IAAE 2015 Annual Conference

Thessaloniki, Greece

 
June 24, 2015
 
18:00 to 22:00Registration, LOBBY
 
 
 
June 25, 2015
 
08:15 to 17:00Registration, LOBBY
 
 
08:45 to 09:00Opening Address by Vasilis Sarafidis (Local Organizing Committee) and M. Hashem Pesaran (Chair of IAAE Board), “VOULA PATOULIDOU” Lecture Theatre
 
 
09:00 to 10:00Plenary Session I (IAAE Lecture), “VOULA PATOULIDOU” Lecture Theatre
 
 
10:00 to 10:30Coffee/Tea Break, LOBBY
 
 
10:30 to 11:50Parallel Sessions I
 
 
11:50 to 12:10Coffee/Tea Break, LOBBY
 
 
12:10 to 13:30Parallel Sessions II
 
 
13:30 to 14:50Lunch, GRAND BALLROOM
 
 
14:15 to 14:45Poster Sessions I
 
 
14:50 to 15:50Plenary Session II, “VOULA PATOULIDOU” Lecture Theatre
 
 
15:50 to 16:10Coffee/Tea Break, LOBBY
 
 
16:10 to 17:30Parallel Sessions III
 
 
19:45 to 21:30Cocktail Reception, Thessaloniki City Hall
 
 
 
June 26, 2015
 
08:15 to 17:00Registration, LOBBY
 
 
09:00 to 10:00Plenary Session III, “VOULA PATOULIDOU” Lecture Theatre
 
 
10:00 to 10:30Coffee/Tea Break, LOBBY
 
 
10:30 to 11:50Parallel Sessions IV
 
 
11:50 to 12:10Coffee/Tea Break, LOBBY
 
 
12:10 to 13:30Parallel Sessions V
 
 
13:30 to 14:50Lunch, GRAND BALLROOM
 
 
14:15 to 14:45Poster Sessions II
 
 
14:50 to 15:50Plenary Session IV, “VOULA PATOULIDOU” Lecture Theatre
 
 
15:50 to 16:10Coffee/Tea Break, LOBBY
 
 
16:10 to 17:30Parallel Sessions VI
 
 
19:45 to 22:00Dinner, Warehouse C, Port of Thessaloniki
 
 
 
June 27, 2015
 
08:15 to 13:30Registration, LOBBY
 
 
09:00 to 10:00Plenary Session V, “VOULA PATOULIDOU” Lecture Theatre
 
 
10:00 to 10:30Coffee/Tea Break, LOBBY
 
 
10:30 to 11:50Parallel Sessions VII
 
 
11:50 to 12:10Coffee/Tea Break, LOBBY
 
 
12:10 to 13:30Parallel Sessions VIII
 
 
13:30 to 14:50Lunch, GRAND BALLROOM
 
 
14:15 to 14:45Poster Sessions III
 
 
14:50 to 15:50Plenary Session VI, “VOULA PATOULIDOU” Lecture Theatre
 
 
15:50 to 16:10Coffee/Tea Break, LOBBY
 
 
16:10 to 17:30Parallel Sessions IX
 
 
17:30 to 17:45Closing, LOBBY
 
 
 
June 28, 2015
 
08:30 to 17:00Excursion/Tour, Archaeological sites at Vergina and Mieza
 
 

 

Program Notes and Index of Sessions

Plenary Session I (IAAE Lecture)
“VOULA PATOULIDOU” Lecture Theatre
June 25, 2015 09:00 to 10:00
 
“Statistical Decision Theory for Treatment Choice” by Charles Manski

Parallel Sessions I
June 25, 2015 10:30 to 11:50
 
Vector Autoregressions, “VOULA PATOULIDOU I” Lecture Theatre
Multivariate Time Series, “VOULA PATOULIDOU II” Lecture Theatre
Nonstandard Inference, “OLYMPIA A” Lecture Theatre
Time varying volatility, “OLYMPIA B” Lecture Theatre
Semi and Nonparametric Econometrics I, “OLYMPIA C” Lecture Theatre
Microstructure, “OLYMPIA D” Lecture Theatre
Threshold and related models, “KALLIPATIRA” Lecture Theatre
Development Economics I, “ILIDA” Lecture Theatre
Health Economics I, MEETING ROOM I
Unemployment, MEETING ROOM II
Empirical Micro I, MEETING ROOM III

Parallel Sessions II
June 25, 2015 12:10 to 13:30
 
Macro Forecasting I, “VOULA PATOULIDOU I” Lecture Theatre
Quantile Methods, “VOULA PATOULIDOU II” Lecture Theatre
Nonlinear Panel Data Methods, “OLYMPIA A” Lecture Theatre
International, “OLYMPIA B” Lecture Theatre
International Linkages, “OLYMPIA C” Lecture Theatre
Macroeconomics and Uncertainty, “OLYMPIA D” Lecture Theatre
Labor Economics I, “KALLIPATIRA” Lecture Theatre
Empirical Micro II, “ILIDA” Lecture Theatre
Education I, MEETING ROOM I
Inequality, MEETING ROOM II
News in Finance, MEETING ROOM III

Poster Sessions I
June 25, 2015 14:15 to 14:45
 
Poster - Finance, OLYMPIA B
Poster - Applied Micro, OLYMPIA C

Plenary Session II
“VOULA PATOULIDOU” Lecture Theatre
June 25, 2015 14:50 to 15:50
 
“Mostly Dangerous Econometrics: How to Do Model Selection with Inference in Mi...

Parallel Sessions III
June 25, 2015 16:10 to 17:30
 
Methods - Forecasting, “VOULA PATOULIDOU I” Lecture Theatre
Structural Breaks, “VOULA PATOULIDOU II” Lecture Theatre
News Shocks and Macroeconomic Dynamics, “OLYMPIA A” Lecture Theatre
Semi and Nonparametric Econometrics II, “OLYMPIA B” Lecture Theatre
Financial frictions and the macroeconomy, “OLYMPIA C” Lecture Theatre
Empirical Methods in Macro, “OLYMPIA D” Lecture Theatre
Industrial Organization I, “KALLIPATIRA” Lecture Theatre
Labor Economics II, “ILIDA” Lecture Theatre
Microeconometric Models, MEETING ROOM I
Empirical Micro III, MEETING ROOM II
Tail Risk, MEETING ROOM III

Cocktail Reception
Thessaloniki City Hall
June 25, 2015 19:45 to 21:30
 
Welcome Address by the Mayor of Thessaloniki

Plenary Session III
“VOULA PATOULIDOU” Lecture Theatre
June 26, 2015 09:00 to 10:00
 
“Forecasting and policy analysis with DSGE models” by Marco del Negro

Parallel Sessions IV
June 26, 2015 10:30 to 11:50
 
Estimation I, “VOULA PATOULIDOU I” Lecture Theatre
Nonlinear models, “VOULA PATOULIDOU II” Lecture Theatre
Fiscal Policy and the Environment, “OLYMPIA A” Lecture Theatre
Macro Forecasting III, “OLYMPIA B” Lecture Theatre
Yield curve I, “OLYMPIA C” Lecture Theatre
Monetary Policy I, “OLYMPIA D” Lecture Theatre
Networks I, “KALLIPATIRA” Lecture Theatre
Labor Economics III, “ILIDA” Lecture Theatre
Industrial Organization II, MEETING ROOM I
Empirical Micro IV, MEETING ROOM II
Advances in Time Series Methodology I, MEETING ROOM III

Parallel Sessions V
June 26, 2015 12:10 to 13:30
 
Remembering long memory, “VOULA PATOULIDOU I” Lecture Theatre
Panel Data Factor Models, “VOULA PATOULIDOU II” Lecture Theatre
Macro Forecasting II, “OLYMPIA A” Lecture Theatre
Advances in Time Series Methodology II, “OLYMPIA B” Lecture Theatre
Time varying parameters I, “OLYMPIA C” Lecture Theatre
Commodity Prices, “OLYMPIA D” Lecture Theatre
Household Finance, “KALLIPATIRA” Lecture Theatre
Monetary Policy II, “ILIDA” Lecture Theatre
Semi and Nonparametric III, MEETING ROOM I
Health Economics II, MEETING ROOM II
Gender and Demographics , MEETING ROOM III

Poster Sessions II
June 26, 2015 14:15 to 14:45
 
Poster - Empirical Macro, "OLYMPIA B" Lecture Theatre
Poster - Applied Time Series, "OLYMPIA C" Lecture Theatre

Plenary Session IV
“VOULA PATOULIDOU” Lecture Theatre
June 26, 2015 14:50 to 15:50
 
“Precommitments for Financial Self-Control: Evidence from the 2003 Korean Cred...

Parallel Sessions VI
June 26, 2015 16:10 to 17:30
 
Panel Data Models with Cross-Section Dependence, “VOULA PATOULIDOU I” Lecture Theatre
Labor Economics IV, “VOULA PATOULIDOU II” Lecture Theatre
Credit and Savings, “OLYMPIA A” Lecture Theatre
Development Economics II, “OLYMPIA B” Lecture Theatre
Panel Data Models I, “OLYMPIA C” Lecture Theatre
Oil and macroeconomic uncertainty, “OLYMPIA D” Lecture Theatre
Density Forecasting, “KALLIPATIRA” Lecture Theatre
Monetary policy III, “ILIDA” Lecture Theatre
Data Rich Environments, MEETING ROOM I
Trend-Cycle Decompositions and the Frequency Domain, MEETING ROOM II
Unconventional monetary policy, MEETING ROOM III

Plenary Session V
“VOULA PATOULIDOU” Lecture Theatre
June 27, 2015 09:00 to 10:00
 
“Unemployment and Business Cycles” by Larry Christiano

Parallel Sessions VII
June 27, 2015 10:30 to 11:50
 
Large Data/Model Combination, “VOULA PATOULIDOU I” Lecture Theatre
Semi and Nonparametric Econometrics IV, “VOULA PATOULIDOU II” Lecture Theatre
Information and Learning in Macroeconomics, “OLYMPIA A” Lecture Theatre
Factor Models, “OLYMPIA B” Lecture Theatre
Panel Data: Measurement Error, Endogeneity, and Treatment Effects, “OLYMPIA C” Lecture Theatre
Mixed Frequency/MIDAS, “OLYMPIA D” Lecture Theatre
Labor markets, monetary policy and the macroeconomy, “KALLIPATIRA” Lecture Theatre
Panel Data Empirical, “ILIDA” Lecture Theatre
Futures and options, MEETING ROOM I
Health Economics III, MEETING ROOM II
Business cycle fluctuations, MEETING ROOM III

Parallel Sessions VIII
June 27, 2015 12:10 to 13:30
 
Advances in Time Series Methodology III, “VOULA PATOULIDOU I” Lecture Theatre
Panel Data Models with Spatial Dependence, “VOULA PATOULIDOU II” Lecture Theatre
Forecasting Inflation, “OLYMPIA A” Lecture Theatre
Bayesian methods, “OLYMPIA B” Lecture Theatre
Advances in DSGE Modeling, “OLYMPIA C” Lecture Theatre
Networks II, “OLYMPIA D” Lecture Theatre
Labor V, “KALLIPATIRA” Lecture Theatre
Empirical Micro V, “ILIDA” Lecture Theatre
Health Economics IV, MEETING ROOM I
Retirement, MEETING ROOM II

Poster Sessions III
June 27, 2015 14:15 to 14:45
 
Poster - Theoretical Time Series, “OLYMPIA A” Lecture Theatre
Poster - Applied Cross Section/Panel, “OLYMPIA B” Lecture Theatre
Poster - Semi and Nonparametric Econometrics, “OLYMPIA B” Lecture Theatre
Poster - Panel/Cross Section Theory, “OLYMPIA B” Lecture Theatre

Plenary Session VI
“VOULA PATOULIDOU” Lecture Theatre
June 27, 2015 14:50 to 15:50
 
“Discrete Heterogeneity in Econometrics: Some Properties and Applications” b...

Parallel Sessions IX
June 27, 2015 16:10 to 17:30
 
Panel Data Models II, “VOULA PATOULIDOU I” Lecture Theatre
Spatial Macro, “VOULA PATOULIDOU II” Lecture Theatre
Spatial Econometrics, “OLYMPIA A” Lecture Theatre
Financial frictions, “OLYMPIA B” Lecture Theatre
Noise, News and Sentiment Shocks, “OLYMPIA C” Lecture Theatre
Banking, “OLYMPIA D” Lecture Theatre
Yield Curve II, “KALLIPATIRA” Lecture Theatre
Time varying parameters II, “ILIDA” Lecture Theatre
Estimation II, MEETING ROOM I
Education II, MEETING ROOM II
Exchange Rates, MEETING ROOM III

 

Summary of All Sessions

Click here for an index of all participants

#Date/TimeLocationTypeTitlePapers
1June 25, 2015
9:00-10:00
“VOULA PATOULIDOU” Lecture Theatre invited “Statistical Decision Theory for Treatment Choice” by Charles Manski0
2June 25, 2015
10:30-11:50
“VOULA PATOULIDOU I” Lecture Theatre contributed Vector Autoregressions4
3June 25, 2015
10:30-11:50
“VOULA PATOULIDOU II” Lecture Theatre contributed Multivariate Time Series4
4June 25, 2015
10:30-11:50
“OLYMPIA A” Lecture Theatre contributed Nonstandard Inference4
5June 25, 2015
10:30-11:50
“OLYMPIA B” Lecture Theatre contributed Time varying volatility4
6June 25, 2015
10:30-11:50
“OLYMPIA C” Lecture Theatre contributed Semi and Nonparametric Econometrics I4
7June 25, 2015
10:30-11:50
“OLYMPIA D” Lecture Theatre contributed Microstructure4
8June 25, 2015
10:30-11:50
“KALLIPATIRA” Lecture Theatre contributed Threshold and related models4
9June 25, 2015
10:30-11:50
“ILIDA” Lecture Theatre contributed Development Economics I4
10June 25, 2015
10:30-11:50
MEETING ROOM I contributed Health Economics I4
11June 25, 2015
10:30-11:50
MEETING ROOM II contributed Unemployment4
12June 25, 2015
10:30-11:50
MEETING ROOM III contributed Empirical Micro I4
13June 25, 2015
12:10-13:30
“VOULA PATOULIDOU I” Lecture Theatre contributed Macro Forecasting I4
14June 25, 2015
12:10-13:30
“VOULA PATOULIDOU II” Lecture Theatre contributed Quantile Methods4
15June 25, 2015
12:10-13:30
“OLYMPIA A” Lecture Theatre contributed Nonlinear Panel Data Methods3
16June 25, 2015
12:10-13:30
“OLYMPIA B” Lecture Theatre contributed International4
17June 25, 2015
12:10-13:30
“OLYMPIA C” Lecture Theatre contributed International Linkages4
18June 25, 2015
12:10-13:30
“OLYMPIA D” Lecture Theatre contributed Macroeconomics and Uncertainty4
19June 25, 2015
12:10-13:30
“KALLIPATIRA” Lecture Theatre contributed Labor Economics I4
20June 25, 2015
12:10-13:30
“ILIDA” Lecture Theatre contributed Empirical Micro II4
21June 25, 2015
12:10-13:30
MEETING ROOM I contributed Education I4
22June 25, 2015
12:10-13:30
MEETING ROOM II contributed Inequality4
23June 25, 2015
12:10-13:30
MEETING ROOM III contributed News in Finance4
24June 25, 2015
14:15-14:45
OLYMPIA B poster Poster - Finance4
25June 25, 2015
14:15-14:45
OLYMPIA C poster Poster - Applied Micro7
26June 25, 2015
14:50-15:50
“VOULA PATOULIDOU” Lecture Theatre invited “Mostly Dangerous Econometrics: How to Do Model Selection with Inference in Mind” by Victor Chernozhukov0
27June 25, 2015
16:10-17:30
“VOULA PATOULIDOU I” Lecture Theatre contributed Methods - Forecasting3
28June 25, 2015
16:10-17:30
“VOULA PATOULIDOU II” Lecture Theatre contributed Structural Breaks4
29June 25, 2015
16:10-17:30
“OLYMPIA A” Lecture Theatre contributed News Shocks and Macroeconomic Dynamics2
30June 25, 2015
16:10-17:30
“OLYMPIA B” Lecture Theatre contributed Semi and Nonparametric Econometrics II4
31June 25, 2015
16:10-17:30
“OLYMPIA C” Lecture Theatre contributed Financial frictions and the macroeconomy4
32June 25, 2015
16:10-17:30
“OLYMPIA D” Lecture Theatre contributed Empirical Methods in Macro3
33June 25, 2015
16:10-17:30
“KALLIPATIRA” Lecture Theatre contributed Industrial Organization I3
34June 25, 2015
16:10-17:30
“ILIDA” Lecture Theatre invited Labor Economics II4
35June 25, 2015
16:10-17:30
MEETING ROOM I contributed Microeconometric Models4
36June 25, 2015
16:10-17:30
MEETING ROOM II contributed Empirical Micro III3
37June 25, 2015
16:10-17:30
MEETING ROOM III contributed Tail Risk4
38June 26, 2015
9:00-10:00
“VOULA PATOULIDOU” Lecture Theatre invited “Forecasting and policy analysis with DSGE models” by Marco del Negro0
39June 26, 2015
10:30-11:50
“VOULA PATOULIDOU I” Lecture Theatre contributed Estimation I4
40June 26, 2015
10:30-11:50
“VOULA PATOULIDOU II” Lecture Theatre contributed Nonlinear models4
41June 26, 2015
10:30-11:50
“OLYMPIA A” Lecture Theatre contributed Fiscal Policy and the Environment4
42June 26, 2015
10:30-11:50
“OLYMPIA B” Lecture Theatre contributed Macro Forecasting III4
43June 26, 2015
10:30-11:50
“OLYMPIA C” Lecture Theatre contributed Yield curve I4
44June 26, 2015
10:30-11:50
“OLYMPIA D” Lecture Theatre contributed Monetary Policy I4
45June 26, 2015
10:30-11:50
“KALLIPATIRA” Lecture Theatre contributed Networks I4
46June 26, 2015
10:30-11:50
“ILIDA” Lecture Theatre contributed Labor Economics III4
47June 26, 2015
10:30-11:50
MEETING ROOM I contributed Industrial Organization II4
48June 26, 2015
10:30-11:50
MEETING ROOM II contributed Empirical Micro IV4
49June 26, 2015
10:30-11:50
MEETING ROOM III contributed Advances in Time Series Methodology I4
50June 26, 2015
12:10-13:30
“VOULA PATOULIDOU I” Lecture Theatre contributed Remembering long memory4
51June 26, 2015
12:10-13:30
“VOULA PATOULIDOU II” Lecture Theatre contributed Panel Data Factor Models4
52June 26, 2015
12:10-13:30
“OLYMPIA A” Lecture Theatre contributed Macro Forecasting II4
53June 26, 2015
12:10-13:30
“OLYMPIA B” Lecture Theatre contributed Advances in Time Series Methodology II4
54June 26, 2015
12:10-13:30
“OLYMPIA C” Lecture Theatre contributed Time varying parameters I4
55June 26, 2015
12:10-13:30
“OLYMPIA D” Lecture Theatre contributed Commodity Prices2
56June 26, 2015
12:10-13:30
“KALLIPATIRA” Lecture Theatre contributed Household Finance3
57June 26, 2015
12:10-13:30
“ILIDA” Lecture Theatre contributed Monetary Policy II4
58June 26, 2015
12:10-13:30
MEETING ROOM I contributed Semi and Nonparametric III4
59June 26, 2015
12:10-13:30
MEETING ROOM II contributed Health Economics II4
60June 26, 2015
12:10-13:30
MEETING ROOM III contributed Gender and Demographics 4
61June 26, 2015
14:15-14:45
"OLYMPIA B" Lecture Theatre poster Poster - Empirical Macro9
62June 26, 2015
14:15-14:45
"OLYMPIA C" Lecture Theatre poster Poster - Applied Time Series7
63June 26, 2015
14:50-15:50
“VOULA PATOULIDOU” Lecture Theatre invited “Precommitments for Financial Self-Control: Evidence from the 2003 Korean Credit Crisis” by John Rust1
64June 26, 2015
16:10-17:30
“VOULA PATOULIDOU I” Lecture Theatre contributed Panel Data Models with Cross-Section Dependence4
65June 26, 2015
16:10-17:30
“VOULA PATOULIDOU II” Lecture Theatre contributed Labor Economics IV4
66June 26, 2015
16:10-17:30
“OLYMPIA A” Lecture Theatre contributed Credit and Savings3
67June 26, 2015
16:10-17:30
“OLYMPIA B” Lecture Theatre contributed Development Economics II4
68June 26, 2015
16:10-17:30
“OLYMPIA C” Lecture Theatre contributed Panel Data Models I4
69June 26, 2015
16:10-17:30
“OLYMPIA D” Lecture Theatre contributed Oil and macroeconomic uncertainty4
70June 26, 2015
16:10-17:30
“KALLIPATIRA” Lecture Theatre contributed Density Forecasting3
71June 26, 2015
16:10-17:30
“ILIDA” Lecture Theatre contributed Monetary policy III3
72June 26, 2015
16:10-17:30
MEETING ROOM I contributed Data Rich Environments4
73June 26, 2015
16:10-17:30
MEETING ROOM II contributed Trend-Cycle Decompositions and the Frequency Domain4
74June 26, 2015
16:10-17:30
MEETING ROOM III contributed Unconventional monetary policy4
75June 27, 2015
9:00-10:00
“VOULA PATOULIDOU” Lecture Theatre invited “Unemployment and Business Cycles” by Larry Christiano0
76June 27, 2015
10:30-11:50
“VOULA PATOULIDOU I” Lecture Theatre contributed Large Data/Model Combination4
77June 27, 2015
10:30-11:50
“VOULA PATOULIDOU II” Lecture Theatre contributed Semi and Nonparametric Econometrics IV4
78June 27, 2015
10:30-11:50
“OLYMPIA A” Lecture Theatre contributed Information and Learning in Macroeconomics4
79June 27, 2015
10:30-11:50
“OLYMPIA B” Lecture Theatre contributed Factor Models4
80June 27, 2015
10:30-11:50
“OLYMPIA C” Lecture Theatre contributed Panel Data: Measurement Error, Endogeneity, and Treatment Effects4
81June 27, 2015
10:30-11:50
“OLYMPIA D” Lecture Theatre contributed Mixed Frequency/MIDAS4
82June 27, 2015
10:30-11:50
“KALLIPATIRA” Lecture Theatre contributed Labor markets, monetary policy and the macroeconomy4
83June 27, 2015
10:30-11:50
“ILIDA” Lecture Theatre contributed Panel Data Empirical4
84June 27, 2015
10:30-11:50
MEETING ROOM I contributed Futures and options3
85June 27, 2015
10:30-11:50
MEETING ROOM II contributed Health Economics III3
86June 27, 2015
10:30-11:50
MEETING ROOM III contributed Business cycle fluctuations4
87June 27, 2015
12:10-13:30
“VOULA PATOULIDOU I” Lecture Theatre contributed Advances in Time Series Methodology III3
88June 27, 2015
12:10-13:30
“VOULA PATOULIDOU II” Lecture Theatre contributed Panel Data Models with Spatial Dependence4
89June 27, 2015
12:10-13:30
“OLYMPIA A” Lecture Theatre contributed Forecasting Inflation3
90June 27, 2015
12:10-13:30
“OLYMPIA B” Lecture Theatre contributed Bayesian methods4
91June 27, 2015
12:10-13:30
“OLYMPIA C” Lecture Theatre contributed Advances in DSGE Modeling4
92June 27, 2015
12:10-13:30
“OLYMPIA D” Lecture Theatre contributed Networks II4
93June 27, 2015
12:10-13:30
“KALLIPATIRA” Lecture Theatre contributed Labor V4
94June 27, 2015
12:10-13:30
“ILIDA” Lecture Theatre contributed Empirical Micro V4
95June 27, 2015
12:10-13:30
MEETING ROOM I contributed Health Economics IV3
96June 27, 2015
12:10-13:30
MEETING ROOM II contributed Retirement3
97June 27, 2015
14:15-14:45
“OLYMPIA A” Lecture Theatre poster Poster - Theoretical Time Series5
98June 27, 2015
14:15-14:45
“OLYMPIA B” Lecture Theatre poster Poster - Applied Cross Section/Panel7
99June 27, 2015
14:15-14:45
“OLYMPIA B” Lecture Theatre poster Poster - Semi and Nonparametric Econometrics1
100June 27, 2015
14:15-14:45
“OLYMPIA B” Lecture Theatre poster Poster - Panel/Cross Section Theory1
101June 27, 2015
14:50-15:50
“VOULA PATOULIDOU” Lecture Theatre invited “Discrete Heterogeneity in Econometrics: Some Properties and Applications” by Stephane Bonhomme0
102June 27, 2015
16:10-17:30
“VOULA PATOULIDOU I” Lecture Theatre contributed Panel Data Models II4
103June 27, 2015
16:10-17:30
“VOULA PATOULIDOU II” Lecture Theatre contributed Spatial Macro3
104June 27, 2015
16:10-17:30
“OLYMPIA A” Lecture Theatre contributed Spatial Econometrics3
105June 27, 2015
16:10-17:30
“OLYMPIA B” Lecture Theatre contributed Financial frictions4
106June 27, 2015
16:10-17:30
“OLYMPIA C” Lecture Theatre contributed Noise, News and Sentiment Shocks3
107June 27, 2015
16:10-17:30
“OLYMPIA D” Lecture Theatre contributed Banking4
108June 27, 2015
16:10-17:30
“KALLIPATIRA” Lecture Theatre contributed Yield Curve II4
109June 27, 2015
16:10-17:30
“ILIDA” Lecture Theatre contributed Time varying parameters II4
110June 27, 2015
16:10-17:30
MEETING ROOM I contributed Estimation II3
111June 27, 2015
16:10-17:30
MEETING ROOM II contributed Education II4
112June 27, 2015
16:10-17:30
MEETING ROOM III contributed Exchange Rates4
 

112 sessions, 411 papers, and 0 presentations with no associated papers


 

IAAE 2015 Annual Conference

Detailed List of Sessions

 
Session 1: “Statistical Decision Theory for Treatment Choice” by Charles Manski
June 25, 2015 9:00 to 10:00
“VOULA PATOULIDOU” Lecture Theatre
 
Session Chair: M. Hashem Pesaran, University of Southern California, and Trinity College, Cambridge
Session type: invited
 
Session 2: Vector Autoregressions
June 25, 2015 10:30 to 11:50
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: Raffaella Giacomini, University College London
Session type: contributed
 

Common Sources of Instabilities in Macroeconomic Dynamics
   Presented by: Pooyan Amir Ahmadi, Goethe University
 

Gaussian mixture vector autoregression
   Presented by: Mika Meitz, University of Helsinki
 

Inference for VARs Identified with Sign Restrictions
   Presented by: Eleonora Granziera, Bank of Canada
 

Inference about non-identified SVARs
   Presented by: Raffaella Giacomini, University College London
 
Session 3: Multivariate Time Series
June 25, 2015 10:30 to 11:50
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Manfred Deistler, TU Wien
Session type: contributed
 

Dynamic vector mode regression
   Presented by: Paulo M.D.C. Parente, Instituto Universitário de Lisboa (ISCTE-IUL)
 

Determination of Vector Error Correction Models in Higher Dimensions
   Presented by: Chong Liang, Karlsruhe Institute of Technology
 

Robust inference in structural VARs with long-run restrictions
   Presented by: Sophocles Mavroeidis, Oxford University
 

Estimation of VAR Systems from Mixed Frequency Data
   Presented by: Manfred Deistler, TU Wien
 
Session 4: Nonstandard Inference
June 25, 2015 10:30 to 11:50
“OLYMPIA A” Lecture Theatre
 
Session Chair: Frank Windmeijer, University of Bristol
Session type: contributed
 

Conditional Inference with a Functional Nuisance Parameter
   Presented by: Anna Mikusheva, Massachusetts Institute of Technology
 

A Generalized Two-Part Model for Fractional Response Variables with Excess Zeros
   Presented by: Jörg Schwiebert, Leuphana University Lüneburg
 

Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data
   Presented by: Marcel Voia, Carleton University
 

A weak instrument F-test in linear IV models with multiple endogenous variables
   Presented by: Frank Windmeijer, University of Bristol
 
Session 5: Time varying volatility
June 25, 2015 10:30 to 11:50
“OLYMPIA B” Lecture Theatre
 
Session Chair: Yifan LI, Lancaster University
Session type: contributed
 

Volatility co-movements: a time scale decomposition analysis
   Presented by: Andrea Cipollini, University of Palermo
 

Fitting vast dimensional time-varying covariance models
   Presented by: Cavit Pakel, Bilkent University
 

What Explains Output Volatility in the G3? A Multivariate Stochastic Volatility Model
   Presented by: Grigorios Emvalomatis, University of Dundee
 

Volatility Asymmetry, Market Microstructure Effects, High-Frequency Volatility Estimation and Forecasting: An Autoregressive Conditional Intensity Approach
   Presented by: Yifan LI, Lancaster University
 
Session 6: Semi and Nonparametric Econometrics I
June 25, 2015 10:30 to 11:50
“OLYMPIA C” Lecture Theatre
 
Session Chair: Di LIU, StataCorp LP
Session type: contributed
 

Nonparametric Comparison of Conditional Transition Probabilities: Is Italian Income Mobility Region Specifi c?
   Presented by: Xiaojun Song, Peking University
 

Smooth Coefficient Estimation of a Seemingly Unrelated Regression
   Presented by: Christopher Parmeter, University of Miami
 

Weighted average estimator in nonparametric quantile regression for the data of higher dimensions.
   Presented by: Maria Marchenko, University of Mannheim
 

Sparse Sieve MLE
   Presented by: Di LIU, StataCorp LP
 
Session 7: Microstructure
June 25, 2015 10:30 to 11:50
“OLYMPIA D” Lecture Theatre
 
Session Chair: Jun Sung Kim, Monash University
Session type: contributed
 

The Brazilian Foreign Exchange Market throught the Microstructure Prespective
   Presented by: Pedro Valls Pereira, Sao Paulo School of Economics
 

Interactions Among High Frequency Traders
   Presented by: Evangelos Benos, Bank of England
 

A Least Squares Regression Realised Covariation Estimation under MMS noise and Non-synchronous Trading
   Presented by: Ingmar Nolte, Lancaster University
 

How Trade Matching Forms in the Credit Default Swap Market
   Presented by: Jun Sung Kim, Monash University
 
Session 8: Threshold and related models
June 25, 2015 10:30 to 11:50
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Bruce Hansen, University of Wisconsin
Session type: contributed
 

Correlation robust threshold unit root tests
   Presented by: Chien-Ho Wang, National Taipei University
 

Testing for a Threshold in Models with Endogenous Regressors
   Presented by: Mario Philipp Rothfelder, Tilburg University
 

Testing Mean Stability of a Heteroskedastic Time Series
   Presented by: Violetta Dalla, National and Kapodistrian University of Athens
 

Regression Kink with an Unknown Threshold
   Presented by: Bruce Hansen, University of Wisconsin
 
Session 9: Development Economics I
June 25, 2015 10:30 to 11:50
“ILIDA” Lecture Theatre
 
Session Chair: David Wuepper, Technical University Munich
Session type: contributed
 

Children of Drought: Rainfall Shocks and Early Child Health in Rural India
   Presented by: Santosh Kumar, Sam Houston State University
 

Robust Correlates of Growth Spells: Do Inequality and Redistribution Matter?
   Presented by: Charalambos Tsangarides, International Monetary Fund
 

Fertility Limits on Local Politicians in India
   Presented by: Abhishek Chakravarty, University of Essex
 

History, Culture and Contract Farming: Empirical Evidence from Ghana
   Presented by: David Wuepper, Technical University Munich
 
Session 10: Health Economics I
June 25, 2015 10:30 to 11:50
MEETING ROOM I
 
Session Chair: Gosia Poplawska, University of Oxford
Session type: contributed
 

The long reach of teenage motherhood: evidence from Europe
   Presented by: Viola Angelini, University of Groningen
 

Early Life Health Interventions: Effects on Sickness Absence and Academic Performance
   Presented by: Nina Schwarz, University of Duisburg-Essen
 

A Stochastic Frontier Model with Endogenous Treatment Status and Mediator
   Presented by: Yi-Ting Chen, Academia Sinica
 

Sickness absenteeism and sickness insurance
   Presented by: Gosia Poplawska, University of Oxford
 
Session 11: Unemployment
June 25, 2015 10:30 to 11:50
MEETING ROOM II
 
Session Chair: Andrés García-Suaza, Universidad Carlos III - Universidad del Rosario
Session type: contributed
 

Regional unemployment, Marriage and Divorce
   Presented by: Rafael González-Val, Universidad de Zaragoza & Institut d'Economia de Barcelona (IEB)
 

The German Mini-Job Reform: Intended and Unintended Consequences for Mini-Jobbers
   Presented by: Gabriela Galassi,
 

The impact of the French Law 1987 on the employment of disabled people: an evaluation by the triple difference methodology
   Presented by: Emmanuel Duguet, Université Paris Est, ERUDITE
 

Decomposition Methods with Censored Data and a Study of the Gender Unemployment Duration Gap
   Presented by: Andrés García-Suaza, Universidad Carlos III - Universidad del Rosario
 
Session 12: Empirical Micro I
June 25, 2015 10:30 to 11:50
MEETING ROOM III
 
Session Chair: Angela Parenti, IMT Lucca
Session type: contributed
 

Decomposing the danger of drinking drivers: 1983 to 2012
   Presented by: Richard Dunn, University of Connecticut
 

New Keynesian Pricing Behaviour: Evidence from the Micro Data
   Presented by: Lena Koerber, Bank of England and London School of Eco
 

Street Prostitution Zones and Crime
   Presented by: Stephen Kastoryano, University of Mannheim
 

Regional Commuting in Italy: Do Temporary Contracts Affect the Decision?
   Presented by: Angela Parenti, IMT Lucca
 
Session 13: Macro Forecasting I
June 25, 2015 12:10 to 13:30
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: Kajal Lahiri, University at Albany: SUNY
Session type: contributed
 

EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
   Presented by: Martyna Marczak, University of Hohenheim
 

A multi-country approach to forecasting output growth using PMIs
   Presented by: Alexander Chudik, Federal Reserve Bank of Dallas
 

Dating U.S. Business Cycles with Macro Factors
   Presented by: Sebastian Fossati, University of Alberta
 

Construction of Leading Economic Index for Recession Prediction using Vine Copulas
   Presented by: Kajal Lahiri, University at Albany: SUNY
 
Session 14: Quantile Methods
June 25, 2015 12:10 to 13:30
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Matthew Harding, Duke University
Session type: contributed
 

Markov-switching quantile autoregression: a Gibbs sampling approach
   Presented by: Richard Luger, Laval University
 

Identification and Estimation of Quantile Effects using Panel Data
   Presented by: Alexandre Poirier, University of Iowa
 

Instrumental Variable Quantile Regressions in Large Panels with Fixed Effects
   Presented by: Martin Weidner, University College, London
 

Sparsity-Based Estimation of a Panel Quantile Count Data Model with Applications to Big Data
   Presented by: Matthew Harding, Duke University
 
Session 15: Nonlinear Panel Data Methods
June 25, 2015 12:10 to 13:30
“OLYMPIA A” Lecture Theatre
 
Session Chair: Ivan Fernandez-Val, Boston University
Session type: contributed
 

Estimation of Dynamic Nonlinear Random Effects Models with Unbalanced Panels
   Presented by: Pedro Albarran, Universidad de Alicante
 

Simultaneous equation models with discrete outcomes: Coherence and completeness using panel data
   Presented by: Andrew Adrian Pua, Universiteit van Amsterdam
 

Nonlinear Panel Models with Interactive Effects
   Presented by: Ivan Fernandez-Val, Boston University
 
Session 16: International
June 25, 2015 12:10 to 13:30
“OLYMPIA B” Lecture Theatre
 
Session Chair: Stella Capuano, IAB-Institute for Employment Research
Session type: contributed
 

Productivity, Markups and International Trade: The Case of Small Open Economy
   Presented by: Umut Kilinc, STATEC, Luxembourg
 

Trade barriers in public procurement
   Presented by: Lorenzo Rotunno, University of Oxford
 

The International Propagation of Technology Shocks
   Presented by: Sean Holly, university cambridge
 

Offshoring and firm overlap
   Presented by: Stella Capuano, IAB-Institute for Employment Research
 
Session 17: International Linkages
June 25, 2015 12:10 to 13:30
“OLYMPIA C” Lecture Theatre
 
Session Chair: Angela Parenti, IMT Lucca
Session type: contributed
 

Regulating Capital Flows at Both Ends: Does it Work?
   Presented by: Mahvash Qureshi, International Monetary Fund
 

Evolution of Bilateral Capital Flows to Developing Countries at Intensive and Extensive Margins
   Presented by: Povilas Lastauskas, University of Cambridge
 

An Estimate of the Degree of Interconnectedness between European Regions: A Bayesian Model Averaging Approach
   Presented by: Angela Parenti, IMT Lucca
 

Modeling cross correlation across major financial markets: a threshold approach
   Presented by: Nektarios Aslanidis, Universitat Rovira i Virgili, CREIP
 
Session 18: Macroeconomics and Uncertainty
June 25, 2015 12:10 to 13:30
“OLYMPIA D” Lecture Theatre
 
Session Chair: Christina Strobach, De Nederlandsche Bank
Session type: contributed
 

Transmission channels of economic uncertainty effects on macroeconomic activity
   Presented by: Ioannis Venetis, University of Patras
 

Macroeconomic Uncertainty and Its Impact on Economic Activity: Investigating Two Different Measures
   Presented by: Seohyun Lee, UCL
 

The changing transmission of uncertainty shocks in the US: an empirical analysis
   Presented by: Konstantinos Theodoridis, Bank of England
 

On the relationship between uncertainty and macroeconomic variables
   Presented by: Christina Strobach, De Nederlandsche Bank
 
Session 19: Labor Economics I
June 25, 2015 12:10 to 13:30
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Pia Homrighausen,
Session type: contributed
 

The Adverse Incentive Effects of Heterogeneity in Tournaments-Empirical Evidence from The German Bundesliga
   Presented by: Omar Bamieh,
 

The Impact of the Bosman Ruling on the Market for Native Soccer Players
   Presented by: MIRIAM MARCEN, UNIVERSIDAD DE ZARAGOZA
 

Idiosyncratic labour market risk: Are couples differ from single individuals?
   Presented by: Duangsuda Sopchokchai, University of Ottawa
 

Contracted out employment service programs: Compensation and private provider performance
   Presented by: Pia Homrighausen,
 
Session 20: Empirical Micro II
June 25, 2015 12:10 to 13:30
“ILIDA” Lecture Theatre
 
Session Chair: Vidhura Tennekoon, IUPUI
Session type: contributed
 

Economic Valuation of Environmental Quality Using Property Auction Data:A Structural Estimation Approach
   Presented by: Hayato Nakanishi, Kyoto University
 

Censored Fractional Response Model: Estimating Heterogeneous Relative Risk Aversion of European Households
   Presented by: Qizhou Xiong, Toulouse School of Economics
 

Early Cannabis Use and the School to Work Transition of Young Men
   Presented by: Jenny Williams, University of Melbourne
 

A BINOMIAL-THINNED ZERO-INFLATED POISSON MODEL FOR COUNTING UNREPORTED ABORTIONS
   Presented by: Vidhura Tennekoon, IUPUI
 
Session 21: Education I
June 25, 2015 12:10 to 13:30
MEETING ROOM I
 
Session Chair: Hendrik Schmitz, University of Paderborn
Session type: contributed
 

Education,Labour and Violence in Turkey
   Presented by: Selahattin Selsah Pasali, The Graduate Institute
 

Individual and Peer Returns to Starting School Later: Academic Redshirting vs. Lucky Date of Birth
   Presented by: Timea Laura Molnar, University of British Columbia
 

Low Wage Returns to Schooling in a Developing Country: Evidence from a Major Policy Reform in Turkey
   Presented by: Abdurrahman Aydemir, Sabanci University
 

Identifying Non-monetary Returns to Education Using the Marginal Treatment Effect Approach
   Presented by: Hendrik Schmitz, University of Paderborn
 
Session 22: Inequality
June 25, 2015 12:10 to 13:30
MEETING ROOM II
 
Session Chair: Angeliki Theophilopoulou, University of Westminster
Session type: contributed
 

Nonlinearity and cross-country dependence of income inequality
   Presented by: Tuomas Malinen, University of Helsinki
 

The Heterogeneous Effect of Income on Income Inequality
   Presented by: ,
 

Income Inequality and Fiscal Policy Effectiveness: International Evidence
   Presented by: Ju Pyun, Korea University Business School
 

Monetary Policy and Inequality in the UK
   Presented by: Angeliki Theophilopoulou, University of Westminster
 
Session 23: News in Finance
June 25, 2015 12:10 to 13:30
MEETING ROOM III
 
Session Chair: Stanislav Anatolyev, New Economic School
Session type: contributed
 

Transactions and news in the global equity market: evidence from the point process theory
   Presented by: Vladimir Volkov,
 

The impact of macroeconomic news on the euro-dollar exchange rate
   Presented by: Alberto Caruso, Universitè Libre de Bruxelles
 

Dissent in FOMC meetings and the announcement drift
   Presented by: Joao Madeira, University of York
 

Uncovering the skewness news impact curve
   Presented by: Stanislav Anatolyev, New Economic School
 
Session 24: Poster - Finance
June 25, 2015 14:15 to 14:45
OLYMPIA B
 
Session type: poster
 

Profiting from Mimicking Strategies in Non-Anonymous Markets
   Presented by: Michalis Vasios, Bank of England
 

Domestic credit in times of supervision: an empirical investigation of European countries
   Presented by: Alexandru Monahov, ISEM, University of Nice
 

Default and Naive Diversification Heuristics in Annuity Choice
   Presented by: Fedor Iskhakov, University of New South Wales
 

The dynamics of capital structure: empirical evidence from Romanian listed firms
   Presented by: Gabriela Brendea, Babes-Bolyai University, Romania
 
Session 25: Poster - Applied Micro
June 25, 2015 14:15 to 14:45
OLYMPIA C
 
Session type: poster
 

KNOWING WHO YOU ARE: THE EFFECT OF FEEDBACK INFORMATION ON EXAM PLACEMENT
   Presented by: Sofoklis Goulas, University of North Carolina,Chapel Hill
 

Robust Determinants of Intergenerational Mobility in the Land of Opportunity
   Presented by: Andros Kourtellos, University of Cyprus
 

Grandmothers' Labor Supply
   Presented by: Bernhard Schmidpeter, Johannes Kepler University Linz
 

Learning as a non-magical process: Evidence from India.
   Presented by: Nanditha Mathew, Sant' Anna School of Advanced Studies
 

Partial Identification of Treatment Effect in Binary Outcome Models: An Application to Health Insurance and Dental Service Utilisation
   Presented by: Xueyan Zhao, Monash University
 

The E ffect of Peer Observation on the Consumption of Temptation Goods: Experimental Evidence
   Presented by: Sahra Sakha, Leibniz University Hanover
 

Conspicuous Consumption and Reference-Dependent Preferences: Implications of Veblen’s Theory in Rural India
   Presented by: Clement Bellet, Sciences Po Paris
 
Session 26: “Mostly Dangerous Econometrics: How to Do Model Selection with Inference in Mind” by Victor Chernozhukov
June 25, 2015 14:50 to 15:50
“VOULA PATOULIDOU” Lecture Theatre
 
Session Chair: Stilianos Fountas, University of Macedonia
Session type: invited
 
Session 27: Methods - Forecasting
June 25, 2015 16:10 to 17:30
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: Richard Gerlach, University of Sydney
Session type: contributed
 

Microfounded Forecasting
   Presented by: Joao Issler, Getulio Vargas Foundation
 

Structural break models under misspecification: Implications for forecasting
   Presented by: Bonsoo Koo, Monash University
 

Bayesian assessment of dynamic quantile forecasts
   Presented by: Richard Gerlach, University of Sydney
 
Session 28: Structural Breaks
June 25, 2015 16:10 to 17:30
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Yohei Yamamoto, Hitotsubashi University
Session type: contributed
 

RALS-LM Unit Root Test with Trend Breaks and Non-Normal Errors: Application to the Prebisch-Singer Hypothesis
   Presented by: Junsoo Lee, University of Alabama
 

Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
   Presented by: ,
 

Regime switching model with endogenous autoregressive latent factor
   Presented by: Yoosoon Chang, Indiana University
 

A Modified Confidence Set for the Structural Break Date in Linear Regression Models
   Presented by: Yohei Yamamoto, Hitotsubashi University
 
Session 29: News Shocks and Macroeconomic Dynamics
June 25, 2015 16:10 to 17:30
“OLYMPIA A” Lecture Theatre
 
Session Chair: Christopher Otrok, University of Missouri
Session type: contributed
 

TFP or IST Driven Business Cycles? - an Application of Importance Restrictions
   Presented by: Srecko Zimic, European University Institute
 

News Shocks and Inflation: Lessons for New Keynesians
   Presented by: Christopher Otrok, University of Missouri
 
Session 30: Semi and Nonparametric Econometrics II
June 25, 2015 16:10 to 17:30
“OLYMPIA B” Lecture Theatre
 
Session Chair: Martin Huber, University of Fribourg
Session type: contributed
 

Who should be Treated? Empirical Welfare Maximization Methods for Treatment Choice
   Presented by: Aleksey Tetenov, Collegio Carlo Alberto
 

Discrete Choice Welfare Analysis: Further Results
   Presented by: Debopam Bhattacharya, University of Oxford
 

Efficient propensity score regression estimators of multivalued treatment effects for the treated
   Presented by: Ying-Ying Lee, University of Oxford
 

The finite sample performance of semi- and nonparametric estimators for treatment effects and policy evaluation
   Presented by: Martin Huber, University of Fribourg
 
Session 31: Financial frictions and the macroeconomy
June 25, 2015 16:10 to 17:30
“OLYMPIA C” Lecture Theatre
 
Session Chair: Giulio Nicoletti, European Central Bank
Session type: contributed
 

The Macroeconomic Impact of Financial and Uncertainty Shocks
   Presented by: Cristina Fuentes Albero, Board of Governors
 

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

Interbank Market Uncertainty and Bank Lending
   Presented by: Carlo Altavilla, European Central Bank
 

Credit financing and economic activity
   Presented by: Giulio Nicoletti, European Central Bank
 
Session 32: Empirical Methods in Macro
June 25, 2015 16:10 to 17:30
“OLYMPIA D” Lecture Theatre
 
Session Chair: Matthias Hartmann, University of Heidelberg
Session type: contributed
 

The explicit formula for the Hodrick-Prescott filter
   Presented by: Adriana Cornea-Madeira, University of York
 

Estimating Economic Relationships under Measurement Error: An Application to the Productivity of US Manufacturing
   Presented by: Alicia Rambaldi, The University of Queensland
 

Dynamics or diversity? An empirical appraisal of distinct means to measure inflation uncertainty
   Presented by: Matthias Hartmann, University of Heidelberg
 
Session 33: Industrial Organization I
June 25, 2015 16:10 to 17:30
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Fedor Iskhakov, University of New South Wales
Session type: contributed
 

Instrument-free Identification and Estimation of Differentiated Products Models
   Presented by: Susumu Imai, University of Technology Sydney
 

It's all in the Interval: An imperfect measurements approach to estimate bidders’ costs in descending first price sealed bid auctions
   Presented by: David Sundström, Umeå University
 

Constrained Optimization Approaches to Estimation of Structural Models: Comment
   Presented by: Fedor Iskhakov, University of New South Wales
 
Session 34: Labor Economics II
June 25, 2015 16:10 to 17:30
“ILIDA” Lecture Theatre
 
Session Chair: Helmut Farbmacher, Max Planck Society
Session type: invited
 

Mothers' Employment and Children's Educational Gender Gap
   Presented by: Simen Markussen, Ragnar Frisch Centre for Economic Research
 

How Risk Averse and how Prudent are Workers?
   Presented by: Davud Rostam-Afschar, Freie Universität Berlin
 

Pros and Cons of Sick Pay Schemes: A Method to Test for Contagious Presenteeism and Shirking Behavior
   Presented by: Nicolas Ziebarth, Cornell University
 

Increasing the credibility of the twin birth instrument
   Presented by: Helmut Farbmacher, Max Planck Society
 
Session 35: Microeconometric Models
June 25, 2015 16:10 to 17:30
MEETING ROOM I
 
Session Chair: Gregor Pfeifer, U Hohenheim
Session type: contributed
 

Spatial Dependence in Apartment Offering Prices in Hamburg, Germany
   Presented by: Lea Eilers, RWI Essen
 

Interaction matrix selection in heteroscedastic spatial econometric models
   Presented by: Cem Ertur, Laboratoire d'Economie d'Orléans - UMR
 

Industrial development in the Italian regions, 1861-1913: new evidence
   Presented by: Stefano Fachin, University of Rome
 

Synthetic Control Methods: Never Use All Pre-Intervention Outcomes as Economic Predictors
   Presented by: Gregor Pfeifer, U Hohenheim
 
Session 36: Empirical Micro III
June 25, 2015 16:10 to 17:30
MEETING ROOM II
 
Session Chair: Cleomar Gomes da Silva, Federal University of Uberlândia
Session type: contributed
 

Nonparametric models of financial leverage decisions
   Presented by: Joaquim Ramalho, Universidade de Evora
 

The quantity of corporate credit rationing with matched bank-firm data
   Presented by: Andrea Nobili, Banca d'Italia
 

Monetary and Fiscal Policy in the World Economy: Coordination Before and After the Financial Crisis
   Presented by: Cleomar Gomes da Silva, Federal University of Uberlândia
 
Session 37: Tail Risk
June 25, 2015 16:10 to 17:30
MEETING ROOM III
 
Session Chair: Kyle Moore, LSE
Session type: contributed
 

Fuzzy Clustering of Extremes
   Presented by: Ann Maharaj, Monash University
 

Driven by Fear? The Tail Risk Premium in the Crude Oil Futures Market
   Presented by: Reinhard Ellwanger, European University Institute, Florence
 

Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall
   Presented by: Tobias Eckernkemper, University of Cologne
 

Cross-section of tail risk in stock returns
   Presented by: Kyle Moore, LSE
 
Session 38: “Forecasting and policy analysis with DSGE models” by Marco del Negro
June 26, 2015 9:00 to 10:00
“VOULA PATOULIDOU” Lecture Theatre
 
Session Chair: Fabio Canova, EUI
Session type: invited
 
Session 39: Estimation I
June 26, 2015 10:30 to 11:50
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: Colin Cameron, University of California
Session type: contributed
 

Node-Wise Approach to Precision Matrix Estimation of Portfolio Optimization
   Presented by: Esra Ulasan, Ege University
 

Combination of “Combinations of P-values” with Applications to Testing Information Rigidity in Macroeconomic Forecasts
   Presented by: Xuguang Sheng, American University
 

Bootstrap Methods for Inference with Cluster-Sample IV Models
   Presented by: Leandro Magnusson, University of Western Australia
 

Robust Inference for Dyadic Data
   Presented by: Colin Cameron, University of California
 
Session 40: Nonlinear models
June 26, 2015 10:30 to 11:50
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Mu-Chun Wang, Hamburg University
Session type: contributed
 

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction Between U.S. Monetary Policy and the Stock Market
   Presented by: Aleksei Netsunajev, Freie Universitat Berlin
 

Credit Supply Shocks in US Bond Markets: Are There Nonlinearities?
   Presented by: Gabriela Nodari, University of New South Wales
 

Models of Financial Return With Time-Varying Zero-Probability
   Presented by: Genaro Sucarrat, BI Norwegian Business School
 

Measurement Errors and Monetary Policy: Then and Now
   Presented by: Mu-Chun Wang, Hamburg University
 
Session 41: Fiscal Policy and the Environment
June 26, 2015 10:30 to 11:50
“OLYMPIA A” Lecture Theatre
 
Session Chair: Gernot Mueller, University of Tuebingen
Session type: contributed
 

Synthesizing Cash for Clunkers: Stabilizing the Car Market, Hurting the Environment
   Presented by: Stefan Klößner, Saarland University
 

Do stringent environmental policies deter FDI? M&A versus Green…field
   Presented by: Sylwia Bialek, University of Frankfurt
 

Private Debt Overhang and the Government Spending Multiplier: Evidence for the United States
   Presented by: Marco Bernardini, Ghent University
 

Does austerity pay off?
   Presented by: Gernot Mueller, University of Tuebingen
 
Session 42: Macro Forecasting III
June 26, 2015 10:30 to 11:50
“OLYMPIA B” Lecture Theatre
 
Session Chair: Gregor von Schweinitz, Halle Institute for Economic Research
Session type: contributed
 

Medium-Term Forecasting of Euro-Area Macroeconomic Variables with DSGE and BVARX Models
   Presented by: Alessandro Notarpietro, Bank of Italy
 

Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US
   Presented by: Alessia Paccagnini, Università degli Studi di Milano-Bicocc
 

Leading indicators of the business cycle: dynamic logit models for OECD countries and Russia
   Presented by: Anna Pestova, NRU HSE
 

Real Effective Exchange Rate Misalignment in the Euro Area: A Counterfactual Analysis
   Presented by: Gregor von Schweinitz, Halle Institute for Economic Research
 
Session 43: Yield curve I
June 26, 2015 10:30 to 11:50
“OLYMPIA C” Lecture Theatre
 
Session Chair: Luca Tiozzo Pezzoli, Université Paris 1 Panthéon-Sorbonne
Session type: contributed
 

What Drives the Yield Curve?
   Presented by: Michel van der Wel, Erasmus University Rotterdam
 

Staying at Zero with Affine Processes: A New Dynamic Term Structure Model
   Presented by: Jean-Paul Renne, Banque de France
 

Economic Relevance of Hidden Factors in International Bond Risk Premia
   Presented by: Luca Tiozzo Pezzoli, Université Paris 1 Panthéon-Sorbonne
 

Unspanned macroeconomic factors in the yield curve
   Presented by: Laura Coroneo, University of York
 
Session 44: Monetary Policy I
June 26, 2015 10:30 to 11:50
“OLYMPIA D” Lecture Theatre
 
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Session type: contributed
 

Testing for optimal monetary policy via moment inequalities
   Presented by: Paulo Santos Monteiro, University of York
 

The Role of Financial Depth on The Asymmetric Impact of Monetary Policy
   Presented by: Kostas Mouratidis, The University of Sheffield
 

The impact of liquidity regulation on banks
   Presented by: Ryan Banerjee, Bank for International Settlements
 

Taylor Rules with Financial Market Expectations
   Presented by: Michael Owyang, Federal Reserve Bank of St Louis
 
Session 45: Networks I
June 26, 2015 10:30 to 11:50
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Vincent Boucher, Université Laval
Session type: contributed
 

Discrete Games in Endogenous Networks: Theory and Policy
   Presented by: Anton Badev, Federal Reserve Board
 

Endogenous Social Interactions: Which Peers Matter?
   Presented by: Eirini Tatsi, Goethe University
 

How much did poor people gain? A structural Bayesian approach with spatial effects
   Presented by: Andres Ramirez, Universidad EAFIT
 

Conformism and Self-Selection in Social Networks
   Presented by: Vincent Boucher, Université Laval
 
Session 46: Labor Economics III
June 26, 2015 10:30 to 11:50
“ILIDA” Lecture Theatre
 
Session Chair: Giovanni Mellace, University of Southern Denmark
Session type: contributed
 

Selection in Tournaments: The Case of Chess Players
   Presented by: Michael Visser, CREST
 

A Backward-Bending and Forward-Falling Semi-log Model of Labour Supply
   Presented by: Alexandros Polycarpou, University of Cyprus
 

DOES INFORMAL WORKPLACE LEARNING IN OECD COUNTRIES DIFFER BY CONTRACT DURATION?
   Presented by: Maria Ferreira Sequeda, Maastricht University
 

Why do tougher caseworkers increase employment? The role of programme assignment as a causal mechanism
   Presented by: Giovanni Mellace, University of Southern Denmark
 
Session 47: Industrial Organization II
June 26, 2015 10:30 to 11:50
MEETING ROOM I
 
Session Chair: Ioana Neamtu, Aarhus University
Session type: contributed
 

Competition, Exporting and Quality Upgrading: The Chinese Menace to the Peruvian Apparel Industry
   Presented by: Pamela Medina, Duke University
 

Dynamics of Technological Innovation and Employment: Panel Evidence from Luxembourg
   Presented by: Ni Zhen, University of Luxembourg
 

Small Firms’ Productivity Levels, Closures and Net Job Destruction at an Intensive Margin During a Recession: an analysis based on Mexico´s economic census micro datasets
   Presented by: angel calderon, El Colegio de Mexico
 

Demand and supply management for electricity markets: econometric analysis of electricity prices
   Presented by: Ioana Neamtu, Aarhus University
 
Session 48: Empirical Micro IV
June 26, 2015 10:30 to 11:50
MEETING ROOM II
 
Session Chair: Jian Li, University of Luxembourg
Session type: contributed
 

The Economic Effects of Asymmetric External Consumption Habits of US Households
   Presented by: Kai Daniel Schmid, Hans-Boeckler-Foundation
 

Measuring Energy Intensity and Elasticity in India: A Dummy Variable Approach for Unit level Household Data
   Presented by: Alok Pandey, DAV PG College, BHU
 

Political Connections and Alignment: Evidence from Intergovernmental Grants in France
   Presented by: Brice Fabre, Paris School of Economics
 

Risk Taking , Religiosity and Denomination Heterogeneity
   Presented by: Jian Li, University of Luxembourg
 
Session 49: Advances in Time Series Methodology I
June 26, 2015 10:30 to 11:50
MEETING ROOM III
 
Session Chair: Christian Bontemps, Toulouse School of Economics
Session type: contributed
 

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes
   Presented by: Biqing Cai, University of Bergen
 

Indirect inference with time series observed with error
   Presented by: Eduardo Rossi, University of Pavia
 

Misspecification Testing in GARCH-MIDAS Models
   Presented by: Christian Conrad, University of Heidelberg
 

Simple moment-based tests for value-at-risk models and discrete distributions
   Presented by: Christian Bontemps, Toulouse School of Economics
 
Session 50: Remembering long memory
June 26, 2015 12:10 to 13:30
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: Richard Baillie, Michigan State University
Session type: contributed
 

Comparing Predictive Accuracy Under Long Memory
   Presented by: Christian Leschinski, Leibniz Universität Hannover
 

Learning can generate Long Memory
   Presented by: Guillaume Chevillon, ESSEC Business School
 

Adaptive Long Memory Testing under Heteroskedasticity
   Presented by: Hsein Kew, Monash University
 

Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes
   Presented by: Richard Baillie, Michigan State University
 
Session 51: Panel Data Factor Models
June 26, 2015 12:10 to 13:30
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Joakim Westerlund, Lund University
Session type: contributed
 

A Factor Analytical Method to Interactive Effects Dynamic Panel Models with or without Unit Root
   Presented by: Milda Norkute, Lund University
 

Factor-augmented Prediction with Idiosyncratic Factors
   Presented by: Zhuojiong Gan, Tilburg University
 

Least Squares Estimation of Large Dimensional Change-Point Factor Models
   Presented by: Daniele Massacci, Einaudi Institute for Economics and Finance
 

The Asymptotic Local Power of a Factor Analytical Panel Unit Root Test
   Presented by: Joakim Westerlund, Lund University
 
Session 52: Macro Forecasting II
June 26, 2015 12:10 to 13:30
“OLYMPIA A” Lecture Theatre
 
Session Chair: Rodrigo Sekkel, Bank of Canada
Session type: contributed
 

Heterogeneity in the European Monetary Union and the Crisis
   Presented by: Giulia Rivolta, University of Brescia
 

Forecast-Error-Based Estimation of Forecast Uncertainty When the Horizon Is Increased
   Presented by: Malte Knüppel, Deutsche Bundesbank
 

Forecasting aggregates with disaggregate variables: Does boosting help to select the most relevant predictors?
   Presented by: Jing Zeng, University of Konstanz
 

Forecasting Recessions in Canada
   Presented by: Rodrigo Sekkel, Bank of Canada
 
Session 53: Advances in Time Series Methodology II
June 26, 2015 12:10 to 13:30
“OLYMPIA B” Lecture Theatre
 
Session Chair: Liudas Giraitis, Queen Mary University
Session type: contributed
 

A multivariate test against spurious long memory
   Presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover
 

Identification conditions in simultaneous systems of cointegrating equations of higher order
   Presented by: Paolo Paruolo, European Commission, DG JRC
 

Intervention Impact Evaluation on Aggregated Data: The Artificial Counterfactual Approach for Stationary Processes
   Presented by: Ricardo Masini, PUC-Rio
 

Autoregressive conditional duration and FIGARCH models: origins of long memory
   Presented by: Liudas Giraitis, Queen Mary University
 
Session 54: Time varying parameters I
June 26, 2015 12:10 to 13:30
“OLYMPIA C” Lecture Theatre
 
Session Chair: Shuping Shi, Macquarie University
Session type: contributed
 

Modelling and forecasting exchange rates with time-varying parameter models
   Presented by: Angela Abbate, Deutsche Bundesbank
 

What's so Great about the Great Moderation? A Multi-Country Investigation of Time-Varying Volatilities of Output Growth and Inflation
   Presented by: Victor Valcarcel, Texas Tech University
 

Detecting time variation in the price puzzle: An improved prior choice for time varying parameter VAR models
   Presented by: Peter Reusens, KU Leuven
 

Change Detection in Granger Causality
   Presented by: Shuping Shi, Macquarie University
 
Session 55: Commodity Prices
June 26, 2015 12:10 to 13:30
“OLYMPIA D” Lecture Theatre
 
Session Chair: Hilde Bjørnland, BI Norwegian Business School
Session type: contributed
 

Common Factors of Commodity Prices
   Presented by: Simona Delle Chiaie, Banque de France
 

Commodity prices, fiscal policy design and economic activity
   Presented by: Hilde Bjørnland, BI Norwegian Business School
 
Session 56: Household Finance
June 26, 2015 12:10 to 13:30
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Giuseppe Dachille, University of Rome Tor Vergata
Session type: contributed
 

This Is What’s in Your Wallet...and Here’s How You Use It
   Presented by: Tamas Briglevics, Magyar Nemzeti Bank
 

Estimation of Household Account Adoption Costs: The Case of ATM Cards in Italy
   Presented by: Angelika Welte, Bank of Canada
 

Job Loss Experience, Employment Protection Legislation and Portfolio Choices
   Presented by: Giuseppe Dachille, University of Rome Tor Vergata
 
Session 57: Monetary Policy II
June 26, 2015 12:10 to 13:30
“ILIDA” Lecture Theatre
 
Session Chair: Apostolos Serletis, University of Calgary
Session type: contributed
 

Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystem's LTROs
   Presented by: Jean-Stéphane Mésonnier, Banque de France
 

The Output-inflation Trade-off: International Panel Data Evidence
   Presented by: Georgios Chortareas, King's College London
 

Macroeconomic effects of financial stress and the role of monetary policy: A VAR analysis for the euro area
   Presented by: Manfred Kremer, European Central Bank
 

Monetary Policy and Leverage Shocks
   Presented by: Apostolos Serletis, University of Calgary
 
Session 58: Semi and Nonparametric III
June 26, 2015 12:10 to 13:30
MEETING ROOM I
 
Session Chair: Alan Ker, University of Guelph
Session type: contributed
 

Functional Principal Component Analysis of Density Families with Complex Survey Data on UK Prices
   Presented by: Kim Huynh, Bank of Canada
 

Convergence and Mobility in The World Size Distribution of GNP per capita: Semiparametric Country Classification Sans Frontiers.
   Presented by: Gordon Anderson, Economics department
 

Semiparametric Spatial Autoregressive Models with Endogenous Regressors: With an Application to Crime Data
   Presented by: Tadao Hoshino, Waseda University
 

Nonparametric Estimation of Possibly Similar Densities with Application to the U.S. Crop Insurance Program
   Presented by: Alan Ker, University of Guelph
 
Session 59: Health Economics II
June 26, 2015 12:10 to 13:30
MEETING ROOM II
 
Session Chair: Susana Iranzo, Universitat Rovira Virgili and Universit
Session type: contributed
 

Neither Public nor Private: The Effects of Communal Water Provision on Child Health in Peru
   Presented by: Susana Iranzo, Universitat Rovira Virgili and Universit
 

Free patient mobility is not a free lunch. Lessons from a decentralised NHS.
   Presented by: Silvia Balia, Università di Cagliari
 

IMPACT OF HEALTH ON LABOUR FORCE PARTICIPATION IN SOUTH AFRICA
   Presented by: Chijioke Nwosu, University of Cape Town
 

A New Formulation for Latent Class Models: Implications for Modelling Body Mass Index
   Presented by: Mark Harris, Curtin University of Technology
 
Session 60: Gender and Demographics
June 26, 2015 12:10 to 13:30
MEETING ROOM III
 
Session Chair: David Pacini, University of Bristol
Session type: contributed
 

The evolution of the gender wage gap: 1968-2008
   Presented by: Giulia Santangelo, European Commission - Joint Research Centre
 

The Effect of Ethnic Clustering on Migrant Integration in Germany
   Presented by: Sandra Schaffner, RWI
 

On private unobserved returns to international migration in a couple
   Presented by: Romuald Meango, IFO
 

Combining Samples to Estimate Linear Projections with Interval-Censored Outcomes: An Application to Measuring the Sexual Orientation Earnings Gap
   Presented by: David Pacini, University of Bristol
 
Session 61: Poster - Empirical Macro
June 26, 2015 14:15 to 14:45
"OLYMPIA B" Lecture Theatre
 
Session type: poster
 

Strategic interactions of fiscal policies in Europe: a global VAR perspective
   Presented by: Catalin Dragomirescu-Gaina, European Commission, Joint Research Centre
 

Is there any relationship between the rates of interest and profit in the U.S. economy?
   Presented by: Ivan Mendieta-Munoz, University of Kent
 

What Drives the Fluctuations in Exchange Rates of Emerging Markets -- A Multi-Level Dynamic Factor Approach
   Presented by: Clark Liu, Tsinghua University
 

Income distribution and the current account: a sectoral perspective
   Presented by: Jan Behringer, Macroeconomic Policy Institute (IMK)
 

A Century of nominal history in Argentina: monetary instability and non-neutralities
   Presented by: Laura D'Amato, Banco Central De La Republica Argentina
 

Inequality Accounting for a Large Cross-Section of Countries
   Presented by: Davide Fiaschi, University of Pisa
 

Destabilising effects of bank overleveraging on real activity – An analysis based on a nonlinear mixed-cross-section GVAR
   Presented by: Marco Gross, European Central Bank
 

Opening the Red Budget Box: Nonlinear Effects of a Tax Shock in the UK
   Presented by: Valentina Colombo, University of Padova, Central Bank of Ireland
 

Output growth and volatility. The role of financial integration in developing and industrial countries.
   Presented by: Izabela Sobiech, Goethe University Frankfurt
 
Session 62: Poster - Applied Time Series
June 26, 2015 14:15 to 14:45
"OLYMPIA C" Lecture Theatre
 
Session type: poster
 

Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy.
   Presented by: Roselyne Joyeux, Macquarie University
 

Dynamic structural spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence
   Presented by: Nikolaos Antonakakis, Vienna University of Economics and Busin
 

Adaptive Models and Hevay Tails
   Presented by: Davide Delle Monache, Bank of Italy
 

Structural break tests robust to regression misspecification
   Presented by: Alaa Abi Morshed, Tilburg University
 

Fiscal Spending Shocks, Abnormal Stock Returns and the Fiscal Multiplier
   Presented by: Nils Wittmann, TU Dortmund University
 

EVAULATING GDP AND INFLATION FORECASTING MODELS
   Presented by: Sima Siami Namini, Texas Tech University
 

Asymmetric Vector Autoregressive Moving Average Models
   Presented by: John Keating, University of Kansas
 
Session 63: “Precommitments for Financial Self-Control: Evidence from the 2003 Korean Credit Crisis” by John Rust
June 26, 2015 14:50 to 15:50
“VOULA PATOULIDOU” Lecture Theatre
 
Session Chair: Thierry Magnac, Toulouse School of Economics
Session type: invited
 

Precommitments for Financial Self-Control: Evidence from the 2003 Korean Credit Crisis
   Presented by: John Rust, Georgetown University
 
Session 64: Panel Data Models with Cross-Section Dependence
June 26, 2015 16:10 to 17:30
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: M. Hashem Pesaran, University of Southern California, and Trinity College, Cambridge
Session type: contributed
 

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
   Presented by: L. Vanessa Smith, University of York
 

Detection of Structural Breaks in Linear Dynamic Panel Data Models with a Multi-Factor Structure
   Presented by: Huanjun Zhu, Monash University
 

UNIT ROOT INFERENCE IN GENERALLY TRENDING AND CROSS-CORRELATED FIXED-T PANELS
   Presented by: Vasilis Sarafidis, Monash University
 

Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors
   Presented by: M. Hashem Pesaran, University of Southern California, and Trinity College, Cambridge
 
Session 65: Labor Economics IV
June 26, 2015 16:10 to 17:30
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Thierry Magnac, Université de Toulouse
Session type: contributed
 

Participation and wages in the New Zealand labour market market:: An analysis using copulas
   Presented by: Murat Genc, University of Otago
 

Geographical constraints in track choices : a French study using high school openings
   Presented by: Meryam Zaiem, CREST-EHESS
 

Estimating On-the-job Search and the Effects of Income Taxation: A Structural Approach
   Presented by: Guillaume Wilemme, Sciences Po Paris
 

College Choice Allocation Mechanisms: Structural Estimates and Counterfactuals
   Presented by: Thierry Magnac, Université de Toulouse
 
Session 66: Credit and Savings
June 26, 2015 16:10 to 17:30
“OLYMPIA A” Lecture Theatre
 
Session Chair: Tiago Pires, University of North Carolina
Session type: contributed
 

The Effect of House Price Changes on Household Saving Behaviour: A Theoretical and Empirical Study of the Dutch Case
   Presented by: Eduard Suari-Andreu, University of Groningen
 

The banks that said no: banking relationships, credit supply and corporate outcomes in the United Kingdom
   Presented by: May Rostom, University College London & Bank of England
 

Cash-constrained Households and Product Size
   Presented by: Tiago Pires, University of North Carolina
 
Session 67: Development Economics II
June 26, 2015 16:10 to 17:30
“OLYMPIA B” Lecture Theatre
 
Session Chair: Heather Anderson, Monash University
Session type: contributed
 

INFORMAL EMPLOYMENT IN DEVELOPING ECONOMIES: MULTIPLE HETEROGENEITY
   Presented by: Natalia Radchenko, Economics
 

Microeconometric Evaluation of Malaria Control Programs in Sub-Saharan Africa
   Presented by: Selver Derya Uysal, Institute for Advanced Studies, Vienna
 

Updating Poverty Estimates in the Absence of Regular and Comparable Consumption Data: Methods and Illustration with Reference to a Middle-Income Country
   Presented by: Hai-Anh Dang, World Bank
 

How Do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries?
   Presented by: Heather Anderson, Monash University
 
Session 68: Panel Data Models I
June 26, 2015 16:10 to 17:30
“OLYMPIA C” Lecture Theatre
 
Session Chair: Geert Dhaene, KU Leuven
Session type: contributed
 

Iterative Estimation Correcting for Error Autocorrelation in Short Panels Applied to Lagged Dependent Variable Models
   Presented by: Rembert De Blander, KU Leuven
 

A Jacobian Approach to Solve the Incidental Parameter Problem
   Presented by: Guangjie LI, Cardiff University
 

Exponential regression of panel data fractional response models
   Presented by: Esmeralda Ramalho, University of Evora
 

Profile score adjustments for incidental parameter problems
   Presented by: Geert Dhaene, KU Leuven
 
Session 69: Oil and macroeconomic uncertainty
June 26, 2015 16:10 to 17:30
“OLYMPIA D” Lecture Theatre
 
Session Chair: Jesus Otero, Universidad del Rosario
Session type: contributed
 

Oil and macroeconomic (in)stability
   Presented by: Vegard Larsen, BI Norwegian Business School
 

Global Oil Prices and Recessions: the Role of Nontradeables
   Presented by: Makram Khalil, University of Vienna, Vienna Graduate School of Economics
 

Sources and Consequences of Oil Price Fluctuations: A VAR Approach
   Presented by: Michele Cavallo, Board of Governors of the Federal Reserv
 

Integration in Gasoline and Ethanol Markets in Brazil over Time and Space under the Flex-fuel Technology
   Presented by: Jesus Otero, Universidad del Rosario
 
Session 70: Density Forecasting
June 26, 2015 16:10 to 17:30
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Lena Koerber,
Session type: contributed
 

Dynamic Predictive Density Combinations for Large Datasets
   Presented by: Stefano Grassi, University of Kent
 

Alternative Tests for Correct Specification of Conditional Predictive Densities
   Presented by: Tatevik Sekhposyan, Texas A&M University
 

Evaluating UK point and density forecasts from an estimated DSGE model: the role of off-model information over the financial crisis
   Presented by: Lena Koerber,
 
Session 71: Monetary policy III
June 26, 2015 16:10 to 17:30
“ILIDA” Lecture Theatre
 
Session Chair: Gregory Bauer, Bank of Canada
Session type: contributed
 

Hot Money and Quantitative Easing: The Spillover E ects of U.S. Monetary Policy on the Chinese Economy
   Presented by: Ji Zhang, Tsinghua University PBC School of Finance
 

Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S.
   Presented by: Emanuele Bacchiocchi, University of Milan
 

International House Price Cycles, Monetary Policy and Risk Premiums
   Presented by: Gregory Bauer, Bank of Canada
 
Session 72: Data Rich Environments
June 26, 2015 16:10 to 17:30
MEETING ROOM I
 
Session Chair: Dalibor Stevanovic, Université du Québec à Montréal
Session type: contributed
 

Can a data-rich environment help identify the sources of model misspecification?
   Presented by: Francesca Monti, Bank of England
 

Modelling Time Varying Volatility Spillovers and Conditional Correlations Across Commodity Metal Futures
   Presented by: Faek Menla Ali, Brunel University London
 

Output gap and inflation forecasts in a Bayesian dynamic factor model of the euro area
   Presented by: Marek Jarocinski, European Central Bank
 

FACTOR AUGMENTED AUTOREGRESSIVE DISTRIBUTED LAG MODELS WITH MACROECONOMIC APPLICATIONS
   Presented by: Dalibor Stevanovic, Université du Québec à Montréal
 
Session 73: Trend-Cycle Decompositions and the Frequency Domain
June 26, 2015 16:10 to 17:30
MEETING ROOM II
 
Session Chair: Manuel Gonzalez-Astudillo, Board of Governors of the Federal Reserve System
Session type: contributed
 

Synchronization of Cycles in a Data-Rich Environment
   Presented by: Cem Cakmakli, Koc University
 

Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis
   Presented by: Christian Proaño, University of Bamberg
 

What Do Professional Forecasters Actually Predict?
   Presented by: Didier Nibbering, Erasmus University Rotterdam
 

When Can Trend-Cycle Decompositions Be Trusted?
   Presented by: Manuel Gonzalez-Astudillo, Board of Governors of the Federal Reserve System
 
Session 74: Unconventional monetary policy
June 26, 2015 16:10 to 17:30
MEETING ROOM III
 
Session Chair: Kirstin Hubrich, European Central Bank
Session type: contributed
 

Unconventional Monetary Policy and International Risk Premia
   Presented by: Chiara Scotti, Federal Reserve Board
 

Monetary policy propagation and uncertainty
   Presented by: Esteban Prieto, Deutsche Bundesbank
 

A large-dimensional factor analysis of the Federal Reserve's large-scale asset purchases
   Presented by: Lasse Bork, Aalborg University
 

Monetary and financial stability policy: Unconventional monetary policy, leverage and financial stress
   Presented by: Kirstin Hubrich, European Central Bank
 
Session 75: “Unemployment and Business Cycles” by Larry Christiano
June 27, 2015 9:00 to 10:00
“VOULA PATOULIDOU” Lecture Theatre
 
Session Chair: Barbara Rossi, ICREA Universitat Pompeu Fabra Barcelona
Session type: invited
 
Session 76: Large Data/Model Combination
June 27, 2015 10:30 to 11:50
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: Michael McCracken, Federal Reserve Bank of St Louis
Session type: contributed
 

Model pooling and changes in the informational content of predictors: an empirical investigation for the euro area
   Presented by: Tim Schwarzmüller, Kiel Institute for the World Economy
 

Optimal Portfolio Choice under Decision-Based Model Combinations
   Presented by: Francesco Ravazzolo, Norges Bank
 

LASSO-type penalties for covariate selection and forecasting in time series
   Presented by: Flavio Ziegelmann, Universidade Federal do Rio Grande do Sul
 

FRED-MD: A Monthly Database for Macroeconomic Research
   Presented by: Michael McCracken, Federal Reserve Bank of St Louis
 
Session 77: Semi and Nonparametric Econometrics IV
June 27, 2015 10:30 to 11:50
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Robin Sickles, Rice University
Session type: contributed
 

Nonparametric Discrete Choice Models for Time Series: Theory and Application to Predicting Recessions
   Presented by: Valentin Zelenyuk, The University of Queensland
 

Diagnostic Tests for the Selection-on-Observables Assumption: The Case of Women, Infants, and Children Program
   Presented by: Nese Yildiz, University of Rochester
 

On the Existence of Root-N Estimators of Linear Functionals in Non-Parametric IV Models
   Presented by: Laurent Davezies, Centre de Recherche en Économie et Statistique
 

Semiparametric Estimation under Shape Constraints
   Presented by: Robin Sickles, Rice University
 
Session 78: Information and Learning in Macroeconomics
June 27, 2015 10:30 to 11:50
“OLYMPIA A” Lecture Theatre
 
Session Chair: John Barrdear, Bank of England
Session type: contributed
 

Are the DSGE model shocks fundamental or redundant ?
   Presented by: Filippo Ferroni, Banque de France
 

Information Rigidity in Macroeconomic Forecasts: An International Empirical Investigation
   Presented by: Jonathan Wallen, American University
 

Learning and the Market for Housing
   Presented by: Eyno Rots, Central Bank of Hungary
 

Towards a New Keynesian Theory of the Price Level
   Presented by: John Barrdear, Bank of England
 
Session 79: Factor Models
June 27, 2015 10:30 to 11:50
“OLYMPIA B” Lecture Theatre
 
Session Chair: Marco Lippi, Einaudi Institute for Economics and Finance
Session type: contributed
 

In-sample inference and forecasting in misspecified factor models
   Presented by: Barbara Rossi, ICREA Universitat Pompeu Fabra Barcelona
 

Supervision in Factor Models Using a Large Number of Predictors
   Presented by: Lorenzo Boldrini, CREATES
 

Sufficient Reductions in Dynamic Factor Models
   Presented by: alessandro barbarino, Federal Reserve Board
 

Dynamic Factor Model with Infinite-Dimensional Factor Space: Forecasting
   Presented by: Marco Lippi, Einaudi Institute for Economics and Finance
 
Session 80: Panel Data: Measurement Error, Endogeneity, and Treatment Effects
June 27, 2015 10:30 to 11:50
“OLYMPIA C” Lecture Theatre
 
Session Chair: Laura Spierdijk, University of Groningen
Session type: contributed
 

Identification of causal effects in recursive settable systems and its testability
   Presented by: Joeri Smits, ETH Zurich
 

OLS and IV estimation of regression models including endogenous interaction terms
   Presented by: Maurice Bun, University of Amsterdam
 

Synthesizing Aright: How to Avoid Pitfalls of Synthetic Control Methods
   Presented by: Manuel Schieler, Saarland University
 

Consistent Estimation of Linear Panel Data Models with Measurement Error
   Presented by: Laura Spierdijk, University of Groningen
 
Session 81: Mixed Frequency/MIDAS
June 27, 2015 10:30 to 11:50
“OLYMPIA D” Lecture Theatre
 
Session Chair: Boriss Siliverstovs, ETH Zurich
Session type: contributed
 

Variable selection in predictive MIDAS models
   Presented by: Clément Marsilli, Banque de France
 

Linearity in Mixed-Frequency Regressions: Estimation, Model Uncertainty, and Monitoring
   Presented by: Yu-chin Chen, University of Washington
 

Using Low Frequency Information for Predicting High Frequency Variables
   Presented by: Claudia Foroni, Norges Bank
 

Short-term forecasting with mixed-frequency data: A MIDASSO approach
   Presented by: Boriss Siliverstovs, ETH Zurich
 
Session 82: Labor markets, monetary policy and the macroeconomy
June 27, 2015 10:30 to 11:50
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Thomas Lubik, Federal Reserve Bank of Richmond
Session type: contributed
 

Labor Supply Factors and Economic Fluctuations
   Presented by: Francesco Furlanetto, Norges Bank
 

It Ain't Over Till It's Over: Great 4 int the Way it all Began
   Presented by: Claudio Morana, Università di Milano Bicocca
 

Labor Market Policies and the "Missing Deflation" Puzzle : Lessons from Hoover Policies during the Great Depression.
   Presented by: Jordan Roulleau-Pasdeloup, HEC Lausanne
 

Beveridge Curve Shifts and Time-Varying Parameter VARs
   Presented by: Thomas Lubik, Federal Reserve Bank of Richmond
 
Session 83: Panel Data Empirical
June 27, 2015 10:30 to 11:50
“ILIDA” Lecture Theatre
 
Session Chair: Alessandra Marcelletti, University of Rome, Tor Vergata
Session type: contributed
 

Export Dynamics Since the Great Trade Collapse: A cross-country analysis
   Presented by: John Lewis, Bank of England
 

Service sector mark-ups and product market regulation
   Presented by: Erik Canton, European Commission, DG ECFIN
 

MLE for panel count data models with spatio-temporal dynamics: An application to urban crime
   Presented by: Jan Vogler, Univsersity of Cologne
 

Estimating the determinants of growth stability and instability in Sub - Saharan African countries: a Markov Switching Approach
   Presented by: Alessandra Marcelletti, University of Rome, Tor Vergata
 
Session 84: Futures and options
June 27, 2015 10:30 to 11:50
MEETING ROOM I
 
Session Chair: Konstantinos Metaxoglou, Carleton University
Session type: contributed
 

GARCH Option Pricing Models: Evidence from Joint Likelihood Estimations
   Presented by: Ioannis Papantonis, Aristotle University of Thessaloniki
 

Option-implied probability distributions: how reliable? how jagged?
   Presented by: Marco Taboga, Bank of Italy
 

Exponential Tilting with Variance Risk Premia: Equity Premium and Oil Prices
   Presented by: Konstantinos Metaxoglou, Carleton University
 
Session 85: Health Economics III
June 27, 2015 10:30 to 11:50
MEETING ROOM II
 
Session Chair: Mathilde GODARD, CREST-Université Paris-Dauphine
Session type: contributed
 

When Initial Health Matters: Quantile Regression Results of the Effect of Unemployment on Health
   Presented by: Valentin Schiele, University of Paderborn
 

Health Status and Labor Force Participation: Evidence for Urban Low and Middle Income Individuals in Colombia
   Presented by: Ligia Melo, Banco de la Republica
 

The lasting health impact of leaving school in a bad economy : Britons in the 1970s recession.
   Presented by: Mathilde GODARD, CREST-Université Paris-Dauphine
 
Session 86: Business cycle fluctuations
June 27, 2015 10:30 to 11:50
MEETING ROOM III
 
Session Chair: Stephane Lhuissier, CEPII
Session type: contributed
 

Great Moderation and Great Recession: From plain sailing to stormy seas?
   Presented by: Ana Gómez-Loscos, Banco de España
 

Fair Weather or Foul? The Macroeconomic Effects of El Niño
   Presented by: Mehdi Raissi, International Monetary Fund
 

Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach
   Presented by: Paolo Gelain, Norges Bank
 

The Markov-switching Volatility of Euro Area Business Cycles
   Presented by: Stephane Lhuissier, CEPII
 
Session 87: Advances in Time Series Methodology III
June 27, 2015 12:10 to 13:30
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: Martin Wagner, Technische Universität Dortmund
Session type: contributed
 

SURVEYS AND INFERENCE FOR DYNAMIC ECONOMIES WITH POSSIBLY ENDOGENOUS FRICTIONS
   Presented by: Andreas Tryphonides, EUI
 

Serial Correlation Common Noncausal Features
   Presented by: Alain Hecq, Maastricht University
 

An Integrated Modified OLS RESET Test for Cointegrating Regressions
   Presented by: Martin Wagner, Technische Universität Dortmund
 
Session 88: Panel Data Models with Spatial Dependence
June 27, 2015 12:10 to 13:30
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Natalia Bailey, Queen Mary, University of London
Session type: contributed
 

Is Loan Dollarization Contagious across Countries? Evidence from Transition Economies
   Presented by: Christos Savva, Cyprus University of Technology
 

NETWORKS AND PRODUCT INNOVATION ACROSS EUROPEAN SMEs
   Presented by: Nadine Behncke, University of Göttingen
 

Estimating Capital Flows to Emerging Market Economies with Heterogeneous Panels
   Presented by: Marco Hernandez Vega, Banco de Mexico
 

Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients
   Presented by: Natalia Bailey, Queen Mary, University of London
 
Session 89: Forecasting Inflation
June 27, 2015 12:10 to 13:30
“OLYMPIA A” Lecture Theatre
 
Session Chair: PHILIPPE ANDRADE, ECB
Session type: contributed
 

Forecasting output and inflation with global components. This time is different
   Presented by: Leif Anders Thorsrud, BI Norwegian Business School
 

Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey
   Presented by: Cem Cakmakli, University of Amsterdam
 

Inflation Risks Measures and Their Informational Content
   Presented by: PHILIPPE ANDRADE, ECB
 
Session 90: Bayesian methods
June 27, 2015 12:10 to 13:30
“OLYMPIA B” Lecture Theatre
 
Session Chair: Dmitry Kulikov, Eesti Pank
Session type: contributed
 

Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR
   Presented by: Inske Pirschel, Kiel Institute for the World Economy
 

Monte Carlo Evidence on Local Bayesian Likelihood
   Presented by: Katerina Petrova, Queen Mary University London
 

Are Professional Forecasters Bayesian?
   Presented by: Sebastiano Manzan, Baruch College, CUNY
 

Identifying Shocks in Structural VAR Models via Heteroskedasticity: a Bayesian Approach
   Presented by: Dmitry Kulikov, Eesti Pank
 
Session 91: Advances in DSGE Modeling
June 27, 2015 12:10 to 13:30
“OLYMPIA C” Lecture Theatre
 
Session Chair: Edward Herbst, Federal Reserve Board
Session type: contributed
 

Foreign Shocks in an Estimated Multi-Sector Model
   Presented by: Drago Bergholt, Norges Bank
 

Exact Inference in DSGE Models
   Presented by: Zhenjiang Lin, Carleton University
 

Misspecification and Expectations Correction in New Keynesian DSGE Models
   Presented by: Luca Fanelli, University of Bologna
 

Particle MCMC and Sequential Monte Carlo Squared for DSGE Models
   Presented by: Edward Herbst, Federal Reserve Board
 
Session 92: Networks II
June 27, 2015 12:10 to 13:30
“OLYMPIA D” Lecture Theatre
 
Session Chair: Elena Manresa, MIT Sloan
Session type: contributed
 

Dynamic Network Formation: Theory and Estimation
   Presented by: Terence Johnson, University of Notre Dame
 

Regulation under Asymmetric Information in Road Transport Networks
   Presented by: Jung You, California State University-East Bay
 

Spillover Effects of Local Human Capital Stock on Adult Obesity: Evidence from German Neighborhoods
   Presented by: Rui Dang, Ruhr Graduate School in Economics and RWI
 

Estimating the structure of social interactions using panel data
   Presented by: Elena Manresa, MIT Sloan
 
Session 93: Labor V
June 27, 2015 12:10 to 13:30
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Naomi Gershoni, Tel Aviv University
Session type: contributed
 

Heterogeneity, Endogeneity, Measurement Error and Identification of the Union Wage Impact
   Presented by: Georgios Chrysanthou, University of Alicante
 

The Effects of On-the-job and Out-of-Employment Training Programmes on Labour Market Histories
   Presented by: Sylvie Blasco, University of Le mans
 

Unemployment and Electoral Support for Dominant Parties: Not Always their "Achilles Heel"
   Presented by: Dimitrios Xefteris, University of Cyprus
 

The Impact of Extended Reproductive Time Horizons: Evidence from Israel's Expansion of Access to IVF
   Presented by: Naomi Gershoni, Tel Aviv University
 
Session 94: Empirical Micro V
June 27, 2015 12:10 to 13:30
“ILIDA” Lecture Theatre
 
Session Chair: Fatima Kareem, Georg-August University of Goettingen, Germany
Session type: contributed
 

Accounting for unobserved heterogeneity in micro-econometric agricultural production models: a random parameter approach
   Presented by: Philippe Koutchade, INRA
 

On probabilistic expectations and rounding in surveys
   Presented by: Fabian GOURET, Université de Cergy-Pontoise
 

Causal Inference and the Study of International Institutions
   Presented by: Rosalba Radice, Birkbeck
 

Implications of European Union Food Regulations on Developing Countries: Food Safety Standards, Entry Price System and Africa’s Exports
   Presented by: Fatima Kareem, Georg-August University of Goettingen, Germany
 
Session 95: Health Economics IV
June 27, 2015 12:10 to 13:30
MEETING ROOM I
 
Session Chair: Nicola Ciccarelli,
Session type: contributed
 

Health in Former French West Africa: Main Determinants of Colonial Policies
   Presented by: Léa Rouanet, PSE-CREST
 

Cancelled Procedures in the English NHS: Evidence from a Recent Tariff Reform
   Presented by: Ioannis Laliotis, University of Surrey
 

(Non-Elderly) Health Insurance Coverage, Moral Hazard and Crime
   Presented by: Nicola Ciccarelli,
 
Session 96: Retirement
June 27, 2015 12:10 to 13:30
MEETING ROOM II
 
Session Chair: Xiaodong Fan, University of New South Wales
Session type: contributed
 

2003 reform of the French public pension scheme: Impact of financial incentives on retirement decision
   Presented by: Pierre Gouedard, Sciences Po - LIEPP
 

Do longevity expectations influence retirement behaviour?
   Presented by: Owen O'Donnell, Erasmus University Rotterdam & University of Macedonia
 

Retirement Savings: A Tale of Decisions and Defaults
   Presented by: Xiaodong Fan, University of New South Wales
 
Session 97: Poster - Theoretical Time Series
June 27, 2015 14:15 to 14:45
“OLYMPIA A” Lecture Theatre
 
Session type: poster
 

Confidence Sets for the Break Date Based on Optimal Tests
   Presented by: Eiji Kurozumi, Hitotsubashi University
 

A Note on the Bartlett Correction Factor for Tests on Cointegrating Relations
   Presented by: Alessandra Canepa, Brunel University
 

Likelihood Ratio Test for Change in Persistence
   Presented by: Anton Skrobotov, Russian Presidential Academy of National Economy and Public Administration
 

New Solutions of the Imbalanced Regressions With Their Applications to Two Finance Puzzles
   Presented by: Wanyi Lee, National Tsing Hua University
 

Point Optimal Testing: A Survey of the Post 1987 Literature
   Presented by: Maxwell King, Monash University
 
Session 98: Poster - Applied Cross Section/Panel
June 27, 2015 14:15 to 14:45
“OLYMPIA B” Lecture Theatre
 
Session type: poster
 

Electricity sector performance: A panel threshold analysis
   Presented by: MICHAEL POLEMIS, University of Piraeus
 

Estimating income elasticities of leisure activities using cross-sectional categorized data
   Presented by: Jorge Gonzalez Chapela, Centro Universitario de la Defensa de Zaragoza
 

Retrieving initial capital distributions from panel data
   Presented by: Tatiana Plotnikova, STATEC
 

The Effects of Dismissal Protection on Wage Tenure Profiles
   Presented by: Christine Luecke, Otto von Guericke University
 

A fixed effects ordered choice model with flexible thresholds
   Presented by: Firat Yaman, City University London
 

Endogeneity in Stochastic Frontier Models: Likelihood Instrumental Variable and Copula Approach When No Additional Data are Available
   Presented by: Kien Tran, University of Lethbridge
 

The well-being of Russian cities: does location matter?
   Presented by: Vera Ivanova, NRU Higher School of Economics
 
Session 99: Poster - Semi and Nonparametric Econometrics
June 27, 2015 14:15 to 14:45
“OLYMPIA B” Lecture Theatre
 
Session type: poster
 

Modeling Heterogeneity by Structural Models with Varying Coefficients
   Presented by: Giacomo Benini, Université de Genève
 
Session 100: Poster - Panel/Cross Section Theory
June 27, 2015 14:15 to 14:45
“OLYMPIA B” Lecture Theatre
 
Session type: poster
 

The flexible Fourier form and panel stationary test with gradual shifts
   Presented by: Saban Nazlioglu, Pamukkale University
 
Session 101: “Discrete Heterogeneity in Econometrics: Some Properties and Applications” by Stephane Bonhomme
June 27, 2015 14:50 to 15:50
“VOULA PATOULIDOU” Lecture Theatre
 
Session Chair: Jonathan Wright, Johns Hopkins University
Session type: invited
 
Session 102: Panel Data Models II
June 27, 2015 16:10 to 17:30
“VOULA PATOULIDOU I” Lecture Theatre
 
Session Chair: Arturas Juodis, University of Amsterdam
Session type: contributed
 

Nonparametric estimation of fixed effects panel data varying coefficient models
   Presented by: Alexandra Soberon, Universidad de Cantabria
 

A Simple Method to Estimate Large Fixed Effects Models Applied to Wage Determinants and Matching
   Presented by: Nikolas Mittag, CERGE-EI, Charles University
 

Some estimators for dynamic panel data sample selection models
   Presented by: José Labeaga, UNED
 

Simplified Estimators for Dynamic Panels with a Multi-factor Error Structure
   Presented by: Arturas Juodis, University of Amsterdam
 
Session 103: Spatial Macro
June 27, 2015 16:10 to 17:30
“VOULA PATOULIDOU II” Lecture Theatre
 
Session Chair: Daniel Soques, University of North Carolina at Chapel Hill
Session type: contributed
 

Testing for spatial market integration: Evidence for Colombia using a pair-wise approach
   Presented by: Ana Iregui, Banco de la Republica
 

Spatial Clubs in European Regions
   Presented by: Lisa Gianmoena, University of Pisa
 

Business Cycles Across Space and Time
   Presented by: Daniel Soques, University of North Carolina at Chapel Hill
 
Session 104: Spatial Econometrics
June 27, 2015 16:10 to 17:30
“OLYMPIA A” Lecture Theatre
 
Session Chair: Renata Rabovic, Tilburg University
Session type: contributed
 

Testing for Unit Roots in Panels with Structural Changes, Spatial and Temporal Dependence when the Time Dimension is Finite
   Presented by: Yiannis Karavias, University of Nottingham
 

Indirect Inference in Spatial Autoregression
   Presented by: Maria Kyriacou, University of Southampton
 

Partial Maximum Likelihood Estimation of Spatial Sample Selection Models
   Presented by: Renata Rabovic, Tilburg University
 
Session 105: Financial frictions
June 27, 2015 16:10 to 17:30
“OLYMPIA B” Lecture Theatre
 
Session Chair: Benjamin Beckers, DIW Berlin
Session type: contributed
 

Capital regulation and macroeconomic activity
   Presented by: Roland Meeks, Bank of England
 

Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability
   Presented by: Daniel Buncic, University of St. Gallen
 

Corporate investment and bank-dependent borrowers during the recent financial crisis
   Presented by: Philip Vermeulen, ECB
 

The real-time predictive content of asset price bubbles for macro forecasts
   Presented by: Benjamin Beckers, DIW Berlin
 
Session 106: Noise, News and Sentiment Shocks
June 27, 2015 16:10 to 17:30
“OLYMPIA C” Lecture Theatre
 
Session Chair: Zeno Enders, University of Heidelberg
Session type: contributed
 

Identifying Noise Shocks: a VAR with Data Revisions
   Presented by: Riccardo Maria Masolo, Bank of England
 

Sentiments in the Times of Crisis
   Presented by: Antonio Conti, Bank of Italy
 

Growth expectations, undue optimism, and short-run fluctuations
   Presented by: Zeno Enders, University of Heidelberg
 
Session 107: Banking
June 27, 2015 16:10 to 17:30
“OLYMPIA D” Lecture Theatre
 
Session Chair: Maximilian Podstawski, DIW Berlin
Session type: contributed
 

Interconnectedness in the Interbank Market
   Presented by: Celso Brunetti, Federal Reserve Board
 

Validating the use of the stochastic frontier model to estimate borrowing constraints from loan samples
   Presented by: Risto Herrala, European Central Bank
 

Are Banks in more Concentrated Markets less Stable? Evidence from the EU-25.
   Presented by: Pieter IJtsma, University of Groningen
 

The State Dependent Impact of Bank Exposure on Sovereign Risk
   Presented by: Maximilian Podstawski, DIW Berlin
 
Session 108: Yield Curve II
June 27, 2015 16:10 to 17:30
“KALLIPATIRA” Lecture Theatre
 
Session Chair: Guillaume Horny, Banque de France
Session type: contributed
 

The UK Term Structure at the Zero Lower Bound
   Presented by: Sarah Mouabbi, Banque de France
 

Declining discount rates and the ‘Fisher Effect’: Inflated past, discounted future?
   Presented by: Ekaterini Panopoulou, University of Kent
 

Cross-Country Co-movement in Long-Term Interest Rates: A DSGE Approach
   Presented by: Thomai Filippeli, Queen Mary University of London
 

Measuring Financial Fragmentation in the Euro area Corporate Bond Market
   Presented by: Guillaume Horny, Banque de France
 
Session 109: Time varying parameters II
June 27, 2015 16:10 to 17:30
“ILIDA” Lecture Theatre
 
Session Chair: Davide Delle Monache, Bank of Italy
Session type: contributed
 

A unified theory for time varying models: foundations with applications in the presence of breaks and heteroscedasticity
   Presented by: Menelaos Karanasos, Brunel University
 

Large Time-Varying Parameter VAR: a nonparametric approach
   Presented by: Fabrizio Venditti, Banca d'Italia
 

Testing for misspecification in GARCH-type models
   Presented by: Thomas Chuffart, Aix-Marseille University (Aix-Marseille
 

Common faith or parting ways? A time varying parameters factor analysis of euro area inflation
   Presented by: Davide Delle Monache, Bank of Italy
 
Session 110: Estimation II
June 27, 2015 16:10 to 17:30
MEETING ROOM I
 
Session Chair: Xu Cheng, University of Pennsylvania
Session type: contributed
 

Modelling reporting behaviour and mis-classification: An application to illegal drug consumption
   Presented by: Preety Srivastava, Royal Melbourne Institute of Technology
 

Mostly Harmless Simulations? On the Internal Validity of Empirical Monte Carlo Studies
   Presented by: Tymon Słoczyński, Warsaw School of Economics
 

Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspeci…cation
   Presented by: Xu Cheng, University of Pennsylvania
 
Session 111: Education II
June 27, 2015 16:10 to 17:30
MEETING ROOM II
 
Session Chair: Santiago Pereda-Fernández, Banca d'Italia
Session type: contributed
 

Knowing who you are: The effect of feedback information on exam placement
   Presented by: Rigissa Megalokonomou, University of Warwick
 

High Performance Work Practices, Hierarchical Ordering of Competencies and Educational Mismatch: The Effects on Competency Creation and Destruction
   Presented by: Riccardo Leoni, University of Bergamo
 

Does Higher Education Cause Political Participation?: Evidence From a Regression Discontinuity Design
   Presented by: Alex Solis, Uppsala University
 

Teachers and Cheaters. Just an Anagram?
   Presented by: Santiago Pereda-Fernández, Banca d'Italia
 
Session 112: Exchange Rates
June 27, 2015 16:10 to 17:30
MEETING ROOM III
 
Session Chair: Ronald MacDonald, Adam Smith Business School, University of Glasgow
Session type: contributed
 

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
   Presented by: Huichou Huang, University of Glasgow
 

Trade margins and exchange rate regimes: new evidence from a Panel VARX model
   Presented by: Stefano d'Addona, University of Rome 3
 

Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates
   Presented by: Emerson Marçal, CEMAP-EESP-FGV and CSSA-Mackenzie
 

The Term Structure of Exchange Rate Predictability: A Tale of Two Scopes
   Presented by: Ronald MacDonald, Adam Smith Business School, University of Glasgow
 

112 sessions, 411 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
2Abbate, AngelaP54
3Abi Morshed, AlaaP62
4Albarran, PedroP15
5Altavilla, CarloP31
6Amir Ahmadi, PooyanP2
7Anatolyev, StanislavC23, P23
8Anderson, GordonP58
9Anderson, HeatherC67, P67
10ANDRADE, PHILIPPEC89, P89
11Angelini, ViolaP10
12Angelini, GiovanniD61
13Antonakakis, NikolaosP62
14Aquaro, MicheleD98
15Aslanidis, NektariosP17
16Aydemir, AbdurrahmanP21
17Bacchiocchi, EmanueleP71
18Badev, AntonP45
19Bailey, NataliaC88, P88
20Baillie, RichardC50, P50
21Bakas, DimitriosD61
22Balia, SilviaP59
23Bamieh, OmarP19
24Banerjee, RyanP44
25barbarino, alessandroP79
26Barrdear, JohnC78, P78
27Bauer, GregoryC71, P71
28Beckers, BenjaminC105, P105
29Behncke, NadineP88
30Behringer, JanP61
31Bellet, ClementP25
32Benini, GiacomoP99
33Benos, EvangelosP7
34Bergholt, DragoP91
35Bernardini, MarcoP41
36Bhattacharya, DebopamP30
37Bialek, SylwiaP41
38Bjørnland, HildeC55, P55
39Blasco, SylvieP93
40Boldrini, LorenzoP79
41Bonhomme, StephaneD100
42Bontemps, ChristianC49, P49
43Bork, LasseP74
44Boucher, VincentC45, P45
45Braumann, AlexanderD97
46Brendea, GabrielaP24
47Briglevics, TamasP56
48Brunetti, CelsoP107
49Bun, MauriceP80
50Buncic, DanielP105
51Cai, BiqingP49
52Cakmakli, CemP89
53Cakmakli, CemP73
54calderon, angelP47
55Cameron, ColinC39, P39
56Canepa, AlessandraP97
57Canova, FabioC38
58Canton, ErikP83
59Capuano, StellaC16, P16
60Carpentier, AlainD25
61Caruso, AlbertoP23
62Cavallo, MicheleP69
63Chakravarty, AbhishekP9
64Chang, YoosoonP28
65Chauvet, MarcelleD61
66Chen, Yi-TingP10
67Chen, Yu-chinP81
68Cheng, XuC110, P110
69Chernozhukov, VictorD99
70Chevillon, GuillaumeP50
71Chortareas, GeorgiosP57
72Christiano, LawrenceD97
73Chrysanthou, GeorgiosP93
74Chudik, AlexanderP13
75Chuffart, ThomasP109
76Ciccarelli, NicolaC95, P95
77Cipollini, AndreaP5
78Colombo, ValentinaP61
79Conrad, ChristianP49
80Conti, AntonioP106
81Cornea-Madeira, AdrianaP32
82Coroneo, LauraP43
83Cubí Mollá, PatriciaD98
84d'Addona, StefanoP112
85D'Amato, LauraP61
86Dachille, GiuseppeC56, P56
87Dalla, ViolettaP8
88Dang, RuiP92
89Dang, Hai-AnhP67
90Davezies, LaurentP77
91De Blander, RembertP68
92Deistler, ManfredC3, P3
93Del Negro, MarcoD62
94Delle Chiaie, SimonaP55
95Delle Monache, DavideP62, C109, P109
96Dhaene, GeertC68, P68
97DiCecio, RiccardoP31
98Dragomirescu-Gaina, CatalinP61
99Duguet, EmmanuelP11
100Dunn, RichardP12
101Eckernkemper, TobiasP37
102Eilers, LeaP35
103Eksi, OzanD61
104Ellwanger, ReinhardP37
105Emvalomatis, GrigoriosP5
106Enders, ZenoC106, P106
107Ertur, CemP35
108Fabre, BriceP48
109Fachin, StefanoP35
110Fan, XiaodongC96, P96
111Fanelli, LucaP91
112Farbmacher, HelmutC34, P34
113Femenia, FabienneD25
114Fernandez-Val, IvanC15, P15
115Ferreira Sequeda, MariaP46
116Ferroni, FilippoP78
117Fiaschi, DavideP61
118Filippeli, ThomaiP108
119Foroni, ClaudiaP81
120Fossati, SebastianP13
121Fountas, StilianosC26, D62
122Fresoli, DiegoD99
123Fuentes Albero, CristinaP31
124Furlanetto, FrancescoP82
125Galassi, GabrielaP11
126Gan, ZhuojiongP51
127García-Suaza, AndrésC11, P11
128Gómez-Loscos, AnaP86
129Gelain, PaoloP86
130Genc, MuratP65
131Gerlach, RichardC27, P27
132Gershoni, NaomiC93, P93
133Giacomini, RaffaellaC2, P2
134Gianmoena, LisaP103
135Giovannelli, AlessandroD61
136Giraitis, LiudasC53, P53
137GODARD, MathildeC85, P85
138Gomes da Silva, CleomarC36, P36
139Gonzalez Chapela, JorgeP98
140Gonzalez-Astudillo, ManuelC73, P73
141González-Val, RafaelP11
142Gouedard, PierreP96
143Goulas, SofoklisP25
144GOURET, FabianP94
145Granziera, EleonoraP2
146Grassi, StefanoP70
147Gross, MarcoP61
148Grydaki, MariaD62
149Hansen, BruceC8, P8
150Harding, MatthewC14, P14
151Harris, MarkP59
152Hartmann, MatthiasC32, P32
153Hecq, AlainP87
154Herbst, EdwardC91, P91
155Hernandez Vega, MarcoP88
156Herrala, RistoP107
157Holly, SeanP16
158Homrighausen, PiaC19, P19
159Horny, GuillaumeC108, P108
160Hoshino, TadaoP58
161Huang, HuichouP112
162Huber, MartinC30, P30
163Hubrich, KirstinC74, P74
164Huynh, KimP58
165IJtsma, PieterP107
166Imai, SusumuP33
167Iranzo, SusanaC59, P59
168Iregui, AnaP103
169Iskhakov, FedorP24, C33, P33
170Issler, JoaoP27
171Ivanova, VeraP98
172Jarocinski, MarekP72
173Jeziorski, PrzemyslawD25
174Johnson, TerenceP92
175Joyeux, RoselyneP62
176Juodis, ArturasC102, P102
177Karadimitropoulou, AikateriniD61
178Karanasos, MenelaosP109
179Karavias, YiannisP104
180Kareem, FatimaC94, P94
181Karul, CaginD98
182Kastoryano, StephenP12
183Kölbl, LukasD97
184Keating, JohnP62
185Ker, AlanC58, P58
186Kew, HseinP50
187Khalil, MakramP69
188Kilinc, UmutP16
189Kim, Jun SungC7, P7
190King, MaxwellP97
191Klößner, StefanP41
192Knüppel, MalteP52
193Koerber, LenaC70, P70
194Koerber, LenaP12
195Koo, BonsooP27
196Kourtellos, AndrosP25
197Koutchade, PhilippeP94
198Kremer, ManfredP57
199Kulikov, DmitryC90, P90
200Kumar, SantoshP9
201Kurozumi, EijiP97
202Kyriacou, MariaP104
203Kyritsis, EvangelosD61
204Labeaga, JoséP102
205Lahiri, KajalC13, P13
206Laliotis, IoannisP95
207Larsen, VegardP69
208Lastauskas, PovilasP17
209Lee, JunsooP28
210Lee, Ying-YingP30
211Lee, SeohyunP18
212Lee, WanyiP97
213Leoni, RiccardoP111
214Leschinski, ChristianP50
215Lewis, JohnP83
216Lhuissier, StephaneC86, P86
217LI, YifanC5, P5
218Li, JianC48, P48
219LI, GuangjieP68
220Liang, ChongP3
221Lin, ZhenjiangP91
222Lippi, MarcoC79, P79
223LIU, DiC6, P6
224Liu, ClarkP61
225Liu, YangD61
226Lubik, ThomasC82, P82
227Luecke, ChristineP98
228Luger, RichardP14
229MacDonald, RonaldC112, P112
230Madeira, JoaoP23
231Magnac, ThierryC63
232Magnac, ThierryC65, P65
233Magnusson, LeandroP39
234Maharaj, AnnP37
235Malinen, TuomasP22
236Manresa, ElenaC92, P92
237Manzan, SebastianoP90
238Marçal, EmersonP112
239Marcelletti, AlessandraC83, P83
240MARCEN, MIRIAMP19
241Marchenko, MariaP6
242Marczak, MartynaP13
243Markussen, SimenP34
244Marra, GiampieroD99
245Marrocu, EmanuelaD98
246Marsilli, ClémentP81
247Masini, RicardoP53
248Masolo, Riccardo MariaP106
249Massacci, DanieleP51
250Mathew, NandithaP25
251Mavroeidis, SophoclesP3
252Mésonnier, Jean-StéphaneP57
253McCracken, MichaelC76, P76
254Meango, RomualdP60
255Medina, PamelaP47
256Meeks, RolandP105
257Megalokonomou, RigissaP111
258Meitz, MikaP2
259Mellace, GiovanniC46, P46
260Melo, LigiaP85
261Mendieta-Munoz, IvanP61
262Menla Ali, FaekP72
263Metaxoglou, KonstantinosC84, P84
264Mikusheva, AnnaP4
265Mittag, NikolasP102
266Molnar, Timea LauraP21
267Monahov, AlexandruP24
268Monti, FrancescaP72
269Moore, KyleC37, P37
270Morana, ClaudioP82
271Mouabbi, SarahP108
272Mouratidis, KostasP44
273Mueller, GernotC41, P41
274Nakanishi, HayatoP20
275Nazlioglu, SabanP100
276Neamtu, IoanaC47, P47
277Netsunajev, AlekseiP40
278Nibbering, DidierP73
279Nicoletti, GiulioC31, P31
280Nobili, AndreaP36
281Nodari, GabrielaP40
282Nolte, IngmarP7
283Norkute, MildaP51
284Notarpietro, AlessandroP42
285Nwosu, ChijiokeP59
286O'Donnell, OwenP96
287Otero, JesusC69, P69
288Otrok, ChristopherC29, P29
289Owyang, MichaelC44, P44
290Ozturk, SerdaD62
291Paccagnini, AlessiaP42
292Pacini, DavidC60, P60
293Pakel, CavitP5
294Panagiotidis, TheodoreD98
295Pandey, AlokP48
296Panopoulou, EkateriniP108
297Pantelidis, TheologosD62
298Papadopoulos, GeorgiosD25
299Papantonis, IoannisP84
300Parente, Paulo M.D.C.P3
301Parenti, AngelaC12, P12, C17, P17
302Parmeter, ChristopherP6
303Paruolo, PaoloP53
304Pasali, Selahattin SelsahP21
305Pereda-Fernández, SantiagoC111, P111
306Pesaran, M. HashemC1, C64, P64
307Pestova, AnnaP42
308Petrova, KaterinaP90
309Pfeifer, GregorC35, P35
310Pires, TiagoC66, P66
311Pirschel, InskeP90
312Plotnikova, TatianaP98
313Podstawski, MaximilianC107, P107
314Poirier, AlexandreP14
315POLEMIS, MICHAELP98
316Polycarpou, AlexandrosP46
317Poplawska, GosiaC10, P10
318Prieto, EstebanP74
319Proaño, ChristianP73
320Proietti, TommasoD97
321Pua, Andrew AdrianP15
322Pyun, JuP22
323Qureshi, MahvashP17
324Rabovic, RenataC104, P104
325Radchenko, NataliaP67
326Radice, RosalbaP94
327Raissi, MehdiP86
328Ramalho, JoaquimP36
329Ramalho, EsmeraldaP68
330Rambaldi, AliciaP32
331Ramirez, AndresP45
332Ravazzolo, FrancescoP76
333Renne, Jean-PaulP43
334Reusens, PeterP54
335Rivolta, GiuliaP52
336Robertson, DonaldD100
337Rodriguez-Poo, JuanD98
338Rossi, EduardoP49
339Rossi, BarbaraC75, P79
340Rostam-Afschar, DavudP34
341Rostom, MayP66
342Rothfelder, Mario PhilippP8
343Rots, EynoP78
344Rotunno, LorenzoP16
345Rouanet, LéaP95
346Roulleau-Pasdeloup, JordanP82
347Rust, JohnP63
348Sakha, SahraP25
349Salamaliki, ParaskeviD61
350Santangelo, GiuliaP60
351Santos Monteiro, PauloP44
352Sarafidis, VasilisP64
353Savva, ChristosP88
354Słoczyński, TymonP110
355Schaffner, SandraP60
356Schiele, ValentinP85
357Schieler, ManuelP80
358Schmid, Kai DanielP48
359Schmidpeter, BernhardP25
360Schmitz, HendrikC21, P21
361Schwarz, NinaP10
362Schwarzmüller, TimP76
363Schwiebert, JörgP4
364Scotti, ChiaraP74
365Sekhposyan, TatevikP70
366Sekkel, RodrigoC52, P52
367Serletis, ApostolosC57, P57
368Sheng, XuguangP39
369Shi, ShupingC54, P54
370Siami Namini, SimaP62
371Sibbertsen, PhilippP53
372Sickles, RobinC77, P77
373Siliverstovs, BorissC81, P81
374Skrobotov, AntonP97
375Smith, L. VanessaP64
376Smits, JoeriP80
377Soberon, AlexandraP102
378Sobiech, IzabelaP61
379Soccorsi, StefanoD61
380Solis, AlexP111
381Song, XiaojunP6
382Sopchokchai, DuangsudaP19
383Soques, DanielC103, P103
384Spierdijk, LauraC80, P80
385Srivastava, PreetyP110
386Stengos, ThanasisD24
387Stevanovic, DaliborC72, P72
388Strobach, ChristinaC18, P18
389Suari-Andreu, EduardP66
390Sucarrat, GenaroP40
391Sundström, DavidP33
392Taboga, MarcoP84
393Tatsi, EiriniP45
394Tennekoon, VidhuraC20, P20
395Tetenov, AlekseyP30
396Theodoridis, KonstantinosP18
397Theophilopoulou, AngelikiC22, P22
398Thorsrud, Leif AndersP89
399Tiozzo Pezzoli, LucaC43, P43
400Trachanas, EmmanouilD61
401Tran, KienP98
402Tryphonides, AndreasP87
403Tsakalos, ApostolosD24
404Tsangarides, CharalambosP9
405Ulasan, EsraP39
406Uysal, Selver DeryaP67
407Valcarcel, VictorP54
408Valls Pereira, PedroP7
409van der Wel, MichelP43
410Vasios, MichalisP24
411Velinov, AntonD25
412Venditti, FabrizioP109
413Venetis, IoannisP18
414Vermeulen, PhilipP105
415Visser, MichaelP46
416Vogler, JanP83
417Voia, MarcelP4
418Volkov, VladimirP23
419von Schweinitz, GregorC42, P42
420Wagner, MartinC87, P87
421Wallen, JonathanP78
422Wang, Chien-HoP8
423Wang, Mu-ChunC40, P40
424Weidner, MartinP14
425Welte, AngelikaP56
426Westerlund, JoakimC51, P51
427Wilemme, GuillaumeP65
428Williams, JennyP20
429Windmeijer, FrankC4, P4
430Wittmann, NilsP62
431Wooldridge, JeffreyD100
432Wright, JonathanD62, C101
433Wuepper, DavidC9, P9
434Xefteris, DimitriosP93
435Xiong, QizhouP20
436Yamamoto, YoheiC28, P28
437Yaman, FiratP98
438Yildiz, NeseP77
439You, JungP92
440Zaiem, MeryamP65
441Zelenyuk, ValentinP77
442Zeng, JingP52
443Zhang, JiP71
444Zhao, XueyanP25
445Zhen, NiP47
446Zhu, HuanjunP64
447Ziebarth, NicolasP34
448Ziegelmann, FlavioP76
449Zimic, SreckoP29

 

This program was last updated on 2016-02-03 01:57:14 EDT