Cattolica del Sacro Cuore
 
Session: D7: Distribution and Fiscal Policy
June 27, 2016 9:00 to 10:40
Gentilhommes 2
 
Session Chair: Daniel Carroll, Federal Reserve Bank of Cleveland
 

Financial Frictions and the Rule of Law
By Ashantha Ranasinghe; University of Manitoba
Diego Restuccia; University of Toronto
   presented by: Ashantha Ranasinghe, University of Manitoba
 

The Winners and Losers of Tax Reform: An Assessment under Financial Integration
By Ayse Kabukcuoglu; Koc University
   presented by: Ayse Kabukcuoglu, Koc University
 

The Distributional Effects of Adopting a Carbon Tax
By William Peterman; Federal Reserve Board of Governors
Stephie Fried; Carleton College
Kevin Novan; University of California, Davis
   presented by: William Peterman, Federal Reserve Board of Governors
 

Neighborhood Dynamics and the Distribution of Opportunity
By Dionissi Aliprantis; Federal Reserve Bank of Cleveland
Daniel Carroll; Federal Reserve Bank of Cleveland
   presented by: Daniel Carroll, Federal Reserve Bank of Cleveland
 
Session: D8: Solution Methods for DSGE and Heterogeneous Agent Models
June 27, 2016 9:00 to 10:40
Alienor 1
 
Session Chair: Michael Reiter, Institute for Advanced Studies
 

Computing the Cross-Sectional Distribution to Approximate Stationary Markov Equilibria with Heterogeneous Agents and Incomplete Markets
By Elisabeth Pröhl; Univ. of Geneva, Swiss Finance Institute
   presented by: Elisabeth Pröhl, Univ. of Geneva, Swiss Finance Institute
 

Transition Paths for Bewley-Huggett-Aiyagari Models
By Robert Kirkby; Victoria University of Wellington
   presented by: Robert Kirkby, Victoria University of Wellington
 

Solving DSGE Portfolio Choice Models with Asymmetric Countries
By Grzegorz Długoszek; Humboldt Universität zu Berlin
   presented by: Grzegorz Długoszek, Humboldt Universität zu Berlin
 

Solving Heterogeneous Agent Models With Nonconvex Optimization Problems
By Michael Reiter; Institute for Advanced Studies
   presented by: Michael Reiter, Institute for Advanced Studies
 
Session: D9: Banks and Shadow Banks
June 27, 2016 9:00 to 10:40
Jurade
 
Session Chair: Luisa Lambertini, EPFL
 

Banks’ balance sheets and the international transmission of shocks
By Johanna Krenz; Humboldt-Universität zu Berlin
   presented by: Johanna Krenz, Humboldt-Universität zu Berlin
 

A Dynamic Model of Heterogeneous Banks with Uninsurable Risks and Capital Requirements
By Spyros Pagratis; Athens University of Economics and Business
   presented by: Spyros Pagratis, Athens University of Economics and Business
 

Saving Wall Street or Main Street
By Markus Haavio; Bank of Finland
   presented by: Markus Haavio, Bank of Finland
 

A Macroeconomic Model of Liquidity, Wholesale Funding and Banking Regulation
By Corinne Dubois; EPFL
Luisa Lambertini; EPFL
   presented by: Luisa Lambertini, EPFL
 
Session: E1: Labor Markets and the Business Cycle
June 27, 2016 11:10 to 12:25
Gentilhommes 2
 
Session Chair: Murat Tasci, Federal Reserve Bank of Cleveland
 

Search Frictions and the Labor Wedge
By Murat Tasci; Federal Reserve Bank of Cleveland
   presented by: Murat Tasci, Federal Reserve Bank of Cleveland
 

Firing Costs and Labor Market Fluctuations: A Cross-Country Analysis
By Lee Ohanian; University of California Los Angeles
Andrea Raffo; Federal Reserve Board
Richard Rogerson; Princeton University
   presented by: Andrea Raffo, Federal Reserve Board
 
Session: E2: Structural Macroeconomic Modeling
June 27, 2016 11:10 to 12:25
Bacchus 1
 
Session Chair: Alexander Karaivanov, Simon Fraser University
 

Ruling out Multiplicity of Smooth Equilibria in Dynamic Games: A Hyperbolic Discounting Example
By Lilia Maliar; Stanford University
Serguei Maliar; Santa Clara University
   presented by: Serguei Maliar, Santa Clara University
 

Optimal Public Debt with Life Cycle Motives
By William Peterman; Federal Reserve Board of Governors
Erick Sager; Bureau of Labor Statistics
   presented by: Erick Sager, Bureau of Labor Statistics
 

Markov-Perfect Risk Sharing with Moral Hazard and Limited Commitment
By Alexander Karaivanov; Simon Fraser University
Fernando Martin; Federal Reserve Bank of St. Louis
   presented by: Alexander Karaivanov, Simon Fraser University
 
Session: E3: Fiscal Policy I
June 27, 2016 11:10 to 12:25
Gentilhommes 1
 
Session Chair: Wataru Miyamoto, Bank of Canada
 

Austerity and Private Debt
By Mathias Klein; Ruhr Graduate School in Economics
   presented by: Mathias Klein, TU Dortmund University
 

Public Debt, Ricardian Fiscal Policy, and Time-Varying Government Spending Multipliers
By Yasuharu Iwata; Permanent Delegation of Japan to the OECD
Hirokuni Iiboshi; Tokyo Metropolitan University
   presented by: Yasuharu Iwata, Permanent Delegation of Japan to the OECD
 

Government Spending Multipliers under the Zero Lower Bound: Evidence from Japan
By Wataru Miyamoto; Bank of Canada
Thuy Lan Nguyen; Santa Clara University
Dmitriy Sergeyev; Bocconi University
   presented by: Wataru Miyamoto, Bank of Canada
 
Session: E4: International Macro Policy
June 27, 2016 11:10 to 12:25
Alienor 1
 
Session Chair: Paul Pichler, University of Vienna and OeNB
 

Managing Capital Outflows: The Role of Foreign Exchange Intervention
By Suman Basu; International Monetary Fund
Atish Ghosh; International Monetary Fund
Jonathan Ostry; International Monetary Fund
Pablo Winant; Bank of England
   presented by: Pablo Winant, Bank of England
 

Cross-Border Spill-overs from Fiscal Stimulus in a Monetary Union
By Eric Schaling; Wits Business School
Mewael Tesfaselassie; Kiel Institute for the World Economy
   presented by: Eric Schaling, Wits Business School
 

Optimal fiscal policy and sovereign debt crises
By Stefan Niemann; University of Essex
Paul Pichler; University of Vienna and OeNB
   presented by: Paul Pichler, University of Vienna and OeNB
 
Session: E5: Macroeconomic Theory
June 27, 2016 11:10 to 12:25
Gentilhommes 3
 
Session Chair: Cars Hommes, University of Amsterdam
 

The role of public information in human capital decisions
By Gianluca Femminis; Università Cattolica, Milano
Giulio Piccirilli; Universitas Mercatorum.
   presented by: Gianluca Femminis, Università Cattolica, Milano
 

Multiple Equilibria in Search Models
By Federico Bonetto; Georgia Institute of Technology
Maurizio Iacopetta; OFCE/Sciences Po and SKEMA Business School
   presented by: Maurizio Iacopetta, OFCE/Sciences Po and SKEMA Business School
 

Behavioral learning equilibria and inflation persistence with heterogeneous agents
By Cars Hommes; University of Amsterdam
Mei Zhu; Shanghai University of Finance and Economics
   presented by: Cars Hommes, University of Amsterdam
 
Session: E6: Inequality, Mobility and Debt
June 27, 2016 11:10 to 12:25
Alienor 3
 
Session Chair: Corrado Di Guilmi, University of Technology Sydney
 

A tractable model of wealth inequality and mobility
By Thomas Fischer; TU Darmstadt
   presented by: Thomas Fischer, TU Darmstadt
 

Income inequality and household debt: a stock-flow consistent approach with heterogeneous agents
By Laura Carvalho; University of Sao Paulo
Corrado Di Guilmi; University of Technology Sydney
   presented by: Corrado Di Guilmi, University of Technology Sydney
 

How does monetary policy affect income and wealth inequality? An agent-based stock-flow consistent analysis
By Yannis Dafermos; University of the West of England
Christos Papatheodorou; Democritus University of Thrace
   presented by: Yannis Dafermos, University of the West of England
 
Session: E7: Housing Markets
June 27, 2016 11:10 to 12:25
Alienor 2
 
Session Chair: Thomas Vallee, University of Nantes
 

Housing over the Life Cycle and Across Countries: A Structural Analysis
By Julia Le Blanc; Deutsche Bundesbank
Jiri Slacalek; European Central Bank
   presented by: Jiri Slacalek, European Central Bank
 

What Drives the Volatility and Persistence of House Price Growth?
By Wieland Hoffmann; University of Mannheim
   presented by: Wieland Hoffmann, University of Mannheim
 

Boom and Bust Cycles in Housing Markets: A Dynamic Conceptual Framework
By Robert Owen; University of Nantes
Thomas Vallee; University of Nantes
   presented by: Thomas Vallee, University of Nantes
 
Session: E8: Nowcasting and Real Time Forecasting
June 27, 2016 11:10 to 12:25
Bacchus 2
 
Session Chair: Marcelle Chauvet, University of California Riverside
 

Global shocks, economic fluctuations and timeliness of monetary policy
By Hilde Bjornland; BI Norwegian Business School
Leif Anders Thorsrud; BI Norwegian Business School
Sepideh Zahiri; BI Norwegian Business School
   presented by: Hilde Bjornland, BI Norwegian Business School
 

Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates
By William Barnett; University of Kansas and Center for Financial Stability
Marcelle Chauvet; University of California Riverside
Danilo Leiva-Leon; Central Bank of Chile
Liting Su; University of Kansas
   presented by: Marcelle Chauvet, University of California Riverside
 
Session: E9: Financial Frictions
June 27, 2016 11:10 to 12:25
Jurade
 
Session Chair: Pascal Jacquinot, European Central Bank
 

Financial Frictions in the Interbank Market
By Vivien Lewis; Catholic University of Leuven (KUL)
Alice Servais; Catholic University of Leuven (KUL)
   presented by: Alice Servais, Catholic University of Leuven (KUL)
 

Time-varying volatility, financial intermediation and monetary policy
By Sandra Eickmeier; Deutsche Bundesbank
Norbert Metiu; Deutsche Bundesbank
Esteban Prieto; Deutsche Bundesbank
   presented by: Esteban Prieto, Deutsche Bundesbank
 

EAGLE-FLI A macroeconomic model of banking and financial interdependence in the euro area
By Nikola Bokan; ECB
Andrea Gerali; Bank of Italy
Sandra Gomes; Banco de Portugal
Pascal Jacquinot; European Central Bank
Massimiliano Pisani; Bank of Italy
   presented by: Pascal Jacquinot, European Central Bank
 
Session: F1: Advances in Benchmarking, Temporal Disaggregation and Reconciliation of Economic Data: Theory and Practice
June 27, 2016 16:00 to 17:40
Jurade
 
Session Chair: Baoline Chen, Bureau of Economic Analysis
 

Internal Validation of Temporal Disaggregation: A Cloud Chamber Approach
By Christian Mueller; German University in Cairo
   presented by: Christian Mueller, German University in Cairo
 

Uncertainty measures for Reconciliation of Economic Accounts
By Nino Mushkudiani; Statistics Netherlands
Jeroen Pannekoek; Statistics Netherlands
Li-Chun Zhang; S3RI/University of Southampton, Southampton, UK, Statistics Norway, Oslo, Norway
   presented by: Nino Mushkudiani, Statistics Netherlands
 

Simultaneous Reconciliation of Large System of Time Series Accounts after a Benchmark Revision with an Application to the U.S. Input-output Accounts
By Baoline Chen; Bureau of Economic Analysis
Tommaso Di Fonzo; University of Padova, Italy
Thomas Howells; Bureau of Economic Analysis
Marco Marini; International Monetary Fund
   presented by: Baoline Chen, Bureau of Economic Analysis
 

Nowcasting Annual National Accounts with Quarterly Indicators:An Assessment of Widely Used Benchmarking Methods
By Marco Marini; International Monetary Fund
   presented by: Marco Marini, International Monetary Fund
 
Session: F2: Innovation-fueled, Inclusive and Sustainable Growth
June 27, 2016 16:00 to 17:40
Bacchus 2
 
Session Chair: Mauro Napoletano, OFCE-Sciences Po
 

Expectation Formation and Macroeconomic Performance when Agents are Heterogeneous and the World is Changing
By Giovanni Dosi; Scuola Superiore Sant'Anna
Mauro Napoletano; OFCE-Sciences Po
Andrea Roventini; Scuola Superiore Sant'Anna
Joseph Stiglitz; Columbia University
Tania Treibich; Maastricht University
   presented by: Tania Treibich, Maastricht University
 

An evolutionary model of the risk-reward mechanism in the innovation-inequality relationship
By Tommaso Ciarli; University of Sussex
Mariana Mazzucato; University of Sussex
Ariel Wirkierman; University of Sussex
   presented by: Ariel Wirkierman, University of Sussex
 

Fiscal Transfers and Regional Economic Growth
By Herbert Dawid; U Bielefeld
Philipp Harting; Bielefeld University
Michael Neugart; Technische Universität Darmstadt
   presented by: Herbert Dawid, U Bielefeld
 

When more Flexibility yields more Fragility: the Microfundations of Keynesian Aggregate Unemployment
By Giovanni Dosi; Scuola Superiore Sant'Anna
Marcelo C. Pereira; University of Campinas
Andrea Roventini; Scuola Superiore Sant'Anna
Maria Enrica Virgillito; Scuola Superiore Sant'Anna
   presented by: Giovanni Dosi, Scuola Superiore Sant'Anna
 
Session: F3: Agent-Based Modeling of Markets and Networks
June 27, 2016 16:00 to 17:40
Bacchus 1
 
Session Chair: Peter Anselmo, New Mexico Institute of Mining and Tech
 

A Study on the Effect of Job Assistance Policy toward Social Exclusion using Agent-Based Simulation Model
By Masatoshi Murakami; Hannan University
Noriyuki Tanida; Kansai University
   presented by: Masatoshi Murakami, Hannan University
 

The Japanese Corporate Board Network
By Matthias Raddant; Kiel Institute for the World Economy
Hiroshi Takahashi; Keio University
   presented by: Matthias Raddant, Kiel Institute for the World Economy
 

Credit demand in a price-discrimination market: an agent-based approach
By Paulo Dawid; Banco Central do Brasil
   presented by: Paulo Dawid, Banco Central do Brasil
 

Input and Output Standard Deviations in A Simulated Electronic Double Auction Market
By Peter Anselmo; New Mexico Institute of Mining and Tech
   presented by: Peter Anselmo, New Mexico Institute of Mining and Tech
 
Session: F4: Term Structure and Credit Risk
June 27, 2016 16:00 to 17:40
Alienor 1
 
Session Chair: Oreste Tristani, ECB
 

Exponential-Affine Approximations of Macro-Finance Models
By Pierlauro Lopez; Banque de France
David Lopez-Salido; Federal Reserve Board
Francisco Vazquez-Grande; Federal Reserve Board
   presented by: Francisco Vazquez-Grande, Federal Reserve Board
 

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
By Ron Alquist; Kings Peak Asset Management
Gregory Bauer; Bank of Canada
Antonio Diez de los Rios; Bank of Canada
   presented by: Gregory Bauer, Bank of Canada
 

Market credit risk in the Eurozone area
By Ana-Maria H. Dumitru; University of Surrey
   presented by: Ana-Maria H. Dumitru, University of Surrey
 

The yield curve in normal times and at the lower bound
By Peter Hoerdahl; Bank for International Settlements
Oreste Tristani; ECB
   presented by: Oreste Tristani, ECB
 
Session: F5: Monetary Policy I
June 27, 2016 16:00 to 17:40
Alienor 2
 
Session Chair: Willi Semmler, New School NY, University of Bielefeld
 

A Lesson from the Great Depression that the Fed Might have Learned: A Comparison of the 1932 Open Market Purchases with Quantitative Easing
By Michael Bordo; Rutgers University
Arunima Sinha; Fordham University
   presented by: Arunima Sinha, Fordham University
 

Inflation expectations and monetary policy under disagreements
By Yoshiyuki Nakazono; Yokohama City University
   presented by: Yoshiyuki Nakazono, Yokohama City University
 

Toward Nonlinear Framework for Central Banking: A Scaled-Down Version of ToTEM
By Vadym Lepetyuk; Bank of Canada
Lilia Maliar; Stanford University
Serguei Maliar; Santa Clara University
   presented by: Lilia Maliar, Stanford University
 

Inflation targeting, credit flows, and financial stability in a regime change model
By Marco Gross; European Central Bank
Willi Semmler; New School NY, University of Bielefeld
   presented by: Willi Semmler, New School NY, University of Bielefeld
 
Session: F6: Business Cycle Dynamics
June 27, 2016 16:00 to 17:40
Alienor 3
 
Session Chair: Drago Bergholt, Norges Bank
 

Endogenous Firms' Exit, Inefficient Banks and Business Cycle Dynamics
By Lorenza Rossi; University of Pavia
   presented by: Lorenza Rossi, University of Pavia
 

Investment under Rational Inattention: Evidence from US Sectoral Data
By Peter Zorn; Goethe University Frankfurt
   presented by: Peter Zorn, Goethe University Frankfurt
 

News, Intermediation cost shocks and US business cycles
By Christopher Gunn; Carleton University
Alok Johri; McMaster University
Marc-Andre Letendre; McMaster University
   presented by: Alok Johri, McMaster University
 

Business Cycles in Commodity Economies
By Drago Bergholt; Norges Bank
Vegard Larsen; BI Norwegian Business School
   presented by: Drago Bergholt, Norges Bank
 
Session: F7: Fiscal and Monetary Policy, Expectations and Learning
June 27, 2016 16:00 to 17:40
Gentilhommes
 
Session Chair: Cars Hommes, University of Amsterdam
 

Prices, fundamental values and learning
By Michele Berardi; University of Manchester
   presented by: Michele Berardi, University of Manchester
 

Managing Heterogeneous and Unanchored Expectations: A Monetary Policy Analysis
By Cars Hommes; University of Amsterdam
Joep Lustenhouwer; University of Amsterdam
   presented by: Joep Lustenhouwer, University of Amsterdam
 

Debauchery and Original Sin: The Currency Composition of Sovereign Debt
By Charles Engel; University of Wisconsin
JungJae Park; National University of Singapore
   presented by: JungJae Park, National University of Singapore
 

Fiscal Consolidations and Finite Planning Horizons
By Cars Hommes; University of Amsterdam
Joep Lustenhouwer; University of Amsterdam
Kostas Mavromatis; University of Amsterdam
   presented by: Kostas Mavromatis, University of Amsterdam
 
Session: G1: Experiments II
June 28, 2016 9:00 to 10:40
Bacchus 2
 
Session Chair: Te Bao, Nanyang Technological University
 

Modelling The Dynamics Of Systemic Risk In The Over-The-Counter Interest Rate Derivatives Market
By Mohamed Bakoush; University of Southampton
Enrico Gerding; University of Southampton
Simon Wolfe; University of Southampton
   presented by: Mohamed Bakoush, University of Southampton
 

Information and Learning in the Minority Game: A Strategy Experiment
By Jona Linde; Maastricht University
Daniel Gietl; Ludwig-Maximilians-Universität München
Joep Sonnemans; University of Amsterdam
Jan Tuinstra; University of Amsterdam
   presented by: Jan Tuinstra, University of Amsterdam
 

Experiments and Simulations of trading in OTC markets
By Giulia Iori; City University
   presented by: Giulia Iori, City University
 

Memory and Discounting: Theory and Evidence
By Te Bao; Nanyang Technological University
Xiaohua Yu; Georg-August-University Goettingen
   presented by: Te Bao, Nanyang Technological University
 
Session: G2: Empirical Estimation of Agent-Based Models
June 28, 2016 9:00 to 10:40
Alienor 2
 
Session Chair: Sander van der Hoog, Bielefeld University
 

An Empirical Validation of a Large-Scale Agent-Based Macroeconomic Model
By Sylvain Barde; University of Kent
Sander van der Hoog; Bielefeld University
   presented by: Sylvain Barde, University of Kent
 

Sensitivity and Parameter Space Exploration in Agent-Based Models: an application of the GSL-div
By Francesco Lamperti; Sant'Anna School of Advanced Studies
   presented by: Francesco Lamperti, Sant'Anna School of Advanced Studies
 

Machine Learning Calibrations for Agent-Based Models
By Francesco Lamperti; Sant'Anna School of Advanced Studies
Antoine Mandel; University Paris1 Pantheon-Sorbonne
Andrea Roventini; Scuola Superiore Sant'Anna
Amir Sani; University of Paris 1, Pantheon Sorbonne
   presented by: Amir Sani, University of Paris 1, Pantheon Sorbonne
 

Bayesian Estimation of Agent-Based Models
By Jakob Grazzini; Catholic University of Milan
Matteo Richiardi; University of Torino
Mike Tsionas; Lancaster University
   presented by: Matteo Richiardi, University of Torino
 
Session: G3: Employment Dynamics, Investment and Inequality
June 28, 2016 9:00 to 10:40
Gentilhommes 2
 
Session Chair: Felicia Ionescu, Federal Reserve Board
 

Macroeconomic regimes, technological shocks and employment dynamics
By Tommaso Ferraresi; IRPET
Andrea Roventini; Scuola Superiore Sant'Anna
Willi Semmler; New School NY, University of Bielefeld
   presented by: Andrea Roventini, Scuola Superiore Sant'Anna
 

The Ins and Outs of US Unemployment Through a Wavelet Lens
By Pedro Portugal; Banco de Portugal
Antonio Rua; Banco de Portugal
   presented by: Antonio Rua, Banco de Portugal
 

Demographic Factor and the Rise of Services
By Xiaofei Ma; CREST
   presented by: Xiaofei Ma, CREST
 

Investment Opportunities and the Sources of Lifetime Inequality
By Kartik Athreya; Federal Reserve Bank of Richmond
Felicia Ionescu; Federal Reserve Board
Urvi Neelakantan; Federal Reserve Bank of Richmond
Ivan Vidangos; Federal Reserve Board
   presented by: Felicia Ionescu, Federal Reserve Board
 
Session: G4: Monetary Policy II
June 28, 2016 9:00 to 10:40
Gentilhommes 1
 
Session Chair: Marco Airaudo, Drexel University, LeBow Business School
 

Monetary Policy and Asset Prices with Infinite-Horizon Learning
By Marco Airaudo; Drexel University, LeBow Business School
   presented by: Marco Airaudo, Drexel University, LeBow Business School
 

Interest Rate Rules and Inflation Risks in a Macro-Finance Model
By Roman Horvath; Charles University
Lorant Kaszab; Central Bank of Hungary
Ales Marsal; National Bank of Slovakia
   presented by: Lorant Kaszab, European Central Bank
 

Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints.
By Tom Holden; University of Surrey
   presented by: Tom Holden, University of Surrey
 

Inflation Targeting and Liquidity Traps under Endogenous Credibility
By Cars Hommes; University of Amsterdam
Joep Lustenhouwer; University of Amsterdam
   presented by: Cars Hommes, University of Amsterdam
 
Session: G5: Fiscal Policy II
June 28, 2016 9:00 to 10:40
Gentilhommes 3
 
Session Chair: Richard M. H. Suen, University of Leicester
 

The government spending multiplier, uncertainty and sovereign risk
By Felix Strobel; Humboldt-Universität zu Berlin
   presented by: Felix Strobel, Humboldt-Universität zu Berlin
 

Macroeconomic effects of reducing labor tax in the euro area. A structural model-based approach.
By Pascal Jacquinot; European Central Bank
Matija Lozej; Central Bank of Ireland
Massimiliano Pisani; Bank of Italy
   presented by: Matija Lozej, Central Bank of Ireland
 

Technology Capital and the Taxation of Multinational Corporations
By Alexis Anagnostopoulos; Stony Brook University
Orhan Erem Atesagaoglu; Stony Brook University
   presented by: Alexis Anagnostopoulos, Stony Brook University
 

Research Policy and U.S. Economic Growth
By Richard M. H. Suen; University of Leicester
   presented by: Richard M. H. Suen, University of Leicester
 
Session: G6: Incomplete Markets and Information
June 28, 2016 9:00 to 10:40
Bacchus 1
 
Session Chair: Isaiah Hull, Sveriges Riksbank
 

Estimating Labor-Supply Elasticities with Joint Borrowing Constraints of Couples
By Christian Bredemeier; University of Cologne
Jan Hendrik Gravert; University of Wuppertal
Falko Juessen; University of Wuppertal
   presented by: Jan Hendrik Gravert, University of Wuppertal
 

Incomplete Information, Financial Market Imperfections, and Aggregate Saving
By Alexander Wulff; University of Potsdam
   presented by: Alexander Wulff, University of Potsdam
 

Credit Frictions, Defaultable Debt, and Fiscal Policy
By Christopher Krause; TU Dortmund University
   presented by: Christopher Krause, TU Dortmund University
 

Amortization Requirements and Household Indebtedness: An Application to Swedish-Style Mortgages
By Isaiah Hull; Sveriges Riksbank
   presented by: Isaiah Hull, Sveriges Riksbank
 
Session: G7: Monetary Theory and Policy III: Risk, Learning and Welfare
June 28, 2016 9:00 to 10:40
Alienor 3
 
Session Chair: Andrea De Michelis, Federal Reserve Board
 

The Welfare Losses of Adaptive Learning Dynamics
By Atanas Christev; Heriot-Watt University
Sergey Slobodyan; CERGE-EI
   presented by: Atanas Christev, Heriot-Watt University
 

Stability and Monetary Policy in a DSGE Model with Boundedly Rational Stock Markets
By Gregor Boehl; Bielefeld University
   presented by: Gregor Boehl, University of Amsterdam
 

The Risky Steady State and the Interest Rate Lower Bound
By Timothy Hills; Federal Reserve Board
Taisuke Nakata; Federal Reserve Board
Sebastian Schmidt; European Central Bank
   presented by: Taisuke Nakata, Federal Reserve Board
 

Raising an Inflation Target: the Japanese Experience with Abenomics
By Andrea De Michelis; Federal Reserve Board
Matteo Iacoviello; Federal Reserve Board
   presented by: Andrea De Michelis, Federal Reserve Board
 
Session: G8: Methodological Advances II
June 28, 2016 9:00 to 10:40
Alienor 1
 
Session Chair: Jaqueson Galimberti, ETH Zurich
 

Nonlocal Solutions to Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach
By Viktors Ajevskis; Bank of Latvia
   presented by: Viktors Ajevskis, Bank of Latvia
 

Optimal macroeconomic policies for nonlinear econometric models with rational expectations
By Dmitri Blueschke; Alpen-Adria-Universität Klagenfurt
Viktoria Blueschke-Nikolaeva; Alpen-Adria-Universität Klagenfurt
Reinhard Neck; Alpen-Adria-Universität Klagenfurt
   presented by: Dmitri Blueschke, Alpen-Adria-Universität Klagenfurt
 

Pseudo-Analytical Solutions for Stochastic Options Pricing Models using Monte-Carlo Simulations and Neural Networks
By Samuel Palmer; University college London
   presented by: Samuel Palmer, University college London
 

Empirical Calibration of Adaptive Learning
By Michele Berardi; University of Manchester
Jaqueson Galimberti; ETH Zurich
   presented by: Jaqueson Galimberti, ETH Zurich
 
Session: G9: Financial Networks II
June 28, 2016 9:00 to 10:40
Jurade
 
Session Chair: Valentyn Panchenko, UNSW
 

Complexity of Payment Network
By Hitoshi Hayakawa; Hokkaido University
   presented by: Hitoshi Hayakawa, Hokkaido University
 

A Comparison of Three Models to Predict Liquidity Flows Between Banks Based on Daily Payment Transactions
By Ron Triepels; Tilburg University
Hennie A.M. Daniels; Tilburg University
   presented by: Ron Triepels, Tilburg University
 

Vulnerability Index: Disentangling Iterative Contagion in International Financial Markets
By Alice Jang; KAIST
Duk Hee Lee; KAIST
   presented by: Alice Jang, KAIST
 

A cobweb model with heterogeneous beliefs and local interactions
By Mikhail Anufriev; University of Technology Sydney
Valentyn Panchenko; UNSW
   presented by: Valentyn Panchenko, UNSW
 
Session: H1: Agent-Based Models of Financial Markets II
June 28, 2016 11:10 to 12:50
Bacchus 2
 
Session Chair: Jesper Riedler, ZEW Mannheim
 

A new structural stochastic volatility model of asset pricing and its stylized facts
By Radu Pruna; University of Southampton
Maria Polukarov; University of Southampton
Nicholas Jennings; University of Southampton
   presented by: Radu Pruna, University of Southampton
 

A crisis of confidence: The counterparty-liquidity risk nexus in an agent-based network model of the interbank market
By Nicolas Scholtes; University of Namur
   presented by: Nicolas Scholtes, University of Namur
 

High-Frequency Trading and the Emergence of Flash Crashes: Some Regulatory Policies Experiments
By Sandrine Jacob Leal; ICN Business School
Mauro Napoletano; OFCE-Sciences Po
Andrea Roventini; Scuola Superiore Sant'Anna
Giorgio Fagiolo; Sant'Anna School of Advanced Studies
   presented by: Sandrine Jacob Leal, ICN Business School
 

An agent-based model of the financial system
By Jesper Riedler; ZEW Mannheim
Frank Brueckbauer; ZEW Mannheim
   presented by: Jesper Riedler, ZEW Mannheim
 
Session: H2: Trade, Exchange Rates and News
June 28, 2016 11:10 to 12:50
Gentilhommes 2
 
Session Chair: Pedro Amaral, Federal Reserve Bank of Cleveland
 

The Value of News
By Vegard Larsen; BI Norwegian Business School
Leif Anders Thorsrud; BI Norwegian Business School
   presented by: Vegard Larsen, BI Norwegian Business School
 

Trade in Commodities and Emerging Market Business Cycles
By David Kohn; Universidad Torcuato Di Tella
Fernando Leibovici; York University
Hakon Tretvoll; BI Norwegian Business School
   presented by: Hakon Tretvoll, BI Norwegian Business School
 

Asymmetric exchange rate pass-through: Evidence from Non-Linear SVARs
By Fernando Perez Forero; BCRP
Marco Vega; Banco Central de Reserva del Peru
   presented by: Fernando Perez Forero, BCRP
 

Trade, Relative Prices, and the Canadian Great Depression
By Pedro Amaral; Federal Reserve Bank of Cleveland
James MacGee; University of Western Ontario
   presented by: Pedro Amaral, Federal Reserve Bank of Cleveland
 
Session: H3: Business Cycles and Shocks
June 28, 2016 11:10 to 12:50
Alienor 2
 
Session Chair: James Costain, Bank of Spain
 

All Shook Up: International Shocks and Firm-level Volatility
By CHRISTOPHER Kurz; Board of Governors
Mine Senses; Johns Hopkins University
Andrei Zlate; Federal Reserve Bank of Boston
   presented by: Andrei Zlate, Federal Reserve Bank of Boston
 

Demand Shocks and Endogenous Uncertainty
By Diego Vilan; Federal Reserve Board of Governors
   presented by: Diego Vilan, Federal Reserve Board of Governors
 

International Transmission of Credit Shocks in an Equilibrium Model with Production Heterogeneity
By Yuko Imura; Bank of Canada
Julia Thomas; Ohio State University
   presented by: Yuko Imura, Bank of Canada
 

Monetary policy implications of state-dependent prices and wages
By James Costain; Bank of Spain
Anton Nakov; ECB and CEPR
Borja Petit Zarzalejos; CEMFI
   presented by: James Costain, Bank of Spain
 
Session: H4: Macroeconomic Trends and Welfare
June 28, 2016 11:10 to 12:50
Gentilhommes 1
 
Session Chair: Chiara Forlati, University of Southampton
 

Demographic Structure and Macroeconomic Trends
By Yunus Aksoy; Birkbeck, University of London
Henrique Basso; Bank of Spain
Tobias Grasl; Birkbeck College
Ron Smith; Birkbeck College
   presented by: Yunus Aksoy, Birkbeck, University of London
 

The Impact of Disembodied Technological Progress on Working Hours
By Mewael Tesfaselassie; Kiel Institute for the World Economy
   presented by: Mewael Tesfaselassie, Kiel Institute for the World Economy
 

Debt sustainability, welfare and the mechanic of the Laffer curve
By Xiaoshan Chen; Durham University
Campbell Leith
Mattia Ricci; University of Glasgow
   presented by: Mattia Ricci, University of Glasgow
 

Housing and Intergenerational Welfare Redistribution
By Chiara Forlati; University of Southampton
Michael Hatcher; University of Southampton
Alessandro Mennuni; University of Southampton
   presented by: Chiara Forlati, University of Southampton
 
Session: H5: Structural Empirical Models
June 28, 2016 11:10 to 12:50
Bacchus 1
 
Session Chair: Matteo Iacoviello, Federal Reserve Board
 

On Identification Issues in (Monetary) Business Cycle Accounting Models
By Pedro Brinca; NovaSBE
Nikolay Iskrev; Bank of Portugal
Francesca Loria; European University Institute
   presented by: Francesca Loria, European University Institute
 

Fully Bayesian Analysis of SVAR Models Under Zero and Sign Restrictions
By Andrzej Kociecki; Narodowy Bank Polski
   presented by: Andrzej Kociecki, Narodowy Bank Polski
 

Immigration and the Macroeconomy: a VAR Analysis
By Francesco Furlanetto; Norges Bank
Ørjan Robstad; Norges Bank
   presented by: Ørjan Robstad, Norges Bank
 

Demand and Supply Elasticities and Oil Price Fluctuations: A VAR
By Dario Caldara; Federal Reserve Board
Michele Cavallo; Federal Reserve Board
Matteo Iacoviello; Federal Reserve Board
   presented by: Matteo Iacoviello, Federal Reserve Board
 
Session: H6: Expectations and Sentiment
June 28, 2016 11:10 to 12:50
Gentilhommes 3
 
Session Chair: Olesya Grishchenko, Board of Governors of the Federal Reserve System
 

Inattention in Individual Expectations
By Yara Cordeiro; Banco Itaú Unibanco
Wagner Gaglianone; Central Bank of Brazil
Joao Issler; Getulio Vargas Foundation
   presented by: Joao Issler, Getulio Vargas Foundation
 

Inflation expectations, disagreement, and monetary policy
By Patrick Hürtgen; Deutsche Bundesbank
Mathias Hoffmann; Deutsche Bundesbank
   presented by: Patrick Hürtgen, Deutsche Bundesbank
 

Sentiment Shocks as Drivers of Business Cycles
By Agustin Arias; Central Bank of Chile
   presented by: Agustin Arias, Central Bank of Chile
 

The Joint Estimation of the U.S. and Euro Area Inflation: Expectations and Time-varying uncertainty
By Olesya Grishchenko; Board of Governors of the Federal Reserve System
Sarah Mouabbi; Banque de France
Jean-Paul RENNE; HEC Lausanne
   presented by: Olesya Grishchenko, Board of Governors of the Federal Reserve System
 
Session: H7: Monetary and Macroprudential Policies
June 28, 2016 11:10 to 12:50
Jurade
 
Session Chair: Serguei Maliar, Santa Clara University
 

Policy Rules in Times of Prolonged Crisis: Quantitative Easing Abroad and Fiscal Adjustment at Home
By Guay Lim; University of Melbourne
Paul McNelis; Fordham University
   presented by: Paul McNelis, Fordham University
 

The Impact of Alternative Transitions to Normalized Monetary Policy
By Lilia Maliar; Stanford University
Serguei Maliar; Santa Clara University
John Taylor; Stanford University
   presented by: Serguei Maliar, Santa Clara University
 

Taylor rules, central bank preferences and inflation targeting
By Juan Paez-Farrell; University of Sheffield
   presented by: Juan Paez-Farrell, University of Sheffield
 
Session: H8: Computational Finance
June 28, 2016 11:10 to 12:50
Alienor 1
 
Session Chair: Ramzi Ben Abdallah, UQAM School of Management
 

Discretizing Markov Processes with Exact Conditional Moments
By Leland Farmer; University of California, San Diego
Alexis Akira Toda; UC San Diego
   presented by: Leland Farmer, University of California, San Diego
 

Pricing American options under multi-factor models with recursive adaptive sparse expectations
By Adrien Treccani; University of Zürich
   presented by: Adrien Treccani, University of Zürich
 

Recovery Theorem with a Multivariate Markov Chain
By Anthony Sanford; University of Washington
   presented by: Anthony Sanford, University of Washington
 

Investigating the Early Exercise of the American-style Strategic Delivery Options in the U.S. T-Bond Futures Market
By Ramzi Ben Abdallah; UQAM School of Management
Michèle Breton; HEC Montréal
   presented by: Ramzi Ben Abdallah, UQAM School of Management
 
Session: H9: Zero Lower Bound for Nominal Interest Rates
June 28, 2016 11:10 to 12:25
Alienor 3
 
Session Chair: Marco Ratto, European Commission - Joint Research Centre
 

Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model
By Andrew Binning; Norges Bank
junior Maih; Norges Bank
   presented by: Andrew Binning, Norges Bank
 

Latent variables and shocks contribution in DSGE models with occasionally binding constraints
By Marco Ratto; European Commission - Joint Research Centre
Massimo Giovannini; European Commission
   presented by: Marco Ratto, European Commission - Joint Research Centre
 

Nonlinear DSGE model with Asymmetric Adjustment Costs under ZLB: Bayesian Estimation with Particle Filter for Japan
By Hirokuni Iiboshi; Tokyo Metropolitan University
Mototsugu Shintani; University of Tokyo
   presented by: Hirokuni Iiboshi, Tokyo Metropolitan University
 

Forecasting with Sufficient Dimension Reductions
By alessandro barbarino; Federal Reserve Board
   presented by: alessandro barbarino, Federal Reserve Board
 
Session: I1: Uncertainty and Business Cycles
June 28, 2016 16:00 to 17:40
Alienor 1
 
Session Chair: Tatevik Sekhposyan, Texas A&M University
 

News Shocks under Financial Frictions
By Christoph Gortz; University of Birmingham
John Tsoukalas; University of Glasgow
Francesco Zanetti; University of Oxford
   presented by: Christoph Gortz, University of Birmingham
 

Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
By Gaetano Antinolfi; Washington University in Saint Louis
Celso Brunetti; Federal Reserve Board
   presented by: Celso Brunetti, Federal Reserve Board
 

Economic Policy Uncertainty Spillovers in Booms and Busts
By Giovanni Caggiano; University of Padua
Efrem Castelnuovo; University of Melbourne
Juan Figueres; University of Padua
   presented by: Efrem Castelnuovo, University of Melbourne
 

Understanding the Sources of Macroeconomic Uncertainty
By Barbara Rossi; ICREA-Universitat Pompeu Fabra, Barcelona GSE and CREI
Tatevik Sekhposyan; Texas A&M University
   presented by: Tatevik Sekhposyan, Texas A&M University
 
Session: I2: Asset Pricing
June 28, 2016 16:00 to 17:40
Bacchus 1
 
Session Chair: Lei Shi, University of Technology, Sydney
 

International Endogenous Growth, Macro Anomalies, and Asset Prices
By Patrick Gruening; Bank of Lithuania and Vilnius University
   presented by: Patrick Gruening, Bank of Lithuania and Vilnius University
 

The Effects of Market Sentiment and Price Momentum on Asset Pricing
By Min Zheng; Central University of Finance and Economics
   presented by: Min Zheng, Central University of Finance and Economics
 

Wealth-driven asymptotic survival in a financial market with demand shocks
By Pietro Dindo; Ca' Foscari University of Venice
Jacopo Staccioli; Scuola Superiore Sant'Anna
   presented by: Jacopo Staccioli, Scuola Superiore Sant'Anna
 

Belief Heterogeneity and Return Dynamics in a Multi-Asset Economy
By Xue-Zhong He; University of Technology Sydney
Lei Shi; University of Technology, Sydney
   presented by: Lei Shi, University of Technology, Sydney
 
Session: I3: DSGE
June 28, 2016 16:00 to 17:40
Bacchus 2
 
Session Chair: Jean-Bernard Chatelain, University Paris I Pantheon Sorbonne
 

Parameter Bias in an Estimated DSGE Model: Does Nonlinearity Matter?
By Yasuo Hirose; Keio University
Takeki Sunakawa; University of Tokyo Graduate School of Public Policy
   presented by: Yasuo Hirose, Keio University
 

Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime Switching Approach
By Gianluca Benigno; London School of Economics
Andrew Foerster; Federal Reserve Bank of Kansas City
Christopher Otrok; University of Missouri
Alessandro Rebucci; The Johns Hopkins Carey Business School
   presented by: Christopher Otrok, University of Missouri
 

Higher-order statistics for DSGE models
By Willi Mutschler; TU Dortmund University
   presented by: Willi Mutschler, TU Dortmund University
 

Countercyclical Optimal Policy versus Procyclical Simple Rules
By Jean-Bernard Chatelain; University Paris I Pantheon Sorbonne
   presented by: Jean-Bernard Chatelain, University Paris I Pantheon Sorbonne
 
Session: I4: Capital Flows and Crisis
June 28, 2016 16:00 to 17:40
Connetablie
 
Session Chair: Saktinil Roy, Athabasca University
 

The Post-crisis Slump in Europe: A Business Cycle Accounting Analysis
By Keisuke Otsu; University of Kent
Florian Gerth; University of Kent
   presented by: Keisuke Otsu, University of Kent
 

Reserve Accumulation and the Dutch Disease
By Julia Faltermeier; Universitat Pompeu Fabra
Ruy Lama; International Monetary Fund
Juan Medina; Universidad Adolfo Ibañez
   presented by: Julia Faltermeier, Universitat Pompeu Fabra
 

Were capital flow bonanzas and low interest rates a primary cause of the global financial crisis?
By Saktinil Roy; Athabasca University
   presented by: Saktinil Roy, Athabasca University
 
Session: I5: Expectations and Financial Markets
June 28, 2016 16:00 to 17:40
Gentilhommes
 
Session Chair: Kenneth Kasa, Simon Fraser University
 

Examining the Sources of Excess Return Predictability
By Kevin Lansing; Federal Reserve Bank of San Francisco
Stephen LeRoy; UC Santa Barbara
Jun Ma; The University of Alabama
   presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
 

Risk, Information, and Inequality
By Kenneth Kasa; Simon Fraser University
Xiaowen Lei; Simon Fraser University
   presented by: Xiaowen Lei, Simon Fraser University
 

Generalized Disappointment Aversion, Learning and Variance Premium
By Mykola Babiak; CERGE-EI
   presented by: Mykola Babiak, CERGE-EI
 

Doubts, Inequality, and Bubbles
By Kenneth Kasa; Simon Fraser University
In-Koo Cho; University of Illinois
   presented by: Kenneth Kasa, Simon Fraser University
 
Session: I6: Labor and the Business Cycle
June 28, 2016 16:00 to 17:40
Alienor 3
 
Session Chair: Alex Clymo, University of Amsterdam
 

Job Displacement and the Cost of Business Cycles
By Karl Walentin; Sveriges Riksbank (Bank of Sweden)
Andreas Westermark; Sveriges Riksbank
   presented by: Andreas Westermark, Sveriges Riksbank
 

Wage Gaps, Earnings Gaps, and the Market Power of Employers
By Christian Bredemeier; University of Cologne
   presented by: Christian Bredemeier, University of Cologne
 

Working hard to recover slowly: workers' effort and unemployment over the business cycle
By Zuzana Molnárová; University of Vienna
   presented by: Zuzana Molnárová, University of Vienna
 

Heterogeneous Firms, Wages, and the Effects of Financial Crises
By Alex Clymo; University of Amsterdam
   presented by: Alex Clymo, University of Amsterdam
 
Session: I7: Risk, Regimes and Uncertainty
June 28, 2016 16:00 to 17:40
Alienor 2
 
Session Chair: Michał Brzoza-Brzezina, National Bank of Poland
 

Subjective Interest Rate Uncertainty and the Macroeconomy: An international panel approach
By Klodiana Istrefi; Banque de France
   presented by: Klodiana Istrefi, Banque de France
 

Uncertainty, Financial Frictions, and Agents' Beliefs
By Stephane Lhuissier; CEPII
Fabien Tripier; University of Lille 1
   presented by: Stephane Lhuissier, CEPII
 

Regime Changes in the Terms of Trade
By Han Chen; Board of Governors of the Federal Reserv
Mariano Kulish; University of New South Wales
Federico Mandelman; Federal Reserve Bank of Atlanta
   presented by: Federico Mandelman, Federal Reserve Bank of Atlanta
 

The nonlinear nature of country risk
By Michał Brzoza-Brzezina; National Bank of Poland
Jacek Kotłowski; National Bank of Poland
   presented by: Michał Brzoza-Brzezina, National Bank of Poland
 
Session: I8: Macro and Asset Market Experiments
June 28, 2016 16:00 to 17:40
Jurade
 
Session Chair: Domenico Massaro, Catholic University of Milan
 

Group Size and Expectation Formation in an Asset Market: a Learning-to-Forecast Experiment
By Cars Hommes; University of Amsterdam
Anita Kopányi-Peuker; University of Amsterdam, Tinbergen Institute
Joep Sonnemans; University of Amsterdam
   presented by: Anita Kopányi-Peuker, University of Amsterdam, Tinbergen Institute
 

Coordination on bubbles in large-group asset pricing experiments
By Te Bao; Nanyang Technological University
Myrna Hennequin; University of Amsterdam
Cars Hommes; University of Amsterdam
Domenico Massaro; Catholic University of Milan
   presented by: Myrna Hennequin, University of Amsterdam
 

Coordinating Expectations through Central Bank Projections
By Fatemeh Mokhtarzadeh; Simon Fraser University
Luba Petersen; Simon Fraser University
   presented by: Luba Petersen, Simon Fraser University
 

Monetary Policy under Behavioral Expectations: Theory and Experiment
By Cars Hommes; University of Amsterdam
Domenico Massaro; University of Amsterdam
Matthias Weber; CEFER, Bank of Lithuania & Vilnius University
   presented by: Domenico Massaro, Catholic University of Milan
 

76 sessions, 277 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
2Airaudo, MarcoP45, C45
3Ajevskis, ViktorsP82
4Aksoy, YunusP51
5Alfarano, SimoneC36
6Alpanda, SamiP46, C46
7Amaral, PedroP43, C43
8Anagnostopoulos, AlexisP50
9Anderson, GaryP70, C70
10Anselmo, PeterP23, C23
11Anufriev, MikhailP39, C39
12Arias, AgustinP76
13Ascari, GuidoP6
14Babiak, MykolaP58
15Bakoush, MohamedP13
16Bao, TeP13, C13
17barbarino, alessandroP77
18Barde, SylvainP34
19Bargigli, LeonardoP39
20Barrdear, JohnP27
21Basso, HenriqueP46
22Bauer, GregoryP30
23Bellofatto, AntonioP62
24Ben Abdallah, RamziP24, C24
25Berardi, MicheleP69
26Bergholt, DragoP49, C49
27Binning, AndrewP77
28Bjornland, HildeP74
29Blueschke, DmitriP82
30Boccanfuso, JeremyP60
31Boehl, GregorP72
32Bredemeier, ChristianP63
33Brunetti, CelsoP5
34Brzoza-Brzezina, MichałP80, C80
35Caggiano, GiovanniP55, C55
36Carroll, DanielP66, C66
37Castelnuovo, EfremP5
38Chatelain, Jean-BernardP32, C32
39Chauvet, MarcelleP74, C74
40Chen, BaolineP1, C1
41Chen, XiaoshanP8
42Cho, Sung-JinP19
43Cho, Sang-Wook (Stanley)P7
44Christev, AtanasP72
45Clymo, AlexP63, C63
46Colasante, AnnaritaP15
47Colombo, LucaP61, C61
48Costain, JamesP64, C64
49Dafermos, YannisP67
50Dawid, HerbertP2
51Dawid, PauloP23
52Długoszek, GrzegorzP65
53De Michelis, AndreaP72, C72
54Di Guilmi, CorradoP67, C67
55Dindo, PietroP14, C14
56Dosi, GiovanniP2
57Dräger, LenaP29
58Dumitru, Ana-Maria H.P30
59Dunbar, GeoffreyP3
60Eickmeier, SandraP55
61Faltermeier, JuliaP44
62Farmer, LelandP24
63Femminis, GianlucaP57
64Fiori, GiuseppeP10
65Fisar, MilosP15
66Fischer, ThomasP67
67Foerster, AndrewP8, C8
68Forlati, ChiaraP51, C51
69Furlanetto, FrancescoP55
70Galanis, GiorgosP59
71Galimberti, JaquesonP82, C82
72Giachini, DanieleP18
73Gnocchi, StefanoP26
74Goldbaum, DavidP3
75Gortz, ChristophP5
76Goy, GavinP27
77Gravert, Jan HendrikP48
78Grazzini, JakobP68
79Grishchenko, OlesyaP76, C76
80Gronwald, MarcP11
81Gruening, PatrickP25
82Guerini, MattiaP68
83Guerrieri, LucaP71, C71
84Haavio, MarkusP52
85Hanaki, NobuyukiP15, C15
86Hayakawa, HitoshiP47
87Hürtgen, PatrickP76
88He, Xuezhong (Tony)P18, C18
89Hedlund, AaronP62, C62
90Hennequin, MyrnaP84
91Hergovich, PhilippP62
92Hirose, YasuoP32
93Hoffmann, MathiasP27
94Hoffmann, WielandP73
95Holden, TomP45
96Hommes, CarsP57, C57, C69, P45
97Hull, IsaiahP48, C48
98Iacopetta, MaurizioP57
99Iacoviello, MatteoP54, C54
100Iiboshi, HirokuniP77
101Imura, YukoP64
102Ionescu, FeliciaP42, C42
103Iori, GiuliaP13
104Iskhakov, FedorP85
105Issler, JoaoP76
106Istrefi, KlodianaP80
107Iwata, YasuharuP41
108Jacob Leal, SandrineP35
109Jacquinot, PascalP83, C83
110Jang, AliceP47
111Jensen, ChristianP27, C27
112Johri, AlokP49
113Juessen, FalkoP8
114Juillard, MichelP70
115Kabukcuoglu, AyseP66
116Karaivanov, AlexanderP22, C22
117Kasa, KennethP58, C58
118Kaszab, LorantP45
119Kirkby, RobertP65
120Klein, MathiasP41
121Kociecki, AndrzejP54
122Kolasa, MarcinP46
123Komunjer, IvanaP75
124Kopányi-Peuker, AnitaP84
125Kormilitsina, AnnaP10
126Krause, ChristopherP48
127Krenz, JohannaP52
128Kukacka, JiriP59
129Ladley, DanielP19, C19
130Lambertini, LuisaP52, C52
131Lamperti, FrancescoP34
132Lanne, MarkkuP56
133Lansing, KevinP58
134Larsen, VegardP43
135LeBaron, BlakeP59, C59
136Lei, XiaowenP58
137Lhuissier, StephaneP80
138Lin, Hwan C.P33, C33
139Loria, FrancescaP54
140Lozej, MatijaP50
141Lu, JianyuP14
142Lubik, ThomasP6, C6
143Lugo, HaydeeP3
144Lustenhouwer, JoepP69
145Lux, ThomasP3, C3
146Ma, XiaofeiP42
147Makarewicz, TomaszP15
148Makarski, KrzysztofP79, C79
149Maliar, LiliaP40
150Maliar, SergueiP22, P81, C81
151Mandelman, FedericoP7, C7, P80
152Manzan, SebastianoP56, C56
153Marini, MarcoP1
154Massaro, DomenicoP84, C84
155Matveev, DmitryP71
156Mavromatis, KostasP69
157McNelis, PaulP81
158Meier, MatthiasP33
159Meisser, LuziusP61
160Meyer-Gohde, AlexanderP6
161Miyamoto, WataruP41, C41
162Mizuno, TakayukiP14
163Molnárová, ZuzanaP63
164Mueller, ChristianP1
165Murakami, MasatoshiP23
166Mushkudiani, NinoP1
167Mutschler, WilliP32
168Nakata, TaisukeP72
169Nakazono, YoshiyukiP40
170Napoletano, MauroP60, C60, C2
171Nuguer, VictoriaP29
172Oh, HyunseungP46
173Oikawa, KokiP4
174Otrok, ChristopherP32
175Otsu, KeisukeP44
176Owyang, MichaelP11, C11
177Paez-Farrell, JuanP81
178Pagratis, SpyrosP52
179Palmer, NathanP61
180Palmer, SamuelP85, P82
181Panchenko, ValentynP47, C47
182Panovska, IrinaP85, C85
183Park, JungJaeP69
184Pelgrin, FlorianP21
185Perez Forero, FernandoP43
186Peterman, WilliamP66
187Petersen, LubaP84
188Pfante, OliverP36
189Pichler, PaulP53, C53
190Popoyan, LilitP60
191Pröhl, ElisabethP65
192Prieto, EstebanP83
193Priftis, RomanosP26
194Pritsker, MatthewP21, C21
195Pruna, RaduP35
196Raciborski, RafalP79
197Raddant, MatthiasP23
198Raffo, AndreaP9
199Ranasinghe, AshanthaP66
200Ratto, MarcoP77, C77
201Ravazzolo, FrancescoP21, P56
202Reiter, MichaelP65, C65
203Ricchiuti, GiorgioP68
204Ricci, MattiaP51
205Richiardi, MatteoP34
206Riedler, JesperP35, C35
207Robstad, ØrjanP54
208Rossi, LorenzaP49
209Roventini, AndreaP42
210Roy, SaktinilP44, C44
211Rozsypal, FilipP61
212Rua, AntonioP42
213Sager, ErickP22
214Salle, IsabelleP68
215Sanford, AnthonyP24
216Sani, AmirP34
217Savin, IvanP4
218Schaling, EricP53
219Schmitt, NoemiP60
220Scholtes, NicolasP35
221Schuler, TobiasP71
222Sekhposyan, TatevikP5, C5
223Semmler, WilliP79, P40, C40
224Seneca, MartinP26, C26
225Seoane, HernanP8
226Seppecher, PascalC68
227Servais, AliceP83
228Sheremirov, ViacheslavP10, C10
229Shi, LeiP25, C25
230Sinha, ArunimaP40
231Skrobotov, AntonP75
232Slacalek, JiriP73
233Staccioli, JacopoP25
234Strobel, FelixP50
235Suen, Richard M. H.P50, C50
236Sunel, EnesP33
237Takahashi, KojiP26
238Tasci, MuratP9, C9
239Tavares, TiagoP7
240ter Ellen, SaskiaP39
241Tesfaselassie, MewaelP51
242Tetlow, RobertP29, C29
243Thoenissen, ChristophP7
244Treccani, AdrienP24
245Treibich, TaniaP2
246Treibich, RafaelP4
247Tretvoll, HakonP43
248Triepels, RonP47
249Tristani, OresteP30, C30
250Tuinstra, JanP13
251Tungsong, SachaponP19
252Vallee, ThomasP19, P73, C73
253van der Hoog, SanderC34
254van der pol, JohannesP4, C4
255Vazquez-Grande, FranciscoP30
256Vermandel, GauthierP29
257Vidal-Tomas, DavidP36
258Vilan, DiegoP64
259Wei, LijianP18
260Westerhoff, FrankP59
261Westermark, AndreasP63
262Winant, PabloP53
263Winschel, ViktorP36
264Wirkierman, ArielP2
265Wong, BenjaminP11
266Wozniak, TomaszP56
267Wulff, AlexanderP48
268Xu, JianhuanP14
269Yamamoto, RyuichiP18
270Zadrozny, PeterP75, C75
271Zheng, HuanhuanP39
272Zheng, MinP25
273Zlate, AndreiP64
274Zorn, PeterP49

 

This program was last updated on 2016-11-16 13:26:49 EDT