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Session 1: IAAE Lecture: Janet Currie
June 26, 2018 11:00 to 12:00 |
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| Session Organizer: , |
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Session 2: News and Sentiments I
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: Francesco Bianchi, Duke University |
| Session Chair:
Laura Moretti, European Central Bank |
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| Revisions in Utilization-Adjusted TFP and Robust Identification of News Shocks |
| presented by: Eric Sims, University of Notre Dame |
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| Measuring News Sentiment |
| presented by: Adam Shapiro, Federal Reserve Bank of San Francisco |
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| vOILatility: Forecasting Oil Prices under Uncertainty |
| presented by: Marcelle Chauvet, University of California Riverside |
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| News, Noise and Oil Price Swings |
| presented by: Laura Moretti, European Central Bank |
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Session 3: Macro-Finance I
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Michael Siemer, Federal Reserve Board |
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| The Natural Rate of Interest and the Financial Cycle |
| presented by: Georgi Krustev, European Central Bank |
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| Measuring Financial Cycle Time |
| presented by: Marco Lombardi, Bank for International Settlements |
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| The Real Effects of Credit Booms and Busts |
| presented by: Michael Siemer, Federal Reserve Board |
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| Bank capital constraints, lending supply and economic activity |
| presented by: Antonio Conti, Bank of Italy |
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Session 4: Financial econometrics I
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Davide Pettenuzzo, Brandeis Univeristy |
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| Modelling time-varying parameters using artificial neural networks : A GARCH illustration |
| presented by: Morvan Nongni Donfack, Universté Laval |
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| High Frequency Tail Risk |
| presented by: Caio Almeida, Getulio Vargas Foundation |
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| High-frequency Cash Flow Dynamics |
| presented by: Davide Pettenuzzo, Brandeis Univeristy |
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Session 5: Empirical Finance I
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Mamiko Yamashita, Toulouse School of Economics |
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| Model Risk of Expected Shortfall |
| presented by: NING ZHANG, University of Reading |
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| Robustly modelling the scale and shape dynamics of stock return distributions |
| presented by: Jaideep Oberoi, University of Kent |
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| Return predictability and risk management |
| presented by: Mamiko Yamashita, Toulouse School of Economics |
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| Carry Trades and Endogenous Regime Switches in Exchange Rate Volatility |
| presented by: Heejoon Han, Sungkyunkwan University |
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Session 6: Forecasting financial markets
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Jianjian Jin, Bank of Canada |
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| Beset With Cares At Nightfall: A Comprehensive Analysis of Incorporating Overnight Futures Data In Daytime Stock Volatility Forecasting |
| presented by: Giorgio Mirone, Aarhus University & CREATES |
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| Exchange rate predictability and dynamic Bayesian learning |
| presented by: Rainer Schüssler, University of Rostock |
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| Which Model to Forecast the Target Rate |
| presented by: Jianjian Jin, Bank of Canada |
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Session 7: Macroeconometrics I
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Andrzej Kociecki, Narodowy Bank Polski |
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| Measuring Productivity and Absorptive Capacity Evolution |
| presented by: Stef De Visscher, Ghent University |
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| Global Robust Bayesian Analysis in Large Models |
| presented by: Paul Ho, Princeton University |
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| Time Varying Structural Vector Autoregressions: Some New Perspective |
| presented by: Andrzej Kociecki, Narodowy Bank Polski |
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| Measuring the inflation-unemployment trade-off |
| presented by: Regis Barnichon, Federal Reserve Bank of San Francisco |
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Session 8: Regulation
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Amine Ouazad, HEC Montreal |
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| Systemic Risk from Asset Concentration and Common Holdings among Banks |
| presented by: Celso Brunetti, Federal Reserve Board |
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| Structural Stress Tests |
| presented by: Sigurd Mølster Galaasen, Norges Bank |
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| BALANCE-SHEET DIVERSIFICATION IN GENERAL EQUILIBRIUM: IDENTIFICATION AND NETWORK EFFECTS |
| presented by: Amine Ouazad, HEC Montreal |
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Session 9: Measurement error and treatment effects
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Rossella Calvi, Rice University |
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| Stochastic Revealed Preferences with Measurement Error: Testing for Exponential Discounting in Survey Data |
| presented by: Nail Kashaev, University of Western Ontario |
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| On the Estimation of Treatment Effects with Endogenous Misreporting |
| presented by: Rusty Tchernis, Georgia State University |
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| Women's Empowerment and Family Health: Estimating LATE with Mismeasured Treatment |
| presented by: Rossella Calvi, Rice University |
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| Revisiting Regression Adjustment in Experiments with a Heterogeneous Treatment Effects Model |
| presented by: Akanksha Negi, Michigan State University |
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Session 10: Time Series and Panel Data Applications
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Ruixuan Liu, Emory University |
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| You can't always get what you want? A Monte Carlo analysis of the bias and the efficiency of dynamic panel data estimators |
| presented by: Vadim Kufenko, University of Hohenheim |
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| The Cost-Sharing, Shadow Price and Cluster in Medical Care Utilization: A Self-Exciting Perspective |
| presented by: Yuhao LI, Universidad Carlos III de Madrid |
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| Accelerated Failure Time Models with Logconcave Errors |
| presented by: Ruixuan Liu, Emory University |
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| Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure |
| presented by: Takashi Yamagata, University of York |
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Session 11: Education I
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Christian Belzil, Ecole Polytechnique |
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| Dealing With Differential Item Functioning In Item Response Models: Inter-temporal Differences. |
| presented by: James McIntosh, Concordia University |
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| How Do Mothers Manage? Universal Daycare, Child Skill Formation, and the Parental Time-Education Puzzle |
| presented by: Timea Laura Molnar, Analysis Group / Groupe d'Analyse (Montréal) |
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| The Evolution of the U.S. Family Income-Schooling Relationship and Educational Selectivity |
| presented by: Christian Belzil, Ecole Polytechnique |
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Session 12: Environment I
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Averi Chakrabarti, University of North Carolina at Chapel Hill |
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| Evaluating the effect of local monitoring on nuclear safety: Evidence from France |
| [slides] |
| presented by: Petyo Bonev, Mines ParisTech |
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| Understanding Disparities in Punishment: Regulator Preferences and Expertise |
| presented by: Bernardo Silveira, Olin Business School |
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| Forests and Infant Mortality in Indonesia |
| presented by: Averi Chakrabarti, University of North Carolina at Chapel Hill |
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Session 13: Online Markets
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Maude Hasbi, Chalmers University of Technology |
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| The Effect of ID Verification in Online Markets: Evidence from a Field Experiment |
| presented by: Patrick Scholten, Bentley University |
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| Ethnic Discrimination on an Online Marketplace of Vacation Rentals |
| presented by: Morgane Laouenan, CNRS Paris-Sorbonne |
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| More is Better, or Not? An Empirical Analysis of Buyer Preferences for Variety on the E-Market |
| presented by: Senay Sokullu, University of Bristol |
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| Impact of Very High-Speed Broadband on Local Economic Growth: Empirical Evidence |
| presented by: Maude Hasbi, Chalmers University of Technology |
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Session 14: Spatial Panel Data
June 26, 2018 13:30 to 15:00 |
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| Session Organizer: , |
| Session Chair:
Cynthia Fan Yang, University of Southern California |
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| Nonparametric panel data models with cross-sectional dependence |
| presented by: Alexandra Soberon, Universidad de Cantabria |
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| Common Correlated Effect Cross-sectional Dependence Corrections for Non-linear Conditional Mean Panel Models |
| presented by: Sinem Hacioglu Hoke, Bank of England |
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| Incidental Parameters Problem in Testing: A Case of Cross-section Dependence Tests with Common Components |
| presented by: Arturas Juodis, University of Groningen |
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| Common Factors and Spatial Dependence: An Application to US House Prices |
| presented by: Cynthia Fan Yang, University of Southern California |
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Session 15: Housing and the macroeconomy
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Bruno Albuquerque, Ghent University |
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| Property Heterogeneity and Convergence Club Formation among Local House Prices |
| presented by: Jesus Otero, Universidad del Rosario |
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| Land Use Regulations, Migration and Rising House Price Dispersion in the U.S. |
| presented by: WUKUANG CUN, University of Southern California |
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| Time-varying housing supply elasticities and US housing cycles |
| presented by: Bruno Albuquerque, Ghent University |
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Session 16: Forecast combination and evaluation I
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
George Athanasopoulos, Monash University |
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| Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting |
| presented by: Knut Are Aastveit, Norges Bank |
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| Unrestricted and Controlled Identification of Loss Functions: Possibility and Impossibility Results |
| presented by: Robert Lieli, Central European University |
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| Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization |
| presented by: George Athanasopoulos, Monash University |
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Session 17: Forecasting inflation
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Marco Del Negro, Federal Reserve Bank of New York |
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| FORECASTING INFLATION IN A DATA-RICH ENVIRONMENT: THE BENEFITS OF MACHINE LEARNING METHODS |
| presented by: Gabriel Vasconcelos, PUC-Rio |
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| Forecasting Deflation Probability in the EA: A Combinatoric Approach |
| presented by: Luca Brugnolini, University of Rome Tor Vergata and Central Bank of Malta |
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| The Conquest of Inflation Credibility in the U.S.-- A Bayesian Approach for Inference on Probabilistic Surveys |
| presented by: Marco Del Negro, Federal Reserve Bank of New York |
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Session 18: Energy and commodities
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Stephen Snudden, Queen's University |
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| Asymmetric Responses of Consumer Spending to Energy Prices: The Role of Information and News Coverage |
| presented by: Edward Knotek II, Federal Reserve Bank of Cleveland |
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| The Simple Economics of Global Fuel Consumption |
| presented by: Reinhard Ellwanger, Bank of Canada |
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| International Remittances, Migration, and Primary Commodities |
| presented by: Stephen Snudden, Queen's University |
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Session 19: Time Series Models I
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: Raffaella Giacomini, University College London |
| Session Chair:
Daniel Buncic, Sveriges Riksbank |
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| Detecting Time Irreversibility Using Quantile Autoregressive Models |
| [slides] |
| presented by: Alain Hecq, Maastricht University |
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| Vector Quantile Autoregression: A Random Coefficient Approach |
| presented by: Sulkhan Chavleishvili, European Central Bank |
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| Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models |
| presented by: Daniel Buncic, Sveriges Riksbank |
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Session 20: Empirical Finance II
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Kerem Tuzcuoglu, Bank of Canada |
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| The Informational Value of Consensus Prices: Evidence from the OTC Derivatives Market |
| presented by: Andreas Uthemann, London School of Economics |
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| Short Selling and Excess Return Correlation |
| presented by: Marco Valerio Geraci, University of Cambridge |
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| Composite Likelihood Estimation of AR-Probit Model: Application to Credit Ratings |
| presented by: Kerem Tuzcuoglu, Bank of Canada |
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Session 21: Peer Effects
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Kyriakos Petrou, University of Cyprus |
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| Heterogeneous Endogenous Effects in Networks |
| presented by: sida peng, MICROSOFT RESEARCH |
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| Network Competition and Team Chemistry in the NBA |
| presented by: Hyunseok Jung, Syracuse University |
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| A Social Interaction Approach to Social Identity and its Role to Preferences for Redistribution and Beliefs |
| presented by: Kyriakos Petrou, University of Cyprus |
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Session 22: Spatial Econometrics I
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Andros Kourtellos, University of Cyprus |
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| Adaptive Inference on Pure Spatial Models |
| presented by: Jungyoon Lee, Royal Holloway, University of London |
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| Continuously Updated Indirect Inference in Spatial Autoregressions with Unobserved Heterogeneity |
| presented by: FRANCESCA ROSSI, University of Verona |
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| Threshold Spatial Autoregression |
| presented by: Andros Kourtellos, University of Cyprus |
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Session 23: Distributions and Quantiles
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Yuya Sasaki, Vanderbilt University |
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| Distributional Counterfactual Analysis with (common) Deterministic trend units |
| presented by: Ricardo Masini, Escola de Economia de São Paulo - FGV |
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| Distributional Regression in Survival Analysis |
| presented by: Andrés García-Suaza, Universidad del Rosario |
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| Quantile Regression with Interval Data |
| presented by: Yuya Sasaki, Vanderbilt University |
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Session 24: Industrial Organizations I
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Elliot Anenberg, Federal Reserve Board |
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| Spillover effects and city development |
| presented by: Roxana Fernandez, CREST-ENSAE |
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| A structural model of hospital competition |
| presented by: Lionel Wilner, INSEE-CREST |
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| Information Technology and Consumption Agglomeration: Evidence from Yelp |
| presented by: Elliot Anenberg, Federal Reserve Board |
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Session 25: Immigration
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Christoph Wigger, University of Cologne |
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| Immigration and housing for the near-retirees |
| presented by: Wendy Kei, University of British Columbia |
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| Deprivation, enclaves, and socioeconomic classes of UK immigrants. Does English proficiency matter? |
| presented by: Yu Aoki, University of Aberdeen and IZA |
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| Who with Whom? Untangling the Effect of High-Skilled Immigration on Innovation |
| presented by: Christoph Wigger, University of Cologne |
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Session 26: Games
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
Mengkai Yu, Georgetown University |
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| Inference in Games without Nash Equilibrium: An Application to Restaurants Competition in Opening Hours |
| presented by: Erhao Xie, University of Toronto |
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| Games with unobservable heterogeneity and multiple equilibria: An application to mobile telecommunications |
| presented by: Mathieu Marcoux, Université de Montréal |
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| Optimal Dynamic Hotel Pricing |
| presented by: Mengkai Yu, Georgetown University |
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Session 27: Household Finances I
June 26, 2018 15:30 to 17:00 |
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| Session Organizer: , |
| Session Chair:
May Rostom, University College London & Bank of England |
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| Raising pension awareness through letters and social media: What works for whom? Evidence from a randomized and quasi-experiment |
| presented by: Marike Knoef, Leiden University, Netspar |
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| Unconventional monetary policy and households’ financial portfolio choices |
| presented by: Caterina Forti Grazzini, DIW Berlin |
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| Consumption Response to Aggregate Shocks and the Role of Leverage |
| presented by: May Rostom, University College London & Bank of England |
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Session 28: Plenary lecture: Serena Ng
June 26, 2018 17:15 to 18:15 |
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| Session Organizer: , |
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Session 29: Plenary lecture: Frank Schorfheide
June 27, 2018 9:00 to 10:00 |
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| Session Organizer: , |
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Session 30: Inflation dynamics I
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: Todd Clark, Federal Reserve Bank of Cleveland |
| Session Chair:
Filippo Pellegrino, London School of Economics; Now-Casting Economics |
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| Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of long-run inflation expectations |
| presented by: Geraldine Dany-Knedlik, DIW Berlin |
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| The Role of Expectations in Changed Inflation Dynamics |
| presented by: John Roberts, Board of Governors of the Federal Reserve System |
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| Phillips curves in the euro area? |
| presented by: Luca Onorante, European Central Bank |
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| A Model of the Fed’s View on Inflation |
| presented by: Filippo Pellegrino, London School of Economics; Now-Casting Economics |
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Session 31: Volatility Modelling I
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: Raffaella Giacomini, University College London |
| Session Chair:
Jean-Marie Dufour, McGill University |
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| Forecasting realized volatility: the role of implied volatility, leverage effects and the volatility of realized volatility |
| presented by: Katerina Tsakou, Swansea University |
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| A Stochastic Price Duration Model for Estimating High-Frequency Volatility |
| presented by: Wei Wei, |
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| Simple Estimators and Inference for Higher-order Stochastic Volatility Models |
| presented by: Jean-Marie Dufour, McGill University |
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Session 32: Unconventional monetary policy
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Filippo Ferroni, Chicago FED |
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| The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates |
| presented by: Barbara Rossi, ICREA-Univ. Pompeu Fabra, Barcelona GSE |
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| Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases |
| presented by: Xu Zhang, University of California, San Diego |
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| IDENTIFYING UNCONVENTIONAL MONETARY POLICY SHOCKS |
| presented by: Masahiko Shibamoto, Kobe University |
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| Delphic and Odyssean monetary policy shocks: Evidence from the euro-area |
| presented by: Filippo Ferroni, Chicago FED |
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Session 33: Uncertainty in Macroeconomics I
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Christos Ioannidis, Aston University |
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| Uncertainty Across Volatility Regimes |
| presented by: Luca Fanelli, University of Bologna |
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| Expectations Shocks with Uncertain Data |
| presented by: Ana Beatriz Galvao, University of Warwick |
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| Uncertainty and Financial Stability: a VAR Analysis |
| presented by: Chiara Scotti, Federal Reserve Board |
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| Economic Policy Uncertainty and Bond Risk Premia |
| presented by: Kook Ka, Bank of Korea |
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Session 34: Business Cycle Fluctuations I
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: Francesco Bianchi, Duke University |
| Session Chair:
Yunjong Eo, University of Sydney |
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| Are linear models really unuseful to describe business cycle data? |
| presented by: Artur Silva Lopes, ISEG, Universidade de Lisboa |
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| Global Macroeconomic Volatility |
| presented by: Danilo Leiva-Leon, Banco de España |
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| Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle |
| presented by: Fernando Mendes, UFRGS |
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| Why has the U.S. economy stagnated since the Great Recession? |
| presented by: Yunjong Eo, University of Sydney |
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Session 35: Big data
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Giorgio Primiceri, Northwestern University |
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| Macroeconomic forecast accuracy in a data-rich environment |
| presented by: Maxime Leroux, |
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| On LASSO for Predictive Regression |
| presented by: Ji Hyung Lee, University of Illinois |
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| A horse race in high dimensional space |
| presented by: paolo andreini, Tor vergata University |
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| Economic Predictions with Big Data: The Illusion of Sparsity |
| presented by: Giorgio Primiceri, Northwestern University |
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Session 36: Financial econometrics II
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Jérémy Leymarie, University of Orléans |
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| Understanding the Economic Determinants of the Severity of Operational Losses: A regularized Generalized Pareto Regression Approach |
| presented by: Julien Hambuckers, University of Goettingen |
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| Time-varying Learning Combinations of Bayesian Dynamic Models and Equity Momentum Strategies |
| presented by: Herman van Dijk, Erasmus University Rotterdam |
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| Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions |
| presented by: Antonio Diez de los Rios, Bank of Canada |
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| Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures |
| presented by: Jérémy Leymarie, University of Orléans |
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Session 37: Macro-Finance II
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: Francesco Bianchi, Duke University |
| Session Chair:
Jelena Zivanovic, Bank of Canada |
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| Do loan demand shocks matter? A new look at credit supply and demand channels of the UK Economy. |
| presented by: Richard Kima, University of Southampton |
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| Follow the money: Does the financial sector intermediate natural resource windfalls? |
| presented by: Steven Poelhekke, Vrije Universiteit Amsterdam |
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| Financial Shocks, Credit Spreads, and the International Credit Channel |
| [slides] |
| presented by: Andrej Sokol, Bank of England |
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| A structural empirical analysis of the external finance premium |
| presented by: Jelena Zivanovic, Bank of Canada |
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Session 38: DSGE models
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Marc Giannoni, Federal Reserve Bank of Dallas |
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| Macroeconomic implications of shadow banks: A DSGE analysis |
| presented by: Molin Zhong, Federal Reserve Board of Governors |
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| Misspecification in DSGE Models and Policy Implications: Empirical Evidence from the Euro Area |
| presented by: Alessia Paccagnini, University College Dublin |
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| DSGE models with financial frictions: frequency does matter |
| [slides] |
| presented by: Paolo Gelain, Federal Reserve Bank of Cleveland |
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| DSGE Forecasts of the Lost Recovery |
| presented by: Marc Giannoni, Federal Reserve Bank of Dallas |
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Session 39: Interest rate dynamics
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Fan Dora Xia, Bank for International Settlements |
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| A shadow rate without a lower bound constraint |
| presented by: Rafael De Rezende, Sveriges Riksbank |
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| Interest Rate Conundrums in the Twenty-First Century |
| presented by: Jonathan Wright, Johns Hopkins University |
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| Some Evidence on Secular Drivers of U.S. Safe Real Rates |
| presented by: Kurt Lunsford, Federal Reserve Bank of Cleveland |
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| Negative Interest Rate Policy and Yield Curve |
| presented by: Fan Dora Xia, Bank for International Settlements |
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Session 40: Econometric Theory
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Timothy Armstrong, Yale University |
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| Inference for moments of ratios with robustness against large trimming bias and unknown convergence rate |
| presented by: Takuya Ura, University of California, Davis |
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| Inference in Non-Parametric/Semi-Parametric Moment Equality Models with Shape Restrictions |
| presented by: Yu Zhu, Bank of Canada |
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| Testing Generalized Regression Monotonicity |
| presented by: Xiaoxia Shi, University of Wisconsin at Madison |
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| Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness |
| presented by: Timothy Armstrong, Yale University |
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Session 41: Clustered Inference
June 27, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Seojeong Lee, University of New South Wales |
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| Validity of Wild Bootstrap Inference with Clustered Errors |
| presented by: James MacKinnon, Queen's University |
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| Asymptotic Results under Multiway Clustering |
| presented by: Yannick Guyonvarch, CREST-ENSAE |
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| Bootstrap and Asymptotic Inference with Multiway Clustering |
| presented by: Matthew Webb, Carleton University |
| |
| Inference for Iterated GMM Under Misspecification and Clustering |
| presented by: Seojeong Lee, University of New South Wales |
| |
|---|
Session 42: Minimum Wage
June 27, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Pedro H. C. Sant'Anna, Vanderbilt University |
| |
| On the effects of the minimum wage on employment, formality, and the wage distribution |
| presented by: Hugo Jales, Syracuse University |
| |
| Employment Effects of Introducing a Minimum Wage: The Case of Germany |
| presented by: Oliver Holtemöller, Martin-Luther-University Halle-Wittenberg and Halle Leibniz-Institute for Economic Research (IWH) |
| |
| Minimum wages and youth employment in Belgium |
| presented by: Maritza López Novella, Federal Planning Bureau |
| |
| Difference in Differences with Multiple Time Periods with an Application on the Minimum Wage and Employment |
| presented by: Pedro H. C. Sant'Anna, Vanderbilt University |
| |
|---|
Session 43: Health Economics I
June 27, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Vincenzo Atella, University of Rome Tor Vergata |
| |
| Market structure, patient choice and hospital quality for elective patients |
| presented by: Giuseppe Moscelli, University of Surrey |
| |
| Harnessing the Small Victories: Empirical Evidence from a Calorie and Weight Loss Tracking Application |
| presented by: Nathan Yang, McGill Desautels Faculty of Management |
| |
| Technological Advance in Cholesterol Medication Meets Physician Learning: A Non-Parametric Bounding Approach |
| presented by: Vincenzo Atella, University of Rome Tor Vergata |
| |
|---|
Session 44: Environment II
June 27, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Reinhard Weisser, Queen Mary University of London |
| |
| On Model Selection Criteria for Climate Change Impact Studies |
| presented by: Dalia Ghanem, University of California, Davis |
| |
| Dealing with corner solutions in multi-crop micro-econometric models: an endogenous regime approach with regime fixed costs |
| presented by: Alain Carpentier, UMR SMART-LERECO INRA Agrocampus Ouest |
| |
| The impact of local shocks on well-being: Only a matter of perception? |
| presented by: Reinhard Weisser, Queen Mary University of London |
| |
|---|
Session 45: Household Finances II
June 27, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Tamas Briglevics, Magyar Nemzeti Bank |
| |
| The Impact of School-Based Financial Education on High School Students and their Teachers: Experimental Evidence from Peru |
| presented by: Veronica Frisancho, Inter-American Development Bank (IDB) |
| |
| Student Loan Debt and Financial Health of U.S. Households |
| presented by: Venoo Kakar, San Francisco State University |
| |
| How Do Entrepreneurial Portfolios Respond to Income Taxation? |
| presented by: Davud Rostam-Afschar, Universitaet Hohenheim |
| |
| The Effect of Interest Rate Normalization on Mortgage Delinquencies in Hungary: A Structural Approach |
| presented by: Tamas Briglevics, Magyar Nemzeti Bank |
| |
|---|
Session 46: Structural Models
June 27, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Thierry Magnac, Toulouse School of Economics |
| |
| Party Formation in a Parliamentary Democracy |
| [slides] |
| presented by: Selcen Cakir, University of Virginia |
| |
| Identification and Estimation of Nonparametric Hedonic Equilibrium Model with Unobserved Quality |
| presented by: Ruoyao Shi, UC Riverside |
| |
| A Pigouvian Approach to Congestion in Matching Markets |
| [slides] |
| presented by: Thierry Magnac, Toulouse School of Economics |
| |
|---|
Session 47: Nonlinearities in macroeconomic dynamics
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Laura Jackson Young, Bentley University |
| |
| Is Business Cycle Asymmetry Intrinsic in Industrialized Economies? |
| presented by: Irina Panovska, Lehigh University |
| |
| Assessing Aggregate Investment Nonlinearities |
| presented by: Edward Herbst, Federal Reserve Board |
| |
| On Nonlinearities in Unemployment |
| presented by: Francois Langot, GAINS |
| |
| Nonlinearities, Smoothing, and Countercyclical Monetary Policy |
| presented by: Laura Jackson Young, Bentley University |
| |
|---|
Session 48: Central bank forecasting
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Dean Croushore, University of Richmond |
| |
| Changes in Predictability of the Canadian Economy: Evidence from the Bank of Canada Staff's Forecasts |
| presented by: Rodrigo Sekkel, Bank of Canada |
| |
| Asymmetry, Complementarities, and Federal Reserve Forecasts |
| presented by: Michael Owyang, Federal Reserve Bank of St Louis |
| |
| Detecting Time-dependent Bias in the Fed’s Greenbook Forecasts of Foreign GDP Growth |
| presented by: Neil Ericsson, Federal Reserve Board |
| |
| Fiscal Surprises at the FOMC |
| presented by: Dean Croushore, University of Richmond |
| |
|---|
Session 49: Empirical Finance III
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Lynda Khalaf, Carleton University |
| |
| Integration and Disintegration of EMU Government Bond Markets |
| presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover |
| |
| Some financial implications of global warming |
| presented by: Claudio Morana, University Milano Bicocca |
| |
| Stock Market Access and Cash Flow Allocation during the Financial Crisis |
| presented by: David Florysiak, University of Southern Denmark |
| |
| Weak beta, strong beta: multi-factor pricing and rank restrictions |
| presented by: Lynda Khalaf, Carleton University |
| |
|---|
Session 50: Factor models I
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Matteo Luciani, Federal Reserve Board, Washington DC |
| |
| Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage |
| presented by: Diego Brito, PUC-Rio |
| |
| Comovements in the Real Activity of Developed and Emerging Economies: A Test of Global versus Specific International Factors |
| presented by: Antoine Djogbenou, Queen's University |
| |
| Quantifying the Monetary Transmission Mechanism: A Mixed-Frequency Factor-Augmented Vector Autoregressive Regression Approach |
| presented by: Zhi Zhao, |
| |
| Common Factors, Trends, and Cycles in Large Datasets |
| presented by: Matteo Luciani, Federal Reserve Board, Washington DC |
| |
|---|
Session 51: Heterogeneity in macroeconomics
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Michele Lenza, European Central Bank |
| |
| On the U.S. Firm and Establishment Size Distributions |
| presented by: Andrea Stella, Federal Reserve Board |
| |
| Downward Nominal Wage Rigidity in the U.S.: New Evidence from Worker-Firm Linked Data |
| presented by: Andre Kurmann, Drexel University |
| |
| What is the extent of misallocation? |
| presented by: Bruno Pellegrino, UCLA |
| |
| How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from the Euro Area |
| presented by: Michele Lenza, European Central Bank |
| |
|---|
Session 52: Monetary Policy Rules
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Andreas Tryphonides, Humboldt U |
| |
| Asymmetries in the Interest Rate Rule: Data versus DSGE |
| presented by: Anna Almosova, Humboldt University of Berlin |
| |
| Interest Rate Rules Across The Business Cycle |
| presented by: Daniel Soques, University of North Carolina at Wilmington |
| |
| FOMC Fed Funds Rate Responses Treat Persistent Fluctuations Differently from Other Fluctuations |
| presented by: Randal Verbrugge, Federal Reserve Bank of Cleveland |
| |
| Learning from Errors: The case of Monetary and Fiscal Policy Regimes |
| presented by: Andreas Tryphonides, Humboldt U |
| |
|---|
Session 53: Time Series Models II
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Damba Lkhagvasuren, Concordia University, Montreal, Canada |
| |
| A uni
ed theory for the family of time varying models with ARMA representations: One solution
ts all |
| presented by: Menelaos Karanasos, Brunel University |
| |
| Nonfractional Memory: Filtering, Antipersistence, and Forecasting |
| presented by: J. Eduardo Vera Valdés, Aalborg University |
| |
| A Sieve-SMM Estimator for Dynamic Models |
| presented by: Jean-Jacques Forneron, Columbia University |
| |
| Highly Persistent Finite-State Markov Chains with Non-Zero Skewness and Excess Kurtosis |
| presented by: Damba Lkhagvasuren, Concordia University, Montreal, Canada |
| |
|---|
Session 54: Macroeconomics and asset prices
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Marek Raczko, Bank of England |
| |
| Asset Pricing with Recursive Preferences and Stochastic Volatility: A Bayesian DSGE Analysis |
| presented by: David Rapach, Saint Louis University |
| |
| Federal Reserve Private Information and the Stock Market |
| presented by: Aeimit Lakdawala, Michigan State University |
| |
| (Un)expected Monetary Policy Shocks and Term Premia |
| presented by: Alexander Meyer-Gohde, Goethe-Universität Frankfurt |
| |
| The Information in the Term Structures of Bond Yields |
| presented by: Marek Raczko, Bank of England |
| |
|---|
Session 55: Volatility modeling II
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Giuseppe Buccheri, Scuola Normale Superiore |
| |
| Mixing Mixed Frequency Macroeconomic Forecasting Models with High Frequency Volatility and Risk Factors: An Empirical Assessment |
| presented by: Chun Yao, Rutgers University |
| |
| Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis |
| [slides] |
| presented by: Thore Schlaak, DIW Berlin |
| |
| Conditional heteroscedasticity models with time-varying parameters: Estimation and forecasting |
| presented by: armin pourkhanali, Monash University |
| |
| A General Class of Score-Driven Smoothers |
| presented by: Giuseppe Buccheri, Scuola Normale Superiore |
| |
|---|
Session 56: Identification in SVARs I
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: Todd Clark, Federal Reserve Bank of Cleveland |
| Session Chair:
Robin Braun, University of Konstanz |
| |
| Identifying Shocks via Time-Varying Volatility |
| presented by: Daniel Lewis, Harvard University |
| |
| Identifying Factor-Augmented Vector Autoregression Models by a Change in Shock Variances |
| presented by: Yohei Yamamoto, Hitotsubashi University |
| |
| Identification of Structural Vector Autoregressions Through Higher Unconditional Moments |
| presented by: Michel Normandin, HEC Montreal |
| |
| Identification of Structural Vector Autoregressions by Stochastic Volatility |
| presented by: Robin Braun, University of Konstanz |
| |
|---|
Session 57: Treatment Effects I
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Christopher Adams, Federal Trade Commission |
| |
| Multivalued Treatments and Decomposition Analysis: An application to the WIA Program |
| presented by: Sebastian Calonico, University of Miami |
| |
| Identifying Treatment Effects in the Presence of Confounded Types |
| presented by: Desire Kedagni, Penn State University |
| |
| Sharp Bounds on Functionals of the Joint Distribution in the Analysis of Treatment Effects |
| presented by: Thomas Russell, University of Toronto |
| |
| Empirical Bayesian Estimation of Treatment Effects |
| presented by: Christopher Adams, Federal Trade Commission |
| |
|---|
Session 58: Network Models
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Michaela Kesina, ETH Zurich |
| |
| A structural model of homophily and clustering in social networks |
| presented by: Angelo Mele, Johns Hopkins University |
| |
| Spatial Dependence and Common Factors in the English Housing Market: A STARF Model |
| presented by: Beulah Chelva, University of Leeds |
| |
| Normal Approximation in Strategic Network Formation |
| presented by: Hyungsik Roger Moon, University of Southern California |
| |
| Estimation of models with an endogenous spatial or network matrix - a transformation approach |
| presented by: Michaela Kesina, ETH Zurich |
| |
|---|
Session 59: Housing Markets
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Albert Zevelev, Baruch CUNY |
| |
| Imperfect Information, Learning and Housing Market Dynamics |
| presented by: Christophe BRUNEEL, Toulouse School of Economics |
| |
| Housing Price Network Effects from Public Transit Investment: Evidence from Vancouver |
| presented by: Alex Chernoff, Bank of Canada |
| |
| Is my rental price overestimated? A small area index for Germany |
| presented by: Lea Eilers, RWI – Leibniz Institute for Economic Research |
| |
| Does Collateral Value Affect Asset Prices? Evidence from a Natural Experiment in Texas |
| presented by: Albert Zevelev, Baruch CUNY |
| |
|---|
Session 60: Model Uncertainty
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Christophe Gaillac, CREST and TSE |
| |
| How to use economic theory to improve estimators |
| presented by: Maximilian Kasy, Harvard University |
| |
| Inference for Impulse Responses under Model Uncertainty |
| presented by: Lenard Lieb, Maastricht University |
| |
| Minimizing Sensitivity to Model Misspecification |
| presented by: Stephane Bonhomme, University of Chicago |
| |
| Testing Rational Expectations using Data Combination |
| presented by: Christophe Gaillac, CREST and TSE |
| |
|---|
Session 61: Education II
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Xintong Han, Concordia University |
| |
| The Effects of Schoolwide Tracking on Low and High Skill Students: Evidence from South Korea |
| presented by: Eunjee Kwon, University of Southern California, USC |
| |
| The Dynamics and Determinants of Adolescent Bullying Victimisation |
| presented by: Georgios Chrysanthou, University of Alicante |
| |
| Students' dynamic learning: a structural empirical model |
| presented by: Xintong Han, Concordia University |
| |
| The Impact of High School Financial Education on Financial Knowledge and Choices: Evidence from a Randomized Trial in Spain |
| presented by: Laura Hospido, Banco de España and IZA |
| |
|---|
Session 62: Industrial Organizations II
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Wilko Letterie, Maastricht University |
| |
| An Experimental Approach to Merger Analysis |
| presented by: Christopher Conlon, NYU Stern |
| |
| Effort and Selection Effects of Performance Pay in Knowledge Creation |
| presented by: Erina Ytsma, MIT |
| |
| Mergers and Acquisitions, and the Propagations in Production Networks |
| presented by: Lan Lan, Toulouse School of Economics |
| |
| Price Changes - Stickiness and Internal Coordination in Multiproduct Firms |
| presented by: Wilko Letterie, Maastricht University |
| |
|---|
Session 63: Labor Markets I
June 27, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Cristina Barcelo, Banco de España |
| |
| Conditional Choice Probability Estimation of Continuous-Time Job Search Models |
| [slides] |
| presented by: Attila Gyetvai, Duke University |
| |
| Identifying Distributions in a Panel Model with Heteroskedasticity: An Application to Earnings Volatility |
| presented by: Irene Botosaru, University of Bristol |
| |
| Time variation in the competitiveness of product and labor markets of Chinese firms: An application of the distance test |
| presented by: Quint Wiersma, Vrije Universiteit Amsterdam |
| |
| The Risk of Job Loss, Household Formation and Housing Demand: Evidence from Differences in Severance Payments |
| presented by: Cristina Barcelo, Banco de España |
| |
|---|
Session 64: Plenary lecture: Alfred Galichon
June 27, 2018 16:30 to 17:30 |
|---|
| |
|---|
| Session Organizer: , |
| |
|---|
Session 65: Plenary lecture: Guido Imbens
June 28, 2018 9:00 to 10:00 |
|---|
| |
|---|
| Session Organizer: , |
| |
|---|
Session 66: Time variation in macroeconomic dynamics
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: Todd Clark, Federal Reserve Bank of Cleveland |
| Session Chair:
Luis Uzeda, Bank of Canada |
| |
| Non-linear effects of government spending shocks in the US. Evidence from state-level data. |
| presented by: Haroon Mumtaz, Queen Mary |
| |
| A Panel Smooth Transition Model for the Exchange Rate Pass-Through: New Evidence from the New EU Member States |
| presented by: Nidhaleddine BEN CHEIKH, ESSCA School of Management (France) |
| |
| Common Sources of Instabilities in Macroeconomic Dynamics: A Factor-TVP Approach |
| presented by: Dalibor Stevanovic, Université du Québec à Montréal |
| |
| The Effects of Monetary Policy on Trend Inflation: Evidence from Models with Drifting and Cross-Correlated Parameters |
| presented by: Luis Uzeda, Bank of Canada |
| |
|---|
Session 67: Identification in SVARs II
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Srecko Zimic, European Central Bank |
| |
| Identification through Heterogeneity |
| presented by: Pooyan Amir Ahmadi, University of Illinois at Urbana-Champai |
| |
| Proxy-SVAR as a Bridge for Identification with Mixed Frequency Data |
| presented by: Alejandro Vicondoa, Pontificia Universidad Catolica de Chile |
| |
| Stargazing with Structural VARs: Shock Identification via Independent Component Analysis |
| presented by: Dmitry Kulikov, Eesti Pank |
| |
| The Importance of Foreign Shocks on Money Market Rates: Event-Study Magnitude Restriction |
| presented by: Srecko Zimic, European Central Bank |
| |
|---|
Session 68: Oil prices
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Lanouar Charfeddine, Qatar University |
| |
| Nonlinear Intermediary Pricing\\ in the Oil Futures Market |
| [slides] |
| presented by: Anton Velinov, DIW Berlin |
| |
| A fistful of oil barrels for a few more dollars: strategic interactions and price dynamics in the global oil market |
| presented by: virginia di nino, ECB |
| |
| The Transmission of Exogenous Commodity and Oil Prices shocks to Latin America - A Panel VAR approach |
| presented by: Rocio Gondo, Banco Central de Reserva del Peru |
| |
| Oil Price Changes and U.S. Real GDP Growth: Is this Time Different? |
| presented by: Lanouar Charfeddine, Qatar University |
| |
|---|
Session 69: Volatility modeling III
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Yongdeng Xu, Cardiff University |
| |
| Stylized Facts for Extended HEAVY/GARCH models and MEM: the importance of asymmetries, power transformations, long memory, structural breaks and spillovers |
| presented by: Yfanti Stavroula, Lancaster University |
| |
| Modelling Intraday Correlations using Multivariate GARCH |
| presented by: Ayesha Scott, Auckland University of Technology |
| |
| Filtering With Confidence: In-sample Confidence Bands For GARCH Filters |
| presented by: Marcin Zamojski, University of Gothenburg |
| |
| Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations |
| presented by: Yongdeng Xu, Cardiff University |
| |
|---|
Session 70: Macro-Finance III
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Ana Iregui, Banco de la Republica |
| |
| Risk Sharing, Efficiency of Capital Allocation, and the Connection between Banks and the Real Economy |
| presented by: Alessandro Barattieri, Collegio Carlo Alberto and ESG UQAM |
| |
| Do US and global shocks matter for EMEs financial conditions? |
| presented by: Ana Simona Manu, ECB |
| |
| Financial Globalization and Bank Lending: The Limits of Domestic Monetary Policy? |
| presented by: Jin Cao, Norges Bank |
| |
| Interest rate convergence across maturities: Evidence from bank data in an emerging market economy |
| presented by: Ana Iregui, Banco de la Republica |
| |
|---|
Session 71: Forecast combination and evaluation II
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Michael McCracken, Federal Reserve Bank of St. Louis |
| |
| Testing Forecast Accuracy of Expectiles and Quantiles with the Extremal Consistent Loss Functions |
| presented by: Yu-Min Yen, National Chengchi University |
| |
| Dynamic multivariate posterior predictive checks for macroeconomic density forecasts |
| presented by: Andrei Sarychev, Bank of England; European Central Bank |
| |
| Improving the Power of the Giacomini-White Test for Applications with Covariance-Stationary Data |
| presented by: Walter Mayer, University of Mississippi |
| |
| An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts |
| presented by: Michael McCracken, Federal Reserve Bank of St. Louis |
| |
|---|
Session 72: Fiscal policy
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Tatiana Kirsanova, University of Glasgow |
| |
| Sources of Borrowing and Fiscal Multipliers |
| presented by: Romanos Priftis, Bank of Canada |
| |
| Measuring the Strength of the Theories of Government Size |
| presented by: Alex Lenkoski, Norwegian Computing Center |
| |
| On the relevance of double tax treaties in the presence of treaty shopping |
| presented by: Andrzej Stasio, Vienna University of Econ. and Bus. |
| |
| Sustainable Policy Equilibria in a Monetary Union |
| presented by: Tatiana Kirsanova, University of Glasgow |
| |
|---|
Session 73: Survey Forecasts and Expectation Formation I
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: Raffaella Giacomini, University College London |
| Session Chair:
Zhao Han, College of William and Mary |
| |
| Expectation Formation Following Large Unexpected Shocks |
| presented by: Xuguang Sheng, American University |
| |
| Robust Inference under Time-Varying Volatility - A Real-Time Evaluation of Professional Forecasters |
| presented by: Christoph Hanck, Universität Duisburg-Essen |
| |
| Central Bank Credibility and Inflation Expectations: A Microfounded Forecasting Approach |
| presented by: Joao Issler, Getulio Vargas Foundation |
| |
| Roles of Higher-Order Expectations on Inflation and Expected Inflation: An Analytical Approach and Evidence from Survey Data |
| presented by: Zhao Han, College of William and Mary |
| |
|---|
Session 74: Financial econometrics III
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Markus Michaelsen, Universität Hamburg |
| |
| Dynamic portfolio overlap networks, contagion, and the credit spread puzzle |
| presented by: Julia Schaumburg, VU University Amsterdam |
| |
| Long-term investing under uncertain parameter instability |
| presented by: Bart Keijsers, Erasmus University Rotterdam |
| |
| Realized Peaks over Threshold: a Time-Varying Extreme Value Approach with High-Frequency based Measures |
| presented by: Debbie Dupuis, HEC Montréal |
| |
| Information Flow Dependence in Financial Markets |
| presented by: Markus Michaelsen, Universität Hamburg |
| |
|---|
Session 75: Monetary Policy I
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: Francesco Bianchi, Duke University |
| Session Chair:
Yoosoon Chang, Indiana University |
| |
| Monetary Policy and Household (De-)leveraging |
| presented by: Martin Harding, DIW Berlin |
| |
| In Fed Watchers' Eyes: Hawks, Doves and Monetary Policy |
| presented by: Klodiana Istrefi, Banque de France |
| |
| Monetary Policy and its Effect on Regional Employment |
| presented by: Fergus Cumming, |
| |
| A structural investigation of monetary policy shifts |
| presented by: Yoosoon Chang, Indiana University |
| |
|---|
Session 76: Regression discontinuity
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Ying-Ying Lee, University of California, Irvine |
| |
| Impossible Inference in Econometrics: Theory and Applications |
| presented by: Marinho Bertanha, University of Notre Dame |
| |
| Assessing the Effects of Reemployment Bonuses on Job Search: A Regression Discontinuity Approach |
| presented by: Taehyun Ahn, Sogang University |
| |
| Coverage Optimal Confidence Intervals, with Application to Regression Discontinuity Designs |
| presented by: Max Farrell, University of Chicago Booth |
| |
| Regression Discontinuity Designs with a Continuous Treatment |
| presented by: Ying-Ying Lee, University of California, Irvine |
| |
|---|
Session 77: Discrete Choice
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Zhentong Lu, Shanghai University of Finance and Economics |
| |
| Estimating Heterogeneous Effects in Binary Response Models |
| presented by: Anastasia Semykina, Florida State University |
| |
| Relaxing Conditional Independence in an Endogenous Binary Response Model |
| presented by: Alyssa Carlson, Michigan State University |
| |
| Identification and Estimation of Triangular Models with a Binary Treatment |
| presented by: Santiago Pereda-Fernández, Banca d'Italia |
| |
|---|
Session 78: Treatment Effects II
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Giovanni Mellace, University of Southern Denmark |
| |
| Program Evaluation in the Presence of Strategic Interactions |
| presented by: Francis DiTraglia, University of Pennsylvania |
| |
| Two-Sample Estimation as an Alternative to Instrumental Variable Estimation in the Presence of Omitted Variables |
| presented by: Irina Murtazashvili, Drexel University |
| |
| Mediation Analysis Synthetic Control |
| [slides] |
| presented by: Giovanni Mellace, University of Southern Denmark |
| |
|---|
Session 79: Health Economics II
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Daniel Avdic, CINCH and University of Duisburg-Essen |
| |
| Impact of DRG refinement on the choice between scheduled C-section and normal delivery: recent evidence from France |
| presented by: Aleksandr Proshin, Paris School of Economics |
| |
| Decomposing the Decline in Drinking and Driving during "The Other Great Moderation" |
| presented by: Darren Grant, Sam Houston State University |
| |
| Information shocks and provider adaptation: Evidence from interventional cardiology |
| presented by: Daniel Avdic, CINCH and University of Duisburg-Essen |
| |
| Patients are different! Explaining the relation between pills and cholesterol |
| presented by: Domenico Depalo, Banca d'Italia |
| |
|---|
Session 80: Sample Selection
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Yulong Wang, Syracuse University |
| |
| Additive Nonparametric Sample Selection Models with Endogeneity |
| presented by: Deniz Ozabaci, University of New Hampshire |
| |
| Wage Decompositions and Sample Selection: Evidence for the United States |
| presented by: Aico van Vuuren, University of Gothenburg |
| |
| FISCAL AUSTERITY AND INCOME INEQUALITY: WHO BEARS THE COSTS? |
| presented by: Vivian Norambuena, Universidad de Chile |
| |
| Unbiased Estimation of Tail Properties in Small Samples with Complete, Censored, or Truncated Data |
| presented by: Yulong Wang, Syracuse University |
| |
|---|
Session 81: Trade
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Romina Safojan, Tilburg University |
| |
| Dollar funding and firm-level exports |
| presented by: Guillaume Horny, Banque de France |
| |
| Do Investment Agreements Necessarily Cause Offshoring? The Canada-Peru Case |
| [slides] |
| presented by: Stephanie Houle, McMaster University |
| |
| Export Manufacturing Competition Effects on Labour Markets and the Family: Evidence from Mexico |
| presented by: Manuel Alejandro Estefan Davila, University College London |
| |
| The Effect of Exports on Labor Informality: Evidence from Argentina |
| presented by: Romina Safojan, Tilburg University |
| |
|---|
Session 82: Teachers and Schools
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Yun Pu, The Ohio State University |
| |
| Knowledge is Power: School Construction & Intergenerational Human Capital |
| presented by: Naveen Sunder, Cornell University |
| |
| The Effect of Teacher Bonuses on Learning Outcomes and the Distribution of Teacher Skill: Evidence from Rural Schools in Peru |
| presented by: Juan F. Castro, Universidad del Pacifico |
| |
| Tuition subsidies and overeducation |
| presented by: Ciprian Domnisoru, Carnegie Mellon University |
| |
| College Admission in Three Chinese Provinces: Boston Mechanism vs. Deferred Acceptance Mechanism |
| presented by: Yun Pu, The Ohio State University |
| |
|---|
Session 83: Development
June 28, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Kholekile Malindi, Stellenbosch University |
| |
| An Empirical Equilibrium Model of Formal and Informal Credit Markets in Developing Countries |
| presented by: Fan Wang, University of Houston |
| |
| Local Violence, Market Transactions and Living Standard: Disruptive Impact of the Mexican Drug War, 2001–2012 |
| presented by: Alberto Iniguez-Montiel, University of Tokyo |
| |
| Incentive, Self-selection, and Social Norm in Labor Contract: A Two-stage Field Experiment in the Philippines |
| presented by: Yuki Higuchi, Nagoya City University |
| |
| An employer learning model of the South African racial wage gap |
| presented by: Kholekile Malindi, Stellenbosch University |
| |
|---|
Session 84: (Structural) VARs
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: Raffaella Giacomini, University College London |
| Session Chair:
Michal Franta, Czech National Bank |
| |
| Bayesian Structural VAR models: an extended approach |
| presented by: Martin Bruns, DIW Berlin |
| |
| A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification |
| [slides] |
| presented by: Mark Bognanni, Federal Reserve Bank of Cleveland |
| |
| Selection of Prior Tightness for Set-Identified Structural Vector Autoregressions |
| presented by: Alessio Volpicella, Queen Mary University |
| |
| The Likelihood of Effective Lower Bound Events |
| presented by: Michal Franta, Czech National Bank |
| |
|---|
Session 85: Labor markets and the macroeconomy
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Svetlana Rujin, RWI – Leibniz-Institut für Wirtschaftsforschung |
| |
| Slow Recoveries and Labor Market Polarization |
| presented by: Wen Zhang, Renmin University of China |
| |
| Gender Differences in the Volatility of Work Hours and Labor Demand |
| presented by: Amy Guisinger, Lafayette College |
| |
| Immigration and the macroeconomy: some new empirical evidence |
| presented by: Francesco Furlanetto, Norges Bank |
| |
| Labor Market Outcomes of Technology Shocks: International Perspective |
| presented by: Svetlana Rujin, RWI – Leibniz-Institut für Wirtschaftsforschung |
| |
|---|
Session 86: Nowcasting
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Kajal Lahiri, State University New York Albany |
| |
| Bayesian Adaptive Penalized MIDAS Regressions: Estimation, Selection, and Prediction |
| presented by: Matteo Mogliani, Banque de France |
| |
| Macroeconomic news and market reaction: Surprise indexes meet nowcasting |
| presented by: Alberto Caruso, Confindustria and ECARES, Université li |
| |
| Uncertain Kingdom: A Framework for Nowcasting GDP and its Revisions |
| presented by: Silvia Miranda-Agrippino, Bank of England |
| |
| Forecasting New York State Tax Revenue: A Factor MIDAS Approach |
| presented by: Kajal Lahiri, State University New York Albany |
| |
|---|
Session 87: Forecasting business cycles
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Haixi Li, Freddie Mac |
| |
| Predicting Recessions in Italy: A Nonparametric Discrete Choice Models for Time Series |
| presented by: Camilla Mastromarco, University of Salento |
| |
| Vulnerable Growth |
| presented by: Domenico Giannone, Federal Reserve Bank of New York |
| |
| Predicting Ordinary and Severe Recessions with a Three-state Markov-Switching Dynamic Factor Model |
| presented by: Magnus Reif, ifo Institute |
| |
| Detecting recessions in real time: A Bayesian decision theoretic approach |
| presented by: Haixi Li, Freddie Mac |
| |
|---|
Session 88: News and Sentiments II
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Leonardo Melosi, Federal Reserve Bank of Chicago |
| |
| How does government spending news affect interest rates? Evidence from the United States |
| presented by: Chen Yong, Southwestern University of Finance and Economics |
| |
| Time Varying Sentiments and the Business Cycle |
| presented by: Fabrizio Venditti, Banca d'Italia |
| |
| Amplification effects of news shocks through uncertainty |
| presented by: Danilo Cascaldi-Garcia, University of Warwick |
| |
| News and Noise in the Post-Great Recession Recovery |
| presented by: Leonardo Melosi, Federal Reserve Bank of Chicago |
| |
|---|
Session 89: Uncertainty in Macroeconomics II
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Francesco Bianchi, Duke University |
| |
| Non-linear Effects of Uncertainty |
| presented by: Andreas Dibiasi, ETH Zurich |
| |
| A New Way to Quantify the Effect of Uncertainty |
| presented by: Alexander Richter, Federal Reserve Bank of Dallas |
| |
| Pricing Macroeconomic Uncertainty |
| presented by: Francesco Bianchi, Duke University |
| |
|---|
Session 90: Monetary Policy II
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Erwan Gautier, Banque de France |
| |
| Monetary policy surprises and exchange rate predictability |
| [slides] |
| presented by: Johannes Graeb, European Central Bank |
| |
| Who listens when the ECB talks? Spillovers from ECB's monetary policy and communication |
| presented by: Saskia ter Ellen, Norges Bank |
| |
| Career Concerns and Peer Effects in Tournaments: Evidence from ECB Reserve Currency Portfolios |
| presented by: Luana Zaccaria, EIEF |
| |
| Shocks vs Menu Costs: Patterns of Price Rigidity in an Estimated Multi-Sector Menu-Cost Model |
| presented by: Erwan Gautier, Banque de France |
| |
|---|
Session 91: The effect of fiscal shocks
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Joan Paredes, European Central Bank |
| |
| The international transmission of US fiscal shocks |
| presented by: luca metelli, Banca d'Italia |
| |
| Adaptive Learning and the Transmission of Government Spending Shocks in the Euro Area |
| presented by: Ewoud Quaghebeur, Ghent University |
| |
| The Network Effects of Fiscal Adjustments |
| presented by: Madina Karamysheva, National Research University Higher School of Economics |
| |
| Subsidising car purchases in the euro area: Any spill-over on production? |
| presented by: Joan Paredes, European Central Bank |
| |
|---|
Session 92: Time Series Models III
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Arnaud Dufays, Universite Laval |
| |
| New robust inference for predictive regressions |
| [slides] |
| presented by: Anton Skrobotov, Russian Presidential Academy of National Economy and Public Administration and Innopolis University |
| |
| Testing for Parameter Instability in Predictive Regression Models |
| presented by: Robert Taylor, University of Essex |
| |
| Bootstrapping Structural Change Tests |
| presented by: Otilia Boldea, Tilburg University |
| |
| Relevant parameter change in structural break models |
| presented by: Arnaud Dufays, Universite Laval |
| |
|---|
Session 93: Empirical Finance IV
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
christian Gourieroux, University of Toronto and CREST |
| |
| Aggregate and Firm level volatility: the role of acquisitions and disposals. |
| presented by: Sean Holly, Cambridge University |
| |
| Net trade credit and firm performance |
| presented by: Yiannis Karavias, University of Birmingham |
| |
| Inefficiency and Bank Failures: A Joint Bayesian Estimation of a Stochastic Frontier Model and a Hazards Model |
| presented by: Jim Sanchez, Universidad EAFIT |
| |
| Disastrous Defaults |
| presented by: christian Gourieroux, University of Toronto and CREST |
| |
|---|
Session 94: Spatial Econometrics II
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Guillaume Pouliot, University of Chicago |
| |
| The LLN and CLT for Kernel-Weighted U-Processes of Spatially Dependent Data with Applications to Nonparametric Model Specification Testing |
| presented by: Yiguo Sun, UNIVERSITY OF GUELPH |
| |
| Fast and Scalable Variational Bayes Estimation of Spatial Econometric Models for Gaussian Data |
| presented by: Guohui Wu, SAS Institute Inc. |
| |
| Spatial Econometrics for Misaligned Data |
| presented by: Guillaume Pouliot, University of Chicago |
| |
|---|
Session 95: Weak Identification
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Gregory Cox, Columbia University |
| |
| A more powerful subvector Anderson Rubin test in linear instrumental variable regression |
| presented by: Frank Kleibergen, University of Amsterdam |
| |
| Inference in Second-Order Identified Models |
| presented by: Prosper Dovonon, Concordia University |
| |
| Identification-Robust Nonparametric Inference in a Linear IV Model |
| presented by: Bertille Antoine, Simon Fraser University |
| |
| Weak Identification in a Class of Generically Identified Models with an Application to Factor Models |
| presented by: Gregory Cox, Columbia University |
| |
|---|
Session 96: Panel Data
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Takahide Yanagi, Hitotsubashi University |
| |
| Second-order corrected likelihood for nonlinear panel models with fixed effects |
| presented by: Geert Dhaene, KU Leuven |
| |
| A regularization approach to the dynamic panel data model estimation |
| presented by: Marine Carrasco, University of Montreal |
| |
| Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective |
| presented by: Laura Liu, Federal Reserve Board |
| |
| Kernel Estimation for Panel Data with Heterogeneous Dynamics |
| presented by: Takahide Yanagi, Hitotsubashi University |
| |
|---|
Session 97: Applications of Machine Learning
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Matthew Harding, University of California, Irvine |
| |
| Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach |
| presented by: Anthony Strittmatter, University of St. Gallen |
| |
| Instrument Validity Tests with Causal Trees: With an Application to the Same-sex Instrument |
| presented by: Raphael Guber, Munich Center for the Economics of Aging |
| |
| Informative Dimensionality Reduction Using a Deep Autoencoder |
| presented by: Matthew Harding, University of California, Irvine |
| |
|---|
Session 98: Education III
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Julie Pernaudet, University of Chicago |
| |
| Part-time Vocational Education and Training and Labour Market Outcomes; a Dynamic Approach |
| presented by: Brecht Neyt, Ghent University |
| |
| The Puzzle of Educated Unemployment in West Africa |
| presented by: Meango Romuald, Max Planck Institute for Social Law and Social Policy |
| |
| Raising the Take-up of Higher Education Grants among Disadvantaged Students: Evidence from a Field Experiment |
| presented by: Julie Pernaudet, University of Chicago |
| |
| Vocational high school graduates wage gap: the role of cognitive skills and firms |
| presented by: Hugo Reis, Banco de Portugal |
| |
|---|
Session 99: Labor Markets II
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Matthias Wieschemeyer, Halle Institute for Economic Research (IWH) |
| |
| Kids and (or) Career? Family Policies' Effects on Women's Life Cycle Fertility and Labor Supply |
| presented by: Hanna Wang, University of Pennsylvania |
| |
| What are the main obstacles to hiring after recessions in Europe? |
| presented by: Simon Savsek, European Investment Bank |
| |
| Informing employees about training subsidies: Results from a randomized field experiment |
| presented by: Pia Homrighausen, Institute for Employment Research (IAB) |
| |
| Progressive tax-like effects of inflation: fact or myth? The U.S. post-war experience |
| presented by: Matthias Wieschemeyer, Halle Institute for Economic Research (IWH) |
| |
|---|
Session 100: Inequality
June 28, 2018 14:00 to 16:00 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Mustapha Douch, Aston University |
| |
| Trends in the distribution of household income and changes in the interdependence between income sources |
| presented by: Philippe Van Kerm, LISER and University of Luxembourg |
| |
| Average Gaps and Oaxaca–Blinder Decompositions: A Cautionary Tale about Regression Estimates of Racial Differences in Labor Market Outcomes |
| presented by: Tymon Słoczyński, Brandeis University |
| |
| The Convergence of the Gender Pay Gap - An Alternative Estimation Approach - |
| presented by: Marina Topfer, University of Erlangen-Nuremberg |
| |
| Aid Effectiveness: Human Rights as a Conditionality Measure? |
| presented by: Mustapha Douch, Aston University |
| |
|---|
Session 101: Plenary lecture: Alan Timmermann
June 28, 2018 16:30 to 17:30 |
|---|
| |
|---|
| Session Organizer: , |
| |
|---|
Session 102: Plenary Lecture: Tim Conley
June 29, 2018 9:00 to 10:00 |
|---|
| |
|---|
| Session Organizer: , |
| |
|---|
Session 103: Macro-Finance IV
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: Todd Clark, Federal Reserve Bank of Cleveland |
| Session Chair:
Lorenzo Pozzi, Erasmus University Rotterdam |
| |
| Risk endogeneity at the lender-/investor-of-last-resort |
| presented by: Bernd Schwaab, European Central Bank |
| |
| The (un)demand for cash in Canada |
| presented by: Geoffrey Dunbar, Bank of Canada |
| |
| The Macroeconomic Effects of Bank Capital Requirement Tightenings: Evidence from a Narrative Approach |
| presented by: Esteban Prieto, Deutsche Bundesbank |
| |
| Consumption and wealth in the long run: an integrated unobserved component approach |
| presented by: Lorenzo Pozzi, Erasmus University Rotterdam |
| |
|---|
Session 104: Factor Models II
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
L. Vanessa Smith, University of York |
| |
| Sieve estimation of time-varying factor loadings |
| presented by: Ying Lun Cheung, Goethe University Frankfurt |
| |
| Quantile Factor Models |
| presented by: JUAN J. DOLADO, European University Institute |
| |
| Short T Dynamic Panel Data Models with Individual and Interactive Time Effects |
| [slides] |
| presented by: L. Vanessa Smith, University of York |
| |
|---|
Session 105: Exchange rates
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
David Papell, University of Houston |
| |
| The Macroeconomic Effects of Exchange Rate Movements in Emerging Market Economies |
| presented by: Pablo Anaya, Freie Universität Berlin, DIW Berlin |
| |
| Exchange Rate Determination under Inflation Targeting: A Microstructural Approach for Emerging Economies |
| presented by: Fredy Gamboa-Estrada, Banco de la Republica |
| |
| Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates |
| presented by: Georgios Georgiadis, European Central Bank |
| |
| Long-Run Purchasing Parity Redux |
| presented by: David Papell, University of Houston |
| |
|---|
Session 106: Inflation dynamics II
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Viacheslav Sheremirov, Federal Reserve Bank of Boston |
| |
| Global Factors and Trend Inflation |
| presented by: Benjamin Wong, Monash University |
| |
| Estimating unobservable inflation expectations in the New Keynesian Phillips Curve |
| presented by: Francesca Rondina, University of Ottawa |
| |
| Inflation Expectations and Nonlinearities in the Phillips Curve |
| presented by: Viacheslav Sheremirov, Federal Reserve Bank of Boston |
| |
| Inflation targeting under inflation uncertainty - Multi-economy evidence from a stochastic volatility model |
| presented by: Maren Ulm, University of Goettingen |
| |
|---|
Session 107: Uncertainty in Macroeconomics III
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Norbert Metiu, Deutsche Bundesbank |
| |
| MACROECONOMIC UNCERTAINTY, PERCEPTION AND INTERNET |
| presented by: Maria Elena Bontempi, University of Bologna |
| |
| The impact of macroeconomic uncertainty on inequality: An empirical study for the UK. |
| presented by: Angeliki Theophilopoulou, University of Westminister |
| |
| Optimal Monetary Policy in a Regime-Switching DSGE Model with Time-Varying Concern for Model Uncertainty |
| presented by: Gulserim Ozcan, Bilkent University |
| |
| The impact of correlation shocks |
| presented by: Norbert Metiu, Deutsche Bundesbank |
| |
|---|
Session 108: Survey Forecasts and Expectation Formation II
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Sarantis Tsiaplias, The University of Melbourne |
| |
| Business Cycle Asymmetry and Unemployment Rate Forecasts |
| presented by: Simon van Norden, Mr |
| |
| Conformism and Inflation Expectations Surveys |
| presented by: Rolande KPEKOU TOSSOU, Université Laval |
| |
| From fixed-event to fixed-horizon density forecasts: professional forecasters' view on multi-horizon uncertainty |
| presented by: Gergely Ganics, Bank of Spain |
| |
| What do consumers know about aggregate prices? |
| presented by: Sarantis Tsiaplias, The University of Melbourne |
| |
|---|
Session 109: Volatility modeling IV
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Ulrich Hounyo, University at Albany, SUNY |
| |
| Asymptotic Theory for Renewal Based High-Frequency Volatility Estimation |
| presented by: Yifan LI, Lancaster University |
| |
| Forecasting the Implied Volatility Surface using Put-Call parity Deviations |
| presented by: Xun Gong, Erasmus University Rotterdam |
| |
| On the robustness of the principal volatility components |
| presented by: Pedro Valls Pereira, Sao Paulo School of Economics - FGV |
| |
| Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment approach |
| presented by: Ulrich Hounyo, University at Albany, SUNY |
| |
|---|
Session 110: Time Series Models IV
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Alexander Mayer, WHU -- Otto von Beisheim School of Management |
| |
| Regime Switching Models with Multiple Dynamic Factors |
| presented by: Shi Qiu, Indiana University Bloomington |
| |
| Confidence Sets for the Date of a Structural Change at the End of a Sample |
| presented by: Eiji Kurozumi, Hitotsubashi University |
| |
| Conditional Inference in Nearly Cointegrated Vector Error-Correction Models with Small Signal-To-Noise Ratio |
| presented by: Elena Pesavento, Emory University |
| |
| A Three-Step Estimator for Macroeconomic Learning Models |
| presented by: Alexander Mayer, WHU -- Otto von Beisheim School of Management |
| |
|---|
Session 111: Business Cycle Fluctuations II
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Pål Boug, Statistics Norway |
| |
| Business cycle narratives |
| presented by: Vegard Larsen, Norges Bank |
| |
| Noise-Ridden Lending Cycles |
| [slides] |
| presented by: Elena Afanasyeva, Federal Reserve Board |
| |
| Global Macro-Financial Cycles and Spillovers |
| presented by: Jongrim Ha, World Bank |
| |
| The consumption Euler equation or the Keynesian consumption function? |
| presented by: Pål Boug, Statistics Norway |
| |
|---|
Session 112: Prediction with high dimensional data
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Sullivan Hué, Laboratoire d'Economie d'Orléans |
| |
| Lasso variable selection in predictive mixed-frequency model |
| presented by: Clément Marsilli, Banque de France |
| |
| Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables |
| presented by: alessandro barbarino, Federal Reserve Board |
| |
| Reversed Ordered Monitoring CUSUM Test with Factor Structure |
| presented by: Shou-Yung Yin, The University of Chicago |
| |
| Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects |
| presented by: Sullivan Hué, Laboratoire d'Economie d'Orléans |
| |
|---|
Session 113: Return predictability
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Stefano Soccorsi, Lancaster University Management School |
| |
| Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections |
| presented by: Alex Maynard, University of Guelph |
| |
| Uncovered Return Parity: Equity Returns and Currency Returns |
| presented by: Edouard Djeutem, Bank of Canada |
| |
| Cyclical Earnings as a Predictor of Stock Index Crash Risk |
| presented by: Tom Roberts, Bank of Canada |
| |
| Forecasting Stock Returns with Large Dimensional Factor Models |
| presented by: Stefano Soccorsi, Lancaster University Management School |
| |
|---|
Session 114: Treatment Effects III
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Sylvain Chabe-Ferret, Toulouse School of Economics |
| |
| Identification with Additively Separable Heterogeneity |
| presented by: Roy Allen, University of Western Ontario |
| |
| The Problem of Causal Inference without Balance Checking in Natural Experiment Design: An Entropy Balancing Matching Analysis |
| presented by: CHEN WANG, ANU |
| |
| How Bad is Unconfoundedness in Practice? Evidence from Randomised Controlled Trials with Imperfect Compliance |
| presented by: Sylvain Chabe-Ferret, Toulouse School of Economics |
| |
|---|
Session 115: Health Economics III
June 29, 2018 10:30 to 12:30 |
|---|
| |
|---|
| Session Organizer: , |
| Session Chair:
Siddhartha Sanghi, Washington University in St. Louis |
| |
| Health effects of extending State Pension Age for UK women |
| presented by: Ludovico Carrino, King's College London |
| |
| Measuring Physicians’ Response to Incentives: Evidence on Hours Worked and Multitasking |
| presented by: Bernard Fortin, Laval University |
| |
| The impact of access to health facilities on maternal care use and health status: Evidence from longitudinal data from rural Uganda |
| presented by: Fredrick Manang, University of Dodoma (UDOM) |
| |
| Health Inequality: Role of Insurance and Technological Progress |
| presented by: Siddhartha Sanghi, Washington University in St. Louis |
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Session 116: Dynamics of Prices and Returns
June 29, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Veronika Selezneva, CERGE-EI |
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| Oil Prices in the Determination of Sovereign CDS Spreads: The Case of Russia |
| presented by: Sanvi Avouyi-Dovi, Banque de France |
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| Econometric Modeling of Systemic Risk: Going Beyond Pairwise Comparison and Allowing for Nonlinearity |
| presented by: Ali Habibnia, London School of Economics |
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| Formation of Market Beliefs in the Oil Market |
| presented by: Veronika Selezneva, CERGE-EI |
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Session 117: Economic and Financial Networks
June 29, 2018 10:30 to 12:30 |
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| Session Organizer: , |
| Session Chair:
Roy Allen, University of Western Ontario |
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| The Double-Edged Sword of Global Integration: Robustness, Fragility & Contagion in the International Firm Network |
| [slides] |
| presented by: Julieta Yung, Bates College |
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| Do social ties lead to job referrals? |
| presented by: marie lalanne, Goethe University of Frankfurt, Research Center SAFE |
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| Search Frictions in International Good Markets |
| presented by: Julien Martin, Université du Québec à Montréal |
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| Strategic Substitutability in the Workplace: An Empirical Evidence |
| presented by: Elfried Faton, Laval University |