June 26, 2017
09:30 to 16:30	Registration, Foyer (3rd Floor)
10:40 to 10:50	Welcome remarks, Palace Ballroom (3rd Floor)
10:50 to 11:50	IAAE Lecture: Mark Watson , Palace Ballroom (3rd Floor)
12:00 to 13:00	Lunch, Pastel (2nd Floor)
13:00 to 14:20	Parallel sessions 1
14:20 to 14:50	Coffee/Tea Break, Foyer
14:50 to 16:10	Parallel Sessions 2
17:00 to 17:05	Buses leave for reception
June 27, 2017
08:30 to 16:30	Registration, Foyer (3rd Floor)
09:00 to 10:20	Parallel sessions 3
10:20 to 10:50	Coffee/Tea Break, Foyer
10:50 to 11:50	Keynote Lecture: Yacine Ait-Sahalia , Palace Ballroom (3rd Floor)
12:00 to 13:00	Lunch and Poster session, Pastel (Lunch, 2nd Floor), Foyer(Poster)
13:00 to 14:00	Keynote Lecture: Graham Elliot, Palace Ballroom
14:15 to 15:35	Parallel sessions 4
15:35 to 16:00	Coffee Break, Foyer
16:00 to 17:00	Keynote Lecture: Bruce Hansen, Palace Ballroom
17:15 to 18:15	Parallel sessions 5
18:35 to 19:15	IAAE General Meeting , Palace Ballroom
June 28, 2017
08:30 to 16:30	Registration, Foyer (3rd Floor)
09:00 to 10:20	Parallel sessions 6
10:20 to 10:50	Coffee Break, Foyer
10:50 to 11:50	Keynote Lecture: Hidehiko Ichimura, Palace Ballroom (3rd Floor)
12:00 to 13:00	Lunch and Poster session, Pastel (Lunch, 2nd Floor), Foyer(Poster)
13:00 to 14:00	Keynote Lecture: Peter Hansen (Murata Lecture), Palace Ballroom
14:15 to 15:35	Parallel Sessions 7
15:35 to 16:00	Coffee Break, Foyer
16:00 to 17:00	Keynote Lecture: Jeffrey Wooldridge, Palace Ballroom
17:15 to 18:15	Parallel Sessions 8
18:30 to 20:30	Conference Dinner, Palace Ballroom
June 29, 2017
08:45 to 10:30	Registration, Foyer (3rd Floor)
09:00 to 10:20	Parallel Sessions 9
10:20 to 10:50	Coffee Break, Foyer
10:50 to 11:50	Keynote Lecture: Azeem Shaikh, Palace Ballroom (3rd Floor)
11:50 to 12:00	Closing remarks, Palace Ballroom
June 30, 2017
08:00 to 17:00	Excursion (Yoichi, Otaru, and Sapporo)

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

Session ID code	Date/Time	Location	Type	Title	Papers	Organizer
109	June 26, 2017 10:50-11:50	Palace Ballroom	invited	"Identification of Dynamic Causal Effects in Macroeconomics" by Mark Watson	0
22	June 26, 2017 13:00-14:20	3D	contributed	Applied Bayesian Macroeconometrics	4	Frank Schorfheide
52	June 26, 2017 13:00-14:20	3C	contributed	Applied Econometrics I	4	Francesca Molinari
4	June 26, 2017 13:00-14:20	4A	contributed	Asset Returns and Predictability	4	Allan Timmermann
46	June 26, 2017 13:00-14:20	4B	contributed	Business Cycles I	4	Fabio Canova
54	June 26, 2017 13:00-14:20	3A	contributed	Health Economics I	3	Peter Arcidiacono
57	June 26, 2017 13:00-14:20	3B	contributed	Higher Education	4	Peter Arcidiacono
11	June 26, 2017 13:00-14:20	4D	contributed	IO, International Trade and Geography	4	Jakub Kastl
94	June 26, 2017 13:00-14:20	3E	contributed	Large Panel Data Models	3
26	June 26, 2017 13:00-14:20	3F	contributed	Macroeconometric theory I	4	Fabio Canova
32	June 26, 2017 13:00-14:20	4C	contributed	Unconventional monetary policy	4	Fabio Canova
77	June 26, 2017 13:00-14:20	2A	contributed	Unit Roots and Cointegration	4
21	June 26, 2017 14:50-16:10	3D	contributed	Bayesian Time Series Modeling	4	Frank Schorfheide
3	June 26, 2017 14:50-16:10	3A	contributed	Applications of Panel Data	4	Christian Hansen
61	June 26, 2017 14:50-16:10	2A	contributed	Education	4	Peter Arcidiacono
15	June 26, 2017 14:50-16:10	3F	contributed	Instrumental Variables	4	Frank Kleibergen
85	June 26, 2017 14:50-16:10	3B	contributed	IO and Applications of Panel Data	4
33	June 26, 2017 14:50-16:10	4A	contributed	Macroeconomics at the zero lower bound	4	Fabio Canova
101	June 26, 2017 14:50-16:10	3E	contributed	Networks	4
47	June 26, 2017 14:50-16:10	4B	contributed	Oil and the macroeconomy	3	Fabio Canova
76	June 26, 2017 14:50-16:10	3C	contributed	State Space and Stochastic Volatility	3
28	June 26, 2017 14:50-16:10	4C	contributed	Understanding inflation	4	Fabio Canova
5	June 26, 2017 14:50-16:10	4D	contributed	Volatility Modeling with High-Frequency Data	4	Allan Timmermann
53	June 27, 2017 9:00-10:20	4D	contributed	Applied Econometrics II	4
93	June 27, 2017 9:00-10:20	2A	contributed	Dynamic Factor Analysis	4
16	June 27, 2017 9:00-10:20	3E	contributed	Econometric Theory I	4	Frank Kleibergen
75	June 27, 2017 9:00-10:20	4C	contributed	Finance and Time Series	3
27	June 27, 2017 9:00-10:20	3A	contributed	Fiscal Policy transmission I	4	Fabio Canova
56	June 27, 2017 9:00-10:20	3B	contributed	Labor Economics I	4	Peter Arcidiacono
14	June 27, 2017 9:00-10:20	3F	contributed	Large dataset methods	3	Frank Kleibergen
34	June 27, 2017 9:00-10:20	4B	contributed	Macroeconomic Forecasting	4	Fabio Canova
59	June 27, 2017 9:00-10:20	3C	contributed	Peer Effects and Social Interactions	4	Peter Arcidiacono
98	June 27, 2017 9:00-10:20	3D	contributed	Spatial and Network Econometrics	4
81	June 27, 2017 9:00-10:20	4A	contributed	Time Series Forecasting	4
108	June 27, 2017 10:50-11:50	Palace Ballroom	invited	"Closed-form Implied Volatility Surfaces for Stochastic Volatility Models" by Yacine Ait-Sahalia	0
24	June 27, 2017 12:00-13:00	Foyer	poster	Posters	10
110	June 27, 2017 13:00-14:00	Palace Ballroom	invited	"Inference in regression with a near unit root" by Graham Elliot	0
55	June 27, 2017 14:15-15:35	3E	contributed	Applied Econometrics III	4
23	June 27, 2017 14:15-15:35	3D	contributed	Bayesian Econometrics	3	Frank Schorfheide
38	June 27, 2017 14:15-15:35	3C	contributed	Business Cycles II	4	Fabio Canova
78	June 27, 2017 14:15-15:35	4B	contributed	Climate and Energy Econometrics	4
12	June 27, 2017 14:15-15:35	3F	contributed	Dynamic Structural Models	3	Jakub Kastl
18	June 27, 2017 14:15-15:35	2A	contributed	Econometric Theory II	4	Frank Kleibergen
91	June 27, 2017 14:15-15:35	3A	contributed	Financial Econometrics I	4
82	June 27, 2017 14:15-15:35	3B	contributed	Forecasting Methods	4
62	June 27, 2017 14:15-15:35	4A	contributed	Health Economics II	4
70	June 27, 2017 14:15-15:35	4C	contributed	Labor Economics and Gender	4	Peter Arcidiacono
29	June 27, 2017 14:15-15:35	4D	contributed	Trade and macroeconomics	4	Fabio Canova
111	June 27, 2017 16:00-17:00	Palace Ballroom	invited	"The Exact Distribution of the t-ratio with Robust and Clustered Standard Errors" by Bruce Hansen	0
6	June 27, 2017 17:15-18:15	3D	contributed	Auctions - Methods	2	Jakub Kastl
74	June 27, 2017 17:15-18:15	3C	contributed	Breaks in time series	3
92	June 27, 2017 17:15-18:15	3A	contributed	Financial Econometrics II	3
68	June 27, 2017 17:15-18:15	3F	contributed	Household Consumption and Finance	3
79	June 27, 2017 17:15-18:15	3B	contributed	Macroeconomic Time Series I	3
41	June 27, 2017 17:15-18:15	4A	contributed	Macroeconomics and Uncertainty II	3	Fabio Canova
104	June 27, 2017 17:15-18:15	4B	contributed	Macroeconomics and Uncertainty III	3
25	June 27, 2017 17:15-18:15	4C	contributed	Open economy macro I	3	Fabio Canova
17	June 27, 2017 17:15-18:15	3E	contributed	Semiparametrics	3	Frank Kleibergen
103	June 27, 2017 17:15-18:15	2A	contributed	Social Networks	3
87	June 27, 2017 17:15-18:15	4D	contributed	Volatility	3
73	June 28, 2017 9:00-10:20	3C	contributed	Applied Econometrics IV	4
19	June 28, 2017 9:00-10:20	3F	contributed	Bootstrap methods	4	Frank Kleibergen
66	June 28, 2017 9:00-10:20	3E	contributed	Econometrics and Risk Preferences	4
90	June 28, 2017 9:00-10:20	4C	contributed	Government and Monetary policy	4
80	June 28, 2017 9:00-10:20	4D	contributed	Growth and Development	3
102	June 28, 2017 9:00-10:20	3A	contributed	Large time series panels	3
31	June 28, 2017 9:00-10:20	4A	contributed	Macroeconomics in the long run	4	Fabio Canova
44	June 28, 2017 9:00-10:20	4B	contributed	Monetary policy I	4	Fabio Canova
83	June 28, 2017 9:00-10:20	3B	contributed	Time Series Methods	4
72	June 28, 2017 9:00-10:20	3D	contributed	Unemployment and Job Search	4
48	June 28, 2017 9:00-10:20	2A	contributed	Treatment Effects Econometrics	4
112	June 28, 2017 10:50-11:50	Palace Ballroom	invited	"The Influence Function of Semiparametric Estimators" by Hidehiko Ichimura	0
107	June 28, 2017 12:00-13:00	Foyer	poster	Posters	6
113	June 28, 2017 13:00-14:00	Palace Ballroom	invited	"Mind the Gap: An Early Empirical Analysis of SEC's “Tick Size Pilot Program"" by Peter Hansen	0
95	June 28, 2017 14:15-15:35	3B	contributed	Applications of High-Dimensional Time Series	4
36	June 28, 2017 14:15-15:35	4A	contributed	Central Bank Guidance	4	Fabio Canova
88	June 28, 2017 14:15-15:35	3E	contributed	Econometrics of Risk	4
39	June 28, 2017 14:15-15:35	4B	contributed	Financial Cycles and House Prices	4	Fabio Canova
43	June 28, 2017 14:15-15:35	4C	contributed	Fiscal policy transmission II	4	Fabio Canova
60	June 28, 2017 14:15-15:35	4D	contributed	Labor Force Participation	4	Peter Arcidiacono
106	June 28, 2017 14:15-15:35	3A	contributed	Macroeconomic Time Series II	3
100	June 28, 2017 14:15-15:35	2A	contributed	Mobility and Transport	4
2	June 28, 2017 14:15-15:35	3F	contributed	Modelling Heterogeneity in Panel Data	4	Christian Hansen
35	June 28, 2017 14:15-15:35	3C	contributed	Monetary Policy II	4	Fabio Canova
49	June 28, 2017 14:15-15:35	3D	contributed	Partial Identification	4	Francesca Molinari
114	June 28, 2017 16:00-17:00	Palace Ballroom	invited	"Recent Developments in Finite Population and Clustered Standard Errors" by Jeffrey Wooldridge	0
8	June 28, 2017 17:15-18:15	3C	contributed	Demand and Pricing	3	Jakub Kastl
30	June 28, 2017 17:15-18:15	4A	contributed	Macroeconomics and uncertainty I	3	Fabio Canova
45	June 28, 2017 17:15-18:15	4C	contributed	Open economy macro III	3	Fabio Canova
40	June 28, 2017 17:15-18:15	4B	contributed	Open economy macro II	3	Fabio Canova
64	June 28, 2017 17:15-18:15	3E	contributed	Discrete Choice Models	3
69	June 28, 2017 17:15-18:15	3A	contributed	Household Consumption and Finance II	3
89	June 28, 2017 17:15-18:15	3B	contributed	Portfolio selection	3
97	June 28, 2017 17:15-18:15	2A	contributed	Multivariate Models	3
1	June 28, 2017 17:15-18:15	3F	contributed	Dynamic Panel Data Models	3	Christian Hansen
105	June 28, 2017 17:15-18:15	4D	contributed	Inflation and Exchange Rates	3
7	June 28, 2017 17:15-18:15	3D	contributed	Auctions and Information	3	Jakub Kastl
51	June 29, 2017 9:00-10:20	3C	contributed	Control Function and Instrumental Variable Methods	4
96	June 29, 2017 9:00-10:20	3A	contributed	Dynamic Panel Data	4
65	June 29, 2017 9:00-10:20	3D	contributed	Econometric Methodology	4
50	June 29, 2017 9:00-10:20	3F	contributed	Econometrics and Game Theoretic Models	4	Francesca Molinari
63	June 29, 2017 9:00-10:20	4B	contributed	Employment	4	Peter Arcidiacono
86	June 29, 2017 9:00-10:20	3B	contributed	High-dimensional Econometrics in Finance	4
67	June 29, 2017 9:00-10:20	4D	contributed	Applied Econometrics V	3
71	June 29, 2017 9:00-10:20	4C	contributed	Labor Economics II	3	Peter Arcidiacono
42	June 29, 2017 9:00-10:20	4A	contributed	Macroeconometric Theory II	4	Fabio Canova
84	June 29, 2017 9:00-10:20	3E	contributed	Time Series Econometrics	4
115	June 29, 2017 10:50-11:50	Palace Ballroom	invited	"Inference under Covariate-Adaptive Randomization” by Azeem Shaikh	0

 

108 sessions, 372 papers, and 0 presentations with no associated papers

2017 IAAE Conference - International Association for Applied Econometrics
Detailed List of Sessions

Session ID 109: "Identification of Dynamic Causal Effects in Macroeconomics" by Mark Watson June 26, 2017 10:50 to 11:50 Palace Ballroom
Session Organizer: ,
Session type: invited
Session ID 22: Applied Bayesian Macroeconometrics June 26, 2017 13:00 to 14:20 3D
Session Organizer: Frank Schorfheide, University of Pennsylvania
Session Chair: Yasutomo Murasawa, Konan University
Session type: contributed
Measuring the Distributions of Public Inflation Perceptions and Expectations in the UK
[slides]
By Yasutomo Murasawa; Konan University
presented by: Yasutomo Murasawa, Konan University
Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve
By Yasufumi Gemma; Bank of Japan Takushi Kurozumi; Bank of Japan Mototsugu Shintani; University of Tokyo
presented by: Mototsugu Shintani, University of Tokyo
Zero interest rate policy and asymmetric price adjustment in Japan: an empirical analysis of a nonlinear DSGE model
[slides]
By Hirokuni Iiboshi; Tokyo Metropolitan University Mototsugu Shintani; University of Tokyo
presented by: Hirokuni Iiboshi, Tokyo Metropolitan University
Term Premium, Credit Risk Premium, and Monetary Policy
By Andrea Ajello; Federal Reserve Board
presented by: Andrea Ajello, Federal Reserve Board
Session ID 52: Applied Econometrics I June 26, 2017 13:00 to 14:20 3C
Session Organizer: Francesca Molinari, Cornell
Session Chair: Stacey Chen, GRIPS (National Graduate Institute for Policy Analysis)
Session type: contributed
Loss Aversion Index Recovery in The Cross-Section of Subjective Well Being and Happiness On Economic Growth
[slides]
By G. Charles-Cadogan; University of Leicester, School of Business
presented by: G. Charles-Cadogan, University of Leicester, School of Business
Poverty and psychological resilience
By Sara Ayllón; Universitat de Girona
presented by: Sara Ayllón, Universitat de Girona
There and back again - Estimating equivalence scales with measurement error
By Melanie Borah; Otto von Guericke University Magdeburg Andreas Knabe; Otto von Guericke University Magdeburg
presented by: Melanie Borah, Otto von Guericke University Magdeburg
Measuring Remoteness Using a Data-Driven Approach
By Stacey Chen; GRIPS (National Graduate Institute for Policy Analysis) Yu-Kuan Chen; Teach-for-Taiwan Association Hueymin Wu; National Academy for Educational Research
presented by: Stacey Chen, GRIPS (National Graduate Institute for Policy Analysis)
Session ID 4: Asset Returns and Predictability June 26, 2017 13:00 to 14:20 4A
Session Organizer: Allan Timmermann, UCSD
Session Chair: Christoph Frey, Erasmus University Rotterdam
Session type: contributed
A New Test on Asset Return Predictability with Structural Breaks
By Seong Yeon Chang; Xiamen University ZONGWU CAI; Department of Economics
presented by: Seong Yeon Chang, Xiamen University
Sequential Stock Return Prediction Through Copulas
By Christoph Frey; Erasmus University Rotterdam
presented by: Christoph Frey, Erasmus University Rotterdam
News Shock, Long-Run Risk, and Asset Returns
By Soohun Kim; Georgia Institute of Technology Chang Joo Lee; University of Illinois at Chicago
presented by: Soohun Kim, Georgia Institute of Technology
Measurement of Common Risk Factors - A Panel Quantile Regression Model for Returns
By Frantisek Cech; Charles University Jozef Barunik; Institute of Economic Studies, Charles U
presented by: Frantisek Cech, Charles University
Session ID 46: Business Cycles I June 26, 2017 13:00 to 14:20 4B
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Povilas Lastauskas, CEFER
Session type: contributed
Asset Prices and Optimal Monetary Policy Rules
By Venoo Kakar; San Francisco State University Stefano D'Addona; University of Rome 3 Marcelle Chauvet; University of California Riverside
presented by: Venoo Kakar, San Francisco State University
Slow Recoveries and Labor Market Polarization
By Wen Zhang; Renmin University of China
presented by: Wen Zhang, Renmin University of China
The Brazilian Quarterly Real GDP:Temporal Disaggregation and Nowcasting
[slides]
By André Maranhão; Bank of Brazil/University of Brasília
presented by: André Maranhão, Bank of Brazil/University of Brasília
The Knotty Interplay Between Credit and Housing
By Povilas Lastauskas; CEFER
presented by: Povilas Lastauskas, CEFER
Session ID 54: Health Economics I June 26, 2017 13:00 to 14:20 3A
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Fredrick Manang, University of Dodoma (UDOM)
Session type: contributed
The effects of self-reported health: Dealing with misclassification bias
By Philip Clarke; University of Melbourne Dennis Petrie; University of Melbourne Kevin Staub; The University of Melbourne
presented by: Kevin Staub, The University of Melbourne
Does the information improvement change the health investment behavior? Evidence from Japan
By Masato Oikawa; University of Tokyo
presented by: Masato Oikawa, University of Tokyo
Build and they will come?:Access to health facilities and Maternal care usage in rural Ethiopia
By Fredrick Manang; University of Dodoma (UDOM)
presented by: Fredrick Manang, University of Dodoma (UDOM)
Session ID 57: Higher Education June 26, 2017 13:00 to 14:20 3B
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Cecilia Machado, Getulio Vargas Foundation FGV-EPGE
Session type: contributed
Estimating the Returns of Attending a Selective University on Earnings using Regression Discontinuity with Multiple Admission Cutoffs
By Paola Bordon; University of Chile
presented by: Paola Bordon, University of Chile
Endogenous Market Formation: Theory and Evidence from Chilean College Admissions
By Ricardo Espinoza; University of Maryland Soohyung Lee; University of Maryland Hector Lopez; University of Maryland, College Park
presented by: Soohyung Lee, University of Maryland
Evaluating Professor Value-added: Evidence from Professor and Student Matching in Physics
By Yuta Kikuchi; Hokkaido University Ryo Nakajima; Keio University
presented by: Yuta Kikuchi, Hokkaido University
Centralized Admission and the Student-College Match
By Cecilia Machado; Getulio Vargas Foundation FGV-EPGE Christiane Szerman; Climate Policy Initiative (CPI-Rio)
presented by: Cecilia Machado, Getulio Vargas Foundation FGV-EPGE
Session ID 11: IO, International Trade and Geography June 26, 2017 13:00 to 14:20 4D
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Alex Chernoff, Bank of Canada
Session type: contributed
Sequential Value Chains, Property Rights, and the Non-Appropriability of Intellectual Assets
By Stefano Bolatto; University of Bologna Alireza Naghavi; University of Bologna Gianmarco Ottaviano; London School of Economics Katja Zajc; University of Ljubljana
presented by: Alireza Naghavi, University of Bologna
The Impact of China's Rare Earth Policy on Downstream Industries
By Zhe Chen; University of International Business and Economics Zhongzhong Hu; UIBE Kai Li; Xiamen University
presented by: Zhe Chen, University of International Business and Economics
Firm Heterogeneity, Technological Adoption, and Urbanization: Theory and Measurement
By Alex Chernoff; Bank of Canada
presented by: Alex Chernoff, Bank of Canada
Labor market imperfections, markups and productivity in multinationals and exporters
By Sabien Dobbelaere; Vrije Universiteit Amsterdam Kozo Kiyota; Keio University
presented by: Kozo Kiyota, Keio University
Session ID 94: Large Panel Data Models June 26, 2017 13:00 to 14:20 3E
Session Organizer: ,
Session Chair: Håvard Hungnes, Statistics Norway
Session type: contributed
Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure
By Shou-Yung Yin; Academia Sinica Chu-An Liu; Academia Sinica Chang-Ching Lin; National Cheng Kung University
presented by: Chu-An Liu, Academia Sinica
Large scale panel logistic regressions with unobservable effects
By Tomohiro Ando; University of Melbourne Jushan Bai; Columbia University
presented by: Tomohiro Ando, University of Melbourne
Common factors in a panel with two cross-sectional
[slides]
By Håvard Hungnes; Statistics Norway
presented by: Håvard Hungnes, Statistics Norway
Session ID 26: Macroeconometric theory I June 26, 2017 13:00 to 14:20 3F
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Atsushi Inoue, Vanderbilt University
Session type: contributed
Impulse Response Estimation By Smooth Local Projections
By Regis Barnichon; CREI Christian Brownlees; Pompeu Fabra University
presented by: Regis Barnichon, CREI
Evaluating FAVARs with Time-Varying Parameters and Stochastic Volatility
By Taiki Yamamura; Queen Mary University of London
presented by: Taiki Yamamura, Queen Mary University of London
A composite likelihood approach for dynamic structural models
By Fabio Canova; Norwegian Business School Christian Matthes; Federal reserve bank of Richmond
presented by: Fabio Canova, Norwegian Business School
Identifying the Source of Model Misspecification
By Atsushi Inoue; Vanderbilt University Chun-Hung Kuo; International University of Japan Barbara Rossi; ICREA-Univ. Pompeu Fabra, Barcelona GSE and CREI
presented by: Atsushi Inoue, Vanderbilt University
Session ID 32: Unconventional monetary policy June 26, 2017 13:00 to 14:20 4C
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Toyoichiro Shirota, Hokkaido University
Session type: contributed
Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies
By Sarah Mouabbi; Banque de France Jean-Guillaume Sahuc; Banque de France
presented by: Sarah Mouabbi, Banque de France
The Time-Varying Effects of Conventional and Unconventional Monetary Policy: Results from a New Identification Procedure
By Atsushi Inoue; Vanderbilt University Barbara Rossi; ICREA-Univ. Pompeu Fabra, Barcelona GSE and CREI
presented by: Barbara Rossi, ICREA-Univ. Pompeu Fabra, Barcelona GSE and CREI
Unconventional monetary policy and the anchoring of inflation expectations
By Matteo Ciccarelli; European Central Bank
presented by: Matteo Ciccarelli, European Central Bank
Evaluating the "Unconventional" Unconventional Monetary Policy in Stock Markets: The Propensity Score Approach
By Toyoichiro Shirota; Hokkaido University
presented by: Toyoichiro Shirota, Hokkaido University
Session ID 77: Unit Roots and Cointegration June 26, 2017 13:00 to 14:20 2A
Session Organizer: ,
Session Chair: Ricardo Masini, Escola de Economia de São Paulo - FGV
Session type: contributed
Unit Root Testing with Slowly Varying Trends
By Sven Otto; University of Cologne
presented by: Sven Otto, University of Cologne
Testing for Continuous Structural Breaks in Cointegrated Error-Correction Model
[slides]
By Byeongseon Seo; Korea University
presented by: Byeongseon Seo, Korea University
Optimal Jackknife Estimation of Local to Unit Root Models
By Marian Stoykov; University of Essex
presented by: Marian Stoykov, University of Essex
The Perils of Counterfactual Analysis with Integrated Processes
By Ricardo Masini; Escola de Economia de São Paulo - FGV Marcelo Medeiros; Pontifical Catholic University of Rio de Janeiro Carlos Carvalho; Central Bank of Brazil and PUC-Rio
presented by: Ricardo Masini, Escola de Economia de São Paulo - FGV
Session ID 21: Bayesian Time Series Modeling June 26, 2017 14:50 to 16:10 3D
Session Organizer: Frank Schorfheide, University of Pennsylvania
Session Chair: Jaeho Kim, University of Oklahoma
Session type: contributed
Together in bad times? Connectedness and spillovers in recession and boom
By Mirela Miescu; PhD student at Queen Mary University of London
presented by: Mirela Miescu, Queen Mary University of London
Agnostic Identification of Time-Varying Monetary Policy Rules
By Mark Bognanni; Federal Reserve Bank of Cleveland
presented by: Mark Bognanni, Federal Reserve Bank of Cleveland
Did Quantitative Easing only inflate stock prices? Macroeconomic evidence from the US and UK
By Mirco Balatti; Henley Business school
presented by: Mirco Balatti, Henley Business school
Permanent and Transitory Shocks to the U.S. Economy: Has Their Importance Been Constant over Time?
By Jaeho Kim; University of Oklahoma Sora Chon; Korea Development Institute
presented by: Jaeho Kim, University of Oklahoma
Session ID 3: Applications of Panel Data June 26, 2017 14:50 to 16:10 3A
Session Organizer: Christian Hansen, University of Chicago
Session Chair: Dandan Niu, Mines Paristech
Session type: contributed
Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance
By Camilla Mastromarco; University of Salento
presented by: Camilla Mastromarco, University of Salento
The Building Blocks of Skill Development
By Cristine Pinto; São Paulo School of Economics - EESP/FGV Vladimir Ponczek; FGV
presented by: Vladimir Ponczek, FGV
Is Farmer-to-Farmer Extension Effective? The Impact of Training on Technology Adoption and Rice Farming Productivity in Tanzania
By Yuko Nakano; University of Tsukuba TAKUJI TSUSAKA; International Crops Research Institute for the Semi-arid Tropics, ICRISAT Takeshi Aida; National Graduate Institute for Policy Studies (GRIPS) Valerien Pede; IRRI
presented by: Yuko Nakano, University of Tsukuba
Strategic responses to cultural quotas: evidence from French radio
By Margaret Kyle; MINES ParisTech Dandan Niu; Mines Paristech
presented by: Dandan Niu, Mines Paristech
Session ID 61: Education June 26, 2017 14:50 to 16:10 2A
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Selver Derya Uysal, LMU Munich
Session type: contributed
Marginal Returns to Schooling and Education Policy Change in Japan
By Nobuyoshi Kikuchi; Osaka university
presented by: Nobuyoshi Kikuchi, Osaka university
Rising Wage Inequality & Human Capital Investment
By Carolyn Sloane; UC Riverside
presented by: Carolyn Sloane, UC Riverside
The effect of locally hired teachers on school outcomes (the Dose response function estimation evidence from Kenya)
[slides]
By Ayako Wakano; Osaka University, Japan
presented by: Ayako Wakano, Osaka University, Japan
The Impact of Grade Retention on Educational Attainment
By Selver Derya Uysal; LMU Munich
presented by: Selver Derya Uysal, LMU Munich
Session ID 15: Instrumental Variables June 26, 2017 14:50 to 16:10 3F
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Sophocles Mavroeidis, Oxford University
Session type: contributed
Partial Identification of Nonseparable Models with Binary Instruments
By Takuya Ishihara; University of Tokyo
presented by: Takuya Ishihara, University of Tokyo
A more powerful subvector Anderson Rubin test in linear IV regression
[slides]
By Sophocles Mavroeidis; Oxford University
presented by: Sophocles Mavroeidis, Oxford University
On Bootstrap Inconsistency and Bonferroni-Based Size-Correction for the Subset Anderson-Rubin Test
By Wenjie Wang; Hiroshima University
presented by: Wenjie Wang, Hiroshima University
A General Weighted Average Representation of the Ordinary and Two-Stage Least Squares Estimands
By Tymon Słoczyński; Brandeis University
presented by: Tymon Słoczyński, Brandeis University
Session ID 85: IO and Applications of Panel Data June 26, 2017 14:50 to 16:10 3B
Session Organizer: ,
Session Chair: Charles K. Leung, City Univ. of Hong Kong
Session type: contributed
The Spillover Effects of Public Investment: Implications for Formal and Informal Sector Firms in India
By Abhinav Narayanan; Reserve Bank of India
presented by: Abhinav Narayanan, Reserve Bank of India
Patent Protection and the Composition of Multinational Activity: Evidence from U.S. Multinational Firms
By Olena Ivus; Queen's University Walter Park; American University Kamal Saggi; Vanderbilt University
presented by: Olena Ivus, Queen's University
Impact of Low-cost Carriers on International Air Passenger Movements to and from Major Airports in Asia
[slides]
By Volodymyr Bilotkach; Newcastle University Keisuke Kawata; Hiroshima University Tae Seung Kim; Inha University Yuichiro Yoshida; Hiroshima University
presented by: Yuichiro Yoshida, Hiroshima University
Chinese Real Estate Developers: Location, Pricing and Marketing Strategies
By Ying Fan; Tsinghua University Charles K. Leung; City Univ. of Hong Kong Zan Yang; Tsinghua University
presented by: Charles K. Leung, City Univ. of Hong Kong
Session ID 33: Macroeconomics at the zero lower bound June 26, 2017 14:50 to 16:10 4A
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Arsenios Skaperdas, Federal Reserve Board
Session type: contributed
Equilibrium Yield Curves and the Interest Rate Lower Bound
By Taisuke Nakata; Federal Reserve Board Hiroatsu Tanaka; Federal Reserve Board
presented by: Hiroatsu Tanaka, Federal Reserve Board
Estimating DSGE models with zero interest rate policy
By Mariano Kulish; University of New South Wales
presented by: Mariano Kulish, University of New South Wales
Oil, Equities, and the Zero Lower Bound
By Deepa Datta; Federal Reserve Board of Governors Benjamin Johannsen; Federal Reserve Board Robert Vigfusson; Board of Governors of the Federal Reserve
presented by: Robert Vigfusson, Board of Governors of the Federal Reserve
Inferring the Shadow Rate from Real Activity
By Arsenios Skaperdas; Federal Reserve Board
presented by: Arsenios Skaperdas, Federal Reserve Board
Session ID 101: Networks June 26, 2017 14:50 to 16:10 3E
Session Organizer: ,
Session Chair: Anton Badev, Federal Reserve Board
Session type: contributed
Econometric Analysis of Production Networks with Dominant Units
By M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge Cynthia Fan Yang; University of Southern California
presented by: Cynthia Fan Yang, University of Southern California
A Partial Identification Subnetwork Approach to Discrete Games in Large Networks: An Application to Quantifying Peer Effects
By Tong Li; Vanderbilt University Li Zhao; Shanghai Jiao Tong University
presented by: Tong Li, Vanderbilt University
Network Effects on Labor Contracts of Internal Migrants in China - A Spatial Autoregressive Model
By Badi Baltagi; Syracuse University Xiangjun Ma; University of International Business and Economics
presented by: Xiangjun Ma, University of International Business and Economics
The Network of Large-Value Loans in the U.S.: Concentration and Segregation
By Anton Badev; Federal Reserve Board
presented by: Anton Badev, Federal Reserve Board
Session ID 47: Oil and the macroeconomy June 26, 2017 14:50 to 16:10 4B
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Thomas Størdal Gundersen, BI Norwegian Business School
Session type: contributed
The US Shale Oil Boom, the Oil Export Ban and the Economy: A General Equilibrium Analysis
By Nida Cakir Melek; Federal Reserve Bank of Kansas City Michael Plante; Federal Reserve Bank of Dallas Mine Yucel; Federal Reserve Bank of Dallas
presented by: Nida Cakir Melek, Federal Reserve Bank of Kansas City
Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
By Claudio Morana; University Milano Bicocca
presented by: Claudio Morana, University Milano Bicocca
The Impact of U.S. Supply Shocks on the Global Oil Price
By Thomas Størdal Gundersen; BI Norwegian Business School
presented by: Thomas Størdal Gundersen, BI Norwegian Business School
Session ID 76: State Space and Stochastic Volatility June 26, 2017 14:50 to 16:10 3C
Session Organizer: ,
Session Chair: Mengheng Li, VU University Amsterdam / FEWEB
Session type: contributed
A Flexible State-Space Model with Application to Stochastic Volatility
[slides]
By Christian Gourieroux; University of Toronto and CREST Yang Lu; Aix-Marseille School of Economics
presented by: Yang Lu, Aix-Marseille School of Economics
Using the payment system data to forecast the Italian GDP
[slides]
By Guerino Ardizzi; Banca d'Italia Libero Monteforte; Banca d'Italia Valentina Aprigliano; Bank of Italy
presented by: Guerino Ardizzi, Banca d'Italia
The Time-Varying Volatility of U.S. Core Inflation and Its Role in Point, Interval and Density Forecasting
[slides]
By Mengheng Li; VU University Amsterdam / FEWEB Siem Jan Koopman; VU University Amsterdam / FEWEB
presented by: Mengheng Li, VU University Amsterdam / FEWEB
Session ID 28: Understanding inflation June 26, 2017 14:50 to 16:10 4C
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Kurt Lewis, Federal Reserve Board
Session type: contributed
The Fisher Relation Does Hold: International Evidence Using a New Time-Varying Test
By Sarantis Tsiaplias; The University of Melbourne Chew Chua; The University of Wollongong
presented by: Sarantis Tsiaplias, The University of Melbourne
Expected Inflation Regimes in Japan
[slides]
By Tatsuyoshi Okimoto; Australian National University
presented by: Tatsuyoshi Okimoto, Australian National University
Nonlinear Intermediary Asset Pricing in the Oil Futures Market
By Daniel Bierbaumer; DIW Berlin Malte Rieth; DIW Berlin Anton Velinov; DIW Berlin
presented by: Anton Velinov, DIW Berlin
Measuring the natural rate of interest: Alternative specifications
By Kurt Lewis; Federal Reserve Board Francisco Vazquez-Grande; Federal Reserve Board
presented by: Kurt Lewis, Federal Reserve Board
Session ID 5: Volatility Modeling with High-Frequency Data June 26, 2017 14:50 to 16:10 4D
Session Organizer: Allan Timmermann, UCSD
Session Chair: Yifan LI, Lancaster University
Session type: contributed
Volatility Forecasting Using Multiplicative Component Models
By Christian Conrad; University of Heidelberg Onno Kleen; Heidelberg University
presented by: Onno Kleen, Heidelberg University
A score-driven conditional correlation model for noisy and asynchronous data: an application to high-frequency covariance dynamics
By Giuseppe Buccheri; Scuola Normale Superiore Giacomo Bormetti; University of Bologna Fulvio Corsi; Ca' Foscari University Venezia Fabrizio Lillo; Scuola Normale Superiore
presented by: Giuseppe Buccheri, Scuola Normale Superiore
Wavelet-based methods for high-frequency lead-lag analysis
By Takaki Hayashi; Keio University Yuta Koike; Tokyo Metropolitan University
presented by: Yuta Koike, Tokyo Metropolitan University
High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model
By Yifan LI; Lancaster University Ingmar Nolte; Lancaster University Sandra Nolte; Lancaster University Management School
presented by: Yifan LI, Lancaster University
Session ID 53: Applied Econometrics II June 27, 2017 9:00 to 10:20 4D
Session Organizer: ,
Session Chair: Thierry Kamionka, CNRS
Session type: contributed
Did Shareholders Affect the Credit Rating Process? Evidence from a Semiparametric Ordered Model with Marginal Effects Analysis
By Yixiao Jiang; Rutgers University New Brunswick
presented by: Yixiao Jiang, Rutgers University New Brunswick
Mortgage Rates and Credit Risk: Evidence from Mortgage Pools
By Gaetano Antinolfi; Washington University in Saint Louis Celso Brunetti; Federal Reserve Board Jay Im; Duke University
presented by: Celso Brunetti, Federal Reserve Board
American Dream Delayed: Shifting Determinants of Homeownership in the U.S
By Natalia Khorunzhina; Copenhagen Business School Robert Miller; Carnegie Mellon University
presented by: Natalia Khorunzhina, Copenhagen Business School
Homeownership and Labour Market Transitions
By Thierry Kamionka; CNRS Guy Lacroix; Université Laval
presented by: Thierry Kamionka, CNRS
Session ID 93: Dynamic Factor Analysis June 27, 2017 9:00 to 10:20 2A
Session Organizer: ,
Session Chair: Kajal Lahiri, State University New York Albany
Session type: contributed
An unprecedented housing crisis in 2006-09? Evidence from high-dimensional dynamic factor model
By Meichi Huang; National Taipei University
presented by: Meichi Huang, National Taipei University
Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions
By Yohei Yamamoto; Hitotsubashi University
presented by: Yohei Yamamoto, Hitotsubashi University
Factor augmented VAR revisited - A sparse dynamic factor model approach
By Simon Beyeler Sylvia Kaufmann; Study Center Gerzensee
presented by: Sylvia Kaufmann, Study Center Gerzensee
The International Propagation of Shocks: A Bayesian Time-Varying Parameter Dynamic Factor Model Analysis Using Survey Forecasts
By Kajal Lahiri; State University New York Albany Yongchen Zhao; Towson University
presented by: Kajal Lahiri, State University New York Albany
Session ID 16: Econometric Theory I June 27, 2017 9:00 to 10:20 3E
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Alexandre Poirier, University of Iowa
Session type: contributed
Consistent Estimation of Linear Regression Models Using Matched Data
By Masayuki Hirukawa; Setsunan University Artem Prokhorov; University of Sydney
presented by: Masayuki Hirukawa, Setsunan University
A Unified Robust Bootstrap Method for Sharp/Fuzzy Mean/Quantile Regression Discontinuity/Kink Designs
By Harold Chiang; Johns Hopkins University Yu-Chin Hsu; Academia Sinica Yuya Sasaki; Johns Hopkins University
presented by: Harold Chiang, Johns Hopkins University
Minimum Contrast Empirical Likelihood Manipulation Testing for Regression Discontinuity Design
By Jun Ma; Renmin University of China Hugo Jales; Syracuse University Zhengfei Yu; University of Tsukuba
presented by: Zhengfei Yu, University of Tsukuba
Partial Independence in Nonseparable Models
By Matthew Masten; Duke University Alexandre Poirier; University of Iowa
presented by: Alexandre Poirier, University of Iowa
Session ID 75: Finance and Time Series June 27, 2017 9:00 to 10:20 4C
Session Organizer: ,
Session Chair: Liudas Giraitis, Queen Mary University
Session type: contributed
Testing for Weak Form Efficiency of Stock Markets
By Jonathan Hill; University of North Carolina Kaiji Motegi; Kobe University
presented by: Kaiji Motegi, Kobe University
Volatility Spillovers in Asian Stock Markets
By Hwee Kwan Chow; Singapore Management University
presented by: Hwee Kwan Chow, Singapore Management University
Estimation of time varying covariance matrices for large datasets
By Liudas Giraitis; Queen Mary University George Kapetanios; King College London
presented by: Liudas Giraitis, Queen Mary University
Session ID 27: Fiscal Policy transmission I June 27, 2017 9:00 to 10:20 3A
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Eul Noh, UC San Diego
Session type: contributed
Can Uncertainty Explain the Heterogeneous Output Effects of Fiscal Adjustments?
By Madina Karamysheva; National Research University Higher School of Economics
presented by: Madina Karamysheva, National Research University Higher School of Economics
Fiscal consolidation and inequality
By Pedro Brinca; NovaSBE Miguel Ferreira; Nova SBE Francesco Franco; Universidade Nova de Lisboa Hans Holter; University of Oslo Laurence Malafry; Stockholm University
presented by: Pedro Brinca, NovaSBE
The Effects of Government Spending on Real Exchange Rates: Evidence from Military Spending Panel Data
By Wataru Miyamoto; Bank of Canada Thuy Lan Nguyen; Santa Clara University Viacheslav Sheremirov; Federal Reserve Bank of Boston
presented by: Wataru Miyamoto, Bank of Canada
Cyclical Behavior of Government Spending Multipliers: A Markov-switching SVAR Approach
By Yifei Lyu; UCSD Eul Noh; UC San Diego
presented by: Eul Noh, UC San Diego
Session ID 56: Labor Economics I June 27, 2017 9:00 to 10:20 3B
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Kensuke Maeba, University of Tokyo
Session type: contributed
Fertility and Mothers' Labor Supply: New Evidence using Time-to-Conception
By Claudia Hupkau; CEP - LSE Leturcq Marion; Ined
presented by: Marion Leturcq, Ined
Gender Wage Gap and Firm Heterogeneity: Evidence from French linked Employer-Employee Data
By Elise Coudin; CREST, INSEE Sophie Maillard; INSEE Maxime To; University College London - IFS
presented by: Sophie Maillard, INSEE
Quality Time with Parents: Reconsidering Equality Concerns among Families with an Ill Child
By Francesca Marino; University of Padua
presented by: Francesca Marino, University of Padua
BIRTH ORDER EFFECT CHANGES UNDER A CASH TRANSFER PROGRAM
By Kensuke Maeba; University of Tokyo
presented by: Kensuke Maeba, University of Tokyo
Session ID 14: Large dataset methods June 27, 2017 9:00 to 10:20 3F
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Jérémy L'Hour, CREST
Session type: contributed
A Parametric Generalization of the Synthetic Control Method, with High Dimension
By Jérémy L'Hour; CREST Xavier D'Haultfoeuille; CREST Marianne Bléhaut; Université Paris Sud Alexandre Tsybakov; CREST
presented by: Jérémy L'Hour, CREST
Large System of Seemingly Unrelated Regressions: A Penalized Quasi-Maximum Likelihood Estimation Perspective
By QINGLIANG FAN; Xiamen University
presented by: Qingliang Fan, Xiamen University
Robust Standard Errors to Spatial and Time Dependence in Aggregate Panel Models
By Lucciano Villacorta; Central Bank of Chile
presented by: Lucciano Villacorta, Central Bank of Chile
Session ID 34: Macroeconomic Forecasting June 27, 2017 9:00 to 10:20 4B
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Tatevik Sekhposyan, Texas A&M University
Session type: contributed
Survey Design and Forecast Accuracy
By Wagner Gaglianone; Getulio Vargas Foundation Rafaella Giacomini; UCL Joao Issler; Getulio Vargas Foundation Vasiliki Skreta; University College London
presented by: Joao Issler, Getulio Vargas Foundation
Forecasting with FAVAR: Macroeconomic versus Financial Factors
By Alessia Paccagnini; University College Dublin
presented by: Alessia Paccagnini, University College Dublin
The Formation of In ation Forecasts by Canadian Private Sector Forecasters
By Alexandra Málaga Mellado; Universidad del Pacifico Javier Torres; Universidad del Pacífico
presented by: Alexandra Málaga Mellado, Universidad del Pacifico
Predicting the Relative Forecasting Performance of the Models: Conditional Predictive Ability Approach
By Eleonora Granziera; Bank of Finland Tatevik Sekhposyan; Texas A&M University
presented by: Tatevik Sekhposyan, Texas A&M University
Session ID 59: Peer Effects and Social Interactions June 27, 2017 9:00 to 10:20 3C
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Chih-Sheng Hsieh, The Chinese University of Hong Kong
Session type: contributed
Wage Dynamics and Peer Referrals
By Vincent Boucher; Université Laval Marion Gousse
presented by: Vincent Boucher, Université Laval
In Utero ``Social'' Interaction of Twins
By Susumu Imai; University of Technology Sydney
presented by: Susumu Imai, Hokkaido University
Peer Effects in the Adoption of a New Employment Subsidy for Vulnerable Youths
By Claudio Mora-García; Universidad Javeriana Tomas Rau; Pontificia Universidad Catolica de Chile
presented by: Claudio Mora-García, Universidad Javeriana
Smoking Initiation: Peers and Personality
By Chih-Sheng Hsieh; The Chinese University of Hong Kong Hans Van Kippersluis; Erasmus School of Economics
presented by: Chih-Sheng Hsieh, The Chinese University of Hong Kong
Session ID 98: Spatial and Network Econometrics June 27, 2017 9:00 to 10:20 3D
Session Organizer: ,
Session Chair: Eirini Tatsi, Stockholm University
Session type: contributed
Fixed-Effect Regressions on Network Data
By Koen Jochmans; Sciences Po, Paris Martin Weidner; University College London
presented by: Martin Weidner, University College London
Modeling cross‐sectional dependence: Where spatial econometrics and global VAR models meet
By J.Paul Elhorst; University of Groningen Marco Gross; European Central Bank Eugen Tereanu; European Central Bank
presented by: Eugen Tereanu, European Central Bank
A Structural Pairwise Network Model with Individual Heterogeneity
By Zhentao Shi; The Chinese University of Hong Kong Xi Chen; Yale University and IZA
presented by: Zhentao Shi, The Chinese University of Hong Kong
Peer Effects, Free-Riding and Team Diversity
By Danny Steinbach; Goethe University Frankfurt Eirini Tatsi; Stockholm University
presented by: Eirini Tatsi, Stockholm University
Session ID 81: Time Series Forecasting June 27, 2017 9:00 to 10:20 4A
Session Organizer: ,
Session Chair: Yunjong Eo, University of Sydney
Session type: contributed
Data Revisions and real-time probabilistic forecasting of macroeconomic variables
By Michael Clements; University of Reading Ana Beatriz Galvao; University of Warwick
presented by: Ana Beatriz Galvao, Warwick Business School
Improving the Power of the Diebold-Mariano-West Test for Least Squares Predictions
By Walter Mayer; University of Mississippi Feng Liu; University of Mississippi Xin Dang; University of Mississippi
presented by: Walter Mayer, University of Mississippi
Optimal density forecast combinations
By Gergely Ganics; Universitat Pompeu Fabra and BGSE
presented by: Gergely Ganics, Universitat Pompeu Fabra and BGSE
Forecasting the Term Structure of Interest Rates with Potentially Misspecified Models
By Yunjong Eo; University of Sydney
presented by: Yunjong Eo, University of Sydney
Session ID 108: "Closed-form Implied Volatility Surfaces for Stochastic Volatility Models" by Yacine Ait-Sahalia June 27, 2017 10:50 to 11:50 Palace Ballroom
Session Organizer: ,
Session type: invited
Session ID 24: Posters June 27, 2017 12:00 to 13:00 Foyer
Session Organizer: ,
Session type: poster
The Elasticity of Demand for Ambulatory Care Services across Different Socioeconomic Status: Evidence from Taiwan
By Miaw-Chwen LEE; National Chung Cheng University,
presented by: Miaw-Chwen LEE, National Chung Cheng University,
Splash with A Teammate: Peer Effects in High-Stakes Tournaments
By Lingqing Jiang; University of Lausanne
presented by: Lingqing Jiang, University of Lausanne
The Effect of Unemployment on Suicide and Suicide by Employment Status in Japan
By Aya Nushimoto; Osaka University
presented by: Aya Nushimoto, Osaka University
Potential Surplus Gains for Voluntary Community-based Health Insurance Improvement in Rural Lao PDR: A Randomized Conjoint Experiment
By Thiptaiya SYDAVONG; Hiroshima University Daisaku Goto; Hiroshima University Keisuke Kawata; Hiroshima University SHINJI KANEKO; Hiroshima University Masaru Ichihashi; Hiroshima University
presented by: Thiptaiya SYDAVONG, Hiroshima University
Nonparametric Identification of k-Double Auctions Using Price Data
By Huihui Li; Xiamen University
presented by: Huihui Li, Xiamen University
The impact of shared amenities on condominium resale values in Tokyo
By Kayo Tajima; Rikkyo University
presented by: Kayo Tajima, Rikkyo University
Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations
By Michal Franta; Czech National Bank
presented by: Michal Franta, Czech National Bank
Dynamic Bayesian predictive synthesis in time series forecasting
By Kenichiro McAlinn; Duke University Mike West; Duke University
presented by: Kenichiro McAlinn, Duke University
Macroeconomic indicators and disaggregated data help to predict credit: A study based on Brazilian data
By Emerson Marçal; CEMAP-EESP-FGV and CSSA-Mackenzie Pedro Valls Pereira; Sao Paulo School of Economics - FGV Ronan Cunha; Sao Paulo School of Economics - FGV
presented by: Pedro Valls Pereira, Sao Paulo School of Economics - FGV
Monetary Policy, Private Debt and Financial Stability Risks
By Gregory Bauer; Bank of Canada Eleonora Granziera; Bank of Finland
presented by: Gregory Bauer, Bank of Canada
Session ID 110: "Inference in regression with a near unit root" by Graham Elliot June 27, 2017 13:00 to 14:00 Palace Ballroom
Session Organizer: ,
Session type: invited
Session ID 55: Applied Econometrics III June 27, 2017 14:15 to 15:35 3E
Session Organizer: ,
Session Chair: Neil Davies, University of Bristol
Session type: contributed
Labor Market Impact of Labor Cost Increase without Productivity Gain: A Natural Experiment from the 2003 Social Insurance Premium Reform in Japan
By Naomi Kodama; Hitotsubashi University Izumi Yokoyama; Hitotsubashi UNiversity
presented by: Naomi Kodama, Hitotsubashi University
Estimating Effects of Working Conditions on Labor Surplus: Application to Rural Myanmar
By SHINJI KANEKO; Hiroshima University Keisuke Kawata; Hiroshima University Yuichiro Yoshida; Hiroshima University
presented by: Keisuke Kawata, Hiroshima University
City of dreams
By Jorge De la Roca; University of Southern California Gianmarco Ottaviano; London School of Economics Diego Puga; CEMFI
presented by: Jorge De la Roca, University of Southern California
The Causal Effects of Education on Health, Mortality, Cognition, Well-being, and Income in the UK Biobank
By Neil Davies; University of Bristol Matt Dickson; University of Bath George Davey Smith; University of Bristol Gerard van den Berg; University of Bristol Frank Windmeijer; University of Bristol
presented by: Neil Davies, University of Bristol
Session ID 23: Bayesian Econometrics June 27, 2017 14:15 to 15:35 3D
Session Organizer: Frank Schorfheide, University of Pennsylvania
Session Chair: Arpita Chatterjee, University of New South Wales
Session type: contributed
Parameter Clustering in a High Dimensional Multinomial Choice Model
By Didier Nibbering; Erasmus University Rotterdam
presented by: Didier Nibbering, Erasmus University Rotterdam
Financial Repression in General Equilibrium
By Alexander Kriwoluzky; Martin-Luther-Universität Halle-Wittenb Gernot Mueller; University of Tuebingen Alexander Scheer; University of Bonn
presented by: Alexander Scheer, University of Bonn
Full Information Estimation of Household Income Risk and Consumption Insurance
By Arpita Chatterjee; University of New South Wales James Morley; University of New South Wales Aarti Singh; University of Sydney
presented by: Arpita Chatterjee, University of New South Wales
Session ID 38: Business Cycles II June 27, 2017 14:15 to 15:35 3C
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Gernot Mueller, University of Tuebingen
Session type: contributed
A State-Level Analysis of Okun’s Law
By Amy Guisinger; Lafayette College Ruben Hernandez-Murillo; Federal Reserve Bank of Cleveland Michael Owyang; Federal Reserve Bank of St Louis Tara Sinclair; George Washington University
presented by: Amy Guisinger, Lafayette College
Counteracting unemployment in crises: Nonlinear effects of short-time work policy
[slides]
By Brigitte Hochmuth; Friedrich-Alexander University Erlangen-Nuremberg (FAU) Britta Gehrke; Friedrich-Alexander Universität Erlangen-Nürnberg (FAU)
presented by: Brigitte Hochmuth, Friedrich-Alexander University Erlangen-Nuremberg (FAU)
External imbalances and growth
By Mariam Camarero; Universitat Jaume I Jesus Peiro-Palomino; University Jaume I Cecilio Tamarit; University of Valencia
presented by: Mariam Camarero, Universitat Jaume I
Growth expectations, undue optimism, and short-run fluctuations
[slides]
By Gernot Mueller; University of Tuebingen
presented by: Gernot Mueller, University of Tuebingen
Session ID 78: Climate and Energy Econometrics June 27, 2017 14:15 to 15:35 4B
Session Organizer: ,
Session Chair: Martin Wagner, Technical University Dortmund
Session type: contributed
Quantile regression model for electricity peak demand forecasting: Approximation by local triangular distribution to avoid blackouts
By Niematallah Elamin; Osaka University Mototsugu Fukushige; Osaka University
presented by: Niematallah Elamin, Osaka University
Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures
By Dukpa Kim; Korea University Tatsushi Oka; National University of Singapore Pierre Perron; Boston University
presented by: Tatsushi Oka, National University of Singapore
Probabilistic Forecasting of Daily Extreme Temperature using Bivariate Models of Daily Minimum and Maximum Time Series
By Xiaochun Meng; Oxford University James Taylor; University of Oxford
presented by: Xiaochun Meng, Oxford University
The Environmental Kuznets Curve for Carbon Dioxide Emissions: A Seemingly Unrelated Cointegrating Polynomial Regression Approach
By Martin Wagner; Technical University Dortmund Peter Grabarczyk; TU Dortmund
presented by: Martin Wagner, Technical University Dortmund
Session ID 12: Dynamic Structural Models June 27, 2017 14:15 to 15:35 3F
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Mitsukuni Nishida, Johns Hopkins University
Session type: contributed
Implementing Faustmann-Marshall-Pressler: Stochastic Dynamic Programming in Space
By Harry Paarsch; University of Central Florida John Rust; Georgetown University
presented by: Harry Paarsch, University of Central Florida
A Microeconometric Dynamic Structural Model of Copper Mining Decisions
By Victor Aguirregabiria; University of Toronto Andres Luengo; Universidad Javeriana
presented by: Andres Luengo, Universidad Javeriana
Dynamic Franchising Decisions
By Mitsukuni Nishida; Johns Hopkins University Nathan Yang; McGill Desautels Faculty of Management
presented by: Mitsukuni Nishida, Johns Hopkins University
Session ID 18: Econometric Theory II June 27, 2017 14:15 to 15:35 2A
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Eric Gautier, Toulouse School of Economics
Session type: contributed
The Linear random coefficients model when regressors have limited variation
By Eric Gautier; Toulouse School of Economics
presented by: Eric Gautier, Toulouse School of Economics
Weak Sigma- Convergence: Theory and Applications
By Jianning Kong; Shandong University Peter Phillips; Yale University Donggyu Sul; University of Texas at Dallas
presented by: Jianning Kong, Shandong University
MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS
By Qingfeng Liu; Otaru University of Commerce Qingsong Yao; Renmin University of China Guoqing Zhao; Renmin University of China
presented by: Qingfeng Liu, Otaru University of Commerce
Inference for Clustered Data
By Douglas Steigerwald; University of California, Santa Barbara
presented by: Douglas Steigerwald, University of California, Santa Barbara
Session ID 91: Financial Econometrics I June 27, 2017 14:15 to 15:35 3A
Session Organizer: ,
Session Chair: Peter Exterkate, University of Sydney
Session type: contributed
Is Pearson Sample Correlation Coefficient Always Feasible To Test For Correlations ?
By Cindy Shin-Huei Wang; National Tsing Hua University and Catholique Universite de Louvain
presented by: Cindy Shin-Huei Wang, National Tsing Hua University and Catholique Universite de Louvain
Detecting Granger Causality with a Nonparametric Information-based Statistic
By Hao Fang; University of Amsterdam Cees Diks; University of Amsterdam
presented by: Hao Fang, University of Amsterdam
“Cubic Law of the Stock Returns” in Emerging Markets
[slides]
By Zhiye Gu; Imperial College London Rustam Ibragimov; Imperial College London
presented by: Zhiye Gu, Imperial College London
A regime-switching stochastic volatility model for forecasting electricity prices
By Oskar Knapik Peter Exterkate; University of Sydney
presented by: Peter Exterkate, University of Sydney
Session ID 82: Forecasting Methods June 27, 2017 14:15 to 15:35 3B
Session Organizer: ,
Session Chair: Paulo Rodrigues, Bank of Portugal
Session type: contributed
Multi-Step Non- and Semi-Parametric Predictive Regressions
By Tingting Cheng; Nankai University Jiti Gao; Monash University Oliver Linton; Cambridge University
presented by: Tingting Cheng, Nankai University
Conditional Forecasting Using Nowcasts of Financial Variables
By Edward Knotek II; Federal Reserve Bank of Cleveland Saeed Zaman; Federal Reserve Bank of Cleveland
presented by: Edward Knotek II, Federal Reserve Bank of Cleveland
Optimal Multi-step VAR Forecasting Averaging
By Jen-Che Liao; Academia Sinica Wen-Jen Tsay; Academia Sinica
presented by: Jen-Che Liao, Academia Sinica
New CUSUM Based Ratio Tests for Parameter Constancy: With application to variance stability
By Paulo Rodrigues; Economics and Research Department
presented by: Paulo Rodrigues, Bank of Portugal
Session ID 62: Health Economics II June 27, 2017 14:15 to 15:35 4A
Session Organizer: ,
Session Chair: Edward Norton, University of Michigan
Session type: contributed
Premium Refunds and Claiming Behaviour in the German Private Health Insurance Market
[slides]
By Daniel Avdic; CINCH and University of Duisburg-Essen
presented by: Daniel Avdic, CINCH and University of Duisburg-Essen
Estimating Effect of Informal Elderly Care on Labor Supply: Exploitation of Government Intervention on the Supply Side of Elderly Care Market
By Yoshinori Nishimura; University of Tokyo
presented by: Yoshinori Nishimura, University of Tokyo
A Bayesian ordered potential outcome analysis: Treatment effects due to a subsidized health insurance
By Andres Ramirez Hassan; Universidad EAFIT Rosember Guerra; Universidad EAFIT
presented by: Andres Ramirez Hassan, Universidad EAFIT
Moneyball in Medicare
By Edward Norton; University of Michigan
presented by: Edward Norton, University of Michigan
Session ID 70: Labor Economics and Gender June 27, 2017 14:15 to 15:35 4C
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Matthijs Oosterveen, Erasmus University Rotterdam
Session type: contributed
Female Education and Brideprice: Evidence from a Primary Education Reform in Uganda
By Masaru Nagashima; National Graduate Institute for Policy Studies Chikako Yamauchi; National Graduate Institute for Policy Studies (GRIPS)
presented by: Masaru Nagashima, National Graduate Institute for Policy Studies
The effects of breast cancer on individual labour market outcomes: an evaluation from an administrative panel
[slides]
By Emmanuel Duguet; Université Paris Est, ERUDITE Thomas BARNAY; Paris-Est University Christine Le Clainche; CEE Camille Regaert; IRDES Mohamed Ali Ben Halima; CEE
presented by: Emmanuel Duguet, Université Paris Est, ERUDITE
Gender Differences in Career
By Kaori Sato; University of Tokyo
presented by: Kaori Sato, University of Tokyo
Wait and See: Gender Gaps throughout Cognitive Tests
By Matthijs Oosterveen; Erasmus University Rotterdam Pau Balart; Universitat de les Illes Balears
presented by: Matthijs Oosterveen, Erasmus University Rotterdam
Session ID 29: Trade and macroeconomics June 27, 2017 14:15 to 15:35 4D
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Lola Gadea, University of Zaragoza
Session type: contributed
The Evolution of Regional Economic Interlinkages in Europe
By Ana Gómez-Loscos; Banco de España Lola Gadea; University of Zaragoza Danilo Leiva Leon; Bank of Chile
presented by: Ana Gómez-Loscos, Banco de España
Determinants of economic development: SEM approach
By Oleg Lugovoy; Environmental Defense Fund Vladimir Potashnikov; RANEPA Andrey Zubarev; RANEPA
presented by: Vladimir Potashnikov, RANEPA
Supply Flexibility in the Shale Patch: Evidence from North Dakota
By Hilde Bjørnland; BI Norwegian Business School Frode Martin Nordvik; BI Norwegian Business School Maximilian Rohrer; BI Norwegian Business School
presented by: Hilde Bjørnland, BI Norwegian Business School
Services traded for intermediate and final usage: An Analysis of the role of Services FTAs and restrictions
By Deeparghya Mukherjee; Institute of South Asian Studies, National University of Singapore
presented by: Deeparghya Mukherjee, Institute of South Asian Studies, National University of Singapore
Session ID 111: "The Exact Distribution of the t-ratio with Robust and Clustered Standard Errors" by Bruce Hansen June 27, 2017 16:00 to 17:00 Palace Ballroom
Session Organizer: ,
Session type: invited
Session ID 6: Auctions - Methods June 27, 2017 17:15 to 18:15 3D
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Yunmi Kong, Rice University
Session type: contributed
Sequential Auctions with Synergy and Affiliation Across Auctions
By Yunmi Kong; Rice University
presented by: Yunmi Kong, Rice University
A Quantile Approach for Ascending Auctions under Asymmetry
By Jayeeta Bhattacharya; Queen Mary University of London Nathalie Gimenes; PUC-Rio Emmanuel Guerre; Queen Mary, University of London
presented by: Nathalie Gimenes, PUC-Rio
Session ID 74: Breaks in time series June 27, 2017 17:15 to 18:15 3C
Session Organizer: ,
Session Chair: Katsumi Shimotsu, University of Tokyo
Session type: contributed
Confidence Sets for the Break Date in Cointegrating Regressions
By Eiji Kurozumi; Hitotsubashi University Anton Skrobotov; Russian Presidential Academy of National
presented by: Anton Skrobotov, Russian Presidential Academy of National
Robust wavelet-based test for an abrupt mean shift in the presence of unknown smooth trend and long-memory errors
By Heng Chen; Bank of Canada Mototsugu Shintani; University of Tokyo Yohei Yamamoto; Hitotsubashi University
presented by: Heng Chen, Bank of Canada
Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models
By Hiroyuki Kasahara; University of British Columbia Katsumi Shimotsu; University of Tokyo
presented by: Katsumi Shimotsu, University of Tokyo
Session ID 92: Financial Econometrics II June 27, 2017 17:15 to 18:15 3A
Session Organizer: ,
Session Chair: Julia Schaumburg, VU University Amsterdam
Session type: contributed
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
By Annastiina Silvennoinen; Queensland University of Technology Timo Terasvirta; Aarhus University
presented by: Timo Terasvirta, Aarhus University
Mean Reversion and Stationarity in Financial Time Series Generated from Diffusion Models
By Jihyun Kim; Toulouse School of Economics Joon Park; Indiana University
presented by: Jihyun Kim, Toulouse School of Economics
Bank business models at zero interest rates
By Andre Lucas; Vrije Universiteit Amsterdam Julia Schaumburg; VU University Amsterdam Bernd Schwaab; European Central Bank
presented by: Julia Schaumburg, VU University Amsterdam
Session ID 68: Household Consumption and Finance June 27, 2017 17:15 to 18:15 3F
Session Organizer: ,
Session Chair: M. Hashem Pesaran, University of Southern California, and Trinity College, Cambridge
Session type: contributed
The Impact of Confirmation Bias on Willingness to Pay for Financial Advice
By Julie Agnew; College of William and Mary Hazel Bateman; UNSW Christine Eckert; University of Technology, Sydney Fedor Iskhakov; Australian National University Jordan Louviere; University of South Australia Business S Susan Thorp; University of Sydney
presented by: Susan Thorp, University of Sydney
Do households jointly manipulate their debt and filing decisions? Personal bankruptcy with heterogeneous filing behavior
By Shuoxun Zhang; Xiamen University
presented by: Shuoxun Zhang, Xiamen University
Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes
By M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge Ida Johnsson; University of Southern California
presented by: M. Hashem Pesaran, University of Southern California, and Trinity College, Cambridge
Session ID 79: Macroeconomic Time Series I June 27, 2017 17:15 to 18:15 3B
Session Organizer: ,
Session Chair: Erdem Kilic, MEF University
Session type: contributed
PERSISTENCE AND CYCLES IN THE US FEDERAL FUNDS RATE
By LUIS GIL-ALANA; Universidad de Navarra Guglielmo Maria Caporale; Brunel University London
presented by: LUIS GIL-ALANA, Universidad de Navarra
Investigating the Inefficiency of the CBO's Budgetary Projections
By Natsuki Arai; National Chengchi University
presented by: Natsuki Arai, National Chengchi University
Contagion effects of U.S. Dollar and Chinese Yuan in Forward and Spot Foreign Exchange Markets
By Erdem Kilic; MEF University
presented by: Erdem Kilic, MEF University
Session ID 41: Macroeconomics and Uncertainty II June 27, 2017 17:15 to 18:15 4A
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Duc (Brian) Tran, University of Melbourne
Session type: contributed
Global Spillover Effects of US Uncertainty
By Saroj Bhattarai; University of Texas at Austin Arpita Chatterjee; University of New South Wales Woong Yong Park; Seoul National University
presented by: Woong Yong Park, Seoul National University
Uncertainty Shocks and Monetary Policies
By Valentina Colombo; University of Bologna Alessia Paccagnini; University College Dublin
presented by: Valentina Colombo, University of Bologna
Uncertainty in a disaggregate model: a data rich approach using Google search data
By Duc (Brian) Tran; University of Melbourne
presented by: Duc (Brian) Tran, University of Melbourne
Session ID 104: Macroeconomics and Uncertainty III June 27, 2017 17:15 to 18:15 4B
Session Organizer: ,
Session Chair: Jules Tinang, Toulouse School of Economics
Session type: contributed
Measuring macroeconomic uncertainty from surveys -- a mixed frequency approach
By Jeffrey Sheen; Macquarie University Ben Wang; Macquarie University
presented by: Ben Wang, Macquarie University
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
By Roberto Casarin; University Ca' Foscari of Venice Claudia Foroni; European Central Bank Massimiliano Marcellino; Bocconi University Francesco Ravazzolo; Free University of Bozen/Bolzano
presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano
Macro Uncertainty and the Term Structure of Risk Premium
By Jules Tinang; Toulouse School of Economics
presented by: Jules Tinang, Toulouse School of Economics
Session ID 25: Open economy macro I June 27, 2017 17:15 to 18:15 4C
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Feng Zhu, Bank for International Settlements
Session type: contributed
Exchange Rate Regime and External Adjustment: An Empirical Investigation for the U.S.
By Alberto Fuertes; Bank of Spain
presented by: Alberto Fuertes, Bank of Spain
Debt intolerance revisited: Where is the borderline between domestic and external finance?
By Hideaki Matsuoka; World Bank
presented by: Hideaki Matsuoka, World Bank
Understanding the changing equilibrium real interest rates in Asia-Pacific
By Feng Zhu; Bank for International Settlements
presented by: Feng Zhu, Bank for International Settlements
Session ID 17: Semiparametrics June 27, 2017 17:15 to 18:15 3E
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Bo Zhou, Tilburg University
Session type: contributed
New goodness-of-fit diagnostics for conditional discrete response models
By Igor Kheifets; ITAM Carlos Velasco; Universidad Carlos III de Madrid
presented by: Igor Kheifets, ITAM
Endogeneity in Semiparametric Threshold Regression∗
By Andros Kourtellos; University of Cyprus Thanasis Stengos; University of Guelph Yiguo Sun; UNIVERSITY OF GUELPH
presented by: Andros Kourtellos, University of Cyprus
A New Semiparametric Approach for Nonstandard Econometric Problems
[slides]
By Bo Zhou; Tilburg University
presented by: Bo Zhou, Tilburg University
Session ID 103: Social Networks June 27, 2017 17:15 to 18:15 2A
Session Organizer: ,
Session Chair: Takeshi Aida, National Graduate Institute for Policy Studies (GRIPS)
Session type: contributed
Tobit Models with Social Interactions: Complete vs Incomplete Information
By Chao Yang; The School of Economics of SUFE Lung-fei Lee; Ohio State University Xi Qu; Shanghai Jiao Tong University
presented by: Chao Yang, The School of Economics of SUFE
Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach
By Ida Johnsson; University of Southern California Hyungsik Roger Moon; University of Southern California
presented by: Hyungsik Roger Moon, University of Southern California
Spatial vs. Social Network Effects in Risk Sharing
By Takeshi Aida; National Graduate Institute for Policy Studies (GRIPS)
presented by: Takeshi Aida, National Graduate Institute for Policy Studies (GRIPS)
Session ID 87: Volatility June 27, 2017 17:15 to 18:15 4D
Session Organizer: ,
Session Chair: Paolo Santucci de Magistri, Aarhus University and CREATES
Session type: contributed
The realized empirical distribution function of volatility
By Kim Christensen; Aarhus University Martin Thyrsgaard; Aarhus University Bezirgen Veliyev; Aarhus University
presented by: Bezirgen Veliyev, Aarhus University
Implied volatility smile dynamics in the presence of jumps
[slides]
By Martin Magris; Tampere University of Technology Perttu Barholm; Tampere University of Technology Juho Kanniainen; Tampere univeristy of Technology
presented by: Martin Magris, Tampere University of Technology
VIX Options: a Non-Structural Approach
By Paolo Santucci de Magistri; Aarhus University and CREATES
presented by: Paolo Santucci de Magistri, Aarhus University and CREATES
Session ID 73: Applied Econometrics IV June 28, 2017 9:00 to 10:20 3C
Session Organizer: ,
Session Chair: Robin Sickles, Rice University
Session type: contributed
Composite Likelihood Estimation of a Dynamic Panel Stochastic Frontier Model
By Hung-pin Lai; Department of Economics
presented by: Hung-pin Lai, Department of Economics
Drilling into Bank Balance Sheets: Examining Portfolio Responses to an Oil Shock
By Rhys Bidder; Federal Reserve Bank of San Francisco John Krainer; Federal Reserve Bank of San Francisco Adam Shapiro; Federal Reserve Bank of San Francisco
presented by: John Krainer, Federal Reserve Bank of San Francisco
Cartel Dating
By Peter Boswijk; University of Amsterdam Maurice Bun; University of Amsterdam Maarten Pieter Schinkel; University of Amsterdam
presented by: Peter Boswijk, University of Amsterdam
The Spatial Efficiency Multiplier and Random E¤ects in Spatial Stochastic Frontier Models
By Anthony Glass; Loughborough University Karligash Kenjegalieva; Loughborough University Robin Sickles; Rice University Thomas Weyman-Jones; Loughborough University
presented by: Robin Sickles, Rice University
Session ID 19: Bootstrap methods June 28, 2017 9:00 to 10:20 3F
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Yuya Sasaki, Johns Hopkins University
Session type: contributed
Uniform condence bands in deconvolution with unknown error distribution
By Kengo Kato; University of Tokyo Yuya Sasaki; Johns Hopkins University
presented by: Yuya Sasaki, Johns Hopkins University
BOOTSTRAPPING NON-CAUSAL AUTOREGRESSIONS: WITH AN APPLICATION TO EXPLOSIVE BUBBLE MODELLING
By Anders Rahbek; University of Copenhagen Giuseppe Cavaliere; University of Bologna Heino Bohn Nielsen; University of Copenhagen
presented by: Anders Rahbek, University of Copenhagen
BOOTSTRAP INFERENCE UNDER RANDOM DISTRIBUTIONAL LIMITS
By Giuseppe Cavaliere; University of Bologna Iliyan Georgiev; University of Bologna
presented by: Giuseppe Cavaliere, University of Bologna
The Subcluster Wild Bootstrap for Few (Treated) Clusters
By James MacKinnon; Queen's University Matthew Webb; Carleton University
presented by: Matthew Webb, Carleton University
Session ID 66: Econometrics and Risk Preferences June 28, 2017 9:00 to 10:20 3E
Session Organizer: ,
Session Chair: christophe Bontemps, Toulouse School of Economics (INRA)
Session type: contributed
Peer Effects and Risk Taking Among Entrepreneurs: Lab-in-the-Field Evidence
By Maria Lopera Baena; LMU (University of Munich) Steeve Marchand; Université Laval
presented by: Steeve Marchand, Université Laval
Can an economic structural model support hypothetical and experimental evidence? Preference parameters before and after the Great East Japan Earthquake
By Masamune Iwasawa; The University of Tokyo Hayato Nakanishi; Kyoto University
presented by: Hayato Nakanishi, Kanagawa University
HETEROGENEITY IN RISK AVERSION AND RISK SHARING REGRESSIONS
By Pierfederico Asdrubali; European Commission Simone Tedeschi; University of Roma Tre Luigi Ventura; Universita' di Roma
presented by: Simone Tedeschi, University of Roma Tre
Nonparametric Estimation of Risk Preferences: An application to Dairy Farmers
By christophe Bontemps; Toulouse School of Economics (INRA) Stephane Couture; INRA
presented by: christophe Bontemps, Toulouse School of Economics (INRA)
Session ID 90: Government and Monetary policy June 28, 2017 9:00 to 10:20 4C
Session Organizer: ,
Session Chair: Roberto De Santis, European Central Bank
Session type: contributed
One Size Fits All? Monetary Policy and Asymmetric Household Debt Cycles in US States
By Bruno Albuquerque; Ghent University
presented by: Bruno Albuquerque, Ghent University
No-arbitrage determinants of Japanese government bond yield and credit spread curves
By Tatsuyoshi Okimoto; Australian National University Sumiko Takaoka; Seikei University
presented by: Sumiko Takaoka, Seikei University
Asymmetries in Monetary Policy Uncertainty: New Evidence from Financial Forecasts
By Tatjana Dahlhaus; Bank of Canada Tatevik Sekhposyan; Texas A&M University
presented by: Tatjana Dahlhaus, Bank of Canada
Relative excess bond premium and economic ativity
By Roberto De Santis; European Central Bank
presented by: Roberto De Santis, European Central Bank
Session ID 80: Growth and Development June 28, 2017 9:00 to 10:20 4D
Session Organizer: ,
Session Chair: Joao Issler, Getulio Vargas Foundation
Session type: contributed
The relationship between fiscal deficits and monetary variables: An application of the ARDL bounds testing approach for emerging economies
[slides]
By Ngan Tran; RMIT University George Tawadros; RMIT University
presented by: Ngan Tran, RMIT University
Are asset price movements driven by international capital flows? The case of emerging markets
By Cho Yiu Ng; City University of Hong Kong Charles K. Leung; City Univ. of Hong Kong Siu Fung Matthew Yiu; Hong Kong Monetary Authority
presented by: Cho Yiu Ng, City University of Hong Kong
Measuring Human Capital Using Labor Market Data: An Application to the Study of Cross-Country Economic Growth
By Luiz Brotherhood; Fundacao Getulio Vargas Joao Issler; Getulio Vargas Foundation
presented by: Joao Issler, Getulio Vargas Foundation
Session ID 102: Large time series panels June 28, 2017 9:00 to 10:20 3A
Session Organizer: ,
Session Chair: Alicia Rambaldi, The University of Queensland
Session type: contributed
Detecting Granular Time Series in Large Panels
By Christian Brownlees; Pompeu Fabra University Geert Mesters; Universitat Pompeu Fabra
presented by: Geert Mesters, Universitat Pompeu Fabra
Stochastic Dominance Based Evaluation of Factor and Shrinkage Type Prediction Models
By Sungkyung Lee; Rutgers University
presented by: Sungkyung Lee, Rutgers University
Weekly Hedonic House Price Indices: An Imputation Approach from a Spatio-Temporal Model
By Robert Hill; University of Graz Alicia Rambaldi; The University of Queensland Michael Scholz; University of Graz
presented by: Alicia Rambaldi, The University of Queensland
Session ID 31: Macroeconomics in the long run June 28, 2017 9:00 to 10:20 4A
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Yoosoon Chang, Indiana University
Session type: contributed
Is potential output growth falling?
By Ivan Mendieta-Munoz; University of Utah
presented by: Ivan Mendieta-Munoz, University of Utah
The real effects of household debt in the short and long run
By Marco Lombardi; Bank for International Settlements Madhusudan Mohanty; Bank for International Settlements Ilhyock Shim; Bank for International Settlements
presented by: Marco Lombardi, Bank for International Settlements
Identifying and Estimating the Longrun Effect of Income Distribution on Aggregate Consumption
By Yoosoon Chang; Indiana University Hwagyun Kim; Texas A&M University Joon Park; Indiana University
presented by: Yoosoon Chang, Indiana University
The Impact of Inequality and Redistribution on Growth
By Makram El-Shagi; Henan University, Kaifeng Mingliang Shao; Henan University
presented by: Makram El-Shagi, Henan University, Kaifeng
Session ID 44: Monetary policy I June 28, 2017 9:00 to 10:20 4B
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Gianni Amisano, Federal Reserve Board
Session type: contributed
Asymmetric effects of monetary policy in regional housing markets
By Knut Are Aastveit; Norges Bank André Anundsen; Norges Bank
presented by: Knut Are Aastveit, Norges Bank
The rise and fall of the British monetary policy rule
By Vincenzo De Lipsis; UCL
presented by: Vincenzo De Lipsis, UCL
Optimal Monetary Policy in A New Keynesian Model with Bond and Credit Market Frictions
[slides]
By Xiaoshan Chen; Durham University Jilei Huang; Shandong University Campbell Leith
presented by: Jilei Huang, Shandong University
Monetary policy and long-term interest rates
By Gianni Amisano; Federal Reserve Board Oreste Tristani; ECB
presented by: Gianni Amisano, Federal Reserve Board
Session ID 72: Unemployment and Job Search June 28, 2017 9:00 to 10:20 3D
Session Organizer: ,
Session Chair: Eva Van Belle, Ghent University
Session type: contributed
Regulating the Timing of Job Search: Evidence from New College Graduates in Japan
By Hiroko Okudaira; Okayama University
presented by: Hiroko Okudaira, Okayama University
Decision Strategies in Contracting Out Welfare-to-Work Services
By Kenneth Sørensen; Aarhus University Lars Skipper; University of Aarhus
presented by: Kenneth Sørensen, Aarhus University
Shortening the potential duration of unemployment benefits and labor market outcomes: Evidence from a natural experiment in Germany
By Inna Petrunyk; Leuphana University Christian Pfeifer; Leuphana University Lueneburg
presented by: Inna Petrunyk, Leuphana University
Why is Unemployment Duration a Sorting Criterion in Hiring?
By Eva Van Belle; Ghent University Stijn Baert; Ghent University; University of Antwerp; UCLouvain; IZA
presented by: Eva Van Belle, Ghent University
Session ID 83: Time Series Methods June 28, 2017 9:00 to 10:20 3B
Session Organizer: ,
Session Chair: Alain Hecq, Maastricht University
Session type: contributed
Structural vector autoregression with time varying transition probabilities: identification via heteroskedasticity
By Wenjuan Chen; Free University of Berlin Aleksei Netsunajev; Bank of Estonia
presented by: Wenjuan Chen, Free University of Berlin
Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
By Rocio Alvarez; Universidad Central de Chile Maximo Camacho; Universidad de Murcia Manuel Ruiz
presented by: Maximo Camacho, Universidad de Murcia
A parametric factor model for the term structure of mortality
By Niels Haldrup; Aarhus University CREATES Siem Jan Koopman; VU University Amsterdam / FEWEB
presented by: Niels Haldrup, Aarhus University CREATES
Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors
By Alain Hecq; Maastricht University Joao Issler; Getulio Vargas Foundation Sean Telg; Maastricht University
presented by: Alain Hecq, Maastricht University
Session ID 48: Treatment Effects Econometrics June 28, 2017 9:00 to 10:20 2A
Session Organizer: ,
Session Chair: Xuan Chen, Renmin University of China
Session type: contributed
Average and Quantile Effects of Training on Employment and Unemployment Spells: A Bounds Analysis in the Presence of Censoring and Noncompliance
By German Blanco; Illinois State University Xuan Chen; Renmin University of China Carlos Flores; California Polytechnic State University Alfonso Flores-Lagunes; Syracuse University
presented by: Xuan Chen, Renmin University of China
Estimation of average treatment effects using panel data when treatment effects are heterogeneous by unobserved fixed effects
By Shosei Sakaguchi; Kyoto University
presented by: Shosei Sakaguchi, Kyoto University
Specification Tests for the Propensity Score
By Pedro H. C. Sant'Anna; Vanderbilt University Xiaojun Song; Peking University
presented by: Pedro H. C. Sant'Anna, Vanderbilt University
Revisiting the Synthetic Control Estimator
By Cristine Pinto; São Paulo School of Economics - EESP/FGV
presented by: Cristine Pinto, São Paulo School of Economics - EESP/FGV
Session ID 112: "The Influence Function of Semiparametric Estimators" by Hidehiko Ichimura June 28, 2017 10:50 to 11:50 Palace Ballroom
Session Organizer: ,
Session type: invited
Session ID 107: Posters June 28, 2017 12:00 to 13:00 Foyer
Session Organizer: ,
Session type: poster
The Effect of Unemployment on Suicide and Suicide by Employment Status in Japan
By Aya Nushimoto; Osaka University
presented by: Aya Nushimoto, Osaka University
Potential Surplus Gains for Voluntary Community-based Health Insurance Improvement in Rural Lao PDR: A Randomized Conjoint Experiment
By Thiptaiya SYDAVONG; Hiroshima University Daisaku Goto; Hiroshima University Keisuke Kawata; Hiroshima University SHINJI KANEKO; Hiroshima University Masaru Ichihashi; Hiroshima University
presented by: Thiptaiya SYDAVONG, Hiroshima University
Nonparametric Identification of k-Double Auctions Using Price Data
By Huihui Li; Xiamen University
presented by: Huihui Li, Xiamen University
Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations
By Michal Franta; Czech National Bank
presented by: Michal Franta, Czech National Bank
Dynamic Bayesian predictive synthesis in time series forecasting
By Kenichiro McAlinn; Duke University Mike West; Duke University
presented by: Kenichiro McAlinn, Duke University
Monetary Policy, Private Debt and Financial Stability Risks
By Gregory Bauer; Bank of Canada Eleonora Granziera; Bank of Finland
presented by: Gregory Bauer, Bank of Canada
Session ID 113: "Mind the Gap: An Early Empirical Analysis of SEC's “Tick Size Pilot Program"" by Peter Hansen June 28, 2017 13:00 to 14:00 Palace Ballroom
Session Organizer: ,
Session type: invited
Session ID 95: Applications of High-Dimensional Time Series June 28, 2017 14:15 to 15:35 3B
Session Organizer: ,
Session Chair: Xiaojun Song, Peking University
Session type: contributed
Measuring the International Dimension of Output Volatility
By Gerdie Everaert; Ghent University Martin Iseringhausen; Ghent University
presented by: Martin Iseringhausen, Ghent University
Inflation Targeting as a Shock Absorber
By Marcel Fratzscher; DIW Berlin Christoph Grosse Steffen; Banque de France Malte Rieth; DIW Berlin
presented by: Christoph Grosse Steffen, Banque de France
Sufficient and Linear Dimension Reduction Methods in Forecasting
By alessandro barbarino; Federal Reserve Board
presented by: alessandro barbarino, Federal Reserve Board
A better understanding of Granger causality analysis: A big data environment
By Xiaojun Song; Peking University Abderrahim Taamouti; Durham University Business School
presented by: Xiaojun Song, Peking University
Session ID 36: Central Bank Guidance June 28, 2017 14:15 to 15:35 4A
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Gregor von Schweinitz, Halle Institute for Economic Research
Session type: contributed
Does Anyone Listen when Politicians Talk? The Effect of Political Commentaries on Policy Rate Decisions and Expectations
By Chiara Scotti; Federal Reserve Board
presented by: Chiara Scotti, Federal Reserve Board
The Time Varying Effect of Unconventional Monetary Policy
By Francesca Loria; European University Institute Carlos Montes-Galdon; European Central Bank shengliang ou Donghai Zhang; UPF
presented by: Francesca Loria, European University Institute
Why they keep missing: An empirical investigation of rational inattention of rating agencies
By Gregor von Schweinitz; Halle Institute for Economic Research Makram El-Shagi; Henan University, Kaifeng
presented by: Gregor von Schweinitz, Halle Institute for Economic Research
Central Bank Information Shocks
By Marek Jarocinski; European Central Bank Peter Karadi; European Central Bank
presented by: Marek Jarocinski, European Central Bank
Session ID 88: Econometrics of Risk June 28, 2017 14:15 to 15:35 3E
Session Organizer: ,
Session Chair: Susana Martins, University of Minho
Session type: contributed
Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion
By Alain Monfort; CREST and Banque de France Fulvio Pegoraro; Banque de France Jean-Paul RENNE; University of Lausanne Guillaume Roussellet; NYU Stern School of Business
presented by: Jean-Paul RENNE, University of Lausanne
Time-varying Crash Risk: The Role of Stock Market Liquidity
By Peter Christoffersen; Rotman School of Management, University Bruno Feunou; Bank of Canada Yoontae Jeon; University of Toronto Chayawat Ornthanalai; University of Toronto
presented by: Yoontae Jeon, University of Toronto
The Share of Systematic Risk in Foreign Exchange and Stock Markets
By MING ZENG; Singapore Management University
presented by: Ming Zeng, Singapore Management University
Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach
By Susana Martins; University of Minho Cristina Amado; University of Minho
presented by: Susana Martins, University of Minho
Session ID 39: Financial Cycles and House Prices June 28, 2017 14:15 to 15:35 4B
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: André Casalis, University of York
Session type: contributed
What does the house price-to-income ratio tell us about the housing market affordability: A theory and international evidence
By Charles K. Leung; City Univ. of Hong Kong Chi Ho Tang; Hong Kong Shue Yan University
presented by: Chi Ho Tang, Hong Kong Shue Yan University
US Monetary Policy and the G7 House Business Cycle: FIML Markov Switching Approach
[slides]
By Jae-Ho Yoon
presented by: Jae-Ho Yoon, POSCO Research Institute
Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of trend inflation
By Geraldine Dany; Halle Institute for Economic Research Oliver Holtemöller; Martin-Luther-University Halle-Wittenberg and Halle Institute for Economic Research (IWH)
presented by: Geraldine Dany, Halle Institute for Economic Research
Non-linear effects of the financial cycle on fiscal multipliers
By André Casalis; University of York
presented by: André Casalis, University of York
Session ID 43: Fiscal policy transmission II June 28, 2017 14:15 to 15:35 4C
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Etsuro Shioji, Hitotsubashi University
Session type: contributed
Government borrowing cost and budget deficits: is investment spending different?
By Jemima Peppel-Srebrny; University of Oxford
presented by: Jemima Peppel-Srebrny, University of Oxford
Should the ECB coordinate EMU fiscal policies?
By Tatiana Kirsanova; University of Glasgow Celsa Machado; ISCAP Ana Paula Ribeiro; CEF.UP, Faculdade de Economia do Porto
presented by: Tatiana Kirsanova, University of Glasgow
Understanding the Transmission of Tax Policy to Employment
By Domenico Ferraro; Arizona State University Giuseppe Fiori; North Carolina State University
presented by: Giuseppe Fiori, North Carolina State University
Extracting fiscal policy expectations from a cross section of daily stock returns
[slides]
By Etsuro Shioji; Hitotsubashi University
presented by: Etsuro Shioji, Hitotsubashi University
Session ID 60: Labor Force Participation June 28, 2017 14:15 to 15:35 4D
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Yukiko Abe, Hokkaido University
Session type: contributed
Intimate Partner Violence and Women’s Employment: Evidence from Colombia
By Johanna Fajardo; University of Minnesota
presented by: Johanna Fajardo, University of Minnesota
The effect of universal pre-kindergarten on female labor force participation - A synthetic control approach
[slides]
By Hao Li; Southern Methodist University
presented by: Hao Li, Southern Methodist University
Work Incentives in Europe: the Effect of Participation Tax Rates on Labor Supply
By Cortnie Shupe; German Institute for Economic Research Charlotte Bartels; German Institute for Economic Research
presented by: Cortnie Shupe, German Institute for Economic Research
On the convergence in female participation rates
By Yukiko Abe; Hokkaido University
presented by: Yukiko Abe, Hokkaido University
Session ID 106: Macroeconomic Time Series II June 28, 2017 14:15 to 15:35 3A
Session Organizer: ,
Session Chair: Jungyoon Lee, Royal Holloway, University of London
Session type: contributed
Does structural breaks matter to the relationship between energy consumption and economic growth? Evidence from Asia
By Song- Zan Chiou-Wei; National Kaohsiung University of Applied Sciences, Kaohsiung, Taiwan Sheng-Hung Chen; Nanhua University, Chiayi, Taiwan
presented by: Sheng-Hung Chen, Nanhua University, Chiayi, Taiwan
Detecting a break in the persistence: Application to inflation persistence in European countries
By Stepana Lazarova; Queen Mary University of London
presented by: Stepana Lazarova, Queen Mary University of London
Testing for correct specification of spatial autoregressive models
By Jungyoon Lee; Royal Holloway, University of London Peter Phillips; Yale University Francesca Rossi; University of Southampton
presented by: Jungyoon Lee, Royal Holloway, University of London
Session ID 100: Mobility and Transport June 28, 2017 14:15 to 15:35 2A
Session Organizer: ,
Session Chair: Shin Kimura, University of Hyogo
Session type: contributed
Counterfactual mobility: The relevance of unchosen paths and personality for the analysis of spatial choices
[slides]
By Reinhard Weisser; Leibniz Universität Hannover
presented by: Reinhard Weisser, Leibniz Universität Hannover
Measuring the Value of Time in Freight Transportation
By YOKO KONISHI; Research Institute of Economiy, Trade and Industry Se-il Mun; Kyoto University Yoshihiko Nishiyama; Kyoto University Ji-Eun Sung; Kyoto University
presented by: YOKO KONISHI, Research Institute of Economiy, Trade and Industry
Identification of A+B Procurement Contracting with an Application to California Highway Projects
By Naibao Zhao; Texas A&M University
presented by: Naibao Zhao, Texas A&M University
Does Inter-municipal Cooperation Lead to Municipal Amalgamation? Evidence from Japanese Municipal Referenda
By Shin Kimura; University of Hyogo Yoichi Hizen; Kochi University of Technology
presented by: Shin Kimura, University of Hyogo
Session ID 2: Modelling Heterogeneity in Panel Data June 28, 2017 14:15 to 15:35 3F
Session Organizer: Christian Hansen, University of Chicago
Session Chair: Elena Manresa, Massachusetts Institute of Technologhy S
Session type: contributed
Discretizing Unobserved Heterogeneity
By Stephane Bonhomme; University of Chicago Thibaut Lamadon; University of Chicago Elena Manresa; Massachusetts Institute of Technologhy S
presented by: Elena Manresa, Massachusetts Institute of Technologhy S
Heterogenous structural breaks in panel data models
By Ryo Okui; NYU Shanghai Wendun Wang; Erasmus University Rotterdam
presented by: Wendun Wang, Erasmus University Rotterdam
Policy Evaluation with Interactive Fixed Effects
By Marc K. Chan; University of Technology Sydney Sai Man Simon Kwok; The University of Sydney
presented by: Sai Man Simon Kwok, The University of Sydney
Heterogenous Production Functions, Panel Data, and Productivity Dispersion
[slides]
By Jeremy Fox; Rice University Vitor Hadad; Boston College Stefan Hoderlein; Boston College Amil Petrin; University of Minnesota Robert Sherman; California Institute of Technology
presented by: Jeremy Fox, Rice University
Session ID 35: Monetary Policy II June 28, 2017 14:15 to 15:35 3C
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Ryuzo Miyao, University of Tokyo
Session type: contributed
Same, but different: testing monetary policy shock measures
By Stephanie Ettmeier; Martin-Luther University Halle-Wittenberg Alexander Kriwoluzky; Martin-Luther-Universität Halle-Wittenb
presented by: Stephanie Ettmeier, Martin-Luther University Halle-Wittenberg
Household Debt Overhang and the Transmission of Monetary Policy
By Sami Alpanda; University of Central Florida Sarah Zubairy; Texas A&M University
presented by: Sarah Zubairy, Texas A&M University
The Macroeconomic Effects of Monetary Policy in a Small-Open Economy: Narrative Evidence from Canada
By Julien Champagne; Bank of Canada Rodrigo Sekkel; Bank of Canada
presented by: Rodrigo Sekkel, Bank of Canada
The Macroeconomic Effects of Japan’s Unconventional Monetary Policies
By Ryuzo Miyao; University of Tokyo Tatsuyoshi Okimoto; Australian National University
presented by: Ryuzo Miyao, University of Tokyo
Session ID 49: Partial Identification June 28, 2017 14:15 to 15:35 3D
Session Organizer: Francesca Molinari, Cornell
Session Chair: Matthew Masten, Duke University
Session type: contributed
Confidence Intervals for Projections of Partially Identified Parameters
By Hiroaki Kaido; Boston University Francesca Molinari; Cornell Joerg Stoye; Cornell University
presented by: Hiroaki Kaido, Boston University
Inference on Breakdown Frontiers
By Matthew Masten; Duke University Alexandre Poirier; University of Iowa
presented by: Matthew Masten, Duke University
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
By Helmut Lutkepohl; DIW Berlin George Milunovich; Macquarie University Minxian Yang; UNSW Australia (The University of New So
presented by: George Milunovich, Macquarie University
Treatment Effects With Unobserved Heterogeneity: A Set Identification Approach using an Instrumental Variable
By Domenico Depalo; Banca d'Italia
presented by: Domenico Depalo, Banca d'Italia
Session ID 114: "Recent Developments in Finite Population and Clustered Standard Errors" by Jeffrey Wooldridge June 28, 2017 16:00 to 17:00 Palace Ballroom
Session Organizer: ,
Session type: invited
Session ID 8: Demand and Pricing June 28, 2017 17:15 to 18:15 3C
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Alon Eizenberg, Hebrew University Jerusalem
Session type: contributed
Retail Prices in a City
By Alon Eizenberg; Hebrew University Jerusalem Saul Lach; Hebrew U Jerusalem Merav Yiftach; Israel Central Bureau of Statistics
presented by: Alon Eizenberg, Hebrew University Jerusalem
Multiproduct Search and Retail Pricing: Some Empirical Results
By Hyunchul Kim; Sungkyunkwan University
presented by: Hyunchul Kim, Sungkyunkwan University
Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly
By Takanori Adachi; Nagoya University Michal Fabinger; University of Tokyo
presented by: Michal Fabinger, University of Tokyo
Session ID 30: Macroeconomics and uncertainty I June 28, 2017 17:15 to 18:15 4A
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Gene Ambrocio, Bank of Finland
Session type: contributed
Heterogeneous preferences and risk sharing at households level in China
By Jennifer T. Lai; Guangdong University of Foreign Studies Isabel Kit Ming YAN; City University of Hong Kong
presented by: Jennifer T. Lai, Guangdong University of Foreign Studies
News and Uncertainty Shocks
By Danilo Cascaldi-Garcia; University of Warwick Ana Beatriz Galvao; University of Warwick
presented by: Danilo Cascaldi-Garcia, University of Warwick
The impact of overconfidence and fundamental uncertainty shocks
By Gene Ambrocio; Bank of Finland
presented by: Gene Ambrocio, Bank of Finland
Session ID 45: Open economy macro III June 28, 2017 17:15 to 18:15 4C
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Jakub Mućk, Narodowy Bank Polski & Warsaw School of Economics
Session type: contributed
Cross-border effects of macroprudential policy - Evidence from the euro area
By Fabio Franch; European Central Bank Luca Nocciola; independent Dawid Zochowski; European Central Bank
presented by: Dawid Zochowski, European Central Bank
Fundamental Moments of Aggregate Fluctuations: International Evidence
By Jean Imbs; Paris School of Economics Laurent Pauwels; University of Sydney
presented by: Laurent Pauwels, University of Sydney
Elasticity of substitution between labor and capital: robust evidence from developed economies
By Jakub Mućk; Narodowy Bank Polski & Warsaw School of Economics
presented by: Jakub Mućk, Narodowy Bank Polski & Warsaw School of Economics
Session ID 40: Open economy macro II June 28, 2017 17:15 to 18:15 4B
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Raju Huidrom, World Bank
Session type: contributed
Exit expectations and debt crises in currency unions
By Martin Wolf; University of Bonn Gernot Mueller; University of Tuebingen Alexander Kriwoluzky; Martin-Luther-Universität Halle-Wittenb
presented by: Alexander Kriwoluzky, Martin-Luther-Universität Halle-Wittenb
Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks
By Georgios Georgiadis; European Central Bank Martina Jancokova; Goethe University Frankfurt
presented by: Georgios Georgiadis, European Central Bank
How Important are Spillovers from Major Emerging Markets?
By Raju Huidrom; World Bank Ayhan Kose; World Bank Franziska Ohnsorge; World Bank
presented by: Raju Huidrom, World Bank
Session ID 64: Discrete Choice Models June 28, 2017 17:15 to 18:15 3E
Session Organizer: ,
Session Chair: David Brownstone, University of California, Irvine
Session type: contributed
The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification
[slides]
By Chuhui Li; Monash University Donald Poskitt; Monash University Xueyan Zhao; Monash University
presented by: Xueyan Zhao, Monash University
Best Subset Binary Prediction
By Le-Yu Chen; Academia Sinica Sokbae Lee; Columbia University
presented by: Le-Yu Chen, Academia Sinica
Aggregation Biases in Discrete Choice Models
[slides]
By David Brownstone; University of California, Irvine Timothy Wong; National University of Singapore David Bunch; University of California, Davis
presented by: David Brownstone, University of California, Irvine
Session ID 69: Household Consumption and Finance II June 28, 2017 17:15 to 18:15 3A
Session Organizer: ,
Session Chair: Eduard Suari-Andreu, University of Groningen
Session type: contributed
How do we pay under evolving retail payment technology? Evidence from Japan
[slides]
By Hiroshi Fujiki; Chuo University Migiwa Tanaka; Charles River Associates
presented by: Hiroshi Fujiki, Chuo University
Building types and materials as determinants of changes in residential electricity consumption in tropical-humid developing country: Case of Indonesia
By Chui Ying Lee; Hiroshima University
presented by: Chui Ying Lee, Hiroshima University
Giving With a Warm Hand: Evidence on Estate Planning and Bequests
By Eduard Suari-Andreu; University of Groningen
presented by: Eduard Suari-Andreu, University of Groningen
Session ID 89: Portfolio selection June 28, 2017 17:15 to 18:15 3B
Session Organizer: ,
Session Chair: Marcelo Fernandes, Queen Mary University of London and FGV
Session type: contributed
Market Beta and the Investment Horizon
By Andrei Semenov; York University
presented by: Andrei Semenov, York University
Corporate Bond Portfolios and Macroeconomic Conditions
By Rossen Valkanov; University of California, San Diego
presented by: Rossen Valkanov, University of California, San Diego
Conditional alphas and realized betas
By Valentina Corradi; University of Surrey Walter Distaso; Imperial College London Marcelo Fernandes; Queen Mary University of London and FGV Asger Lunde; Aarhus University
presented by: Marcelo Fernandes, Queen Mary University of London and FGV
Session ID 97: Multivariate Models June 28, 2017 17:15 to 18:15 2A
Session Organizer: ,
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Session type: contributed
The Losses From Systemic Banking Crises: An Update to Include the Great Recession
By Rob Luginbuhl; CPB Netherlands Bureau for Economic Policy Analysis
presented by: Rob Luginbuhl, CPB Netherlands Bureau for Economic Policy Analysis
Contagion, Systemic Risk and Diagnostic Tests in Large Mixed Panels
By Hao-Hsiang Yang; National Tsing Hua University
presented by: Hao-Hsiang Yang, National Tsing Hua University
Regional Beveridge Curves
By Michael Owyang; Federal Reserve Bank of St Louis Hannah Shell; Federal Reserve Bank of St. Louis
presented by: Michael Owyang, Federal Reserve Bank of St Louis
Session ID 1: Dynamic Panel Data Models June 28, 2017 17:15 to 18:15 3F
Session Organizer: Christian Hansen, University of Chicago
Session Chair: Alexander Chudik, Federal Reserve Bank of Dallas
Session type: contributed
Composite Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors
By Ba Chu; Carleton University
presented by: Ba Chu, Carleton University
Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes
By Yoonjin Lee; Kansas state University
presented by: Yoonjin Lee, Kansas State University
A Bias-Corrected Method of Moments Approach to Estimation of Short-T Autoregressive Panels
By Alexander Chudik; Federal Reserve Bank of Dallas M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge
presented by: Alexander Chudik, Federal Reserve Bank of Dallas
Session ID 105: Inflation and Exchange Rates June 28, 2017 17:15 to 18:15 4D
Session Organizer: ,
Session Chair: Michael Pedersen, Central Bank of Chile
Session type: contributed
Do Exchange Rate Regimes Matter for Inflation Persistence?
By Jo-Wei Wu; Chung-Hua Institution for Economic Research Jyh-Lin Wu; National Sun Yat-sen University
presented by: Jyh-Lin Wu, National Sun Yat-sen University
Federal Reserve Information When Long-term Inflation Expectations Are Well-anchored
By Hibiki Ichiue; International Monetary Fund Yoshiyuki Nakazono; Yokohama City University
presented by: Yoshiyuki Nakazono, Yokohama City University
Central Bank Preferences and the Changing Nature of the Real Exchange Rate
By Michael Pedersen; Central Bank of Chile Rodrigo Caputo; Banco Central de Chile
presented by: Michael Pedersen, Central Bank of Chile
Session ID 7: Auctions and Information June 28, 2017 17:15 to 18:15 3D
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Seung-Hyun Hong, University of Illinois, Urbana-Champaign
Session type: contributed
Principal-Agent Problems in Search and Bargaining: Evidence from Dual Agency in Residential Real Estate Transactions
By Seung Hyun Hong; University of Illinois, Urbana-Champaign
presented by: Seung-Hyun Hong, University of Illinois, Urbana-Champaign
An Evaluation of a Bidder Training Program
By Dakshina De Silva; Lancaster University Tim Hubbard; Colby College Georgia Kosmopoulou; University of Oklahoma
presented by: Tim Hubbard, Colby College
Using Experiments to Inform Structural Estimation: Robust Inference in First-Price Auctions
By Serafin Grundl; Federal Reserve Board Yu Zhu; Bank of Canada
presented by: Yu Zhu, Bank of Canada
Session ID 51: Control Function and Instrumental Variable Methods June 29, 2017 9:00 to 10:20 3C
Session Organizer: ,
Session Chair: Haiqing Xu, University of Texas
Session type: contributed
Instrumental Variable Quantile Regression with Misclassification
By Takuya Ura; University of California, Davis
presented by: Takuya Ura, University of California, Davis
Non-separable Sample Selection Models with Censored Selection Rules
By Aico van Vuuren; University of Gothenburg
presented by: Aico van Vuuren, University of Gothenburg
Estimation of Semiparametric Models with Mismeasured Endogenous Regressors Using Control Variables
By Kyoo il Kim; Michigan State University Suyong Song; University of Iowa
presented by: Suyong Song, University of Iowa
Nonparametric estimation of individual treatment effects with endogenous treatments
By Qian Feng; UT Austin Quang Vuong; New York University Haiqing Xu; University of Texas
presented by: Haiqing Xu, University of Texas
Session ID 96: Dynamic Panel Data June 29, 2017 9:00 to 10:20 3A
Session Organizer: ,
Session Chair: Milda Norkute, Lund University
Session type: contributed
Quasi ML estimation of the panel AR(1) model with additional regressors
By Hugo Kruiniger; University of Durham
presented by: Hugo Kruiniger, University of Durham
Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
By Matthew Harding; University of California, Irvine Carlos Lamarche; University of Kentucky M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge
presented by: Matthew Harding, University of California, Irvine
Bias-adjusted CCE estimators in heterogeneous dynamic panels
By Ignace De Vos; Ghent University
presented by: Ignace De Vos, Ghent University
The Factor Analytical Approach in Near Unit Root Panels
By Milda Norkute; Lund University Joakim Westerlund; Lund University
presented by: Milda Norkute, Lund University
Session ID 65: Econometric Methodology June 29, 2017 9:00 to 10:20 3D
Session Organizer: ,
Session Chair: Morten Nielsen, Queen's University
Session type: contributed
Modeling Time-Varying Uncertainty of Multiple- Horizon Forecast Errors
By Todd Clark; Federal Reserve Bank of Cleveland Michael McCracken; Federal Reserve Bank of St. Louis Elmar Mertens; Bank of International Settlements
presented by: Michael McCracken, Federal Reserve Bank of St. Louis
The cointegrated vector autoregressive model with general deterministic terms
By Søren Johansen; University of Copenhagen and CREATES Morten Nielsen; Queen's University
presented by: Morten Nielsen, Queen's University
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
By Takashi Yamagata; University of York
presented by: Takashi Yamagata, University of York
Testing the Number of Regimes in Markov Regime Switching Models
By Hiroyuki Kasahara; University of British Columbia Katsumi Shimotsu; University of Tokyo
presented by: Hiroyuki Kasahara, University of British Columbia
Session ID 50: Econometrics and Game Theoretic Models June 29, 2017 9:00 to 10:20 3F
Session Organizer: Francesca Molinari, Cornell
Session Chair: Brendan Kline, University of Texas
Session type: contributed
Inference in Repeated Games with Random States
By Arkadiusz Szydlowski; University of Leicester
presented by: Arkadiusz Szydlowski, University of Leicester
Structural estimation of dynamic directional games with multiple equilibria
By Fedor Iskhakov; Australian National University Dennis Kristensen; University College London John Rust; Georgetown University Bertel Schjerning; University of Copenhagen
presented by: Fedor Iskhakov, Australian National University
Multiple Treatments with Strategic Interaction
By Sukjin Han; University of Texas Austin
presented by: Sukjin Han, University of Texas Austin
Robust Identification in Mechanisms
By Brendan Kline; University of Texas
presented by: Brendan Kline, University of Texas
Session ID 63: Employment June 29, 2017 9:00 to 10:20 4B
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Murat Tasci, Federal Reserve Bank of Cleveland
Session type: contributed
Measuring convex adjustment costs of labor employment by intensive computing
[slides]
By Hirokatsu Asano; Asia University Takahiro Ito; Kobe University Daiji Kawaguchi; University of Tokyo
presented by: Hirokatsu Asano, Asia University
Duration Dependence and Labor Market Experience
By Arne F. Lyshol; BI Norwegian Business School Plamen Nenov; BI Norwegian Business School Thea Wevelstad; Ocean Yield
presented by: Arne F. Lyshol, BI Norwegian Business School
Employment Guarantee Schemes and Wages in India
By Girish Bahal; NCAER, New Delhi and University of Cambridge
presented by: Girish Bahal, NCAER, New Delhi and University of Cambridge
Lessons for Forecasting Unemployment in the U.S.: Use Flow Rates, Mind the Trend
By Brent Meyer; Federal Reserve Bank of Atlanta Murat Tasci; Federal Reserve Bank of Cleveland
presented by: Murat Tasci, Federal Reserve Bank of Cleveland
Session ID 86: High-dimensional Econometrics in Finance June 29, 2017 9:00 to 10:20 3B
Session Organizer: ,
Session Chair: Heather Anderson, Monash University
Session type: contributed
A Large t-Vector AutoRegressive model for Volatility Spillover Analysis
By Luca Barbaglia; KU Leuven Christophe Croux; KU Leuven Ines Wilms; KU Leuven
presented by: Luca Barbaglia, KU Leuven
Adaptive Large-Scale Portfolio Allocation Under Transaction Costs: Mixing High-Frequency and Low-Frequency Data
By Nikolaus Hautsch; University of Vienna Stefan Voigt; WU Vienna
presented by: Stefan Voigt, WU Vienna
Global financial spillovers: A nonlinear assessment of the uncertainty channel
By Marc Joëts; Banque de France and University of Paris
presented by: Marc Joëts, Banque de France and University of Paris
High-dimensional predictive regression in the presence of cointegration
By Bonsoo Koo; Monash University Heather Anderson; Monash University myung seo; SEOUL NATIONAL UNIVERSITY Wenying Yao; Deakin University
presented by: Heather Anderson, Monash University
Session ID 67: Applied Econometrics V June 29, 2017 9:00 to 10:20 4D
Session Organizer: ,
Session Chair: Richard Dunn, University of Connecticut
Session type: contributed
The Impact of Social Health Insurance on Consumption: Evidence from Askeskin programme in Indonesia
By Kalyan Kolukuluri; Indian Institute of Management Bangalore
presented by: Kalyan Kolukuluri, Indian Institute of Management Bangalore
How dangerous are drinking drivers now? Replicating and updating Levitt and Porter
By Richard Dunn; University of Connecticut Nathan Tefft; Bates College
presented by: Richard Dunn, University of Connecticut
A Regression Discontinuity Approach to Assess the Effectiveness of Tax Incentives Programs to Support Business R&D: the Mexican Experience
[slides]
By angel calderon; El Colegio de Mexico
presented by: Angel Calderon, El Colegio de Mexico
Session ID 71: Labor Economics II June 29, 2017 9:00 to 10:20 4C
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Hsiu-Fen Hsu, National Taipei University
Session type: contributed
Heterogeneous impact of the minimum wage: wage differentials and inequality
By Tatsushi Oka; National University of Singapore Ken Yamada; Kyoto University
presented by: Ken Yamada, Kyoto University
Does Color Matter? Estimating Differences in Promotions and Returns to Promotions between White and Visible Minority Canadian-Borns
By Mohsen Javdani; University of British Columbia Okanagan
presented by: Mohsen Javdani, University of British Columbia Okanagan
Intergenerational Persistence in Latent Socioeconomic Status: Evidence from Taiwan
By Hsiu-Fen Hsu; National Taipei University
presented by: Hsiu-Fen Hsu, National Taipei University
Session ID 42: Macroeconometric Theory II June 29, 2017 9:00 to 10:20 4A
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Vegard Larsen, Norges Bank
Session type: contributed
Identification and Persistence-Robust Exact Inference in DSGE Models
By Lynda Khalaf; Carleton University Zhenjiang Lin; School of Economics, University of Nottingham Ningbo China Abeer Reza; Bank of Canada
presented by: Zhenjiang Lin, School of Economics, University of Nottingham Ningbo China
Identifying SVARs with Sign Restrictions and Heteroskedasticity
By Srecko Zimic; European Central Bank
presented by: Srecko Zimic, European Central Bank
The Impact of Dynamic Covariance on Impulse Response Functions: Applications to Structural VARs and DSGE Models
By Christos Ioannidis; Aston University
presented by: Christos Ioannidis, Aston University
The Components of Uncertainty
By Vegard Larsen; Norges Bank
presented by: Vegard Larsen, Norges Bank
Session ID 84: Time Series Econometrics June 29, 2017 9:00 to 10:20 3E
Session Organizer: ,
Session Chair: Yi-Ting Chen, Academia Sinica
Session type: contributed
Choosing Between Robust Inference and Feasible GLS in Time Series Regressions with Possible Breakdown of Strict and Weak Exogeneity.
By Richard Baillie; Michigan State University
presented by: Richard Baillie, Michigan State University
Unbiased estimation of autoregressive models for bounded stochastic processes
By Josep Carrion-i-Silvestre; University of Barcelona Lola Gadea; University of Zaragoza antonio montanes; University of Zaragoza
presented by: antonio montanes, University of Zaragoza
Normality tests for latent variables
By Dante Amengual; CEMFI
presented by: Dante Amengual, CEMFI
A Mixed-Frequency Smooth Measurement for the Evolution of Business Conditions
By Yi-Ting Chen; Academia Sinica
presented by: Yi-Ting Chen, Academia Sinica
Session ID 115: "Inference under Covariate-Adaptive Randomization” by Azeem Shaikh June 29, 2017 10:50 to 11:50 Palace Ballroom
Session Organizer: ,
Session type: invited