SCE - Computing in Economics and Finance

New York City (Fordham University, Lincoln Center Campus)

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

Date/TimeLocationTypeTitlePapersOrganizer
June 28, 2017
9:00-10:40
3-01 invited A01: Invited Session - Macro ABMs4Marco Gross
June 28, 2017
9:00-10:40
4-01 invited A02: Invited Session - Topics in Econometric Theory4Jose Montiel Olea
June 28, 2017
9:00-10:40
3-02 contributed A03: Monetary and Fiscal Policy in Behavioral Macroeconomic Models4Cars Hommes
June 28, 2017
9:00-10:40
3-09 contributed A04: Agent-Based Models of Macroeconomy and Financial Markets4Shu-Heng Chen
June 28, 2017
9:00-10:40
4-02 contributed A05: Fiscal and Monetary Policy4Andrea Tambalotti
June 28, 2017
9:00-10:40
4-04 contributed A06: Latent Processes and Filtering Information4Francesco Ravazzolo
June 28, 2017
9:00-10:40
4-05 contributed A07: Business Cycles, Macro Policies and Welfare4Robert Tetlow
June 28, 2017
9:00-10:40
4-07 contributed A08: Time-Varying Parameter Models4Christiane Baumeister
June 28, 2017
9:00-10:40
4-08 contributed A09: Employment Dynamics and Macroeconomic Adjustment3Thomas Lubik
June 28, 2017
9:00-10:40
4-09 contributed A10: Financial Frictions4Andrew Foerster
June 28, 2017
9:00-10:40
2-01A contributed A11: International Dimensions of QE4Andrea Ferrero
June 28, 2017
11:10-12:50
4-01 invited B01: Invited Session - Recent Advances in the Identification of VAR Models4Christiane Baumeister
June 28, 2017
11:10-12:50
3-01 contributed B02: Equilibrium Dynamics and Policy at the Zero Lower Bound4Marc Giannoni
June 28, 2017
11:10-12:50
3-02 contributed B03: Credit Frictions and Business Cycles4Venky Venkateswaran
June 28, 2017
11:10-12:50
3-05 contributed B04: Advances in Macroeconomics4Michel Juillard
June 28, 2017
11:10-12:50
3-09 contributed B05: Banking, Frictions and Monetary Policy4Paul McNelis
June 28, 2017
11:10-12:50
4-02 contributed B06: Experimental Macroeconomics I4Cars Hommes
June 28, 2017
11:10-12:50
4-04 contributed B07: Climate-Economy Modeling and Policy Implications4Chris Kellett
June 28, 2017
11:10-12:50
4-05 contributed B08: Agent-based Finance4Blake LeBaron
June 28, 2017
11:10-12:50
4-07 contributed B09: International Policy Spillovers4Johanna Francis
June 28, 2017
11:10-12:50
4-08 contributed B10: Empirical Structural Models4Francesco Ravazzolo
June 28, 2017
11:10-12:50
4-09 contributed B11: Some Random Macro and Econometrics Papers4Marco Del Negro
June 28, 2017
11:10-12:50
2-01A contributed B12: Heterogeneity and Fiscal Policy4Andrea Ferrero
June 28, 2017
16:00-17:40
3-01 invited C01: Invited Session - Estimation and Evaluation of Nonlinear Equilibrium Models4Edward Herbst
June 28, 2017
16:00-17:40
3-02 contributed C02: Econometrics of High-Dimensional Models4Domenico Giannone
June 28, 2017
16:00-17:40
3-05 contributed C03: Experimental Macroeconomics II3Cars Hommes
June 28, 2017
16:00-17:40
3-09 contributed C04: Fiscal Policy I4Andrew Foerster
June 28, 2017
16:00-17:40
4-01 contributed C05: Euro Area and the Challenges Ahead4Fernanda Nechio
June 28, 2017
16:00-17:40
4-02 contributed C06: Applied Monetary Policy and Measurement4Robert Tetlow
June 28, 2017
16:00-17:40
4-04 contributed C07: Computational Methods I3Michel Juillard
June 28, 2017
16:00-17:40
4-05 contributed C08: Agent-Based Models of Financial Systems and Trading Institutions4Shu-Heng Chen
June 28, 2017
16:00-17:40
4-07 contributed C09: Growth and Business Cycles4Andrea Ferrero
June 28, 2017
16:00-17:40
4-08 contributed C10: Boom-Bust Cycles, Learning, and Policy 3Kevin Lansing
June 28, 2017
16:00-17:40
4-09 contributed C11: Investment, Wages and Inequality4Paul McNelis
June 28, 2017
16:00-17:40
2-01A contributed C12: Monetary and Fiscal Policy 4Marco Gross
June 29, 2017
9:00-10:40
4-01 invited D01: Invited Session in Honor of Carl Chiarella: Market- and Macro-Dynamics4Xuezhong (Tony) He
June 29, 2017
9:00-10:40
3-01 invited D02: Invited Session - Expectations and Asymmetric Information in Macroeconomics4Thomas Lubik
June 29, 2017
9:00-10:40
3-02 invited D03: Invited Session - Mortgages in the Macroeconomy4Andrea Tambalotti
June 29, 2017
9:00-10:40
3-05 contributed D04: Agent Based Macroeconomics I4Tiziana Assenza
June 29, 2017
9:00-10:40
3-09 contributed D05: Financial Frictions and Macroeconomic Dynamics4Todd Keister
June 29, 2017
9:00-10:40
4-02 contributed D06: Monetary Policy I4Jing Cynthia Wu
June 29, 2017
9:00-10:40
4-04 contributed D07: Chinese Financial Markets3Xuezhong (Tony) He
June 29, 2017
9:00-10:40
4-05 contributed D08: Agent-Based Models of Behavioral Finance4Shu-Heng Chen
June 29, 2017
9:00-10:40
4-07 contributed D09: International Linkages3Fernanda Nechio
June 29, 2017
9:00-10:40
4-08 contributed D10: Uncertainty and Disagreement4Francesco Bianchi
June 29, 2017
9:00-10:40
4-09 contributed D11: Macroeconomics and Banking4Domenico Giannone
June 29, 2017
9:00-10:40
2-01A contributed D12: Topics in Macroeconometrics4Edward Herbst
June 29, 2017
11:10-12:50
4-01 invited E01: Invited Session in Honor of Carl Chiarella: Financial Markets4Xuezhong (Tony) He
June 29, 2017
11:10-12:50
3-01 invited E02: Invited Session - Determinants of Low Interest Rates4Marc Giannoni
June 29, 2017
11:10-12:50
3-02 contributed E03: Exchange Rate Dynamics4Fernanda Nechio
June 29, 2017
11:10-12:50
3-05 contributed E04: Firms4Andrea Tambalotti
June 29, 2017
11:10-12:50
3-09 contributed E05: Reallocation and Productivity4Johanna Francis
June 29, 2017
11:10-12:50
4-02 contributed E06: Experimental Macroeconomics III4Cars Hommes
June 29, 2017
11:10-12:50
4-04 contributed E07: Agent Based Macroeconomics II4Tiziana Assenza
June 29, 2017
11:10-12:50
4-05 contributed E08: Topics in Macroeconomic and Social Policy4Robert Tetlow
June 29, 2017
11:10-12:50
4-07 contributed E09: Financial Market Modelling4Xuezhong (Tony) He
June 29, 2017
11:10-12:50
4-08 contributed E10: Networks of Exchange and Financial Intermediation3Thomas Lux
June 29, 2017
11:10-12:50
4-09 contributed E11: Computational Methods II4Michel Juillard
June 29, 2017
11:10-12:50
2-01A contributed E12: Nowcasting and Forecasting4Domenico Giannone
June 30, 2017
9:00-10:40
3-01 invited F01: Invited Session - Term Structure of Interest Rates4Jing Cynthia Wu
June 30, 2017
9:00-10:40
4-01 invited F02: Invited Session - Uncertainty and Integrated Assessment Models for Climate-Economy4Chris Kellett
June 30, 2017
9:00-10:40
4-02 contributed F03: Nonlinear Effects of Fiscal and Monetary Policies3Christiane Baumeister
June 30, 2017
9:00-10:40
3-05 contributed F04: Fiscal Policy: Structural Issues4Paul McNelis
June 30, 2017
9:00-10:40
3-02 contributed F05: Macroeconomic Foundations of Asset Prices4Daniel Greenwald
June 30, 2017
9:00-10:40
3-09 contributed F06: New Methodologies in Forecasting4Francesco Ravazzolo
June 30, 2017
9:00-10:40
4-04 contributed F07: Market Microstructure4Xuezhong (Tony) He
June 30, 2017
9:00-10:40
4-05 contributed F08: Stochastic Models of Dispersed Economic Activity4Thomas Lux
June 30, 2017
9:00-10:40
4-07 contributed F09: Financial Integration, Growth, and Business Cycles3Thomas Lubik
June 30, 2017
9:00-10:40
4-08 contributed F10: Fiscal Policy II4Stefano Eusepi
June 30, 2017
9:00-10:40
4-09 contributed F11: Information Frictions in Dynamic Macro Models4Ryan Chahrour
June 30, 2017
9:00-10:40
2-01A contributed F12: Behavioral Macroeconomics4Cars Hommes
June 30, 2017
11:10-12:50
4-01 invited G01: Invited Session - Macro-Finance4Daniel Greenwald
June 30, 2017
11:10-12:50
3-01 invited G02: Invited Session - Monetary Policy and Asset Pricing4Francesco Bianchi
June 30, 2017
11:10-12:50
4-02 invited G03: Invited Session - Trends and Cycles in Macroeconomic Time Series4Domenico Giannone
June 30, 2017
11:10-12:50
3-02 contributed G04: Learning and Heterogeneous Agents4Cars Hommes
June 30, 2017
11:10-12:50
3-05 contributed G05: New Directions for Agent-Based Computational Economics4Shu-Heng Chen
June 30, 2017
11:10-12:50
3-09 contributed G06: Expectations in Macro Models4Bruce Preston
June 30, 2017
11:10-12:50
4-04 contributed G07: Fiscal Policies and Social Security4Michel Juillard
June 30, 2017
11:10-12:50
4-05 contributed G08: Financial Frictions and Computational Methods4Arunima Sinha
June 30, 2017
11:10-12:50
4-07 contributed G09: Financial Econometrics I4Jing Cynthia Wu
June 30, 2017
11:10-12:50
4-08 contributed G10: Housing and Macroeconomics4Andrea Ferrero
June 30, 2017
11:10-12:50
4-09 contributed G11: Monetary Policy II4Marc Giannoni
June 30, 2017
11:10-12:50
2-01A contributed G12: Structural Changes in the Macroeconomy3Francesco Bianchi
June 30, 2017
16:00-17:40
3-01 invited H01: Invited Session - Behavioral Macroeconomics4Cars Hommes
June 30, 2017
16:00-17:40
4-01 invited H02: Invited Session - Banking and Liquidity Risk4Todd Keister
June 30, 2017
16:00-17:40
3-02 contributed H03: Open Economies4Michel Juillard
June 30, 2017
16:00-17:40
3-05 contributed H04: Regime Switching, Endogenous Cycles, the Role of Credit4Marco Gross
June 30, 2017
16:00-17:40
3-09 contributed H05: Fiscal Policy and Financial Frictions4Johanna Francis
June 30, 2017
16:00-17:40
4-02 contributed H06: Learning and the Stability of Expectations4Stefano Eusepi
June 30, 2017
16:00-17:40
4-04 contributed H07: Computational Methods III4Michel Juillard
June 30, 2017
16:00-17:40
4-07 contributed H08: Agency Problems, Information, and Bank Regulation3Johanna Francis
June 30, 2017
16:00-17:40
4-08 contributed H09: Banking and Financial Intermediation4Daniel Greenwald
June 30, 2017
16:00-17:40
4-09 contributed H10: Financial Econometrics II4Jing Cynthia Wu
June 30, 2017
16:00-17:40
2-01A contributed H11: Monetary Policy III4Andrea Ferrero
 

94 sessions, 365 papers, and 0 presentations with no associated papers


 

SCE - Computing in Economics and Finance

Detailed List of Sessions

 
Session: A01: Invited Session - Macro ABMs
June 28, 2017 9:00 to 10:40
3-01
 
Session Organizer: Marco Gross, European Central Bank
Session Chair: Andrea Roventini, Scuola Superiore Sant'Anna
Session type: invited
 

Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead
   presented by: Andrea Roventini, Scuola Superiore Sant'Anna
 

Bayesian Estimation of Agent-Based Models
   presented by: Jakob Grazzini, Catholic University of Milan
 

Empirical validation of large scale agent-based macroeconomic models
   presented by: Sylvain Barde, University of Kent
 

Agent-Based Model of system-wide implications of liquidity risk
   presented by: Grzegorz Halaj, European Central Bank
 
Session: A02: Invited Session - Topics in Econometric Theory
June 28, 2017 9:00 to 10:40
4-01
 
Session Organizer: Jose Montiel Olea, Columbia University
Session Chair: Mikkel Plagborg-Moller, Harvard University
Session type: invited
 

Identification of and correction for publication bias
   presented by: Isaiah Andrews, MIT
 

Confidence Sets Based on Shrinkage Estimators
   presented by: Mikkel Plagborg-Moller, Harvard University
 

Simultaneous Confidence Bands: Theoretical Comparisons and Recommendations for Practice
   presented by: Jose Montiel Olea, Columbia University
 

Kernel Filtering
   presented by: Benjamin Connault, University of Pennsylvania
 
Session: A03: Monetary and Fiscal Policy in Behavioral Macroeconomic Models
June 28, 2017 9:00 to 10:40
3-02
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Christian Proaño, University of Bamberg
Session type: contributed
 

Optimal Monetary Policy in a Mixed-Frequency Macroeconomic Model
   presented by: Matthias Lengnick, University of Kiel
 

Credit Bubble, "Monetary Famine'', and Stock Market Crashes - A Disequilibrium Dynamical Model of Interbank Market
   presented by: Corrado Di Guilmi, University of Technology Sydney
 

A Keynesian Dynamic Stochastic Disequilibrium Model for Business Cycle Analysis.
   presented by: Christian Schoder, Vienna University of Economics and Busin
 

Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets
   presented by: Joerg Urban, Bank for International Settlements
 
Session: A04: Agent-Based Models of Macroeconomy and Financial Markets
June 28, 2017 9:00 to 10:40
3-09
 
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Yu Zhang, Southwestern University of Finance and Economics
Session type: contributed
 

Getting Bulls and Bears into a Real Economy: An Agent-Based Integration
   presented by: Yu Zhang, Southwestern University of Finance and Economics
 

Macroprudential policy in an agent-based model of the UK housing market
   presented by: Marc Hinterschweiger, Bank of England
 

Modeling Credit Market Interactions with Securitization in an Agend Based-Stock Flow Consistent Approach
   presented by: Benjamin Lojak, University of Bamberg
 

Innovation, Imitation, and Location Strategies
   presented by: Luca Colombo, Università Cattolica del Sacro Cuore
 
Session: A05: Fiscal and Monetary Policy
June 28, 2017 9:00 to 10:40
4-02
 
Session Organizer: Andrea Tambalotti, Federal Reserve Bank of New York
Session Chair: Giovanni Di Bartolomeo, Sapienza University of Rome
Session type: contributed
 

Output Hysteresis and Optimal Monetary Policy
   presented by: Sanjay Singh, Brown University
 

Non-Neutrality of Open Market Operations
   presented by: Salvatore Nistico, Sapienza Università di Roma
 

The Young, the Old, and the Government: Demographics and Fiscal Multipliers
   presented by: Omar Rachedi, Banco de España
 

Beliefs formation and the puzzle of forwardguidance power
   presented by: Giovanni Di Bartolomeo, Sapienza University of Rome
 
Session: A06: Latent Processes and Filtering Information
June 28, 2017 9:00 to 10:40
4-04
 
Session Organizer: Francesco Ravazzolo, Free University of Bozen/Bolzano
Session Chair: Peter Zadrozny, Bureau of Labor Statistics
Session type: contributed
 

Estimating Loss Given Default from CDS under Weak Identification
   presented by: Lily Y Liu, Federal Reserve Bank of Boston
 

Sovereign risk transmission to bank lending rates: A dependence filtering approach
   presented by: Marcin Wolski, European Investment Bank
 

Economic trends and cycles of schooling decisions: and unobserved components approach
   presented by: Barbara Sadaba, Bank of Canada
 

Real-Time State-Space Method for Computing Smoothed Estimates of Future Revisions of U.S. Monthly Chained CPI
   presented by: Peter Zadrozny, Bureau of Labor Statistics
 
Session: A07: Business Cycles, Macro Policies and Welfare
June 28, 2017 9:00 to 10:40
4-05
 
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: Jae Sim, Federal Reserve Board
Session type: contributed
 

The Rise and Fall of India's Investment Price : A Tale of Policy Error and Reform
   presented by: Md Mahbubur Rahman, McMaster University
 

Welfare Effects of Fiscal Procyclicality: Who Wins with a Structural Balance Fiscal Rule?
   presented by: Alvaro Aguirre, Banco Central de Chile
 

Collateral Framework as an Unconventional Monetary Policy Tool
   presented by: Yasin Mimir, Norges Bank
 

Income Inequality, Financial Crises and Monetary Policy
   presented by: Jae Sim, Federal Reserve Board
 
Session: A08: Time-Varying Parameter Models
June 28, 2017 9:00 to 10:40
4-07
 
Session Organizer: Christiane Baumeister, University of Notre Dame
Session Chair: Fernando Perez Forero, BCRP
Session type: contributed
 

A Structural Evaluation of VARs with Time-Varying Parameters and Stochastic Volatility
   presented by: Ferre De Graeve, KU Leuven
 

Measuring the Stance of Monetary Policy in a Time-Varying World
   presented by: Fernando Perez Forero, BCRP
 

Forecasting with VARs with time variation in the mean
   presented by: Andries van Vlodrop, VU Amsterdam
 

Private and public risk-sharing in the euro area
   presented by: Massimo Giuliodori, University of Amsterdam
 
Session: A09: Employment Dynamics and Macroeconomic Adjustment
June 28, 2017 9:00 to 10:40
4-08
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Sylvain Leduc, Bank of Canada
Session type: contributed
 

Long Live the Vacancy
   presented by: Michael Reiter, Institute for Advanced Studies
 

Employment Inequality: Why Do the Low-Skilled Work Less Now?
   presented by: Erin Wolcott, University of California, San Diego
 

The Slow Job Recovery in a Macro Model of Search and Recruiting Intensity
   presented by: Sylvain Leduc, Bank of Canada
 
Session: A10: Financial Frictions
June 28, 2017 9:00 to 10:40
4-09
 
Session Organizer: Andrew Foerster, Federal Reserve Bank of Kansas City
Session Chair: George Waters, Illinois State University
Session type: contributed
 

Output Gap, Monetary Policy Trade-o¤s and Financial Frictions
   presented by: Paolo Gelain, Norges Bank
 

Quantifying the Role of Financial Factors during the Great Recession
   presented by: Rodrigo Heresi, University of Maryland
 

Productivity and Welfare in an Overlapping Generations Model with Housing
   presented by: George Waters, Illinois State University
 

Financial Regulation and Shadow Banking: A Small-Scaled DSGE Perspective
   presented by: Patrick Fève, Toulouse School of Economics
 
Session: A11: International Dimensions of QE
June 28, 2017 9:00 to 10:40
2-01A
 
Session Organizer: Andrea Ferrero, University of Oxford
Session Chair: Grzegorz Wesołowski, European Central Bank
Session type: contributed
 

Quantitative Easing in a Small Open Economy: An International Portfolio Balancing Approach
   presented by: Serdar Kabaca, Bank of Canada
 

Do Term Premiums Matter? Transmission via Exchange Rate Dynamics
   presented by: Koji Takahashi, Bank of Japan
 

International spillovers of quantitative easing
   presented by: Grzegorz Wesołowski, European Central Bank
 

Securitization and Macroeconomic Stability
   presented by: Daria Finocchiaro, Sveriges Riksbank
 
Session: B01: Invited Session - Recent Advances in the Identification of VAR Models
June 28, 2017 11:10 to 12:50
4-01
 
Session Organizer: Christiane Baumeister, University of Notre Dame
Session Chair: Christiane Baumeister, University of Notre Dame
Session type: invited
 

Identification Through Heterogeneity
   presented by: Pooyan Amir-Ahmadi, University of Illinois at Urbana-Champai
 

Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations
   presented by: Christiane Baumeister, University of Notre Dame
 

Understanding the Size of the Government Spending Multiplier: It's in the Sign
   presented by: Christian Matthes, Federal Reserve Bank of Richmond
 

Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression
   presented by: Jani Luoto, University of Helsinki
 
Session: B02: Equilibrium Dynamics and Policy at the Zero Lower Bound
June 28, 2017 11:10 to 12:50
3-01
 
Session Organizer: Marc Giannoni, Federal Reserve Bank of New York
Session Chair: Vadym Lepetyuk, Bank of Canada
Session type: contributed
 

Unconventional Taxation Policy, Financial Frictions and Liquidity Traps
   presented by: Roy Zilberman, Lancaster University
 

The Dynamic Effects of Forward Guidance Shocks
   presented by: Brent Bundick, Federal Reserve Bank of Kansas City
 

Self-Fulfilling Recessions at the Zero Lower Bound
   presented by: Matthias Paustian, Federal Reserve Board
 

Should Central Banks Worry about Nonlinearities of Their Large-Scale Macroeconomic Models?
   presented by: Vadym Lepetyuk, Bank of Canada
 
Session: B03: Credit Frictions and Business Cycles
June 28, 2017 11:10 to 12:50
3-02
 
Session Organizer: Venky Venkateswaran, New York University
Session Chair: Emiliano Santoro, University of Copenhagen
Session type: contributed
 

Adjustment of Consumer Durable Goods: The Role of Prices
   presented by: Andrea Lanteri, Duke University
 

The Origins of Aggregate Fluctuations in a Credit Network Economy
   presented by: Levent Altinoglu, Federal Reserve Board of Governors
 

Financial Collateral and Macroeconomic Amplification
   presented by: Emiliano Santoro, University of Copenhagen
 

Inflation, Inventory, and Credit Market Disruptions: Micro-level Evidence and Aggregate Implications
   presented by: Ryan Kim, Columbia University
 
Session: B04: Advances in Macroeconomics
June 28, 2017 11:10 to 12:50
3-05
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Marlène Isoré, University of Helsinki & Bank of Finland
Session type: contributed
 

On Nonlinearities in Unemployment
   presented by: François Langot, GAINS-TEPP (Université du Maine) & PSE
 

Insuring entrepreneurial downside risk
   presented by: Alexandre Gaillard, Toulouse School of Economics
 

Search and monitoring in credit cycles
   presented by: Marlène Isoré, University of Helsinki & Bank of Finland
 

Demography, Technology, and the North-South Trade
   presented by: Serdar Sayan, TOBB University of Economics and Technol
 
Session: B05: Banking, Frictions and Monetary Policy
June 28, 2017 11:10 to 12:50
3-09
 
Session Organizer: Paul McNelis, Fordham University
Session Chair: Arunima Sinha, Fordham University
Session type: contributed
 

Financial Frictions in the Small Open Economy
   presented by: Jae Hun Shim, University of Bath
 

Monetary and Fiscal Policy Rules in Times of Prolonged Interconnected Crises
   presented by: Paul McNelis, Fordham University
 

Numerical Solution of a Model of Bank Behavior Under Market, Credit, and Liquidity Risk
   presented by: Samuel Slocum, Penn State
 

Fiscal-Monetary Interactions during the Gold Standard and Suspension Periods
   presented by: Arunima Sinha, Fordham University
 
Session: B06: Experimental Macroeconomics I
June 28, 2017 11:10 to 12:50
4-02
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Adrian Penalver, Banque de France
Session type: contributed
 

The Stabilizing Role of Forward Guidance: A Macro Experiment
   presented by: Joep Lustenhouwer, Otto-Friedrich-Universität Bamberg
 

Managing coordination on bubbles in experimental asset markets with monetary policy
   presented by: Myrna Hennequin, University of Amsterdam
 

Monetary Policy Rules in a Non-Rational World: A Macroeconomic Experiment
   presented by: Felix Mauersberger, Universitat Pompeu Fabra & Barcelona GSE
 

A Quantitative Easing Experiment
   presented by: Adrian Penalver, Banque de France
 
Session: B07: Climate-Economy Modeling and Policy Implications
June 28, 2017 11:10 to 12:50
4-04
 
Session Organizer: Chris Kellett, University of Newcastle
Session Chair: Ricardo Marto, International Monetary Fund (IMF)
Session type: contributed
 

Scenarios for Decarbonizing the European Electricity Sector without Nuclear Power
   presented by: Clemens Gerbaulet, DIW Berlin
 

Improving intergenerational fairness in the DICE model
   presented by: Willi Semmler, New School NY, University of Bielefeld
 

A Simulation Study of Global Warming and Optimal Climate Policies in a Multi-Country Model
   presented by: Elmar Hillebrand, EEFA Institute
 

Emissions and Growth: Trends and Cycles in an Integrated World
   presented by: Ricardo Marto, International Monetary Fund (IMF)
 
Session: B08: Agent-based Finance
June 28, 2017 11:10 to 12:50
4-05
 
Session Organizer: Blake LeBaron, Brandeis University
Session Chair: Atanas Christev, Heriot-Watt University
Session type: contributed
 

Institutional herding and fat-tailed returns
   presented by: Ryuichi Yamamoto, Waseda University
 

On the bimodality of the distribution of the S&P 500’s distortion: empirical evidence and theoretical explanations
   presented by: Frank Westerhoff, University of Bamberg
 

Evaluating Regulation within an Artificial Financial System - A Framework and its Application to the Liquidity Coverage Ratio Regulation
   presented by: Jesper Riedler, ZEW Mannheim
 

Q--learning in a Cobweb Model
   presented by: Atanas Christev, Heriot-Watt University
 
Session: B09: International Policy Spillovers
June 28, 2017 11:10 to 12:50
4-07
 
Session Organizer: Johanna Francis, Fordham University
Session Chair: Margarita Rubio, University of Nottingham
Session type: contributed
 

Crisis, contagion and international policy spillovers under foreign ownership of banks
   presented by: Krzysztof Makarski, Narodowy Bank Polski
 

Cross-Country Spillovers from Macroprudential Regulation: Reciprocity and Leakage
   presented by: Margarita Rubio, University of Nottingham
 

The Inherent Benefit of Monetary Unions
   presented by: Dominik Groll, Kiel Institute for the World Economy
 

Demography, Capital Flows and International Portfolio Choice over the Life-cycle
   presented by: Margaret Davenport, University of St. Gallen
 
Session: B10: Empirical Structural Models
June 28, 2017 11:10 to 12:50
4-08
 
Session Organizer: Francesco Ravazzolo, Free University of Bozen/Bolzano
Session Chair: Francesco Furlanetto, Norges Bank
Session type: contributed
 

News, asset prices and capital flows: Evidence from a small open economy
   presented by: Galen Sher, International Monetary Fund
 

Liquidity provision, financial vulnerability, and internal adjustment to a sudden stop
   presented by: Esteban Prieto, Deutsche Bundesbank
 

Assessing Monetary Policy Models: Bayesian Inference for Heteroskedastic Structural VARs
   presented by: Tomasz Wozniak, University of Melbourne
 

Immigration and the Macroeconomy: some new empirical evidence
   presented by: Francesco Furlanetto, Norges Bank
 
Session: B11: Some Random Macro and Econometrics Papers
June 28, 2017 11:10 to 12:50
4-09
 
Session Organizer: Marco Del Negro, Federal Reserve Bank of New York
Session Chair: Marco Del Negro, Federal Reserve Bank of New York
Session type: contributed
 

Economic agents as imperfect problem solvers
   presented by: Cosmin Ilut, Duke University
 

Working Out Your Model's Kinks
   presented by: Thomas Mertens, Federal Reserve Bank of San Francisco
 

The Linear Systems Approach to Linear Rational Expectations Models
   presented by: Majid Al Sadoon, Universitat Pompeu Fabra
 

Bayesian Inference for Probabilistic Surveys
   presented by: Marco Del Negro, Federal Reserve Bank of New York
 
Session: B12: Heterogeneity and Fiscal Policy
June 28, 2017 11:10 to 12:50
2-01A
 
Session Organizer: Andrea Ferrero, University of Oxford
Session Chair: James Costain, Bank of Spain
Session type: contributed
 

Heterogeneous Hosuehold Finances and the Effect of Fiscal Policy
   presented by: Cristina Fuentes-Albero, Federal Reserve Board
 

Fiscal Consolidation and Inequality
   presented by: Miguel Ferreira, Nova SBE
 

Fiscal delegation in a monetary union: Instrument assignment and stabilization properties
   presented by: James Costain, Bank of Spain
 

Government debt management: the Long and the Short of it
   presented by: Elisa Faraglia, Cambridge University
 
Session: C01: Invited Session - Estimation and Evaluation of Nonlinear Equilibrium Models
June 28, 2017 16:00 to 17:40
3-01
 
Session Organizer: Edward Herbst, Federal Reserve Board
Session Chair: Edward Herbst, Federal Reserve Board
Session type: invited
 

Monetary Policy and Macroeconomic Stability Revisited
   presented by: Yasuo Hirose, Keio University
 

The Natural Rate of Interest in a Nonlinear DSGE Model
   presented by: Takeki Sunakawa, Kobe University
 

A New Way to Quantify The Effect of Uncertainty
   presented by: Nathaniel Throckmorton, College of William & Mary
 

Forward Guidance with Bayesian Learning and Estimation
   presented by: Edward Herbst, Federal Reserve Board
 
Session: C02: Econometrics of High-Dimensional Models
June 28, 2017 16:00 to 17:40
3-02
 
Session Organizer: Domenico Giannone, Federal Reserve Bank of New York
Session Chair: Davide Pettenuzzo, Brandeis Univeristy
Session type: contributed
 

Testing for common factors in large factor models
   presented by: Yinchu Zhu, UCSD
 

Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions
   presented by: Davide Pettenuzzo, Brandeis Univeristy
 

Macroeconomic forecast accuracy in a data-rich environment
   presented by: Maxime Leroux, Finances Canada
 

Common Factors of Commodity Prices
   presented by: Simona Delle Chiaie, European Central Bank
 
Session: C03: Experimental Macroeconomics II
June 28, 2017 16:00 to 17:40
3-05
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Mikhail Anufriev, University of Technology Sydney
Session type: contributed
 

When Speculators Meet Constructors: Positive versus Negative Feedback in Experimental Housing Markets
   presented by: Te Bao, Nanyang Technological University
 

Are sunspots effective in a big crowd? - Evidence from a large-scale bank run experiment
   presented by: Anita Kopányi-Peuker, University of Amsterdam
 

Instability in a binary choice experiment with endogenous payoffs
   presented by: Mikhail Anufriev, University of Technology Sydney
 
Session: C04: Fiscal Policy I
June 28, 2017 16:00 to 17:40
3-09
 
Session Organizer: Andrew Foerster, Federal Reserve Bank of Kansas City
Session Chair: Sergio Santoro, Bank of Italy
Session type: contributed
 

Debt, Sovereign Risk and Government Spending
   presented by: Aurélien Eyquem, Université Lumière Lyon 2
 

Fiscal Regimes and Fiscal Limits
   presented by: Josef Hollmayr, Deutsche Bundesbank
 

Fiscal Moral Hazard in a Monetary Union
   presented by: Sergio Santoro, Bank of Italy
 

Monetary commitment and the level of public debt
   presented by: Stefano Gnocchi, Bank of Canada
 
Session: C05: Euro Area and the Challenges Ahead
June 28, 2017 16:00 to 17:40
4-01
 
Session Organizer: Fernanda Nechio, Federal Reserve Bank of San Francisco
Session Chair: Vasco Curdia, Federal Reserve Bank of San Francisco
Session type: contributed
 

Imperfect Mobility of Labor across Sectors and Fiscal Transmission
   presented by: Olivier Cardi, Université de Tours, LEO
 

External Imbalances, Gross Capital Flows and Sovereign Debt Crises
   presented by: Sergio de Ferra, Stockholm University
 

Macroeconomic effects of demographic change in an OLG model for a small open economy - The case of Belgium -
   presented by: Willem Devriendt, Ghent University
 

Factor Mobility in the Euro Area
   presented by: Vasco Curdia, Federal Reserve Bank of San Francisco
 
Session: C06: Applied Monetary Policy and Measurement
June 28, 2017 16:00 to 17:40
4-02
 
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: Dean Croushore, University of Richmond
Session type: contributed
 

Measuring the Effect of the Zero Lower Bound on Monetary Policy
   presented by: Fernanda Nechio, Federal Reserve Bank of San Francisco
 

Where is Neutral? Assessing the Impact of Growth on the Natural Rate of Interest.
   presented by: Thomas Carter, Bank of Canada
 

Fiscal Surprises at the FOMC
   presented by: Dean Croushore, University of Richmond
 

Monetary Policy and the Term Structure of Interest Rates
   presented by: Martin Kliem, Deutsche Bundesbank
 
Session: C07: Computational Methods I
June 28, 2017 16:00 to 17:40
4-04
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Gary Anderson, Board of Governors, Federal Reserve
Session type: contributed
 

A Parallel Implementation of Smolyak Method in CUDA
   presented by: Iskander Karibzhanov, Bank of Canada
 

Using Support Vector Machine Function Approximation to Mitigate the Curse of Dimensionality in Models with Occasionally Binding Constraints
   presented by: Gary Anderson, Board of Governors, Federal Reserve
 

The Dolo Modeling Framework
   presented by: Spencer Lyon, New York University
 
Session: C08: Agent-Based Models of Financial Systems and Trading Institutions
June 28, 2017 16:00 to 17:40
4-05
 
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Jasmina Arifovic, Simon Fraser University
Session type: contributed
 

Effective Trading Hours Extension
   presented by: Kotaro Miwa, Tokio Marine Asset Management
 

Simulating fire-sales in a banking and shadow banking system
   presented by: Grzegorz Halaj, European Central Bank
 

An Agent Based Model for the Assessment of the Application of LTV Caps
   presented by: Francisco Javier Población García, European Central Bank
 

Adoption of a New Payment Method: Theory and Experimental Evidence
   presented by: Jasmina Arifovic, Simon Fraser University
 
Session: C09: Growth and Business Cycles
June 28, 2017 16:00 to 17:40
4-07
 
Session Organizer: Andrea Ferrero, University of Oxford
Session Chair: Huiyu Li, Federal Reserve Bank of San Francisco
Session type: contributed
 

Creative Destruction and Uncertainty
   presented by: Petr Sedlacek, Bonn University
 

Structural Reforms, Innovation and Economic Growth
   presented by: Naoko Hara, Bank of Japan
 

Goods Market Frictions and the Labor Wedge
   presented by: Jan Duras, Texas Tech University
 

Missing Growth from Creative Destruction
   presented by: Huiyu Li, Federal Reserve Bank of San Francisco
 
Session: C10: Boom-Bust Cycles, Learning, and Policy
June 28, 2017 16:00 to 17:40
4-08
 
Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco
Session Chair: Stefano Eusepi, Federal Reserve Bank of New York
Session type: contributed
 

Monetary Policy and Speculative Stock Markets
   presented by: Gregor Boehl, Goethe University Frankfurt
 

Heterogeneity in house price dynamics
   presented by: Federica Teppa, De Nederlandsche Bank
 

Anchored Inflation Expectations
   presented by: Stefano Eusepi, Federal Reserve Bank of New York
 
Session: C11: Investment, Wages and Inequality
June 28, 2017 16:00 to 17:40
4-09
 
Session Organizer: Paul McNelis, Fordham University
Session Chair: Serguei Maliar, Santa Clara University
Session type: contributed
 

Inflationary Redistribution vs. Trading Opportunities
   presented by: Timothy Kam, The Australian National University
 

Wage inflation targeting in a dual-instrument policy framework
   presented by: Jingting Liu, Nanyang Technological University
 

Chinese Outbound Direct Investment and Macroprudential Policies in Global Cities
   presented by: Taojun Xie, Singapore Management University
 

Capital-Skill Complementarity and Inequality: Twenty Years After
   presented by: Serguei Maliar, Santa Clara University
 
Session: C12: Monetary and Fiscal Policy
June 28, 2017 16:00 to 17:40
2-01A
 
Session Organizer: Marco Gross, European Central Bank
Session Chair: Sebastian Schmidt, European Central Bank
Session type: contributed
 

The Fiscal-Monetary Policy Mix in the euro area: Challenges at the zero lower bound
   presented by: Athanasios Orphanides, MIT
 

Inflation Targeting as a Shock Absorber
   presented by: Malte Rieth, DIW Berlin
 

Optimal Monetary Policy in A New Keynesian Model with Bond and Credit Market Frictions
   presented by: Xiaoshan Chen, Durham University
 

Conservatism and Liquidity Traps
   presented by: Sebastian Schmidt, European Central Bank
 
Session: D01: Invited Session in Honor of Carl Chiarella: Market- and Macro-Dynamics
June 29, 2017 9:00 to 10:40
4-01
 
Session Organizer: Xuezhong (Tony) He, University of Technology Sydney
Session Chair: Roberto Dieci, University of Bologna
Session type: invited
 

Financial Stress, Regime Switching and Spill-over Effects: Evidence from a Multi-Regime Global VAR Model
   presented by: Pu Chen, Melbourne Institute of Technology
 

Growth and Unemployment: Short-run and Long-run Tradeoffs
   presented by: Stephen Turnovsky, University of Washington
 

Interactions between stock, bond and housing markets
   presented by: Roberto Dieci, University of Bologna
 

Macroeconomic and Stock Market Interactions under Endogenous Aggregate Sentiment Dynamics
   presented by: Christian Proaño, University of Bamberg
 
Session: D02: Invited Session - Expectations and Asymmetric Information in Macroeconomics
June 29, 2017 9:00 to 10:40
3-01
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Thomas Lubik, Federal Reserve Bank of Richmond
Session type: invited
 

Confounding Dynamics
   presented by: Giacomo Rondina, University of Colorado, Boulder
 

Learning by Sharing
   presented by: Alexandre Kohlhas, Institute for International Economic Studies, Stockholm University
 

Long Run Growth of Financial Technology
   presented by: Laura Veldkamp, New York University
 

Indeterminacy and Imperfect Information
   presented by: Thomas Lubik, Federal Reserve Bank of Richmond
 
Session: D03: Invited Session - Mortgages in the Macroeconomy
June 29, 2017 9:00 to 10:40
3-02
 
Session Organizer: Andrea Tambalotti, Federal Reserve Bank of New York
Session Chair: Andrea Tambalotti, Federal Reserve Bank of New York
Session type: invited
 

The Time-Varying Price of Financial Intermediation in the Mortgage Market
   presented by: Andreas Fuster, Federal Reserve Bank of New York
 

Credit Regimes and the Seeds of Crisis
   presented by: Nelson Lind, Emory University
 

Regulating Household Leverage
   presented by: John Mondragon, Northwestern University
 

The Mortgage Rate Conundrum
   presented by: Andrea Tambalotti, Federal Reserve Bank of New York
 
Session: D04: Agent Based Macroeconomics I
June 29, 2017 9:00 to 10:40
3-05
 
Session Organizer: Tiziana Assenza, Università Cattolica del Sacro Cuore
Session Chair: Sander van der Hoog, Bielefeld University
Session type: contributed
 

An agent based approach to model credit and the real economy
   presented by: Saqib Jafarey, City University
 

Tinbergen Revisited: Monetary and Macro-prudential Policy Interactions in a Macroeconomic agent-based model with interbank market
   presented by: Mauro Napoletano, OFCE-Sciences Po
 

The Financial Transmission of Shocks in a Simple Hybrid Macroeconomic Agent Based Model
   presented by: Tiziana Assenza, Università Cattolica del Sacro Cuore
 

Macroprudential Analysis using an Agent-Based Macroeconomic Model of the Euro Area
   presented by: Sander van der Hoog, Bielefeld University
 
Session: D05: Financial Frictions and Macroeconomic Dynamics
June 29, 2017 9:00 to 10:40
3-09
 
Session Organizer: Todd Keister, Rutgers University
Session Chair: Keiichiro Kobayashi, Keio University
Session type: contributed
 

"No Pain, No Gain. Multinational Banks in the Business Cycle"
   presented by: Maria Olivero, Drexel University
 

Asset Bubbles and Macro-Prudential Policy
   presented by: Tomohiro Hirano, The University of Tokyo
 

Debt-Ridden Borrowers and Economic Slowdown
   presented by: Keiichiro Kobayashi, Keio University
 

Credit and Saving Constraints in General Equilibrium: Evidence from Survey Data
   presented by: Franz Hamann, Banco de la Republica
 
Session: D06: Monetary Policy I
June 29, 2017 9:00 to 10:40
4-02
 
Session Organizer: Jing Cynthia Wu, University of Chicago
Session Chair: Ji Zhang, Tsinghua University
Session type: contributed
 

A shadow rate New Keynesian model
   presented by: Ji Zhang, Tsinghua University
 

The Effectiveness of “Forward Guidance” during the Great Recession
   presented by: Tao Wu, International Monetary Fund
 

Federal Reserve Private Information and the Stock Market
   presented by: Aeimit Lakdawala, Michigan State University
 

Monetary policy and long-term interest rates
   presented by: Oreste Tristani, ECB
 
Session: D07: Chinese Financial Markets
June 29, 2017 9:00 to 10:40
4-04
 
Session Organizer: Xuezhong (Tony) He, University of Technology Sydney
Session Chair: Dehua Shen, Tianjin University
Session type: contributed
 

Is there a real estate bubble in China? Evidence from LPPL model
   presented by: Tianhao Zhi, Sun Yat-Sen University
 

Chinese bond risk premia
   presented by: Bin Guo, Nankai University
 

An Empirical Analysis of the Information-Volatility Relationship with Internet Information
   presented by: Dehua Shen, Tianjin University
 
Session: D08: Agent-Based Models of Behavioral Finance
June 29, 2017 9:00 to 10:40
4-05
 
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Blake LeBaron, Brandeis University
Session type: contributed
 

Rational Learning and Trading Behavior in Limited Order Market
   presented by: Shen Lin, Tianjin University
 

Unwillingness to cut losses in an agent-based asset pricing model
   presented by: Radu Pruna, University of Southampton
 

Weather Shocks and Business Cycles
   presented by: Gauthier Vermandel, University Paris-Dauphine
 

The Optimality of Short Term Rules of Thumb at Long Horizons for an Agent-based Financial Market
   presented by: Blake LeBaron, Brandeis University
 
Session: D09: International Linkages
June 29, 2017 9:00 to 10:40
4-07
 
Session Organizer: Fernanda Nechio, Federal Reserve Bank of San Francisco
Session Chair: Thuy Lan Nguyen, Santa Clara University
Session type: contributed
 

Transmission of Household and Business Credit Shocks in Emerging Markets: The Role of Real Estate
   presented by: Inci Gumus, Sabanci University
 

What Determines the Neutral Rate of Interest in an Emerging Economy?
   presented by: Rocío Elizondo, Banco de México
 

Trade Intensity and Business Cycle Comovements: Bridging the gap between data and model
   presented by: Thuy Lan Nguyen, Santa Clara University
 
Session: D10: Uncertainty and Disagreement
June 29, 2017 9:00 to 10:40
4-08
 
Session Organizer: Francesco Bianchi, Duke University
Session Chair: Junior Maih, Norges Bank
Session type: contributed
 

Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation
   presented by: Giovanni Pellegrino, University of Melbourne
 

Forecast Uncertainty in the Neighborhood of the Effective Lower Bound: How Much Asymmetry Should We Expect?
   presented by: Junior Maih, Norges Bank
 

Disagreement matters: New evidence on the state-dependent effects of monetary policy
   presented by: Elisabeth Falck, Goethe University Frankfurt
 

Credit Guarantees as Optimal Policy under Uncertainty
   presented by: Givi Melkadze, Georgetown University
 
Session: D11: Macroeconomics and Banking
June 29, 2017 9:00 to 10:40
4-09
 
Session Organizer: Domenico Giannone, Federal Reserve Bank of New York
Session Chair: Luca Guerrieri, Federal Reserve Board
Session type: contributed
 

Forecasting Bank Performance: A Stress Test Application
   presented by: Luca Guerrieri, Federal Reserve Board
 

Payment Delays and Contagion
   presented by: Dilyara Salakhova, Banque de France
 

Bank-Specific Shocks and House Price Growth in the U.S.
   presented by: Thomas Krause, Halle Institute for Economic Research
 

Bank Exposures and Sovereign Stress Transmission
   presented by: Carlo Altavilla, European Central Bank
 
Session: D12: Topics in Macroeconometrics
June 29, 2017 9:00 to 10:40
2-01A
 
Session Organizer: Edward Herbst, Federal Reserve Board
Session Chair: Dror Kenett, Office of Financial Research
Session type: contributed
 

How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics
   presented by: Dror Kenett, Office of Financial Research
 

Rewriting Dynare in Julia
   presented by: Michel Juillard, Banque de France
 

Assessing Interest Rate Rule Nonlinearities
   presented by: Anna Almosova, Humboldt University of Berlin
 

Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters
   presented by: Sanha Noh, University of Missouri
 
Session: E01: Invited Session in Honor of Carl Chiarella: Financial Markets
June 29, 2017 11:10 to 12:50
4-01
 
Session Organizer: Xuezhong (Tony) He, University of Technology Sydney
Session Chair: Cars Hommes, University of Amsterdam
Session type: invited
 

SOCIAL INTERACTION, STOCHASTIC VOLATILITY, AND MOMENTUM
   presented by: Xuezhong (Tony) He, University of Technology Sydney
 

Cognitive capacity and earnings performance: Evidence from double auction market experiments
   presented by: Chung-Ching Tai, Tunghai University
 

Dynamic Limit Order Dispersion and Volatility Persistence in a Simple Limit Order Book Model
   presented by: Blake LeBaron, Brandeis University
 

Carl's Cobweb
   presented by: Cars Hommes, University of Amsterdam
 
Session: E02: Invited Session - Determinants of Low Interest Rates
June 29, 2017 11:10 to 12:50
3-01
 
Session Organizer: Marc Giannoni, Federal Reserve Bank of New York
Session Chair: Emmanuel Farhi, Harvard University
Session type: invited
 

Safety, Liquidity, and the Natural Rate of Interest
   presented by: Marco Del Negro, Federal Reserve Bank of New York
 

The Term Structure of Expectations and Bond Yields
   presented by: Richard Crump, Federal Reserve Bank of New York
 

A Model of Secular Stagnation: Theory and Quantitative Evaluation
   presented by: Neil Mehrotra, Brown University
 

The Safety Trap
   presented by: Emmanuel Farhi, Harvard University
 
Session: E03: Exchange Rate Dynamics
June 29, 2017 11:10 to 12:50
3-02
 
Session Organizer: Fernanda Nechio, Federal Reserve Bank of San Francisco
Session Chair: Matteo Iacoviello, Federal Reserve Board
Session type: contributed
 

Trend Inflation and Exchange Rate Dynamics: A New Keynesian Approach
   presented by: Takashi Kano, Hitotsubashi University
 

Global Value Chain Participation and Exchange Rate Pass-through
   presented by: Makram Khalil, Deutsche Bundesbank
 

Growth, Housing and Global Imbalances
   presented by: Luisa Lambertini, EPFL
 

Measuring Geopolitical Risk
   presented by: Matteo Iacoviello, Federal Reserve Board
 
Session: E04: Firms
June 29, 2017 11:10 to 12:50
3-05
 
Session Organizer: Andrea Tambalotti, Federal Reserve Bank of New York
Session Chair: Pablo Cuba-Borda, Federal Reserve Board
Session type: contributed
 

Firms entry, oligopolistic competition and labor market dynamics
   presented by: Andrea Colciago, Dutch Central Bank and University of Milano Bicocca
 

Firm Demographics and the Great Recession
   presented by: Peifan Wu, Stern School of Business
 

Offshore production and real exchange rate dynamics with heterogeneous firms
   presented by: Andrei Zlate, Federal Reserve Bank of Boston
 

Price Promotions and Nominal Rigidities
   presented by: Pablo Cuba-Borda, Federal Reserve Board
 
Session: E05: Reallocation and Productivity
June 29, 2017 11:10 to 12:50
3-09
 
Session Organizer: Johanna Francis, Fordham University
Session Chair: Fabrizio Zampolli, Bank for International Settlements
Session type: contributed
 

Reallocation of Credit Across Banks and Firms: A SVAR Analysis
   presented by: Riccardo DiCecio, Federal Reserve Bank of St. Louis
 

Labour reallocation and productivity dynamics: financial causes, real consequences
   presented by: Fabrizio Zampolli, Bank for International Settlements
 

Unemployment and Gross Credit Flows in a New Keynesian Framework
   presented by: David Florian Hoyle, Central Bank of Peru
 

The Changing Nature of Sectoral Comovement
   presented by: Christian vom Lehn, Brigham Young University
 
Session: E06: Experimental Macroeconomics III
June 29, 2017 11:10 to 12:50
4-02
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Jan Tuinstra, University of Amsterdam
Session type: contributed
 

Does uncertainty traps occur?
   presented by: Olga Rud, Bates College
 

Market volatility and crashes in experimental financial markets with interactions between human and high-frequency traders
   presented by: Sandrine Jacob Leal, ICN Business School
 

Deflating Asset Price Bubbles with Leverage and Monetary Policy
   presented by: Luba Petersen, Simon Fraser University
 

Prices vs. Returns in Learning-to-Forecast Experiments
   presented by: Jan Tuinstra, University of Amsterdam
 
Session: E07: Agent Based Macroeconomics II
June 29, 2017 11:10 to 12:50
4-04
 
Session Organizer: Tiziana Assenza, Università Cattolica del Sacro Cuore
Session Chair: Christophre Georges, Hamilton College
Session type: contributed
 

Endogenous growth and global divergence in a multi-country agent-based model
   presented by: Emanuele Russo, Pavia Institute for Advanced Studies
 

Cognitive biases, perceived wealth and household debt accumulation
   presented by: Alberto Cardaci, Università Cattolica del Sacro Cuore
 

The Entreprenurial State and Mission-Oriented Policies: an agent-based model
   presented by: Francesco Lamperti, Scuola Superiore Sant'Anna
 

Product Innovation, Economic Dynamism, and Consumption Inequality
   presented by: Christophre Georges, Hamilton College
 
Session: E08: Topics in Macroeconomic and Social Policy
June 29, 2017 11:10 to 12:50
4-05
 
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: David Fuller, University of Wisconsin-Oshkosh
Session type: contributed
 

Social Health Insurance: A Quantitative Exploration
   presented by: Juergen Jung, Towson University
 

On the Optimal Progressivity of Higher Education Subsidies: the Role of Endogenous Fertility
   presented by: Vera Tolstova, CERGE-EI
 

Large Firm Dynamics and Secular Stagnation: Evidence from Japan and the U.S.
   presented by: Yoshihiko Hogen, Bank of Japan
 

Eligibility, Experience Rating, and Unemployment Insurance Take-up
   presented by: David Fuller, University of Wisconsin-Oshkosh
 
Session: E09: Financial Market Modelling
June 29, 2017 11:10 to 12:50
4-07
 
Session Organizer: Xuezhong (Tony) He, University of Technology Sydney
Session Chair: Takashi Shibata, Tokyo Metropolitan University
Session type: contributed
 

Informative Social Interactions
   presented by: Chryssi Giannitsarou, University of Cambridge
 

Market entry waves and volatility outbursts in stock markets
   presented by: Noemi Schmitt, University of Bamberg
 

Investment timing, collateral, and financing constraints
   presented by: Takashi Shibata, Tokyo Metropolitan University
 

Regulation for leverage induced systemic risk in an agent based model.
   presented by: Giorgos Galanis, University of Warwick
 
Session: E10: Networks of Exchange and Financial Intermediation
June 29, 2017 11:10 to 12:50
4-08
 
Session Organizer: Thomas Lux, University of Kiel
Session Chair: Mauro Napoletano, OFCE-Sciences Po
Session type: contributed
 

Collateral Unchained: Rehypotecation networks, complexity and systemic effects
   presented by: Mauro Napoletano, OFCE-Sciences Po
 

Bitcoins: A fate of centralisation for decentralised money supply
   presented by: Claudio Tessone, Universität Zürich
 

Herding, minority game, market clearing and efficient markets in a simple spin model framework
   presented by: Ladislav Kristoufek, Czech Academy of Sciences
 
Session: E11: Computational Methods II
June 29, 2017 11:10 to 12:50
4-09
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Magali Marx, Banque de France
Session type: contributed
 

Risk Matters: Breaking Certainty Equivalence
   presented by: Hamza Polattimur, Universität Hamburg
 

Back in Time. Fast. Improved Time Iterations.
   presented by: Pablo Winant, Bank of England
 

A Simple Direct Estimate of Rule-of-Thumb Consumption using the Method of Simulated Quantiles and Cross Validation
   presented by: Nathan Palmer, Office of Financial Research
 

Identification of structural VARs with zero and sign restrictions : a new algorithm
   presented by: Magali Marx, Banque de France
 
Session: E12: Nowcasting and Forecasting
June 29, 2017 11:10 to 12:50
2-01A
 
Session Organizer: Domenico Giannone, Federal Reserve Bank of New York
Session Chair: Scott Brave, Federal Reserve Bank of Chicago
Session type: contributed
 

Forecasting Economic Activity with Mixed Frequency Bayesian VARS
   presented by: Scott Brave, Federal Reserve Bank of Chicago
 

Macroeconomic news and market’s reaction: a model-based approach
   presented by: Alberto Caruso, Universitè Libre de Bruxelles
 

Macroeconomic Forecasting in Times of Crisis
   presented by: Molin Zhong, Federal Reserve Board of Governors
 

Predicting the Relative Forecasting Performance of the Models: Conditional Predictive Ability Approach
   presented by: Eleonora Granziera, Bank of Finland
 
Session: F01: Invited Session - Term Structure of Interest Rates
June 30, 2017 9:00 to 10:40
3-01
 
Session Organizer: Jing Cynthia Wu, University of Chicago
Session Chair: Fan Dora Xia, Bank for International Settlements
Session type: invited
 

Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound
   presented by: Guillaume Roussellet, NYU Stern School of Business
 

Time-Varying Lower Bound of Interest Rates in Europe
   presented by: Fan Dora Xia, Bank for International Settlements
 

Term Structure Models with Negative Interest Rates
   presented by: Yoichi Ueno, Bank of Japan
 

European spreads at the interest rate lower bound
   presented by: Laura Coroneo, University of York
 
Session: F02: Invited Session - Uncertainty and Integrated Assessment Models for Climate-Economy
June 30, 2017 9:00 to 10:40
4-01
 
Session Organizer: Chris Kellett, University of Newcastle
Session Chair: Chris Kellett, University of Newcastle
Session type: invited
 

Planning for Reality: Models versus the Real World in Climate Economics
   presented by: Chris Kellett, University of Newcastle
 

Feedback Control of a Global Model of Climate Change with Adaptation and Mitigation
   presented by: Manoj Atolia, Florida State University
 

Towards Climate-Economy Assessment with Stochastic Discount Rates -- A Case Study Using DICE
   presented by: Timm Faulwasser, Karlsruhe Institute of Technology
 

A stylized climate-economy model with carbon tax and uncertain climate sensitivity
   presented by: Elena Rovenskaya, IIASA
 
Session: F03: Nonlinear Effects of Fiscal and Monetary Policies
June 30, 2017 9:00 to 10:40
4-02
 
Session Organizer: Christiane Baumeister, University of Notre Dame
Session Chair: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
Session type: contributed
 

How well do fiscal stimulus and austerity measures work across the business cycle
   presented by: Irina Panovska, Lehigh University
 

Sign restrictions in Smooth Transition VAR models
   presented by: Michele Piffer, DIW Berlin
 

Foreign Demand of U.S. Treasury Securities and the Zero-Lower Bound on Monetary Policy
   presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
 
Session: F04: Fiscal Policy: Structural Issues
June 30, 2017 9:00 to 10:40
3-05
 
Session Organizer: Paul McNelis, Fordham University
Session Chair: Jacek Suda, Narodowy Bank Polski
Session type: contributed
 

Fiscal Buffers, Private Debt, and Stagnation: The Good, the Bad and the Ugly
   presented by: Stefania Villa, University of Foggia and KU Leuven
 

Aggregate Frisch Elasticity and the U.S. Sequestration Budget Cuts
   presented by: Carlos Zarazaga, Federal Reserve Bank of Dallas
 

Population Aging, Social Security and Fiscal Limits
   presented by: Vito Polito, University of Bath
 

Debt Overhang and Productivity Growth
   presented by: Jacek Suda, Narodowy Bank Polski
 
Session: F05: Macroeconomic Foundations of Asset Prices
June 30, 2017 9:00 to 10:40
3-02
 
Session Organizer: Daniel Greenwald, MIT
Session Chair: Daniel Greenwald, MIT
Session type: contributed
 

Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation
   presented by: Lorant Kaszab, Central Bank of Hungary
 

The Equilibrium Term Structure of Equity and Interest Rates
   presented by: Taeyoung Doh, Economic Research Dept.
 

Asset Pricing with Recursive Preferences and Stochastic Volatility: A Bayesian DSGE Analysis
   presented by: David Rapach, Saint Louis University
 

The Mortgage Credit Channel of Macroeconomic Transmission
   presented by: Daniel Greenwald, MIT
 
Session: F06: New Methodologies in Forecasting
June 30, 2017 9:00 to 10:40
3-09
 
Session Organizer: Francesco Ravazzolo, Free University of Bozen/Bolzano
Session Chair: Leif Thorsrud, Norges Bank
Session type: contributed
 

Exact Inference in Predictive Quantile Regressions
   presented by: Sermin Gungor, Bank of Canada
 

Forecasting GDP growth from the outer space
   presented by: Jaqueson Galimberti, ETH Zurich
 

Nowcasting using news topics. Big Data versus big bank
   presented by: Leif Thorsrud, Norges Bank
 

Forecasting of energy futures: a dynamic programming approach
   presented by: German Creamer, Stevens Institute of Technology
 
Session: F07: Market Microstructure
June 30, 2017 9:00 to 10:40
4-04
 
Session Organizer: Xuezhong (Tony) He, University of Technology Sydney
Session Chair: David Goldbaum, University of Technology Sydney
Session type: contributed
 

Ambiguous Market Making
   presented by: Nihad Aliyev, University of Technology Sydney
 

Real Time Trading and the Lower Bound on Sophistication
   presented by: Daniel Ladley, University of Leicester
 

Co-movement in multi order books
   presented by: Lijian Wei, Sun Yat-sen University
 

Information sharing networks in financial markets
   presented by: David Goldbaum, University of Technology Sydney
 
Session: F08: Stochastic Models of Dispersed Economic Activity
June 30, 2017 9:00 to 10:40
4-05
 
Session Organizer: Thomas Lux, University of Kiel
Session Chair: Matthias Raddant, Kiel Institute for the World Economy
Session type: contributed
 

Modelling Inequality and Mobility with Stochastic Processes
   presented by: Thomas Fischer, Lund University
 

A statistical equilibrium approach to forecasting corporate profitability
   presented by: Philipp Mundt, University of Bamberg
 

Crisis? What Crisis!? Corporate Profit and Growth Dynamics in Historical Perspective
   presented by: Christian Babirat, University of Bamberg
 

HERDING, HOMOPHILY AND THE EFFECT OF ECHO CHAMBERS ON OPINION FORMATION
   presented by: Matthias Raddant, Kiel Institute for the World Economy
 
Session: F09: Financial Integration, Growth, and Business Cycles
June 30, 2017 9:00 to 10:40
4-07
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Alan Finkelstein Shapiro, Tufts University
Session type: contributed
 

The Negative Growth-Volatility Relationship and the Gains from Financial Integration
   presented by: Jun Nie, Federal Reserve Bank of Kansas City
 

Financial Development, Employment Heterogeneity, and Sectoral Dynamics
   presented by: Brendan Epstein, University of Massachusetts, Lowell
 

Global Financial Risk, Domestic Financial Access, and Unemployment Dynamics
   presented by: Alan Finkelstein Shapiro, Tufts University
 
Session: F10: Fiscal Policy II
June 30, 2017 9:00 to 10:40
4-08
 
Session Organizer: Stefano Eusepi, Federal Reserve Bank of New York
Session Chair: Shuhei Takahashi, Kyoto University
Session type: contributed
 

Financing of Government Spending in an Incomplete-Markets Model: The Role of Public Debt
   presented by: Alexander Wulff, University of Potsdam
 

The Impact of Taxes and Transfers on Skill Premium
   presented by: Shuhei Takahashi, Kyoto University
 

Taxes and Illegal Immigration
   presented by: James Feigenbaum, Utah State University
 

Fiscal targets. A guide to forecasters?
   presented by: Joan Paredes, European Central Bank
 
Session: F11: Information Frictions in Dynamic Macro Models
June 30, 2017 9:00 to 10:40
4-09
 
Session Organizer: Ryan Chahrour, Boston College
Session Chair: Camilo Morales-Jimenez, Board of Governors of the Federal Reserve System
Session type: contributed
 

Dynamic Information Acquisition and Home Bias in Portfolios
   presented by: Rosen Valchev, Boston College
 

Market Concentration and Sectoral Inflation under Imperfect Common Knowledge
   presented by: Tatsushi Okuda, Bank of Japan
 

The International Medium of Exchange: Privilege and Duty
   presented by: Ryan Chahrour, Boston College
 

The Cyclical Behavior of Unemployment and Wages under Information Frictions
   presented by: Camilo Morales-Jimenez, Board of Governors of the Federal Reserve System
 
Session: F12: Behavioral Macroeconomics
June 30, 2017 9:00 to 10:40
2-01A
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Domenico Massaro, Catholic University of Milan
Session type: contributed
 

Restricted perceptions and endogenous fluctuations
   presented by: Mei Zhu, Shanghai University of Finance and Economics
 

Heterogeneous expectations and macroeconomic imbalances in a monetary union
   presented by: Gavin Goy, University of Amsterdam
 

Bank-run: from individual to collective behavior
   presented by: Dan Tran, Gretha, University of Bordeaux
 

Dispersed Information and the Origins of Aggregate Fluctuations
   presented by: Domenico Massaro, Catholic University of Milan
 
Session: G01: Invited Session - Macro-Finance
June 30, 2017 11:10 to 12:50
4-01
 
Session Organizer: Daniel Greenwald, MIT
Session Chair: Mindy X. Zhang, University of Texas at Austin
Session type: invited
 

Precautionary Savings in Stocks and Bonds
   presented by: Emil Siriwardane, HBS
 

Capital Share Dynamics When Firms Insure Managers
   presented by: Mindy X. Zhang, University of Texas at Austin
 

Mortgage Design in an Equilibrium Model of the Housing Market
   presented by: Adam Guren, Boston University
 

A Macroeconomic Model with Financially Constrained Producers and Intermediaries
   presented by: Tim Landvoigt, University of Texas at Austin
 
Session: G02: Invited Session - Monetary Policy and Asset Pricing
June 30, 2017 11:10 to 12:50
3-01
 
Session Organizer: Francesco Bianchi, Duke University
Session Chair: Francesco Bianchi, Duke University
Session type: invited
 

Interest Rate Conundrums in the Twenty-First Century
   presented by: David Lucca, Federal Reserve Bank of New York
 

Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets
   presented by: Eric Swanson, University of California Irvine
 

Monetary Policy and Asset Valuation
   presented by: Francesco Bianchi, Duke University
 

The Economics of the Fed Put
   presented by: Anna Cieslak, Duke University
 
Session: G03: Invited Session - Trends and Cycles in Macroeconomic Time Series
June 30, 2017 11:10 to 12:50
4-02
 
Session Organizer: Domenico Giannone, Federal Reserve Bank of New York
Session Chair: Michele Lenza, European Central Bank
Session type: invited
 

Common factors, trends, and cycles in large datasets
   presented by: Matteo Luciani, Federal Reserve Board, Washington DC
 

An inflation predicting measure of the output gap in the euro area
   presented by: Michele Lenza, European Central Bank
 

GDP Trend-cycle Decompositions Using State-level Data
   presented by: Manuel Gonzalez-Astudillo, Board of Governors of the Federal Reserve System
 

Priors for the long run
   presented by: Domenico Giannone, Federal Reserve Bank of New York
 
Session: G04: Learning and Heterogeneous Agents
June 30, 2017 11:10 to 12:50
3-02
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Paolo Zeppini, University of Bath
Session type: contributed
 

Macroeconomic Implications of Learning and Financial Frictions in Interdependent Economies
   presented by: Thepthida Sopraseuth, University of Cergy
 

Noisy Adaptive Learning in an Oligopoly Market with Demand Inertia
   presented by: Felix Mauersberger, Universitat Pompeu Fabra & Barcelona GSE
 

Rational Heuristics? Expectations and Behaviors in Evolving Economies with Heterogeneous, Interacting Agents
   presented by: Tania Treibich, Maastricht University
 

Consumption patterns and green lifestyles
   presented by: Paolo Zeppini, University of Bath
 
Session: G05: New Directions for Agent-Based Computational Economics
June 30, 2017 11:10 to 12:50
3-05
 
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Herbert Dawid, Bielefeld University
Session type: contributed
 

An agent-based algorithm for simulating markets with price competition
   presented by: Juan Manuel Sánchez-Cartas, Technical University of Madrid
 

Simhattan: Growing the City from the Ground Up
   presented by: Jason Barr, Rutgers University, Newark
 

On the Effects of Social Influence and Wage Expectations on Wage Inequality
   presented by: Philipp Harting, Bielefeld University
 

On the Impact of Manager Remuneration Schemes on Short- and Long-term Investments: An Agent-based Analysis
   presented by: Herbert Dawid, Bielefeld University
 
Session: G06: Expectations in Macro Models
June 30, 2017 11:10 to 12:50
3-09
 
Session Organizer: Bruce Preston, The University of Melbourne
Session Chair: Andrew Foerster, Federal Reserve Bank of Kansas City
Session type: contributed
 

Monetary policy when Market Street begs to differ
   presented by: David Vestin, Sveriges Riksbank
 

Term structure and real-time learning
   presented by: Jesús Vázquez, Universidad del País Vasco (UPV/EHU)
 

Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle
   presented by: Pratiti Chatterjee, University of California, Irvine
 

Solving Markov-Switching Models with Learning
   presented by: Andrew Foerster, Federal Reserve Bank of Kansas City
 
Session: G07: Fiscal Policies and Social Security
June 30, 2017 11:10 to 12:50
4-04
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Lilia Maliar, Stanford University
Session type: contributed
 

Austerity, Inequality, and Private Debt Overhang
   presented by: Mathias Klein, DIW Berlin
 

Computing Stochastic Overlapping Generations Models with Production Based on the Theory of Linear Iterated Function System
   presented by: Eungsik Kim, Carnegie Mellon University
 

Unconditionally Optimal Ramsey policy
   presented by: Tatiana Damjanovic, Durham University
 

Saving the U.S. Social Security System
   presented by: Lilia Maliar, Stanford University
 
Session: G08: Financial Frictions and Computational Methods
June 30, 2017 11:10 to 12:50
4-05
 
Session Organizer: Arunima Sinha, Fordham University
Session Chair: Giorgio Ricchiuti, Università degli Studi di Firenze
Session type: contributed
 

Financial Leverage, Risk Premia, and their Effect on Expected Growth Rates
   presented by: Malte Schumacher, University of Muenster
 

Bond Finance, Bank Finance, and Bank Regulation
   presented by: Ji Huang, National University of Singapore
 

Global v. Local Methods in the Quantitative Analysis of Open-Economy Models with Incomplete Markets
   presented by: Bora Durdu, Federal Reserve Board
 

Heterogeneous Firms and International Trade: The role of Financial Fragility and Monetary Policy
   presented by: Giorgio Ricchiuti, Università degli Studi di Firenze
 
Session: G09: Financial Econometrics I
June 30, 2017 11:10 to 12:50
4-07
 
Session Organizer: Jing Cynthia Wu, University of Chicago
Session Chair: Missaka Warusawitharana, Board of Governors of the Federal Reserv
Session type: contributed
 

Do Latent Common Volatility Factors Improve Asset Volatility Prediction: Empirical Evidence on the Market, Sectors and Firms
   presented by: Mingmian Cheng, Rutgers University
 

The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models
   presented by: Leland Farmer, University of California, San Diego
 

Understanding the "Numbers Game''
   presented by: Thomas Ruchti, Carnegie Mellon University
 

Time-varying volatility and the power law distribution of stock returns
   presented by: Missaka Warusawitharana, Board of Governors of the Federal Reserv
 
Session: G10: Housing and Macroeconomics
June 30, 2017 11:10 to 12:50
4-08
 
Session Organizer: Andrea Ferrero, University of Oxford
Session Chair: Sami Alpanda, University of Central Florida
Session type: contributed
 

Keeping up with the Zhangs and House Price Dynamics in China
   presented by: Tao Peng, Southwestern University of Finance and Economics
 

Deepening Contractions and Collateral Constraints
   presented by: Søren Ravn, University of Copenhagen
 

Why do People Leave Bequests? A Quantitative Exploration
   presented by: Daniel Barczyk, McGill University
 

Household Debt Overhang and Transmission of Monetary Policy
   presented by: Sami Alpanda, University of Central Florida
 
Session: G11: Monetary Policy II
June 30, 2017 11:10 to 12:50
4-09
 
Session Organizer: Marc Giannoni, Federal Reserve Bank of New York
Session Chair: Anton Nakov, ECB and CEPR
Session type: contributed
 

Monetary Policy Implications of State-Dependent Prices and Wages
   presented by: Anton Nakov, ECB and CEPR
 

Inefficient Shocks and Optimal Monetary Policy
   presented by: Sargam Gupta, Indian Statistical Institute, Delhi
 

Model Misspecification and the Production and Inventory Behavior
   presented by: Xiaowen Wang, University of Hong Kong
 

Mortgage Debt and Inflation Targeting: HANK’s perspective
   presented by: Thomas May, Federal Reserve Board
 
Session: G12: Structural Changes in the Macroeconomy
June 30, 2017 11:10 to 12:50
2-01A
 
Session Organizer: Francesco Bianchi, Duke University
Session Chair: Kirstin Hubrich, Federal Reserve Board
Session type: contributed
 

Debt Thresholds and the Effectiveness of Stabilization Policy: Evidence from a Regional Factor-Augmented VAR for the Euro Area
   presented by: Laura Jackson Young, Bentley University
 

Generalized stability of monetary unions under regime switching in monetary and fiscal policies
   presented by: Dennis Bonam, De Nederlandsche Bank
 

Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area
   presented by: Kirstin Hubrich, Federal Reserve Board
 
Session: H01: Invited Session - Behavioral Macroeconomics
June 30, 2017 16:00 to 17:40
3-01
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Cars Hommes, University of Amsterdam
Session type: invited
 

Stable near-rational sunspot equilibriaa
   presented by: Bruce McGough, University of Oregon
 

Monetary Policy Rules and Misspecified Beliefs
   presented by: William Branch, University of California, Irvine
 

An empirically calibrated large-scale macroeconomic agent-based model for the Austrian economy
   presented by: Sebastian Poledna, International Institute for Applied Systems Analysis (IIASA)
 

Behavioral Learning Equilibria, Persistence Amplification & Monetary Policy
   presented by: Cars Hommes, University of Amsterdam
 
Session: H02: Invited Session - Banking and Liquidity Risk
June 30, 2017 16:00 to 17:40
4-01
 
Session Organizer: Todd Keister, Rutgers University
Session Chair: Todd Keister, Rutgers University
Session type: invited
 

Aggregate Liquidity Risk and Bank Portfolio Choice
   presented by: Toni Ahnert, Bank of Canada
 

Bailouts, Bail-ins and Banking Crises
   presented by: Yuliyan Mitkov, Rutgers University
 

Optimal Bank Regulation In the Presence of Credit and Run Risk
   presented by: Alexandros Vardoulakis, Board of Governors of the Federal Reserv
 

Optimal Dynamic Liquidity Policy: Irreversibility, Sequential Information, and Costly Liquidation
   presented by: Mahmoud Elamin, Federal Reserve Bank of Cleveland
 
Session: H03: Open Economies
June 30, 2017 16:00 to 17:40
3-02
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Reinhard Ellwanger, Bank of Canada
Session type: contributed
 

Economic Migration and Business Cycles in a Small Open Economy with Matching Frictions
   presented by: Matija Lozej, Central Bank of Ireland
 

Firm entry, Search and Matching in a Small Open Economy Faced with Uncertainty Shocks: The case of Korea
   presented by: Samil Oh, ESSEC & Univ. of Cergy-Pontoise
 

The EMG and Trade Elasticities
   presented by: Erick Sager, Bureau of Labor Statistics
 

The economics of the global oil market: Evidence from oil consumption
   presented by: Reinhard Ellwanger, Bank of Canada
 
Session: H04: Regime Switching, Endogenous Cycles, the Role of Credit
June 30, 2017 16:00 to 17:40
3-05
 
Session Organizer: Marco Gross, European Central Bank
Session Chair: Giovanni Dosi, Scuola Superiore Sant'Anna
Session type: contributed
 

An empirical analysis of Minsky regimes is the US economy
   presented by: Joao de Souza, Middlebury College
 

Monetary policy shocks from the consumer perspective
   presented by: Viet Nguyen, University of Melbourne
 

Credit Cycles and Inflation Targeting in a Regime Switching Model
   presented by: Timm Faulwasser, Karlsruhe Institute of Technology
 

Causes and Consequences of Hysteresis: Aggregate Demand, Productivity and Employment
   presented by: Giovanni Dosi, Scuola Superiore Sant'Anna
 
Session: H05: Fiscal Policy and Financial Frictions
June 30, 2017 16:00 to 17:40
3-09
 
Session Organizer: Johanna Francis, Fordham University
Session Chair: Damien Cubizol, Sciences Po Toulouse - GATE
Session type: contributed
 

How diabolic is the sovereign-bank loop? The effects of post-default fiscal policies
   presented by: Andre Diniz, Sao Paulo School of Economics - FGV
 

Deposit Flight and Capital Controls: A Tale from Greece
   presented by: Michael Rousakis, University of Oxford
 

Dynamic Effects of Income and Consumption Tax Changes
   presented by: Raffaele Rossi, University of Manchester
 

Rebalancing in China: a taxation approach
   presented by: Damien Cubizol, Sciences Po Toulouse - GATE
 
Session: H06: Learning and the Stability of Expectations
June 30, 2017 16:00 to 17:40
4-02
 
Session Organizer: Stefano Eusepi, Federal Reserve Bank of New York
Session Chair: Jiri Kukacka, UTIA AV CR, v.v.i., Czech Academy of Sciences
Session type: contributed
 

Herding through learning in an asset pricing model
   presented by: Michele Berardi, University of Manchester
 

Inflation target expectations, transparency and monetary policy
   presented by: Marcel Ribeiro, Sao Paulo School of Economics - FGV
 

Labor Market Dynamics when Households Lack Commitment
   presented by: Mario Silva, University of California, Irvine
 

Stable Liquidity Traps and Heterogeneous Expectations
   presented by: Jiri Kukacka, UTIA AV CR, v.v.i., Czech Academy of Sciences
 
Session: H07: Computational Methods III
June 30, 2017 16:00 to 17:40
4-04
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Kerk L. Phillips, Brigham Young University
Session type: contributed
 

Does Calvo Meet Rotemberg at the Zero Lower Bound?
   presented by: Phuong Ngo, Cleveland State University
 

What order? Perturbation methods for stochastic volatility asset pricing and business cycle models
   presented by: Oliver de Groot, University of St. Andrews
 

Solving Heterogeneous Agents Models using Past Error Terms of the Law of Motion
   presented by: Markus Riegler, University of Bonn
 

Solving and Simulating DSGE Models with a Single Endogenous State Variable using Linearization about the Current State
   presented by: Kerk L. Phillips, Brigham Young University
 
Session: H08: Agency Problems, Information, and Bank Regulation
June 30, 2017 16:00 to 17:40
4-07
 
Session Organizer: Johanna Francis, Fordham University
Session Chair: Valentyn Panchenko, University of New South Wales
Session type: contributed
 

A model of network formation for the overnight interbank market
   presented by: Valentyn Panchenko, University of New South Wales
 

Adverse Selection, Liquidity Shortage, and Government Liquidity Facilities
   presented by: Qingqing Cao, Michigan State University
 

Adverse Selection, Information Acquisition, and Optimal Interventions in Securities Markets
   presented by: Seungjun Baek, Florida State University
 
Session: H09: Banking and Financial Intermediation
June 30, 2017 16:00 to 17:40
4-08
 
Session Organizer: Daniel Greenwald, MIT
Session Chair: Rhys Bidder, Federal Reserve Bank of San Francisco
Session type: contributed
 

Equilibrium foreign currency mortgages
   presented by: Marcin Kolasa, Narodowy Bank Polski
 

Bank capital shocks, funding costs and credit: evidence from the euro area
   presented by: Giulio Nicoletti, European Central Bank
 

De-leveraging or de-risking? How banks cope with loss
   presented by: Rhys Bidder, Federal Reserve Bank of San Francisco
 

Adverse Selection and Financial Crises
   presented by: Jonathan Swarbrick, University of Surrey
 
Session: H10: Financial Econometrics II
June 30, 2017 16:00 to 17:40
4-09
 
Session Organizer: Jing Cynthia Wu, University of Chicago
Session Chair: Marco Gross, European Central Bank
Session type: contributed
 

Signed spillover effects building on historical decompositions
   presented by: Vladimir Volkov, University of Tasmania
 

Structural Volatility Impulse Response Function and Asymptotic Inference
   presented by: Xiaochun Liu, University of Alabama
 

Forecasting the equity risk premium with frequency-decomposed predictors
   presented by: Fabio Verona, Bank of Finland
 

Modelling cross-sectional dependence: Where spatial econometrics and global VAR models meet
   presented by: Marco Gross, European Central Bank
 
Session: H11: Monetary Policy III
June 30, 2017 16:00 to 17:40
2-01A
 
Session Organizer: Andrea Ferrero, University of Oxford
Session Chair: Drago Bergholt, Norges Bank Research
Session type: contributed
 

A model of the Gold Standard and the Great Depression
   presented by: Luca Pensieroso, IRES - Université catholique de Louvain
 

Uncertain forward guidance
   presented by: Alex Haberis, Bank of England
 

Public investment, standard and non-standard monetary policy in the euro area
   presented by: Massimiliano Pisani, Bank of Italy
 

Optimal price stability for commodity producers
   presented by: Drago Bergholt, Norges Bank Research
 

94 sessions, 365 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Aguirre, AlvaroP7
2Ahnert, ToniP85
3Al Sadoon, MajidP22
4Aliyev, NihadP66
5Almosova, AnnaP47
6Alpanda, SamiP81, C81
7Altavilla, CarloP46
8Altinoglu, LeventP14
9Amir-Ahmadi, PooyanP12
10Anderson, GaryP30, C30
11Andrews, IsaiahP2
12Anufriev, MikhailP26, C26
13Arifovic, JasminaP31, C31
14Assenza, TizianaP39
15Atolia, ManojP61
16Babirat, ChristianP67
17Baek, SeungjunP91
18Bao, TeP26
19Barczyk, DanielP81
20Barde, SylvainP1
21Barr, JasonP76
22Baumeister, ChristianeP12, C12
23Berardi, MicheleP89
24Bergholt, DragoP94, C94
25Bianchi, FrancescoP73, C73
26Bidder, RhysP92, C92
27Boehl, GregorP33
28Bonam, DennisP83
29Branch, WilliamP84
30Brave, ScottP59, C59
31Bundick, BrentP13
32Cao, QingqingP91
33Cardaci, AlbertoP54
34Cardi, OlivierP28
35Carter, ThomasP29
36Caruso, AlbertoP59
37Chahrour, RyanP70
38Chatterjee, PratitiP77
39Chen, XiaoshanP35
40Chen, PuP36
41Cheng, MingmianP80
42Christev, AtanasP19, C19
43Cieslak, AnnaP73
44Colciago, AndreaP51
45Colombo, LucaP4
46Connault, BenjaminP2
47Coroneo, LauraP60
48Costain, JamesP23, C23
49Creamer, GermanP65
50Croushore, DeanP29, C29
51Crump, RichardP49
52Cuba-Borda, PabloP51, C51
53Cubizol, DamienP88, C88
54Curdia, VascoP28, C28
55Damjanovic, TatianaP78
56Davenport, MargaretP20
57Dawid, HerbertP76, C76
58de Ferra, SergioP28
59De Graeve, FerreP8
60de Groot, OliverP90
61de Souza, JoaoP87
62Del Negro, MarcoP22, C22, P49
63Delle Chiaie, SimonaP25
64Devriendt, WillemP28
65Di Bartolomeo, GiovanniP5, C5
66Di Guilmi, CorradoP3
67DiCecio, RiccardoP52
68Dieci, RobertoP36, C36
69Diniz, AndreP88
70Doh, TaeyoungP64
71Dosi, GiovanniP87, C87
72Duras, JanP32
73Durdu, BoraP79
74Elamin, MahmoudP85
75Elizondo, RocíoP44
76Ellwanger, ReinhardP86, C86
77Epstein, BrendanP68
78Eusepi, StefanoP33, C33
79Eyquem, AurélienP27
80Falck, ElisabethP45
81Faraglia, ElisaP23
82Farhi, EmmanuelP49, C49
83Farmer, LelandP80
84Faulwasser, TimmP61, P87
85Fève, PatrickP10
86Feigenbaum, JamesP69
87Ferreira, MiguelP23
88Finkelstein Shapiro, AlanP68, C68
89Finocchiaro, DariaP11
90Fischer, ThomasP67
91Florian Hoyle, DavidP52
92Foerster, AndrewP77, C77
93Fuentes-Albero, CristinaP23
94Fuller, DavidP55, C55
95Furlanetto, FrancescoP21, C21
96Fuster, AndreasP38
97Gaillard, AlexandreP15
98Galanis, GiorgosP56
99Galimberti, JaquesonP65
100Gelain, PaoloP10
101Georges, ChristophreP54, C54
102Gerbaulet, ClemensP18
103Giannitsarou, ChryssiP56
104Giannone, DomenicoP74
105Giuliodori, MassimoP8
106Gnocchi, StefanoP27
107Goldbaum, DavidP66, C66
108Gonzalez-Astudillo, ManuelP74
109Goy, GavinP71
110Granziera, EleonoraP59
111Grazzini, JakobP1
112Greenwald, DanielP64, C64
113Groll, DominikP20
114Gross, MarcoP93, C93
115Guerrieri, LucaP46, C46
116Gumus, InciP44
117Gungor, SerminP65
118Guo, BinP42
119Gupta, SargamP82
120Guren, AdamP72
121Haberis, AlexP94
122Halaj, GrzegorzP1, P31
123Hamann, FranzP40
124Hara, NaokoP32
125Harting, PhilippP76
126He, Xuezhong (Tony)P48
127Hennequin, MyrnaP17
128Herbst, EdwardP24, C24
129Heresi, RodrigoP10
130Hillebrand, ElmarP18
131Hinterschweiger, MarcP4
132Hirano, TomohiroP40
133Hirose, YasuoP24
134Hogen, YoshihikoP55
135Hollmayr, JosefP27
136Hommes, CarsP48, C48, P84, C84
137Huang, JiP79
138Hubrich, KirstinP83, C83
139Iacoviello, MatteoP50, C50
140Ilut, CosminP22
141Isoré, MarlèneP15, C15
142Jackson Young, LauraP83
143Jacob Leal, SandrineP53
144Jafarey, SaqibP39
145Juillard, MichelP47
146Jung, JuergenP55
147Kabaca, SerdarP11
148Kam, TimothyP34
149Kano, TakashiP50
150Karibzhanov, IskanderP30
151Kaszab, LorantP64
152Keister, ToddC85
153Kellett, ChrisP61, C61
154Kenett, DrorP47, C47
155Khalil, MakramP50
156Kim, RyanP14
157Kim, EungsikP78
158Klein, MathiasP78
159Kliem, MartinP29
160Kobayashi, KeiichiroP40, C40
161Kohlhas, AlexandreP37
162Kolasa, MarcinP92
163Kopányi-Peuker, AnitaP26
164Krause, ThomasP46
165Kristoufek, LadislavP57
166Kukacka, JiriP89, C89
167Ladley, DanielP66
168Lakdawala, AeimitP41
169Lambertini, LuisaP50
170Lamperti, FrancescoP54
171Landvoigt, TimP72
172Langot, FrançoisP15
173Lanteri, AndreaP14
174LeBaron, BlakeP43, C43, P48
175Leduc, SylvainP9, C9
176Lengnick, MatthiasP3
177Lenza, MicheleP74, C74
178Lepetyuk, VadymP13, C13
179Leroux, MaximeP25
180Li, HuiyuP32, C32
181Lin, ShenP43
182Lind, NelsonP38
183Liu, JingtingP34
184Liu, Lily YP6
185Liu, XiaochunP93
186Lojak, BenjaminP4
187Lozej, MatijaP86
188Lubik, ThomasP37, C37
189Lucca, DavidP73
190Luciani, MatteoP74
191Luoto, JaniP12
192Lustenhouwer, JoepP17
193Lyon, SpencerP30
194Maih, JuniorP45, C45
195Makarski, KrzysztofP20
196Maliar, SergueiP34, C34
197Maliar, LiliaP78, C78
198Martinez-Garcia, EnriqueP62, C62
199Marto, RicardoP18, C18
200Marx, MagaliP58, C58
201Massaro, DomenicoP71, C71
202Matthes, ChristianP12
203Mauersberger, FelixP17, P75
204May, ThomasP82
205McGough, BruceP84
206McNelis, PaulP16
207Mehrotra, NeilP49
208Melkadze, GiviP45
209Mertens, ThomasP22
210Mimir, YasinP7
211Mitkov, YuliyanP85
212Miwa, KotaroP31
213Mondragon, JohnP38
214Montiel Olea, JoseP2
215Morales-Jimenez, CamiloP70, C70
216Mundt, PhilippP67
217Nakov, AntonP82, C82
218Napoletano, MauroP39, P57, C57
219Nechio, FernandaP29
220Ngo, PhuongP90
221Nguyen, Thuy LanP44, C44
222Nguyen, VietP87
223Nicoletti, GiulioP92
224Nie, JunP68
225Nistico, SalvatoreP5
226Noh, SanhaP47
227Oh, SamilP86
228Okuda, TatsushiP70
229Olivero, MariaP40
230Orphanides, AthanasiosP35
231Palmer, NathanP58
232Panchenko, ValentynP91, C91
233Panovska, IrinaP62
234Paredes, JoanP69
235Paustian, MatthiasP13
236Pellegrino, GiovanniP45
237Penalver, AdrianP17, C17
238Peng, TaoP81
239Pensieroso, LucaP94
240Perez Forero, FernandoP8, C8
241Petersen, LubaP53
242Pettenuzzo, DavideP25, C25
243Phillips, Kerk L.P90, C90
244Piffer, MicheleP62
245Pisani, MassimilianoP94
246Plagborg-Moller, MikkelP2, C2
247Población García, Francisco JavierP31
248Polattimur, HamzaP58
249Poledna, SebastianP84
250Polito, VitoP63
251Prieto, EstebanP21
252Proaño, ChristianC3, P36
253Pruna, RaduP43
254Rachedi, OmarP5
255Raddant, MatthiasP67, C67
256Rahman, Md MahbuburP7
257Rapach, DavidP64
258Ravn, SørenP81
259Reiter, MichaelP9
260Ribeiro, MarcelP89
261Ricchiuti, GiorgioP79, C79
262Riedler, JesperP19
263Riegler, MarkusP90
264Rieth, MalteP35
265Rondina, GiacomoP37
266Rossi, RaffaeleP88
267Rousakis, MichaelP88
268Roussellet, GuillaumeP60
269Rovenskaya, ElenaP61
270Roventini, AndreaP1, C1
271Rubio, MargaritaP20, C20
272Ruchti, ThomasP80
273Rud, OlgaP53
274Russo, EmanueleP54
275Sadaba, BarbaraP6
276Sager, ErickP86
277Salakhova, DilyaraP46
278Santoro, SergioP27, C27
279Santoro, EmilianoP14, C14
280Sayan, SerdarP15
281Sánchez-Cartas, Juan ManuelP76
282Schmidt, SebastianP35, C35
283Schmitt, NoemiP56
284Schoder, ChristianP3
285Schumacher, MalteP79
286Sedlacek, PetrP32
287Semmler, WilliP18
288Shen, DehuaP42, C42
289Sher, GalenP21
290Shibata, TakashiP56, C56
291Shim, Jae HunP16
292Silva, MarioP89
293Sim, JaeP7, C7
294Singh, SanjayP5
295Sinha, ArunimaP16, C16
296Siriwardane, EmilP72
297Slocum, SamuelP16
298Sopraseuth, ThepthidaP75
299Suda, JacekP63, C63
300Sunakawa, TakekiP24
301Swanson, EricP73
302Swarbrick, JonathanP92
303Tai, Chung-ChingP48
304Takahashi, ShuheiP69, C69
305Takahashi, KojiP11
306Tambalotti, AndreaP38, C38
307Teppa, FedericaP33
308Tessone, ClaudioP57
309Thorsrud, LeifP65, C65
310Throckmorton, NathanielP24
311Tolstova, VeraP55
312Tran, DanP71
313Treibich, TaniaP75
314Tristani, OresteP41
315Tuinstra, JanP53, C53
316Turnovsky, StephenP36
317Ueno, YoichiP60
318Urban, JoergP3
319Valchev, RosenP70
320van der Hoog, SanderP39, C39
321van Vlodrop, AndriesP8
322Vardoulakis, AlexandrosP85
323Vázquez, JesúsP77
324Veldkamp, LauraP37
325Vermandel, GauthierP43
326Verona, FabioP93
327Vestin, DavidP77
328Villa, StefaniaP63
329Volkov, VladimirP93
330vom Lehn, ChristianP52
331Wang, XiaowenP82
332Warusawitharana, MissakaP80, C80
333Waters, GeorgeP10, C10
334Wei, LijianP66
335Wesołowski, GrzegorzP11, C11
336Westerhoff, FrankP19
337Winant, PabloP58
338Wolcott, ErinP9
339Wolski, MarcinP6
340Wozniak, TomaszP21
341Wu, PeifanP51
342Wu, TaoP41
343Wulff, AlexanderP69
344Xia, Fan DoraP60, C60
345Xie, TaojunP34
346Yamamoto, RyuichiP19
347Zadrozny, PeterP6, C6
348Zampolli, FabrizioP52, C52
349Zarazaga, CarlosP63
350Zeppini, PaoloP75, C75
351Zhang, Mindy X.P72, C72
352Zhang, YuP4, C4
353Zhang, JiP41, C41
354Zhi, TianhaoP42
355Zhong, MolinP59
356Zhu, YinchuP25
357Zhu, MeiP71
358Zilberman, RoyP13
359Zlate, AndreiP51

 

This program was last updated on 2017-06-28 09:35:06 EDT