June 26, 2018
Time	Location	Event
09:00 to 18:00	Foyer, salle Marie-Gérin Lajoie, .J-M400	Registration, Foyer, Salle Marie-Gérin-Lajoie, J-M400
11:00 to 12:00	Salle Marie-Gérin Lajoie, J-M400	IAAE Lecture, Janet Currie: Small Area Variations and Physician Decision Making: The Case of Depression, Salle Marie-Gérin-Lajoie, J-M400
12:00 to 13:30	Salle Marie-Gérin Lajoie, J-M400	Lunch, La Verrière
13:30 to 15:30	see below	Parallel sessions 1
15:30 to 15:45	Foyer, salle Marie-Gérin Lajoie, .J-M400	Break, Foyer, Salle Marie-Gérin-Lajoie, J-M400
15:45 to 17:15	see below	Parallel sessions 2
17:30 to 18:30	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture, Serena Ng: Modeling Economic Data with Insights from Machine Learning , Salle Marie-Gérin-Lajoie, J-M400
18:30 to 21:00	Salle Marie-Gérin Lajoie, J-M400	Welcome reception, Agora
June 27, 2018
Time	Location	Event
08:00 to 18:00	Foyer, salle Marie-Gérin Lajoie, .J-M400	Registration, Foyer, Salle Marie-Gérin-Lajoie, J-M400
09:00 to 10:00	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture, Frank Schorfheide: Forecasting with Dynamic Panel Data Models(Sponsored by the Bank of Canada), Salle Marie-Gérin-Lajoie, J-M400
10:00 to 10:30	Foyer, salle Marie-Gérin Lajoie, .J-M400	Break, Foyer, Salle Marie-Gérin-Lajoie, J-M400
10:30 to 12:30	see below	Parallel sessions 3
12:30 to 14:00	Salle Marie-Gérin Lajoie, J-M400	Lunch, La Verrière
14:00 to 16:00	see below	Parallel sessions 4
16:00 to 16:30	Foyer, salle Marie-Gérin Lajoie, .J-M400	Break, Foyer, Salle Marie-Gérin-Lajoie, J-M400
16:30 to 17:30	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture, Alfred Galichon: Taxation in matching markets: theory and econometrics , Salle Marie-Gérin-Lajoie, J-M400
17:30 to 18:30	Salle Marie-Gérin Lajoie, J-M400	IAAE members meeting, Salle Marie-Gérin-Lajoie, J-M400
18:45 to 22:00	Salle Marie-Gérin Lajoie, J-M400	Conference dinner, Agora Hydro-Quebec, Coeur des sciences, 175, avenue du Président-Kennedy
June 28, 2018
Time	Location	Event
08:00 to 17:00	Foyer, salle Marie-Gérin Lajoie, .J-M400	Registration, Foyer, Salle Marie-Gérin-Lajoie, J-M400
09:00 to 10:00	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture, Guido Imbens: Fixed Effects Methods and Some Alternatives: Or, Why I dont Like Fixed Effects, Salle Marie-Gérin-Lajoie, J-M400
10:00 to 10:30	Foyer, salle Marie-Gérin Lajoie, .J-M400	Break, Foyer, Salle Marie-Gérin-Lajoie, J-M400
10:30 to 12:30	see below	Parallel sessions 5
12:30 to 14:00	Salle Marie-Gérin Lajoie, J-M400	Lunch, La Verrière
14:00 to 16:00	see below	Parallel sessions 6
16:00 to 16:30	Foyer, salle Marie-Gérin Lajoie, .J-M400	Break, Foyer, Salle Marie-Gérin-Lajoie, J-M400
16:30 to 17:30	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture, Alan Timmermann: Pockets of predictability, Salle Marie-Gérin-Lajoie, J-M400
18:00 to 21:00	Salle Marie-Gérin Lajoie, J-M400	Cocktail, Galerie MX, 333 avenue Viger Ouest
June 29, 2018
Time	Location	Event
09:00 to 10:00	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture, Tim Conley: Studying heterogeneous peer effects, Salle Marie-Gérin-Lajoie, J-M400
10:00 to 10:30	Foyer, salle Marie-Gérin Lajoie, .J-M400	Break, Foyer, Salle Marie-Gérin-Lajoie, J-M400
10:30 to 12:30	see below	Parallel sessions 7

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

#	Date/Time	Location	Title	Papers	Organizer
1	June 26, 2018 11:00-12:00	N/A	IAAE Lecture: Janet Currie	0
2	June 26, 2018 13:30-15:30	R-2155	News and Sentiments I	4	Francesco Bianchi
3	June 26, 2018 13:30-15:30	Salle Marie-Gérin Lajoie, J-M400	Macro-Finance I	4
4	June 26, 2018 13:30-15:30	R-3840	Financial econometrics I	3
5	June 26, 2018 13:30-15:30	R-2670	Empirical Finance I	4
6	June 26, 2018 13:30-15:30	R-2630	Forecasting financial markets	3
7	June 26, 2018 13:30-15:30	R-2205	Macroeconometrics I	4
8	June 26, 2018 13:30-15:30	R-R120	Regulation	4
9	June 26, 2018 13:30-15:30	R-R160	Spatial Econometrics I	4
10	June 26, 2018 13:30-15:30	R-2120	Time Series and Panel Data Applications	4
11	June 26, 2018 13:30-15:30	Salle Marie-Gérin Lajoie, J-M400	Measurement error and treatment effects	4
12	June 26, 2018 13:30-15:30	R-M150	Education I	3
13	June 26, 2018 13:30-15:30	R-M180	Industrial Organizations I	4
14	June 26, 2018 13:30-15:30	R-R150	Environment I	3
15	June 26, 2018 13:30-15:30	R-R160	Online Markets	4
16	June 26, 2018 15:45-17:15	Salle Marie-Gérin Lajoie, J-M400	Housing and the macroeconomy	3
17	June 26, 2018 15:45-17:15	R-3870	Spatial Panel Data	3
18	June 26, 2018 15:45-17:15	R-2205	Forecast combination and evaluation I	3
19	June 26, 2018 15:45-17:15	R-2670	Energy and commodities	3
20	June 26, 2018 15:45-17:15	R-M510	Forecasting inflation	3
21	June 26, 2018 15:45-17:15	R-2630	Empirical Finance II	3
22	June 26, 2018 15:45-17:15	R-2155	Time Series Models I	3	Raffaella Giacomini
23	June 26, 2018 15:45-17:15	R-R150	Distributions and Quantiles	3
24	June 26, 2018 15:45-17:15	R-R120	Immigration	3
25	June 26, 2018 15:45-17:15	R-M150	Games	3
26	June 26, 2018 15:45-17:15	R-2120	Household Finances I	3
27	June 26, 2018 17:30-18:30	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture by Serena Ng: Modeling Economic Data with Insights from Machine Learning	0
28	June 27, 2018 9:00-10:00	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture by Frank Schorfheide: Forecasting with Dynamic Panel Data Models	0
29	June 27, 2018 10:30-12:30	Salle Marie-Gérin Lajoie, J-M400	Inflation dynamics I	4	Todd Clark
30	June 27, 2018 10:30-12:30	R-R150	Volatility Modelling I	3	Raffaella Giacomini
31	June 27, 2018 10:30-12:30	R-2895	Uncertainty in Macroeconomics I	4
32	June 27, 2018 10:30-12:30	R-M510	Unconventional monetary policy	4
33	June 27, 2018 10:30-12:30	R-2630	Business Cycle Fluctuations I	3	Francesco Bianchi
34	June 27, 2018 10:30-12:30	R-M160	Big data	4
35	June 27, 2018 10:30-12:30	R-2120	Financial econometrics II	4
36	June 27, 2018 10:30-12:30	R-3870	Macro-Finance II	4	Francesco Bianchi
37	June 27, 2018 10:30-12:30	R-2155	DSGE models	4
38	June 27, 2018 10:30-12:30	R-R120	Interest rate dynamics	4
39	June 27, 2018 10:30-12:30	Salle Marie-Gérin Lajoie, J-M400	Econometric Theory	4
40	June 27, 2018 10:30-12:30	R-2670	Clustered Inference	4
41	June 27, 2018 10:30-12:30	R-M140	Minimum Wage	4
42	June 27, 2018 10:30-12:30	R-2205	Health Economics I	4
43	June 27, 2018 10:30-12:30	R-3840	Environment II	2
44	June 27, 2018 10:30-12:30	R-M150	Household Finances II	3
45	June 27, 2018 10:30-12:30	R-M180	Structural Models	4
46	June 27, 2018 14:00-16:00	Salle Marie-Gérin Lajoie, J-M400	Industrial Organizations II	4
47	June 27, 2018 14:00-16:00	Salle Marie-Gérin Lajoie, J-M400	Labor Markets I	4
48	June 27, 2018 14:00-16:00	R-3870	Nonlinearities in macroeconomic dynamics	4
49	June 27, 2018 14:00-16:00	R-R160	Central bank forecasting	4
50	June 27, 2018 14:00-16:00	R-2120	Empirical Finance III	4
51	June 27, 2018 14:00-16:00	R-2205	Factor models I	4
52	June 27, 2018 14:00-16:00	R-2155	Monetary Policy Rules	4
53	June 27, 2018 14:00-16:00	R-M150	Heterogeneity in macroeconomics	4
54	June 27, 2018 14:00-16:00	Salle Marie-Gérin Lajoie, J-M400	Time Series Models II	4
55	June 27, 2018 14:00-16:00	R-R150	Macroeconomics and asset prices	4
56	June 27, 2018 14:00-16:00	R-2630	Volatility modeling II	4
57	June 27, 2018 14:00-16:00	R-2895	Identification in SVARs I	4	Todd Clark
58	June 27, 2018 14:00-16:00	R-R120	Treatment Effects I	4
59	June 27, 2018 14:00-16:00	R-M510	Network Models	4
60	June 27, 2018 14:00-16:00	R-2670	Housing Markets	4
61	June 27, 2018 14:00-16:00	R-M160	Model Uncertainty	4
62	June 27, 2018 14:00-16:00	R-3840	Education II	3
63	June 27, 2018 16:30-17:30	N/A	Plenary lecture: Alfred Galichon	0
64	June 28, 2018 9:00-10:00	N/A	Plenary lecture: Guido Imbens	0
65	June 28, 2018 10:30-12:30	R-M510	Time variation in macroeconomic dynamics	4	Todd Clark
66	June 28, 2018 10:30-12:30	R-R120	Identification in SVARs II	4
67	June 28, 2018 10:30-12:30	R-2120	Oil prices	4
68	June 28, 2018 10:30-12:30	R-2630	Volatility modeling III	4
69	June 28, 2018 10:30-12:30	R-2155	Macro-Finance III	4
70	June 28, 2018 10:30-12:30	R-M160	Forecast combination and evaluation II	3
71	June 28, 2018 10:30-12:30	R-3870	Fiscal policy	4
72	June 28, 2018 10:30-12:30	R-2205	Survey Forecasts and Expectation Formation I	4	Raffaella Giacomini
73	June 28, 2018 10:30-12:30	R-R150	Financial econometrics III	4
74	June 28, 2018 10:30-12:30	R-3840	Discrete Choice	3
75	June 28, 2018 10:30-12:30	R-2240	Monetary Policy I	4	Francesco Bianchi
76	June 28, 2018 10:30-12:30	Salle Marie-Gérin Lajoie, J-M400	Regression discontinuity	3
77	June 28, 2018 10:30-12:30	R-R160	Treatment Effects II	3
78	June 28, 2018 10:30-12:30	R-M140	Health Economics II	4
79	June 28, 2018 10:30-12:30	R-2670	Sample Selection	4
80	June 28, 2018 10:30-12:30	R-3610	Trade	4
81	June 28, 2018 10:30-12:30	R-M180	Teachers and Schools	4
82	June 28, 2018 10:30-12:30	R-M150	Development	4
83	June 28, 2018 14:00-16:00	R-2205	(Structural) VARs	4	Raffaella Giacomini
84	June 28, 2018 14:00-16:00	R-2240	Labor markets and the macroeconomy	4
85	June 28, 2018 14:00-16:00	R-2670	Nowcasting	4
86	June 28, 2018 14:00-16:00	R-M180	Forecasting business cycles	3
87	June 28, 2018 14:00-16:00	R-2155	News and Sentiments II	4
88	June 28, 2018 14:00-16:00	R-2120	Uncertainty in Macroeconomics II	3
89	June 28, 2018 14:00-16:00	R-3870	Monetary Policy II	3
90	June 28, 2018 14:00-16:00	R-3840	The effect of fiscal shocks	3
91	June 28, 2018 14:00-16:00	R-2895	Time Series Models III	4
92	June 28, 2018 14:00-16:00	R-M510	Empirical Finance IV	4
93	June 28, 2018 14:00-16:00	R-2630	Spatial Econometrics II	3
94	June 28, 2018 14:00-16:00	R-R120	Weak Identification	4
95	June 28, 2018 14:00-16:00	R-M140	Panel Data	4
96	June 28, 2018 14:00-16:00	R-M160	Applications of Machine Learning	3
97	June 28, 2018 14:00-16:00	R-M150	Education III	4
98	June 28, 2018 14:00-16:00	R-R150	Labor Markets II	4
99	June 28, 2018 14:00-16:00	R-R160	Inequality	4
100	June 28, 2018 16:30-17:30	Salle Marie-Gérin Lajoie, J-M400	Plenary lecture by Alan Timmermann: Pockets of Predictability	0
101	June 29, 2018 9:00-10:00	N/A	Plenary Lecture: Tim Conley	0
102	June 29, 2018 10:30-12:30	R-2895	Macro-Finance IV	4	Todd Clark
103	June 29, 2018 10:30-12:30	R-2120	Exchange rates	4
104	June 29, 2018 10:30-12:30	R-R160	Factor Models II	3
105	June 29, 2018 10:30-12:30	R-2155	Inflation dynamics II	3
106	June 29, 2018 10:30-12:30	R-2205	Uncertainty in Macroeconomics III	4
107	June 29, 2018 10:30-12:30	R-2240	Survey Forecasts and Expectation Formation II	4
108	June 29, 2018 10:30-12:30	R-2630	Volatility modeling IV	3
109	June 29, 2018 10:30-12:30	R-2670	Time Series Models IV	4
110	June 29, 2018 10:30-12:30	R-R150	Business Cycle Fluctuations II	4
111	June 29, 2018 10:30-12:30	R-R120	Prediction with high dimensional data	3
112	June 29, 2018 10:30-12:30	R-M140	Return predictability	4
113	June 29, 2018 10:30-12:30	Salle Marie-Gérin Lajoie, J-M400	Treatment Effects III	3
114	June 29, 2018 10:30-12:30	R-M150	Health Economics III	2
115	June 29, 2018 10:30-12:30	R-M180	Dynamics of Prices and Returns	2
116	June 29, 2018 10:30-12:30	R-M510	Economic and Financial Networks	3

 

116 sessions, 395 papers, and 0 presentations with no associated papers

2018 IAAE International Association for Applied Econometrics Conference
Detailed List of Sessions

Session 1: IAAE Lecture: Janet Currie June 26, 2018 11:00 to 12:00
Session Organizer: ,
Session 2: News and Sentiments I June 26, 2018 13:30 to 15:30 R-2155
Session Organizer: Francesco Bianchi, Duke University
Session Chair: Laura Moretti, European Central Bank
Measuring News Sentiment
By Adam Shapiro; Federal Reserve Bank of San Francisco
presented by: Adam Shapiro, Federal Reserve Bank of San Francisco
How does government spending news affect interest rates? Evidence from the United States
By Chen Yong; Southwestern University of Finance and Economics Dingming Liu; Xiamen University
presented by: Chen Yong, Southwestern University of Finance and Economics
vOILatility: Forecasting Oil Prices under Uncertainty
By Marcelle Chauvet; University of California Riverside
presented by: Marcelle Chauvet, University of California Riverside
News, Noise and Oil Price Swings
By Luca Gambetti; Collegio Carlo Alberto Laura Moretti; European Central Bank
presented by: Laura Moretti, European Central Bank
Session 3: Macro-Finance I June 26, 2018 13:30 to 15:30 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session Chair: Michael Siemer, Federal Reserve Board
The Natural Rate of Interest and the Financial Cycle
By Georgi Krustev; European Central Bank
presented by: Georgi Krustev, European Central Bank
Measuring Financial Cycle Time
By Andrew Filardo; Bank for International Settlements Marco Lombardi; Bank for International Settlements Marek Raczko; Bank of England
presented by: Marco Lombardi, Bank for International Settlements
The Real Effects of Credit Booms and Busts
By Simon Gilchrist; New York University Michael Siemer; Federal Reserve Board Egon Zakrajsek; Federal Reserve Board
presented by: Michael Siemer, Federal Reserve Board
Bank capital constraints, lending supply and economic activity
By Andrea Nobili; Banca d'Italia
presented by: Antonio Conti, Bank of Italy
Session 4: Financial econometrics I June 26, 2018 13:30 to 15:30 R-3840
Session Organizer: ,
Session Chair: Davide Pettenuzzo, Brandeis Univeristy
Modelling time-varying parameters using artificial neural networks : A GARCH illustration
By Arnaud Dufays; Universite Laval Morvan Nongni Donfack; Universté Laval
presented by: Morvan Nongni Donfack, Universté Laval
High Frequency Tail Risk
By Caio Almeida; Getulio Vargas Foundation Kym Ardison; Fundação Getulio Vargas Rene Garcia; Universite de Montreal
presented by: Caio Almeida, Getulio Vargas Foundation
High-frequency Cash Flow Dynamics
By Davide Pettenuzzo; Brandeis Univeristy Riccardo Sabbatucci; Stockholm School of Economics Allan Timmermann; UCSD
presented by: Davide Pettenuzzo, Brandeis Univeristy
Session 5: Empirical Finance I June 26, 2018 13:30 to 15:30 R-2670
Session Organizer: ,
Session Chair: Mamiko Yamashita, Toulouse School of Economics
Model Risk of Expected Shortfall
By Emese Lazar; Henley Business School at Reading NING ZHANG; University of Reading
presented by: NING ZHANG, University of Reading
Robustly modelling the scale and shape dynamics of stock return distributions
By Jim Griffin Gelly Mitrodima; London School of Economics Jaideep Oberoi; University of Kent
presented by: Jaideep Oberoi, University of Kent
Return predictability and risk management
By Nour Meddahi; Toulouse School of Economics Mamiko Yamashita; Toulouse School of Economics
presented by: Mamiko Yamashita, Toulouse School of Economics
Carry Trades and Endogenous Regime Switches in Exchange Rate Volatility
By Dooyeon Cho; Sungkyunkwan University Heejoon Han; Sungkyunkwan University Na Kyeong Lee; Sungkunkwan University
presented by: Heejoon Han, Sungkyunkwan University
Session 6: Forecasting financial markets June 26, 2018 13:30 to 15:30 R-2630
Session Organizer: ,
Session Chair: Jianjian Jin, Bank of Canada
Beset With Cares At Nightfall: A Comprehensive Analysis of Incorporating Overnight Futures Data In Daytime Stock Volatility Forecasting
By Asger Lunde; Aarhus University Giorgio Mirone; Aarhus University & CREATES Ye Zeng; CREATES, Aarhus University
presented by: Giorgio Mirone, Aarhus University & CREATES
Exchange rate predictability and dynamic Bayesian learning
By Joscha Beckmann; University of Bochum / Kiel Institute / Gary Koop; University of Strathclyde Dimitris Korobilis; University of Essex Rainer Schüssler; University of Rostock
presented by: Rainer Schüssler, University of Rostock
Which Model to Forecast the Target Rate
By Bruno Feunou; Bank of Canada Jianjian Jin; Bank of Canada
presented by: Jianjian Jin, Bank of Canada
Session 7: Macroeconometrics I June 26, 2018 13:30 to 15:30 R-2205
Session Organizer: ,
Session Chair: Andrzej Kociecki, Narodowy Bank Polski
Measuring Productivity and Absorptive Capacity Evolution
By Stef De Visscher; Ghent University Markus Eberhardt; University of Nottingham Gerdie Everaert; Ghent University
presented by: Stef De Visscher, Ghent University
Global Robust Bayesian Analysis in Large Models
By Paul Ho; Princeton University
presented by: Paul Ho, Princeton University
Time Varying Structural Vector Autoregressions: Some New Perspective
By Andrzej Kociecki; Narodowy Bank Polski
presented by: Andrzej Kociecki, Narodowy Bank Polski
Measuring the inflation-unemployment trade-off
By Regis Barnichon; Federal Reserve Bank of San Francisco
presented by: Regis Barnichon, Federal Reserve Bank of San Francisco
Session 8: Regulation June 26, 2018 13:30 to 15:30 R-R120
Session Organizer: ,
Session Chair: Amine Ouazad, HEC Montreal
Systemic Risk from Asset Concentration and Common Holdings among Banks
By Celso Brunetti; Federal Reserve Board
presented by: Celso Brunetti, Federal Reserve Board
Structural Stress Tests
By Dean Corbae; University of Wisconsin Pablo D'Erasmo; FRB Philadelphia Sigurd Mølster Galaasen; Norges Bank Alfonso Irarrazabal; BI Norwegian Business School Thomas Siemsen; Deutsche Bundesbank
presented by: Sigurd Mølster Galaasen, Norges Bank
Are Macroprudential Policies Effective Tools to Reduce Credit Growth in Emerging Markets?
By Fatma Pinar Erdem; Central Bank of the Republic of Turkey IBRAHIM UNALMIS; Central Bank of Turkey
presented by: IBRAHIM UNALMIS, Central Bank of Turkey
BALANCE-SHEET DIVERSIFICATION IN GENERAL EQUILIBRIUM: IDENTIFICATION AND NETWORK EFFECTS
By Jonas Heipertz; Paris School of Economics Amine Ouazad; HEC Montreal Romain Ranciere; USC Natacha Valla; Banque de France / ECB
presented by: Amine Ouazad, HEC Montreal
Session 9: Spatial Econometrics I June 26, 2018 13:30 to 15:30 R-R160
Session Organizer: ,
Session Chair: Andros Kourtellos, University of Cyprus
Adaptive Inference on Pure Spatial Models
By Jungyoon Lee; Royal Holloway, University of London
presented by: Jungyoon Lee, Royal Holloway, University of London
Continuously Updated Indirect Inference in Spatial Autoregressions with Unobserved Heterogeneity
By FRANCESCA ROSSI; University of Verona
presented by: FRANCESCA ROSSI, University of Verona
Threshold Spatial Autoregression
By Antri Konstantinidi; University of Cyprus Andros Kourtellos; University of Cyprus, University of Wisconsin-Madison Yiguo Sun; UNIVERSITY OF GUELPH
presented by: Andros Kourtellos, University of Cyprus
Network Competition and Team Chemistry in the NBA
By Hyunseok Jung; Syracuse University William Horrace; Syracuse University Shane Sanders; Falk College, Syracuse University
presented by: Hyunseok Jung, Syracuse University
Session 10: Time Series and Panel Data Applications June 26, 2018 13:30 to 15:30 R-2120
Session Organizer: ,
Session Chair: Ruixuan Liu, Emory University
You can't always get what you want? A Monte Carlo analysis of the bias and the efficiency of dynamic panel data estimators
By Vadim Kufenko; University of Hohenheim Klaus Prettner; University of Hohenheim
presented by: Vadim Kufenko, University of Hohenheim
The Cost-Sharing, Shadow Price and Cluster in Medical Care Utilization: A Self-Exciting Perspective
By Yuhao LI; Universidad Carlos III de Madrid
presented by: Yuhao LI, Universidad Carlos III de Madrid
Accelerated Failure Time Models with Logconcave Errors
By Ruixuan Liu; Emory University Zhengfei Yu; University of Tsukuba
presented by: Ruixuan Liu, Emory University
Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure
By Milda Norkute Vasilis Sarafidis; Monash University Takashi Yamagata; University of York
presented by: Takashi Yamagata, University of York
Session 11: Measurement error and treatment effects June 26, 2018 13:30 to 15:30 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session Chair: Akanksha Negi, Michigan State University
Stochastic Revealed Preferences with Measurement Error: Testing for Exponential Discounting in Survey Data
By Victor Aguiar; University of Western Ontario Nail Kashaev; University of Western Ontario
presented by: Nail Kashaev, University of Western Ontario
On the Estimation of Treatment Effects with Endogenous Misreporting
By Pierre Nguimkeu; Georgia State University Augustine Denteh; Georgia State University Rusty Tchernis; Georgia State University
presented by: Rusty Tchernis, Georgia State University
Women's Empowerment and Family Health: Estimating LATE with Mismeasured Treatment
By Rossella Calvi; Rice University Arthur Lewbel; Boston College Denni Tommasi; Université Libre de Bruxelles
presented by: Rossella Calvi, Rice University
Revisiting Regression Adjustment in Experiments with a Heterogeneous Treatment Effects Model
By Akanksha Negi; Michigan State University
presented by: Akanksha Negi, Michigan State University
Session 12: Education I June 26, 2018 13:30 to 15:30 R-M150
Session Organizer: ,
Session Chair: Christian Belzil, Ecole Polytechnique
Dealing With Differential Item Functioning In Item Response Models: Inter-temporal Differences.
By James McIntosh; Concordia University
presented by: James McIntosh, Concordia University
How Do Mothers Manage? Universal Daycare, Child Skill Formation, and the Parental Time-Education Puzzle
By Timea Laura Molnar; Analysis Group / Groupe d'Analyse (Montréal)
presented by: Timea Laura Molnar, Analysis Group / Groupe d'Analyse (Montréal)
The Evolution of the U.S. Family Income-Schooling Relationship and Educational Selectivity
By Christian Belzil; Ecole Polytechnique Jorgen Hansen; concordia university
presented by: Christian Belzil, Ecole Polytechnique
Session 13: Industrial Organizations I June 26, 2018 13:30 to 15:30 R-M180
Session Organizer: ,
Session Chair: Elliot Anenberg, Federal Reserve Board
Spillover effects and city development
By Roxana Fernandez; CREST-ENSAE
presented by: Roxana Fernandez, CREST-ENSAE
A structural model of hospital competition
[slides]
By Philippe Chone; CREST Lionel Wilner; INSEE-CREST
presented by: Lionel Wilner, INSEE-CREST
Information Technology and Consumption Agglomeration: Evidence from Yelp
By Elliot Anenberg; Federal Reserve Board
presented by: Elliot Anenberg, Federal Reserve Board
Time variation in the competitiveness of product and labor markets of Chinese firms: An application of the distance test
By Sabien Dobbelaere; Vrije Universiteit Amsterdam Quint Wiersma; Vrije Universiteit Amsterdam
presented by: Quint Wiersma, Vrije Universiteit Amsterdam
Session 14: Environment I June 26, 2018 13:30 to 15:30 R-R150
Session Organizer: ,
Session Chair: Averi Chakrabarti, University of North Carolina at Chapel Hill
Understanding Disparities in Punishment: Regulator Preferences and Expertise
By Karam Kang; Carnegie Mellon University Bernardo Silveira; Olin Business School
presented by: Bernardo Silveira, Olin Business School
Forests and Infant Mortality in Indonesia
By Averi Chakrabarti; University of North Carolina at Chapel Hill
presented by: Averi Chakrabarti, University of North Carolina at Chapel Hill
On Model Selection Criteria for Climate Change Impact Studies
By Dalia Ghanem; University of California, Davis
presented by: Dalia Ghanem, University of California, Davis
Session 15: Online Markets June 26, 2018 13:30 to 15:30 R-R160
Session Organizer: ,
Session Chair: Maude Hasbi, Chalmers University of Technology
The Effect of ID Verification in Online Markets: Evidence from a Field Experiment
By Patrick Scholten; Bentley University
presented by: Patrick Scholten, Bentley University
Ethnic Discrimination on an Online Marketplace of Vacation Rentals
By Morgane Laouenan; CNRS Paris-Sorbonne
presented by: Morgane Laouenan, CNRS Paris-Sorbonne
More is Better, or Not? An Empirical Analysis of Buyer Preferences for Variety on the E-Market
By Senay Sokullu; University of Bristol
presented by: Senay Sokullu, University of Bristol
Impact of Very High-Speed Broadband on Local Economic Growth: Empirical Evidence
By Maude Hasbi; Chalmers University of Technology
presented by: Maude Hasbi, Chalmers University of Technology
Session 16: Housing and the macroeconomy June 26, 2018 15:45 to 17:15 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session Chair: Bruno Albuquerque, Ghent University
Property Heterogeneity and Convergence Club Formation among Local House Prices
By Mark Holmes; University of Waikato Jesus Otero; Universidad del Rosario Theodore Panagiotidis; University of Macedonia
presented by: Jesus Otero, Universidad del Rosario
Land Use Regulations, Migration and Rising House Price Dispersion in the U.S.
By WUKUANG CUN; University of Southern California M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge
presented by: WUKUANG CUN, University of Southern California
Time-varying housing supply elasticities and US housing cycles
By Bruno Albuquerque; Ghent University Knut Are Aastveit; Norges Bank Andre Anundsen; Norges Bank
presented by: Bruno Albuquerque, Ghent University
Session 17: Spatial Panel Data June 26, 2018 15:45 to 17:15 R-3870
Session Organizer: ,
Session Chair: Arturas Juodis, University of Groningen
Nonparametric panel data models with cross-sectional dependence
By Peter Robinson Juan Rodriguez-Poo; Universidad de Cantabria Alexandra Soberon; Universidad de Cantabria
presented by: Alexandra Soberon, Universidad de Cantabria
Common Correlated Effect Cross-sectional Dependence Corrections for Non-linear Conditional Mean Panel Models
By Sinem Hacioglu Hoke; Bank of England
presented by: Sinem Hacioglu Hoke, Bank of England
Incidental Parameters Problem in Testing: A Case of Cross-section Dependence Tests with Common Components
By Arturas Juodis; University of Groningen Simon Reese; University of Southern California
presented by: Arturas Juodis, University of Groningen
Session 18: Forecast combination and evaluation I June 26, 2018 15:45 to 17:15 R-2205
Session Organizer: ,
Session Chair: George Athanasopoulos, Monash University
Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
By Knut Are Aastveit; Norges Bank Kenichiro McAlinn; University of Chicago Jouchi Nakajima; Bank of International Settlements Mike West; Duke University
presented by: Knut Are Aastveit, Norges Bank
Unrestricted and Controlled Identification of Loss Functions: Possibility and Impossibility Results
By Robert Lieli; Central European University Max Stinchcombe; University of Texas, Austin
presented by: Robert Lieli, Central European University
Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization
By Shanika Wickramasuriya; Monash University George Athanasopoulos; Monash University Rob Hyndman; Monash University
presented by: George Athanasopoulos, Monash University
Session 19: Energy and commodities June 26, 2018 15:45 to 17:15 R-2670
Session Organizer: ,
Session Chair: Stephen Snudden, Queen's University
Asymmetric Responses of Consumer Spending to Energy Prices: The Role of Information and News Coverage
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
A fistful of oil barrels for a few more dollars: strategic interactions and price dynamics in the global oil market
By virginia di nino; ECB
presented by: virginia di nino, ECB
International Remittances, Migration, and Primary Commodities
By Stephen Snudden; Queen's University
presented by: Stephen Snudden, Queen's University
Session 20: Forecasting inflation June 26, 2018 15:45 to 17:15 R-M510
Session Organizer: ,
Session Chair: Marco Del Negro, Federal Reserve Bank of New York
FORECASTING INFLATION IN A DATA-RICH ENVIRONMENT: THE BENEFITS OF MACHINE LEARNING METHODS
By Marcelo Medeiros; PUC-Rio Gabriel Vasconcelos; PUC-Rio Alvaro Veiga; PUC - Rio Eduardo Zilberman; Pontifícia Universidade Católica do Ri
presented by: Gabriel Vasconcelos, PUC-Rio
Forecasting Deflation Probability in the EA: A Combinatoric Approach
By Luca Brugnolini; University of Rome Tor Vergata and Central Bank of Malta
presented by: Luca Brugnolini, University of Rome Tor Vergata and Central Bank of Malta
The Conquest of Inflation Credibility in the U.S.-- A Bayesian Approach for Inference on Probabilistic Surveys
By Marco Del Negro; Federal Reserve Bank of New York Roberto Casarin; University Ca' Foscari of Venice Francesco Ravazzolo; Free University of Bozen/Bolzano
presented by: Marco Del Negro, Federal Reserve Bank of New York
Session 21: Empirical Finance II June 26, 2018 15:45 to 17:15 R-2630
Session Organizer: ,
Session Chair: Kerem Tuzcuoglu, Bank of Canada
The Informational Value of Consensus Prices: Evidence from the OTC Derivatives Market
By Murat Ergun; Bank of Canada Andreas Uthemann; London School of Economics
presented by: Andreas Uthemann, London School of Economics
Short Selling and Excess Return Correlation
By Marco Valerio Geraci; University of Cambridge Jean-Yves Gnabo; University of Namur David Veredas; Vlerick Business School
presented by: Marco Valerio Geraci, University of Cambridge
Composite Likelihood Estimation of AR-Probit Model: Application to Credit Ratings
By Kerem Tuzcuoglu; Bank of Canada
presented by: Kerem Tuzcuoglu, Bank of Canada
Session 22: Time Series Models I June 26, 2018 15:45 to 17:15 R-2155
Session Organizer: Raffaella Giacomini, University College London
Session Chair: Daniel Buncic, Sveriges Riksbank
Detecting Time Irreversibility Using Quantile Autoregressive Models
[slides]
By Alain Hecq; Maastricht University Li Sun; Maastricht University, School of Business and Economics
presented by: Alain Hecq, Maastricht University
Vector Quantile Autoregression: A Random Coefficient Approach
By Sulkhan Chavleishvili; European Central Bank
presented by: Sulkhan Chavleishvili, European Central Bank
Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models
By Daniel Buncic; Sveriges Riksbank
presented by: Daniel Buncic, Sveriges Riksbank
Session 23: Distributions and Quantiles June 26, 2018 15:45 to 17:15 R-R150
Session Organizer: ,
Session Chair: Yuya Sasaki, Vanderbilt University
Distributional Counterfactual Analysis with (common) Deterministic trend units
By Ricardo Masini; Escola de Economia de São Paulo - FGV
presented by: Ricardo Masini, Escola de Economia de São Paulo - FGV
Distributional Regression in Survival Analysis
By Miguel Delgado; Universidad Carlos III de Madrid Andrés García-Suaza; Universidad del Rosario Pedro H. C. Sant'Anna; Vanderbilt University
presented by: Andrés García-Suaza, Universidad del Rosario
Quantile Regression with Interval Data
By Arie Beresteanu; University of Pittsburgh Yuya Sasaki; Vanderbilt University
presented by: Yuya Sasaki, Vanderbilt University
Session 24: Immigration June 26, 2018 15:45 to 17:15 R-R120
Session Organizer: ,
Session Chair: Christoph Wigger, University of Cologne
Immigration and housing for the near-retirees
By Wendy Kei; University of British Columbia
presented by: Wendy Kei, University of British Columbia
Deprivation, enclaves, and socioeconomic classes of UK immigrants. Does English proficiency matter?
By Yu Aoki; University of Aberdeen and IZA Lualhati Santiago; Office for National Statistics
presented by: Yu Aoki, University of Aberdeen and IZA
Who with Whom? Untangling the Effect of High-Skilled Immigration on Innovation
By Christoph Wigger; University of Cologne
presented by: Christoph Wigger, University of Cologne
Session 25: Games June 26, 2018 15:45 to 17:15 R-M150
Session Organizer: ,
Session Chair: Mengkai Yu, Georgetown University
Inference in Games without Nash Equilibrium: An Application to Restaurants Competition in Opening Hours
By Erhao Xie; University of Toronto
presented by: Erhao Xie, University of Toronto
Games with unobservable heterogeneity and multiple equilibria: An application to mobile telecommunications
By Mathieu Marcoux; Université de Montréal
presented by: Mathieu Marcoux, Université de Montréal
Optimal Dynamic Hotel Pricing
By Sungjin Cho; Seoul National University Gong Lee; Georgetown University John Rust; Georgetown University Mengkai Yu; Georgetown University
presented by: Mengkai Yu, Georgetown University
Session 26: Household Finances I June 26, 2018 15:45 to 17:15 R-2120
Session Organizer: ,
Session Chair: May Rostom, University College London & Bank of England
Raising pension awareness through letters and social media: What works for whom? Evidence from a randomized and quasi-experiment
By Marike Knoef; Leiden University, Netspar Jim Been; Leiden University & Netspar Marijke Van Putten; Leiden University and Netspar
presented by: Marike Knoef, Leiden University, Netspar
Unconventional monetary policy and households’ financial portfolio choices
By Caterina Forti Grazzini; DIW Berlin
presented by: Caterina Forti Grazzini, DIW Berlin
Consumption Response to Aggregate Shocks and the Role of Leverage
By Agnes Kovacs; University of Oxford May Rostom; University College London & Bank of Engl Philip Bunn; Bank of England
presented by: May Rostom, University College London & Bank of England
Session 27: Plenary lecture by Serena Ng: Modeling Economic Data with Insights from Machine Learning June 26, 2018 17:30 to 18:30 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session 28: Plenary lecture by Frank Schorfheide: Forecasting with Dynamic Panel Data Models June 27, 2018 9:00 to 10:00 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session 29: Inflation dynamics I June 27, 2018 10:30 to 12:30 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: Todd Clark, Federal Reserve Bank of Cleveland
Session Chair: Filippo Pellegrino, London School of Economics; Now-Casting Economics
Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of long-run inflation expectations
By Geraldine Dany-Knedlik; DIW Berlin Oliver Holtemöller; Martin-Luther-University Halle-Wittenberg and Halle Leibniz-Institute for Economic Research (IWH)
presented by: Geraldine Dany-Knedlik, DIW Berlin
The Role of Expectations in Changed Inflation Dynamics
By Damjan Pfajfar; Federal Reserve Board John Roberts; Board of Governors of the Federal Reserve System
presented by: John Roberts, Board of Governors of the Federal Reserve System
Phillips curves in the euro area?
By Laura Moretti; Central Bank of Ireland Luca Onorante; European Central Bank Shayan Zakipour-Saber; Queen Mary University of London
presented by: Luca Onorante, European Central Bank
A Model of the Fed’s View on Inflation
By Thomas Hasenzagl; Now-Casting Economics Filippo Pellegrino; London School of Economics; Now-Casting Economics Lucrezia Reichlin; London Business School Giovanni Ricco; University of Warwick
presented by: Filippo Pellegrino, London School of Economics; Now-Casting Economics
Session 30: Volatility Modelling I June 27, 2018 10:30 to 12:30 R-R150
Session Organizer: Raffaella Giacomini, University College London
Session Chair: Jean-Marie Dufour, McGill University
Forecasting realized volatility: the role of implied volatility, leverage effects and the volatility of realized volatility
By Dimos Kambouroudis; University of Stirling David McMillan; University of Stirling Katerina Tsakou; Swansea University
presented by: Katerina Tsakou, Swansea University
A Stochastic Price Duration Model for Estimating High-Frequency Volatility
By Denis Pelletier; North Carolina State University Wei Wei
presented by: Wei Wei,
Simple Estimators and Inference for Higher-order Stochastic Volatility Models
By Md. Nazmul Ahsan; McGill University Jean-Marie Dufour; McGill University
presented by: Jean-Marie Dufour, McGill University
Session 31: Uncertainty in Macroeconomics I June 27, 2018 10:30 to 12:30 R-2895
Session Organizer: ,
Session Chair: Christos Ioannidis, Aston University
Uncertainty Across Volatility Regimes
By Giovanni Angelini; University of Bologna Emanuele Bacchiocchi; University of Milan Giovanni Caggiano; Monash University Luca Fanelli; University of Bologna
presented by: Luca Fanelli, University of Bologna
Expectations Shocks with Uncertain Data
By Michael Clements; University of Reading Ana Beatriz Galvao; University of Warwick
presented by: Ana Beatriz Galvao, University of Warwick
Uncertainty and Financial Stability: a VAR Analysis
By Chiara Scotti; Federal Reserve Board
presented by: Chiara Scotti, Federal Reserve Board
Economic Policy Uncertainty and Bond Risk Premia
By Christos Ioannidis; Aston University Kook Ka; Bank of Korea
presented by: Kook Ka, Bank of Korea
Session 32: Unconventional monetary policy June 27, 2018 10:30 to 12:30 R-M510
Session Organizer: ,
Session Chair: Filippo Ferroni, Chicago FED
The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates
By Atsushi Inoue; Vanderbilt University Barbara Rossi; ICREA-Univ. Pompeu Fabra, Barcelona GSE
presented by: Barbara Rossi, ICREA-Univ. Pompeu Fabra, Barcelona GSE
Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases
By Xu Zhang; University of California, San Diego
presented by: Xu Zhang, University of California, San Diego
IDENTIFYING UNCONVENTIONAL MONETARY POLICY SHOCKS
By Masahiko Shibamoto; Kobe University Kiyotaka Nakashima; Konan University Koji Takahashi; Bank of Japan
presented by: Masahiko Shibamoto, Kobe University
Delphic and Odyssean monetary policy shocks: Evidence from the euro-area
[slides]
By Filippo Ferroni; Chicago FED
presented by: Filippo Ferroni, Chicago FED
Session 33: Business Cycle Fluctuations I June 27, 2018 10:30 to 12:30 R-2630
Session Organizer: Francesco Bianchi, Duke University
Session Chair: Yunjong Eo, University of Sydney
Are linear models really unuseful to describe business cycle data?
By Artur Silva Lopes; ISEG, Universidade de Lisboa Gabriel Zsurkis; ISEG, Universidade de Lisboa
presented by: Artur Silva Lopes, ISEG, Universidade de Lisboa
Global Macroeconomic Volatility
By Danilo Leiva-Leon; Banco de España
presented by: Danilo Leiva-Leon, Banco de España
Why has the U.S. economy stagnated since the Great Recession?
By Yunjong Eo; University of Sydney James Morley; University of Sydney
presented by: Yunjong Eo, University of Sydney
Session 34: Big data June 27, 2018 10:30 to 12:30 R-M160
Session Organizer: ,
Session Chair: Giorgio Primiceri, Northwestern University
Macroeconomic forecast accuracy in a data-rich environment
By Dalibor Stevanovic; Université du Québec à Montréal Maxime Leroux Rachidi Kotchoni; CNRS-EconomiX, Université Paris Nanterr
presented by: Maxime Leroux,
On LASSO for Predictive Regression
By Ji Hyung Lee; University of Illinois Zhentao Shi; The Chinese University of Hong Kong
presented by: Ji Hyung Lee, University of Illinois
A horse race in high dimensional space
By paolo andreini; Tor vergata Univeristy
presented by: paolo andreini, Tor vergata University
Economic Predictions with Big Data: The Illusion of Sparsity
By Giorgio Primiceri; Northwestern University
presented by: Giorgio Primiceri, Northwestern University
Session 35: Financial econometrics II June 27, 2018 10:30 to 12:30 R-2120
Session Organizer: ,
Session Chair: Jérémy Leymarie, University of Orléans
Understanding the Economic Determinants of the Severity of Operational Losses: A regularized Generalized Pareto Regression Approach
By Julien Hambuckers; University of Goettingen Andreas Groll; Ludwig-Maximilians-University Munich Thomas Kneib; University of Goettingen
presented by: Julien Hambuckers, University of Goettingen
Time-varying Learning Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
By Herman van Dijk; Erasmus University Rotterdam
presented by: Herman van Dijk, Erasmus University Rotterdam
Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
By Antonio Diez de los Rios; Bank of Canada
presented by: Antonio Diez de los Rios, Bank of Canada
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
By Georgiana Denisa Banulescu-Radu; University of Orléans Christophe Hurlin; Université d’Orléans Jérémy Leymarie; University of Orléans Olivier Scaillet; University of Geneva and Swiss Finance Institute
presented by: Jérémy Leymarie, University of Orléans
Session 36: Macro-Finance II June 27, 2018 10:30 to 12:30 R-3870
Session Organizer: Francesco Bianchi, Duke University
Session Chair: Jelena Zivanovic, Bank of Canada
Do loan demand shocks matter? A new look at credit supply and demand channels of the UK Economy.
By Richard Kima; University of Southampton
presented by: Richard Kima, University of Southampton
Follow the money: Does the financial sector intermediate natural resource windfalls?
By Thorsten Beck; Cass Business School and CEPR Steven Poelhekke; Vrije Universiteit Amsterdam
presented by: Steven Poelhekke, Vrije Universiteit Amsterdam
Financial Shocks, Credit Spreads, and the International Credit Channel
[slides]
By Ambrogio Cesa-Bianchi; Bank of England Andrej Sokol; Bank of England
presented by: Andrej Sokol, Bank of England
A structural empirical analysis of the external finance premium
By Jelena Zivanovic; Bank of Canada
presented by: Jelena Zivanovic, Bank of Canada
Session 37: DSGE models June 27, 2018 10:30 to 12:30 R-2155
Session Organizer: ,
Session Chair: Marc Giannoni, Federal Reserve Bank of Dallas
Macroeconomic implications of shadow banks: A DSGE analysis
By Bora Durdu; Federal Reserve Board Molin Zhong; Federal Reserve Board of Governors
presented by: Molin Zhong, Federal Reserve Board of Governors
Misspecification in DSGE Models and Policy Implications: Empirical Evidence from the Euro Area
By Roberta Cardani; JRC European Commission Alessia Paccagnini; University College Dublin
presented by: Alessia Paccagnini, University College Dublin
DSGE models with financial frictions: frequency does matter
[slides]
By Claudia Foroni; Deutsche Bundesbank Paolo Gelain; Federal Reserve Bank of Cleveland Massimiliano Marcellino; Bocconi University
presented by: Paolo Gelain, Federal Reserve Bank of Cleveland
DSGE Forecasts of the Lost Recovery
By Michael Cai; Federal Reserve Bank of New York Marco Del Negro; Federal Reserve Bank of New York Marc Giannoni; Federal Reserve Bank of Dallas Abhi Gupta; Federal Reserve Bank of New York Pearl Li Erica Moszkowski; Federal Reserve Bank of New York
presented by: Marc Giannoni, Federal Reserve Bank of Dallas
Session 38: Interest rate dynamics June 27, 2018 10:30 to 12:30 R-R120
Session Organizer: ,
Session Chair: Fan Dora Xia, Bank for International Settlements
A shadow rate without a lower bound constraint
By Rafael De Rezende; Sveriges Riksbank Annukka Ristiniemi; Sveriges Riksbank
presented by: Rafael De Rezende, Sveriges Riksbank
Interest Rate Conundrums in the Twenty-First Century
By Samuel Hanson; Harvard Business School David Lucca; Federal Reserve Bank of New York Jonathan Wright; Johns Hopkins University
presented by: Jonathan Wright, Johns Hopkins University
Some Evidence on Secular Drivers of U.S. Safe Real Rates
By Kurt Lunsford; Federal Reserve Bank of Cleveland Kenneth West; University of Wisconsin
presented by: Kurt Lunsford, Federal Reserve Bank of Cleveland
Negative Interest Rate Policy and Yield Curve
By Jing Cynthia Wu; University of Chicago Fan Dora Xia; Bank for International Settlements
presented by: Fan Dora Xia, Bank for International Settlements
Session 39: Econometric Theory June 27, 2018 10:30 to 12:30 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session Chair: Timothy Armstrong, Yale University
Inference for moments of ratios with robustness against large trimming bias and unknown convergence rate
By Yuya Sasaki; Vanderbilt University Takuya Ura; University of California, Davis
presented by: Takuya Ura, University of California, Davis
Inference in Non-Parametric/Semi-Parametric Moment Equality Models with Shape Restrictions
By Yu Zhu; Bank of Canada
presented by: Yu Zhu, Bank of Canada
Testing Generalized Regression Monotonicity
By Yu-Chin Hsu; Academia Sinica Chu-An Liu; Academia Sinica Xiaoxia Shi; University of Wisconsin at Madison
presented by: Xiaoxia Shi, University of Wisconsin at Madison
Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness
By Timothy Armstrong; Yale University Michal Kolesar; Princeton University
presented by: Timothy Armstrong, Yale University
Session 40: Clustered Inference June 27, 2018 10:30 to 12:30 R-2670
Session Organizer: ,
Session Chair: Seojeong Lee, University of New South Wales
Validity of Wild Bootstrap Inference with Clustered Errors
By Antoine Djogbenou; Queen's University James MacKinnon; Queen's University Morten Nielsen; Queen's University
presented by: James MacKinnon, Queen's University
Asymptotic Results under Multiway Clustering
By Xavier D'Haultfoeuille; CREST Laurent Davezies; Centre de Recherche en Économie et Stat Yannick Guyonvarch; CREST-ENSAE
presented by: Yannick Guyonvarch, CREST-ENSAE
Bootstrap and Asymptotic Inference with Multiway Clustering
By James MacKinnon; Queen's University Morten Nielsen; Queen's University Matthew Webb; Carleton University
presented by: Matthew Webb, Carleton University
Inference for Iterated GMM Under Misspecification and Clustering
By Bruce Hansen; University of Wisconsin Seojeong Lee; University of New South Wales
presented by: Seojeong Lee, University of New South Wales
Session 41: Minimum Wage June 27, 2018 10:30 to 12:30 R-M140
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
By Hugo Jales; Syracuse University
presented by: Hugo Jales, Syracuse University
Employment Effects of Introducing a Minimum Wage: The Case of Germany
By Felix Pohle; Halle Institute for Economic Research Oliver Holtemöller; Martin-Luther-University Halle-Wittenberg and Halle Leibniz-Institute for Economic Research (IWH)
presented by: Oliver Holtemöller, Martin-Luther-University Halle-Wittenberg and Halle Leibniz-Institute for Economic Research (IWH)
Minimum wages and youth employment in Belgium
By Maritza López Novella; Federal Planning Bureau
presented by: Maritza López Novella, Federal Planning Bureau
Difference in Differences with Multiple Time Periods with an Application on the Minimum Wage and Employment
By Brantly Callaway; Temple University Pedro H. C. Sant'Anna; Vanderbilt University
presented by: Pedro H. C. Sant'Anna, Vanderbilt University
Session 42: Health Economics I June 27, 2018 10:30 to 12:30 R-2205
Session Organizer: ,
Session Chair: Vincenzo Atella, University of Rome Tor Vergata
Market structure, patient choice and hospital quality for elective patients
By Giuseppe Moscelli; University of Surrey Hugh Gravelle; University of York Luigi Siciliani; University of York
presented by: Giuseppe Moscelli, University of Surrey
Harnessing the Small Victories: Empirical Evidence from a Calorie and Weight Loss Tracking Application
By Nathan Yang; McGill Desautels Faculty of Management Kosuke Uetake; Yale University School of Management
presented by: Nathan Yang, McGill Desautels Faculty of Management
Technological Advance in Cholesterol Medication Meets Physician Learning: A Non-Parametric Bounding Approach
By Vincenzo Atella; University of Rome Tor Vergata Federico Belotti; University of Rome Tor Vergata Jay Bhattacharya; Stanford University Domenico Depalo; Banca d'Italia
presented by: Vincenzo Atella, University of Rome Tor Vergata
The impact of access to health facilities on maternal care use and health status: Evidence from longitudinal data from rural Uganda
By Fredrick Manang; University of Dodoma (UDOM)
presented by: Fredrick Manang, University of Dodoma (UDOM)
Session 43: Environment II June 27, 2018 10:30 to 12:30 R-3840
Session Organizer: ,
Session Chair: Reinhard Weisser, Queen Mary University of London
Dealing with corner solutions in multi-crop micro-econometric models: an endogenous regime approach with regime fixed costs
By Alain Carpentier; UMR SMART-LERECO INRA Agrocampus Ouest
presented by: Alain Carpentier, UMR SMART-LERECO INRA Agrocampus Ouest
The impact of local shocks on well-being: Only a matter of perception?
By Reinhard Weisser; Queen Mary University of London
presented by: Reinhard Weisser, Queen Mary University of London
Session 44: Household Finances II June 27, 2018 10:30 to 12:30 R-M150
Session Organizer: ,
Session Chair: Davud Rostam-Afschar, Universitaet Hohenheim
The Impact of School-Based Financial Education on High School Students and their Teachers: Experimental Evidence from Peru
By Veronica Frisancho; Inter-American Development Bank (IDB)
presented by: Veronica Frisancho, Inter-American Development Bank (IDB)
Student Loan Debt and Financial Health of U.S. Households
By Gerald Daniels; Howard University Venoo Kakar; San Francisco State University
presented by: Venoo Kakar, San Francisco State University
How Do Entrepreneurial Portfolios Respond to Income Taxation?
By Frank Fossen; University of Nevada, Reno Ray Rees; University of Munich Davud Rostam-Afschar; Universitaet Hohenheim Viktor Steiner; Free University of Berlin
presented by: Davud Rostam-Afschar, Universitaet Hohenheim
Session 45: Structural Models June 27, 2018 10:30 to 12:30 R-M180
Session Organizer: ,
Session Chair: Thierry Magnac, Toulouse School of Economics
Identification and Estimation of Nonparametric Hedonic Equilibrium Model with Unobserved Quality
By Ruoyao Shi; UC Riverside
presented by: Ruoyao Shi, UC Riverside
A Pigouvian Approach to Congestion in Matching Markets
[slides]
By Yinghua He; Rice University Thierry Magnac; Toulouse School of Economics
presented by: Thierry Magnac, Toulouse School of Economics
Students' dynamic learning: a structural empirical model
By Xintong Han; Concordia University
presented by: Xintong Han, Concordia University
A Search Model of Early Employment Careers and Youth Crime.
By Antonella Mancino; University of Western Ontario
presented by: Antonella Mancino, University of Western Ontario
Session 46: Industrial Organizations II June 27, 2018 14:00 to 16:00 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session Chair: Wilko Letterie, Maastricht University
An Experimental Approach to Merger Analysis
By Christopher Conlon; NYU Stern Julie Mortimer; Boston College
presented by: Christopher Conlon, NYU Stern
Effort and Selection Effects of Performance Pay in Knowledge Creation
By Erina Ytsma; MIT
presented by: Erina Ytsma, MIT
Mergers and Acquisitions, and the Propagations in Production Networks
By Lan Lan; Toulouse School of Economics
presented by: Lan Lan, Toulouse School of Economics
Price Changes - Stickiness and Internal Coordination in Multiproduct Firms
By Wilko Letterie; Maastricht University Oivind Nilsen; Norwegian School of Economics
presented by: Wilko Letterie, Maastricht University
Session 47: Labor Markets I June 27, 2018 14:00 to 16:00 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session Chair: Cristina Barcelo, Banco de España
Conditional Choice Probability Estimation of Continuous-Time Job Search Models
By Peter Arcidiacono; Duke University Attila Gyetvai; Duke University Ekaterina Jardim; University of Washington Arnaud Maurel; Duke University
presented by: Attila Gyetvai, Duke University
Identifying Distributions in a Panel Model with Heteroskedasticity: An Application to Earnings Volatility
By Irene Botosaru; Simon Fraser University
presented by: Irene Botosaru, University of Bristol
The Risk of Job Loss, Household Formation and Housing Demand: Evidence from Differences in Severance Payments
By Cristina Barcelo; Banco de España Ernesto Villanueva; Banco de España
presented by: Cristina Barcelo, Banco de España
Employment Protection Legislation Impacts on Capital and Skill Composition
By Gilbert CETTE; Banque de France Jimmy Lopez; Université de Bourgogne Franche-Comté (LEDi); Banque de France Jacques Mairesse; ENSAE
presented by: Gilbert CETTE, Banque de France
Session 48: Nonlinearities in macroeconomic dynamics June 27, 2018 14:00 to 16:00 R-3870
Session Organizer: ,
Session Chair: Laura Jackson Young, Bentley University
Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?
By James Morley; University of Sydney Irina Panovska; Lehigh University
presented by: Irina Panovska, Lehigh University
Assessing Aggregate Investment Nonlinearities
By Christopher Gust; Federal Reserve Board Edward Herbst; Federal Reserve Board David Lopez-Salido; Federal Reserve Board
presented by: Edward Herbst, Federal Reserve Board
On Nonlinearities in Unemployment
By Francois Langot; GAINS
presented by: Francois Langot, GAINS
Nonlinearities, Smoothing, and Countercyclical Monetary Policy
By Laura Jackson Young; Bentley University Michael Owyang; Federal Reserve Bank of St Louis Daniel Soques; University of North Carolina at Wilmington
presented by: Laura Jackson Young, Bentley University
Session 49: Central bank forecasting June 27, 2018 14:00 to 16:00 R-R160
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
By Julien Champagne; Bank of Canada Guillaume Poulin-Bellisle; HEC Montreal Rodrigo Sekkel; Bank of Canada
presented by: Rodrigo Sekkel, Bank of Canada
Asymmetry, Complementarities, and Federal Reserve Forecasts
By julieta caunedo; Cornell University Riccardo DiCecio; Federal Reserve Bank of St. Louis Ivana Komunjer; Georgetown University Michael Owyang; Federal Reserve Bank of St Louis
presented by: Michael Owyang, Federal Reserve Bank of St Louis
Detecting Time-dependent Bias in the Fed’s Greenbook Forecasts of Foreign GDP Growth
By Neil Ericsson; Federal Reserve Board
presented by: Neil Ericsson, Federal Reserve Board
Fiscal Surprises at the FOMC
By Dean Croushore; University of Richmond Simon van Norden; HEC Montréal
presented by: Dean Croushore, University of Richmond
Session 50: Empirical Finance III June 27, 2018 14:00 to 16:00 R-2120
Session Organizer: ,
Session Chair: Lynda Khalaf, Carleton University
Integration and Disintegration of EMU Government Bond Markets
By Christian Leschinski; Leibniz Universität Hannover Michelle Voges; Leibniz University Hannover Philipp Sibbertsen; Leibniz Universitaet Hannover
presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover
Some financial implications of global warming
By Claudio Morana; University Milano Bicocca
presented by: Claudio Morana, University Milano Bicocca
Stock Market Access and Cash Flow Allocation during the Financial Crisis
By David Florysiak; University of Southern Denmark Vidhan Goyal; The Hong Kong University of Science and
presented by: David Florysiak, University of Southern Denmark
Weak beta, strong beta: multi-factor pricing and rank restrictions
By Lynda Khalaf; Carleton University
presented by: Lynda Khalaf, Carleton University
Session 51: Factor models I June 27, 2018 14:00 to 16:00 R-2205
Session Organizer: ,
Session Chair: Matteo Luciani, Federal Reserve Board, Washington DC
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage
By Diego Brito; PUC-Rio Marcelo Medeiros; Pontifical Catholic University of Rio de Janeiro Ruy Ribeiro; PUC-Rio
presented by: Diego Brito, PUC-Rio
Comovements in the Real Activity of Developed and Emerging Economies: A Test of Global versus Specific International Factors
By Antoine Djogbenou; Queen's University
presented by: Antoine Djogbenou, Queen's University
Quantifying the Monetary Transmission Mechanism: A Mixed-Frequency Factor-Augmented Vector Autoregressive Regression Approach
By Zhi Zhao; University of California Riverside Marcelle Chauvet; University of California Riverside
presented by: Zhi Zhao, University of California Riverside
Common Factors, Trends, and Cycles in Large Datasets
By Matteo Barigozzi; LSE Matteo Luciani; Federal Reserve Board, Washington DC
presented by: Matteo Luciani, Federal Reserve Board, Washington DC
Session 52: Monetary Policy Rules June 27, 2018 14:00 to 16:00 R-2155
Session Organizer: ,
Session Chair: Andreas Tryphonides, Humboldt U
Asymmetries in the Interest Rate Rule: Data versus DSGE
By Anna Almosova; Humboldt University of Berlin
presented by: Anna Almosova, Humboldt University of Berlin
Interest Rate Rules Across The Business Cycle
By Daniel Soques; University of North Carolina at Wilmington
presented by: Daniel Soques, University of North Carolina at Wilmington
FOMC Fed Funds Rate Responses Treat Persistent Fluctuations Differently from Other Fluctuations
By Randal Verbrugge; Federal Reserve Bank of Cleveland Richard Ashley; Virginia Tech Kwok Ping Tsang; Virginia Tech
presented by: Randal Verbrugge, Federal Reserve Bank of Cleveland
Learning from Errors: The case of Monetary and Fiscal Policy Regimes
By Andreas Tryphonides; Humboldt U
presented by: Andreas Tryphonides, Humboldt U
Session 53: Heterogeneity in macroeconomics June 27, 2018 14:00 to 16:00 R-M150
Session Organizer: ,
Session Chair: Michele Lenza, European Central Bank
On the U.S. Firm and Establishment Size Distributions
By Illenin Kondo; Notre Dame Logan Lewis; Federal Reserve Board of Governors Andrea Stella; Federal Reserve Board
presented by: Andrea Stella, Federal Reserve Board
Downward Nominal Wage Rigidity in the U.S.: New Evidence from Worker-Firm Linked Data
By Andre Kurmann; Drexel University Erika McEntarfer; US Census Bureau
presented by: Andre Kurmann, Drexel University
What is the extent of misallocation?
By Bruno Pellegrino; UCLA Geoffery Zheng; UCLA Anderson School of Management
presented by: Bruno Pellegrino, UCLA
How Does Monetary Policy A􏰀ffect Income and Wealth Inequality? Evidence from the Euro Area
By Michele Lenza; European Central Bank
presented by: Michele Lenza, European Central Bank
Session 54: Time Series Models II June 27, 2018 14:00 to 16:00 Salle Marie-Gérin Lajoie, J-M400
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
By Alessandra Canepa; Brunel University Menelaos Karanasos; Brunel University alexandros paraskevopoulos; University of Pireaus
presented by: Menelaos Karanasos, Brunel University
Nonfractional Memory: Filtering, Antipersistence, and Forecasting
By J. Eduardo Vera Valdés; Aalborg University
presented by: J. Eduardo Vera Valdés, Aalborg University
A Sieve-SMM Estimator for Dynamic Models
By Jean-Jacques Forneron; Columbia University
presented by: Jean-Jacques Forneron, Columbia University
Highly Persistent Finite-State Markov Chains with Non-Zero Skewness and Excess Kurtosis
By Damba Lkhagvasuren; Concordia University, Montreal, Canada
presented by: Damba Lkhagvasuren, Concordia University, Montreal, Canada
Session 55: Macroeconomics and asset prices June 27, 2018 14:00 to 16:00 R-R150
Session Organizer: ,
Session Chair: Marek Raczko, Bank of England
Asset Pricing with Recursive Preferences and Stochastic Volatility: A Bayesian DSGE Analysis
By David Rapach; Saint Louis University Fei Tan; Saint Louis University
presented by: David Rapach, Saint Louis University
Federal Reserve Private Information and the Stock Market
By Aeimit Lakdawala; Michigan State University Matthew Schaffer; Michigan State University
presented by: Aeimit Lakdawala, Michigan State University
(Un)expected Monetary Policy Shocks and Term Premia
By Martin Kliem; Deutsche Bundesbank Alexander Meyer-Gohde; Goethe-Universität Frankfurt
presented by: Alexander Meyer-Gohde, Goethe-Universität Frankfurt
The Information in the Term Structures of Bond Yields
By Andrew Meldrum; Board of Governors of the Federal Reserv Marek Raczko; Bank of England PETER SPENCER; UNIVERSITY OF YORK
presented by: Marek Raczko, Bank of England
Session 56: Volatility modeling II June 27, 2018 14:00 to 16:00 R-2630
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
By Chun Yao; Rutgers University
presented by: Chun Yao, Rutgers University
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis
[slides]
By Helmut Luetkepohl; DIW Berlin and FU Berlin Thore Schlaak; DIW Berlin
presented by: Thore Schlaak, DIW Berlin
Conditional heteroscedasticity models with time-varying parameters: Estimation and forecasting
By armin pourkhanali; Monash University Jonathan Keith; School of Mathematical Sciences Xibin Zhang; Monash University
presented by: armin pourkhanali, Monash University
A General Class of Score-Driven Smoothers
By Giuseppe Buccheri; Scuola Normale Superiore Giacomo Bormetti; University of Bologna Fulvio Corsi; Ca' Foscari University of Venice and Cit Fabrizio Lillo; University of Bologna
presented by: Giuseppe Buccheri, Scuola Normale Superiore
Session 57: Identification in SVARs I June 27, 2018 14:00 to 16:00 R-2895
Session Organizer: Todd Clark, Federal Reserve Bank of Cleveland
Session Chair: Robin Braun, University of Konstanz
Identifying Shocks via Time-Varying Volatility
By Daniel Lewis; Harvard University
presented by: Daniel Lewis, Harvard University
Identifying Factor-Augmented Vector Autoregression Models by a Change in Shock Variances
By Yohei Yamamoto; Hitotsubashi University
presented by: Yohei Yamamoto, Hitotsubashi University
Identification of Structural Vector Autoregressions Through Higher Unconditional Moments
By Michel Normandin; HEC Montreal
presented by: Michel Normandin, HEC Montreal
Identification of Structural Vector Autoregressions by Stochastic Volatility
By Dominik Bertsche; University of Konstanz Robin Braun; University of Konstanz
presented by: Robin Braun, University of Konstanz
Session 58: Treatment Effects I June 27, 2018 14:00 to 16:00 R-R120
Session Organizer: ,
Session Chair: Christopher Adams, Federal Trade Commission
Multivalued Treatments and Decomposition Analysis: An application to the WIA Program
By Sebastian Calonico; University of Miami
presented by: Sebastian Calonico, University of Miami
Identifying Treatment Effects in the Presence of Confounded Types
By Desire Kedagni; Penn State University
presented by: Desire Kedagni, Penn State University
Sharp Bounds on Functionals of the Joint Distribution in the Analysis of Treatment Effects
By Thomas Russell; University of Toronto
presented by: Thomas Russell, University of Toronto
Empirical Bayesian Estimation of Treatment Effects
By Christopher Adams; Federal Trade Commission
presented by: Christopher Adams, Federal Trade Commission
Session 59: Network Models June 27, 2018 14:00 to 16:00 R-M510
Session Organizer: ,
Session Chair: Michaela Kesina, ETH Zurich
A structural model of homophily and clustering in social networks
By Angelo Mele; Johns Hopkins University
presented by: Angelo Mele, Johns Hopkins University
Spatial Dependence and Common Factors in the English Housing Market: A STARF Model
By Beulah Chelva; University of Leeds Yongcheol Shin; York
presented by: Beulah Chelva, University of Leeds
Normal Approximation in Strategic Network Formation
By Michael Leung; USC Hyungsik Roger Moon; University of Southern California
presented by: Hyungsik Roger Moon, University of Southern California
Estimation of models with an endogenous spatial or network matrix - a transformation approach
By Michaela Kesina; ETH Zurich
presented by: Michaela Kesina, ETH Zurich
Session 60: Housing Markets June 27, 2018 14:00 to 16:00 R-2670
Session Organizer: ,
Session Chair: Albert Zevelev, Baruch CUNY
Imperfect Information, Learning and Housing Market Dynamics
By Christophe BRUNEEL; Toulouse School of Economics
presented by: Christophe BRUNEEL, Toulouse School of Economics
Housing Price Network Effects from Public Transit Investment: Evidence from Vancouver
By Alex Chernoff; Bank of Canada Andrea Craig; Queen's Unviersity
presented by: Alex Chernoff, Bank of Canada
Is my rental price overestimated? A small area index for Germany
By Lea Eilers; RWI – Leibniz Institute for Economic Research
presented by: Lea Eilers, RWI – Leibniz Institute for Economic Research
Does Collateral Value Affect Asset Prices? Evidence from a Natural Experiment in Texas
By Albert Zevelev; Baruch CUNY
presented by: Albert Zevelev, Baruch CUNY
Session 61: Model Uncertainty June 27, 2018 14:00 to 16:00 R-M160
Session Organizer: ,
Session Chair: Christophe Gaillac, CREST and TSE
How to use economic theory to improve estimators
By Pirmin Fessler; Oesterreichische Nationalbank Maximilian Kasy; Harvard University
presented by: Maximilian Kasy, Harvard University
Inference for Impulse Responses under Model Uncertainty
By Lenard Lieb; Maastricht University Stephan Smeekes; Maastricht University
presented by: Lenard Lieb, Maastricht University
Minimizing Sensitivity to Model Misspecification
By Stephane Bonhomme; University of Chicago Martin Weidner; University College London
presented by: Stephane Bonhomme, University of Chicago
Testing Rational Expectations using Data Combination
By Xavier D'Haultfoeuille; CREST Christophe Gaillac; CREST and TSE Arnaud Maurel; Duke University
presented by: Christophe Gaillac, CREST and TSE
Session 62: Education II June 27, 2018 14:00 to 16:00 R-3840
Session Organizer: ,
Session Chair: Laura Hospido, Banco de España and IZA
The Effects of Schoolwide Tracking on Low and High Skill Students: Evidence from South Korea
By Seungwoo Chin; University of Southern California Eunjee Kwon; University of Southern California, USC
presented by: Eunjee Kwon, University of Southern California, USC
The Dynamics and Determinants of Adolescent Bullying Victimisation
[slides]
By Georgios Chrysanthou; University of Alicante Chrysovalantis Vasilakis; Bangor University
presented by: Georgios Chrysanthou, University of Alicante
The Impact of High School Financial Education on Financial Knowledge and Choices: Evidence from a Randomized Trial in Spain
By Olympia Bover; Bank of Spain Laura Hospido; Banco de España Ernesto Villanueva; Banco de España
presented by: Laura Hospido, Banco de España and IZA
Session 63: Plenary lecture: Alfred Galichon June 27, 2018 16:30 to 17:30
Session Organizer: ,
Session 64: Plenary lecture: Guido Imbens June 28, 2018 9:00 to 10:00
Session Organizer: ,
Session 65: Time variation in macroeconomic dynamics June 28, 2018 10:30 to 12:30 R-M510
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.
By Haroon Mumtaz; Queen Mary Laura Sunder-Plassmann; University of Copenhagen
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
By Nidhaleddine BEN CHEIKH; ESSCA School of Management (France)
presented by: Nidhaleddine BEN CHEIKH, ESSCA School of Management (France)
Common Sources of Instabilities in Macroeconomic Dynamics: A Factor-TVP Approach
By Pooyan Amir Ahmadi; University of Illinois at Urbana-Champaign Dalibor Stevanovic; Université du Québec à Montréal
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
By Luis Uzeda; Bank of Canada
presented by: Luis Uzeda, Bank of Canada
Session 66: Identification in SVARs II June 28, 2018 10:30 to 12:30 R-R120
Session Organizer: ,
Session Chair: Srecko Zimic, European Central Bank
Identification through Heterogeneity
By Pooyan Amir Ahmadi; University of Illinois at Urbana-Champaign Thorsten Drautzburg; Federal Reserve Bank of Philadelphia
presented by: Pooyan Amir Ahmadi, University of Illinois at Urbana-Champai
Proxy-SVAR as a Bridge for Identification with Mixed Frequency Data
By Andrea Giovanni Gazzani; Bank of Italy Alejandro Vicondoa; Catholic University of Chile
presented by: Alejandro Vicondoa, Pontificia Universidad Catolica de Chile
Stargazing with Structural VARs: Shock Identification via Independent Component Analysis
By Dmitry Kulikov; Eesti Pank Aleksei Netsunajev; Bank of Estonia
presented by: Dmitry Kulikov, Eesti Pank
The Importance of Foreign Shocks on Money Market Rates: Event-Study Magnitude Restriction
By Srecko Zimic; European Central Bank
presented by: Srecko Zimic, European Central Bank
Session 67: Oil prices June 28, 2018 10:30 to 12:30 R-2120
Session Organizer: ,
Session Chair: Lanouar Charfeddine, Qatar University
Nonlinear Intermediary Pricing\\ in the Oil Futures Market
[slides]
By Daniel Bierbaumer; DIW Berlin Malte Rieth; DIW Berlin Anton Velinov; DIW Berlin
presented by: Anton Velinov, DIW Berlin
The Transmission of Exogenous Commodity and Oil Prices shocks to Latin America - A Panel VAR approach
By Rocio Gondo; Banco Central de Reserva del Peru Fernando Perez Forero; Banco Central de Reserva del Peru
presented by: Rocio Gondo, Banco Central de Reserva del Peru
The Simple Economics of Global Fuel Consumption
By Reinhard Ellwanger; Bank of Canada
presented by: Reinhard Ellwanger, Bank of Canada
Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?
By Lanouar Charfeddine; Qatar University Tony Klein; Faculty of Business and Economics, Technische Universitat Dresden, Germany Thomas Walther; Institute for Operations Research and Computational Finance, University of St.Gallen, Switzerland
presented by: Lanouar Charfeddine, Qatar University
Session 68: Volatility modeling III June 28, 2018 10:30 to 12:30 R-2630
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
By Menelaos Karanasos; Brunel University YONGDENG XU; Cardiff Business School,Cardiff University Yfanti Stavroula; Lancaster University
presented by: Yfanti Stavroula, Lancaster University
Modelling Intraday Correlations using Multivariate GARCH
By Adam Clements; Queensland University of Technology Ayesha Scott; Auckland University of Technology Annastiina Silvennoinen; Queensland University of Technology
presented by: Ayesha Scott, Auckland University of Technology
Filtering With Confidence: In-sample Confidence Bands For GARCH Filters
By Marcin Zamojski; University of Gothenburg
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
By Menelaos Karanasos; Brunel University Yongdeng Xu; Cardiff University
presented by: Yongdeng Xu, Cardiff University
Session 69: Macro-Finance III June 28, 2018 10:30 to 12:30 R-2155
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
By Alessandro Barattieri; Collegio Carlo Alberto and ESG UQAM Maya Eden; World Bank Dalibor Stevanovic; Université du Québec à Montréal
presented by: Alessandro Barattieri, ESG UQAM
Do US and global shocks matter for EMEs financial conditions?
By Ana Simona Manu; ECB
presented by: Ana Simona Manu, ECB
Financial Globalization and Bank Lending: The Limits of Domestic Monetary Policy?
By Jin Cao; Norges Bank
presented by: Jin Cao, Norges Bank
Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
By Mark Holmes; University of Waikato Ana Iregui; Banco de la Republica Jesus Otero; Universidad del Rosario
presented by: Ana Iregui, Banco de la Republica
Session 70: Forecast combination and evaluation II June 28, 2018 10:30 to 12:30 R-M160
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
By Yu-Min Yen; National Chengchi University
presented by: Yu-Min Yen, National Chengchi University
Dynamic multivariate posterior predictive checks for macroeconomic density forecasts
By Andrei Sarychev; Bank of England; European Central Bank
presented by: Andrei Sarychev, European Central Bank
An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts
By Michael McCracken; Federal Reserve Bank of St. Louis
presented by: Michael McCracken, Federal Reserve Bank of St. Louis
Session 71: Fiscal policy June 28, 2018 10:30 to 12:30 R-3870
Session Organizer: ,
Session Chair: Tatiana Kirsanova, University of Glasgow
Sources of Borrowing and Fiscal Multipliers
By Romanos Priftis; Bank of Canada Srecko Zimic; European Central Bank
presented by: Romanos Priftis, Bank of Canada
Measuring the Strength of the Theories of Government Size
By Andros Kourtellos; University of Cyprus, University of Wisconsin-Madison Alex Lenkoski; Norwegian Computing Center Kyriakos Petrou; University of Cyprus
presented by: Alex Lenkoski, Norwegian Computing Center
On the relevance of double tax treaties in the presence of treaty shopping
By Kunka Petkova; Vienna University of Economics and Busin Andrzej Stasio; Vienna University of Econ. and Bus. Martin Zagler; WU Vienna University of Economics and UPO University of Eastern Piedmont
presented by: Andrzej Stasio, Vienna University of Econ. and Bus.
Sustainable Policy Equilibria in a Monetary Union
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
Session 72: Survey Forecasts and Expectation Formation I June 28, 2018 10:30 to 12:30 R-2205
Session Organizer: Raffaella Giacomini, University College London
Session Chair: Zhao Han, College of William and Mary
Expectation Formation Following Large Unexpected Shocks
By Scott Baker; Northwestern University Tucker McElroy; U.S. Census Bureau Xuguang Sheng; American University
presented by: Xuguang Sheng, American University
Robust Inference under Time-Varying Volatility - A Real-Time Evaluation of Professional Forecasters
By Matei Demetrescu; University of Kiel Christoph Hanck; Universität Duisburg-Essen Robinson Kruse; CREATES, Aarhus University
presented by: Christoph Hanck, Universität Duisburg-Essen
Central Bank Credibility and Inflation Expectations: A Microfounded Forecasting Approach
By Joao Issler; Getulio Vargas Foundation Ana Flavia Santos; FGV
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
By Zhao Han; College of William and Mary Ruoyun Mao; Indiana University
presented by: Zhao Han, College of William and Mary
Session 73: Financial econometrics III June 28, 2018 10:30 to 12:30 R-R150
Session Organizer: ,
Session Chair: Markus Michaelsen, Universität Hamburg
Dynamic portfolio overlap networks, contagion, and the credit spread puzzle
By Dieter Wang; Vrije Universiteit Amsterdam Iman Van Lelyveld; De Nederlandsche Bank Julia Schaumburg; VU University Amsterdam
presented by: Julia Schaumburg, VU University Amsterdam
Long-term investing under uncertain parameter instability
By Bart Keijsers; Erasmus University Rotterdam
presented by: Bart Keijsers, Erasmus University Rotterdam
Realized Peaks over Threshold: a Time-Varying Extreme Value Approach with High-Frequency based Measures
By Marco Bee; University of Trento Debbie Dupuis; HEC Montréal Luca Trapin; Scuola Normale Superiore
presented by: Debbie Dupuis, HEC Montréal
Information Flow Dependence in Financial Markets
By Markus Michaelsen; Universität Hamburg
presented by: Markus Michaelsen, Universität Hamburg
Session 74: Discrete Choice June 28, 2018 10:30 to 12:30 R-3840
Session Organizer: ,
Session Chair: Zhentong Lu, Shanghai University of Finance and Economics
Estimating Heterogeneous Effects in Binary Response Models
By Anastasia Semykina; Florida State University
presented by: Anastasia Semykina, Florida State University
Relaxing Conditional Independence in an Endogenous Binary Response Model
By Alyssa Carlson; Michigan State University
presented by: Alyssa Carlson, Michigan State University
Identification and Estimation of Triangular Models with a Binary Treatment
By Santiago Pereda-Fernández; Banca d'Italia
presented by: Santiago Pereda-Fernández, Banca d'Italia
Session 75: Monetary Policy I June 28, 2018 10:30 to 12:30 R-2240
Session Organizer: Francesco Bianchi, Duke University
Session Chair: Yoosoon Chang, Indiana University
Monetary Policy and Household (De-)leveraging
By Martin Harding; DIW Berlin Mathias Klein; DIW Berlin
presented by: Martin Harding, DIW Berlin
In Fed Watchers' Eyes: Hawks, Doves and Monetary Policy
By Klodiana Istrefi; Banque de France
presented by: Klodiana Istrefi, Banque de France
Monetary Policy and its Effect on Regional Employment
By Fergus Cumming
presented by: Fergus Cumming,
A structural investigation of monetary policy shifts
By Yoosoon Chang; Indiana University Fei Tan; Saint Louis University Xin Wei; Indiana University
presented by: Yoosoon Chang, Indiana University
Session 76: Regression discontinuity June 28, 2018 10:30 to 12:30 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session Chair: Ying-Ying Lee, University of California, Irvine
Impossible Inference in Econometrics: Theory and Applications
By Marinho Bertanha; University of Notre Dame Marcelo Moreira; FGV
presented by: Marinho Bertanha, University of Notre Dame
Coverage Optimal Confidence Intervals, with Application to Regression Discontinuity Designs
By Max Farrell; University of Chicago Booth
presented by: Max Farrell, University of Chicago Booth
Regression Discontinuity Designs with a Continuous Treatment
By Yingying Dong; University of California Irvine Ying-Ying Lee; University of California, Irvine
presented by: Ying-Ying Lee, University of California, Irvine
Session 77: Treatment Effects II June 28, 2018 10:30 to 12:30 R-R160
Session Organizer: ,
Session Chair: Giovanni Mellace, University of Southern Denmark
Program Evaluation in the Presence of Strategic Interactions
By Daron Acemoglu; Massachusetts Institute of Technology Francis DiTraglia; University of Pennsylvania Camilo Garcia-Jimeno; University of Pennsylvania Rossa O'Keeffe-O'Donovan; University of Oxford
presented by: Francis DiTraglia, University of Pennsylvania
Two-Sample Estimation as an Alternative to Instrumental Variable Estimation in the Presence of Omitted Variables
By Masayuki Hirukawa; Setsunan University Irina Murtazashvili; Drexel University Artem Prokhorov; University of Sydney
presented by: Irina Murtazashvili, Drexel University
Mediation Analysis Synthetic Control
[slides]
By Giovanni Mellace; University of Southern Denmark
presented by: Giovanni Mellace, University of Southern Denmark
Session 78: Health Economics II June 28, 2018 10:30 to 12:30 R-M140
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
By Aleksandr Proshin; Paris School of Economics Alexandre Cazenave-Lacroutz; INSEE-CREST Zeynep Or; Institute for research and information i
presented by: Aleksandr Proshin, Paris School of Economics
Decomposing the Decline in Drinking and Driving during "The Other Great Moderation"
By Darren Grant; Sam Houston State University
presented by: Darren Grant, Sam Houston State University
Information shocks and provider adaptation: Evidence from interventional cardiology
By Daniel Avdic; CINCH and University of Duisburg-Essen Stephanie von Hinke; University of Bristol Carol Propper Johan Vikström; IFAU-Uppsala
presented by: Daniel Avdic, CINCH and University of Duisburg-Essen
Patients are different! Explaining the relation between pills and cholesterol
By Domenico Depalo; Banca d'Italia
presented by: Domenico Depalo, Banca d'Italia
Session 79: Sample Selection June 28, 2018 10:30 to 12:30 R-2670
Session Organizer: ,
Session Chair: Yulong Wang, Syracuse University
Additive Nonparametric Sample Selection Models with Endogeneity
By Deniz Ozabaci; University of New Hampshire
presented by: Deniz Ozabaci, University of New Hampshire
Wage Decompositions and Sample Selection: Evidence for the United States
By Aico van Vuuren; University of Gothenburg
presented by: Aico van Vuuren, University of Gothenburg
FISCAL AUSTERITY AND INCOME INEQUALITY: WHO BEARS THE COSTS?
By Vivian Norambuena; Universidad de Chile
presented by: Vivian Norambuena, Universidad de Chile
Unbiased Estimation of Tail Properties in Small Samples with Complete, Censored, or Truncated Data
By Yulong Wang; Syracuse University
presented by: Yulong Wang, Syracuse University
Session 80: Trade June 28, 2018 10:30 to 12:30 R-3610
Session Organizer: ,
Session Chair: Romina Safojan, Tilburg University
Dollar funding and firm-level exports
By Antoine Berthou; Bank of France Guillaume Horny; Banque de France Jean-Stéphane Mésonnier; Banque de France
presented by: Guillaume Horny, Banque de France
Do Investment Agreements Necessarily Cause Offshoring? The Canada-Peru Case
By Stephanie Houle; McMaster University
presented by: Stephanie Houle, McMaster University
Export Manufacturing Competition Effects on Labour Markets and the Family: Evidence from Mexico
By Manuel Alejandro Estefan Davila; University College London
presented by: Manuel Alejandro Estefan Davila, University College London
The Effect of Exports on Labor Informality: Evidence from Argentina
By Romina Safojan; Tilburg University
presented by: Romina Safojan, Tilburg University
Session 81: Teachers and Schools June 28, 2018 10:30 to 12:30 R-M180
Session Organizer: ,
Session Chair: Yun Pu, The Ohio State University
Knowledge is Power: School Construction & Intergenerational Human Capital
By Naveen Sunder; Cornell University
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
By Juan F. Castro; Universidad del Pacifico
presented by: Juan F. Castro, Universidad del Pacifico
Tuition subsidies and overeducation
By Ciprian Domnisoru; Carnegie Mellon University
presented by: Ciprian Domnisoru, Carnegie Mellon University
College Admission in Three Chinese Provinces: Boston Mechanism vs. Deferred Acceptance Mechanism
By Yun Pu; The Ohio State University
presented by: Yun Pu, The Ohio State University
Session 82: Development June 28, 2018 10:30 to 12:30 R-M150
Session Organizer: ,
Session Chair: Kholekile Malindi, Stellenbosch University
An Empirical Equilibrium Model of Formal and Informal Credit Markets in Developing Countries
By Fan Wang; University of Houston
presented by: Fan Wang, University of Houston
Local Violence, Market Transactions and Living Standard: Disruptive Impact of the Mexican Drug War, 2001–2012
By Alberto Iniguez-Montiel; University of Tokyo Daiji Kawaguchi; University of Tokyo
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
By Jun Goto; Hitotsubashi University Yuki Higuchi; Nagoya City University
presented by: Yuki Higuchi, Nagoya City University
An employer learning model of the South African racial wage gap
By Kholekile Malindi; Stellenbosch University
presented by: Kholekile Malindi, Stellenbosch University
Session 83: (Structural) VARs June 28, 2018 14:00 to 16:00 R-2205
Session Organizer: Raffaella Giacomini, University College London
Session Chair: Michal Franta, Czech National Bank
Bayesian Structural VAR models: an extended approach
By Martin Bruns; DIW Berlin Michele Piffer; Queen Mary, University of London
presented by: Martin Bruns, DIW Berlin
A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification
[slides]
By Mark Bognanni; Federal Reserve Bank of Cleveland
presented by: Mark Bognanni, Federal Reserve Bank of Cleveland
Shrinkage for Set-Identified SVAR
[slides]
By Alessio Volpicella; Queen Mary University
presented by: Alessio Volpicella, Queen Mary University
The Likelihood of Effective Lower Bound Events
By Michal Franta; Czech National Bank
presented by: Michal Franta, Czech National Bank
Session 84: Labor markets and the macroeconomy June 28, 2018 14:00 to 16:00 R-2240
Session Organizer: ,
Session Chair: Svetlana Rujin, RWI – Leibniz-Institut für Wirtschaftsforschung
Slow Recoveries and Labor Market Polarization
By Wen Zhang; Renmin University of China
presented by: Wen Zhang, Renmin University of China
Gender Differences in the Volatility of Work Hours and Labor Demand
By Amy Guisinger; Lafayette College
presented by: Amy Guisinger, Lafayette College
Immigration and the macroeconomy: some new empirical evidence
By Francesco Furlanetto; Norges Bank Ørjan Robstad; Norges Bank
presented by: Francesco Furlanetto, Norges Bank
Labor Market Outcomes of Technology Shocks: International Perspective
By Svetlana Rujin; RWI – Leibniz-Institut für Wirtschaftsforschung
presented by: Svetlana Rujin, RWI – Leibniz-Institut für Wirtschaftsforschung
Session 85: Nowcasting June 28, 2018 14:00 to 16:00 R-2670
Session Organizer: ,
Session Chair: Kajal Lahiri, State University New York Albany
Bayesian Adaptive Penalized MIDAS Regressions: Estimation, Selection, and Prediction
By Matteo Mogliani; Banque de France Clément Marsilli; Banque de France
presented by: Matteo Mogliani, Banque de France
Macroeconomic news and market reaction: Surprise indexes meet nowcasting
By Alberto Caruso; Confindustria
presented by: Alberto Caruso, Confindustria
Uncertain Kingdom: A Framework for Nowcasting GDP and its Revisions
By Nikoleta Anesti; Bank of England Ana Beatriz Galvao; University of Warwick Silvia Miranda-Agrippino; Bank of England
presented by: Nikoleta Anesti, Bank of England
Forecasting New York State Tax Revenue: A Factor MIDAS Approach
By Kajal Lahiri; State University New York Albany Cheng Yang; University at Albany-State University of New York Onur Bugdayci; University at Albany-State University of New York John Delaney; University at Albany-State University of New York
presented by: Kajal Lahiri, State University New York Albany
Session 86: Forecasting business cycles June 28, 2018 14:00 to 16:00 R-M180
Session Organizer: ,
Session Chair: Haixi Li, Freddie Mac
Vulnerable Growth
By Tobias Adrian; International Monetary Fund Nina Boyarchenko; Federal Reserve Bank of New York Domenico Giannone; Federal Reserve Bank of New York
presented by: Domenico Giannone, Federal Reserve Bank of New York
Predicting Ordinary and Severe Recessions with a Three-state Markov-Switching Dynamic Factor Model
By Kai Carstensen; University of Kiel Markus Heinrich; University of Kiel Magnus Reif; ifo Institute Maik Wolters; University of Jena
presented by: Magnus Reif, ifo Institute
Dating Regime Switching in real time: A Bayesian decision theoretic approach
[slides]
By Haixi Li; Freddie Mac
presented by: Haixi Li, Freddie Mac
Session 87: News and Sentiments II June 28, 2018 14:00 to 16:00 R-2155
Session Organizer: ,
Session Chair: Leonardo Melosi, Federal Reserve Bank of Chicago
Revisions in Utilization-Adjusted TFP and Robust Identification of News Shocks
By Andre Kurmann; Drexel University Eric Sims; University of Notre Dame
presented by: Eric Sims, University of Notre Dame
Time Varying Sentiments and the Business Cycle
By Matteo Barigozzi; LSE Fabrizio Venditti; Banca d'Italia
presented by: Fabrizio Venditti, Banca d'Italia
Amplification effects of news shocks through uncertainty
By Danilo Cascaldi-Garcia; University of Warwick
presented by: Danilo Cascaldi-Garcia, University of Warwick
News and Noise in the Post-Great Recession Recovery
By Renato Faccini; Queen Mary University Leonardo Melosi; Federal Reserve Bank of Chicago
presented by: Leonardo Melosi, Federal Reserve Bank of Chicago
Session 88: Uncertainty in Macroeconomics II June 28, 2018 14:00 to 16:00 R-2120
Session Organizer: ,
Session Chair: Francesco Bianchi, Duke University
Non-linear Effects of Uncertainty
By Andreas Dibiasi; ETH Zurich
presented by: Andreas Dibiasi, ETH Zurich
A New Way to Quantify the Effect of Uncertainty
By Alexander Richter; Federal Reserve Bank of Dallas Nathaniel Throckmorton; College of William & Mary
presented by: Alexander Richter, Federal Reserve Bank of Dallas
Pricing Macroeconomic Uncertainty
By Francesco Bianchi; Duke University Howard Kung; London Business School Mikhail Tirskikh; London Business School
presented by: Francesco Bianchi, Duke University
Session 89: Monetary Policy II June 28, 2018 14:00 to 16:00 R-3870
Session Organizer: ,
Session Chair: Erwan Gautier, Banque de France
Monetary policy surprises and exchange rate predictability
[slides]
By Johannes Graeb; European Central Bank Thomas Kostka; European Central Bank
presented by: Johannes Graeb, European Central Bank
Who listens when the ECB talks? Spillovers from ECB's monetary policy and communication
By Saskia ter Ellen; Norges Bank Edvard Jansen; Formuesforvaltning Nina Midthjell
presented by: Saskia ter Ellen, Norges Bank
Shocks vs Menu Costs: Patterns of Price Rigidity in an Estimated Multi-Sector Menu-Cost Model
By Erwan Gautier; Banque de France
presented by: Erwan Gautier, Banque de France
Session 90: The effect of fiscal shocks June 28, 2018 14:00 to 16:00 R-3840
Session Organizer: ,
Session Chair: Joan Paredes, European Central Bank
Adaptive Learning and the Transmission of Government Spending Shocks in the Euro Area
By Ewoud Quaghebeur; Ghent University
presented by: Ewoud Quaghebeur, Ghent University
The Network Effects of Fiscal Adjustments
By Edoardo Briganti; Bocconi University Carlo Ambrogio Favero; Bocconi University Madina Karamysheva; National Research University Higher School of Economics
presented by: Madina Karamysheva, National Research University Higher School of Economics
Subsidising car purchases in the euro area: Any spill-over on production?
By Joan Paredes; European Central Bank
presented by: Joan Paredes, European Central Bank
Session 91: Time Series Models III June 28, 2018 14:00 to 16:00 R-2895
Session Organizer: ,
Session Chair: Arnaud Dufays, Universite Laval
New robust inference for predictive regressions
[slides]
By Rustam Ibragimov; Imperial College London and Innopolis University Anton Skrobotov; Russian Presidential Academy of National Economy and Public Administration and Innopolis University
presented by: Anton Skrobotov, Russian Presidential Academy of National Economy and Public Administration and Innopolis University
Testing for Parameter Instability in Predictive Regression Models
[slides]
By Iliyan Georgiev; University of Bologna David Harvey; University of Nottingham Steve Leybourne; Nottingham University Robert Taylor; University of Essex
presented by: Robert Taylor, University of Essex
Bootstrapping Structural Change Tests
By Otilia Boldea; Tilburg University Adriana Cornea; York University Alastair Hall; University of Manchester
presented by: Otilia Boldea, Tilburg University
Relevant parameter change in structural break models
By Arnaud Dufays; Universite Laval Jeroen Rombouts; ESSEC Business School
presented by: Arnaud Dufays, Universite Laval
Session 92: Empirical Finance IV June 28, 2018 14:00 to 16:00 R-M510
Session Organizer: ,
Session Chair: christian Gourieroux, University of Toronto and CREST
Aggregate and Firm level volatility: the role of acquisitions and disposals.
By Sean Holly; Cambridge University
presented by: Sean Holly, Cambridge University
Net trade credit and firm performance
By Stylianos Asimakopoulos; University of Bath Filipa Da Silva Fernandes; Coventry University Yiannis Karavias; University of Birmingham
presented by: Yiannis Karavias, University of Birmingham
Inefficiency and Bank Failures: A Joint Bayesian Estimation of a Stochastic Frontier Model and a Hazards Model
By Jim Sanchez; Universidad EAFIT
presented by: Jim Sanchez, Universidad EAFIT
Disastrous Defaults
By christian Gourieroux; University of Toronto and CREST Alain Monfort; CREST and Banque de France Sarah Mouabbi; Banque de France Jean-Paul RENNE; University of Lausanne
presented by: christian Gourieroux, University of Toronto and CREST
Session 93: Spatial Econometrics II June 28, 2018 14:00 to 16:00 R-2630
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
By Yiguo Sun; UNIVERSITY OF GUELPH
presented by: Yiguo Sun, UNIVERSITY OF GUELPH
Fast and Scalable Variational Bayes Estimation of Spatial Econometric Models for Gaussian Data
By Guohui Wu; SAS Institute Inc.
presented by: Guohui Wu, SAS Institute Inc.
Spatial Econometrics for Misaligned Data
By Guillaume Pouliot; University of Chicago
presented by: Guillaume Pouliot, University of Chicago
Session 94: Weak Identification June 28, 2018 14:00 to 16:00 R-R120
Session Organizer: ,
Session Chair: Gregory Cox, Columbia University
A more powerful subvector Anderson Rubin test in linear instrumental variable regression
By Frank Kleibergen; University of Amsterdam
presented by: Frank Kleibergen, University of Amsterdam
Inference in Second-Order Identified Models
By Prosper Dovonon; Concordia University Alastair Hall; University of Manchester Frank Kleibergen; University of Amsterdam
presented by: Prosper Dovonon, Concordia University
Identification-Robust Nonparametric Inference in a Linear IV Model
By Bertille Antoine; Simon Fraser University Pascal Lavergne; Toulouse School of Economics
presented by: Bertille Antoine, Simon Fraser University
Weak Identification in a Class of Generically Identified Models with an Application to Factor Models
By Gregory Cox; Columbia University
presented by: Gregory Cox, Columbia University
Session 95: Panel Data June 28, 2018 14:00 to 16:00 R-M140
Session Organizer: ,
Session Chair: Takahide Yanagi, Hitotsubashi University
Second-order corrected likelihood for nonlinear panel models with fixed effects
[slides]
By Geert Dhaene; KU Leuven Yutao Sun; Erasmus University Rotterdam
presented by: Geert Dhaene, KU Leuven
A regularization approach to the dynamic panel data model estimation
By Marine Carrasco; University of Montreal Ada Nayihouba; University of Montreal
presented by: Marine Carrasco, University of Montreal
Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective
By Laura Liu; Federal Reserve Board
presented by: Laura Liu, Federal Reserve Board
Kernel Estimation for Panel Data with Heterogeneous Dynamics
By Ryo Okui; NYU Shanghai Takahide Yanagi; Hitotsubashi University
presented by: Takahide Yanagi, Hitotsubashi University
Session 96: Applications of Machine Learning June 28, 2018 14:00 to 16:00 R-M160
Session Organizer: ,
Session Chair: Matthew Harding, University of California, Irvine
Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach
By Michael Knaus; University of St. Gallen Michael Lechner; University of St. Gallen Anthony Strittmatter; University of St. Gallen
presented by: Anthony Strittmatter, University of St. Gallen
Instrument Validity Tests with Causal Trees: With an Application to the Same-sex Instrument
By Raphael Guber; Munich Center for the Economics of Aging
presented by: Raphael Guber, Munich Center for the Economics of Aging
Informative Dimensionality Reduction Using a Deep Autoencoder
By Matthew Harding; University of California, Irvine
presented by: Matthew Harding, University of California, Irvine
Session 97: Education III June 28, 2018 14:00 to 16:00 R-M150
Session Organizer: ,
Session Chair: Julie Pernaudet, University of Chicago
Part-time Vocational Education and Training and Labour Market Outcomes; a Dynamic Approach
By Brecht Neyt; Ghent University Dieter Verhaest; KU Leuven Stijn Baert; Ghent University; Research Foundation -- Flanders; University of Antwerp
presented by: Brecht Neyt, Ghent University
The Puzzle of Educated Unemployment in West Africa
By Esther Mirjam Girsberger; University of Lausanne Meango Romuald; Max Planck Institute for Social Law and Social Policy
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
By Julie Pernaudet; University of Chicago
presented by: Julie Pernaudet, University of Chicago
Vocational high school graduates wage gap: the role of cognitive skills and firms
By Hugo Reis; Banco de Portugal
presented by: Hugo Reis, Banco de Portugal
Session 98: Labor Markets II June 28, 2018 14:00 to 16:00 R-R150
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
By Hanna Wang; University of Pennsylvania
presented by: Hanna Wang, University of Pennsylvania
What are the main obstacles to hiring after recessions in Europe?
By Simon Savsek; European Investment Bank
presented by: Simon Savsek, European Investment Bank
Informing employees about training subsidies: Results from a randomized field experiment
By Gerard van den Berg; University of Bristol Christine Dauth; IAB Pia Homrighausen; Institute for Employment Research (IAB) Gesine Stephan; Institute for Employment Research
presented by: Pia Homrighausen, Institute for Employment Research (IAB)
Progressive tax-like effects of inflation: fact or myth? The U.S. post-war experience
By Matthias Wieschemeyer; Halle Institute for Economic Research (IWH)
presented by: Matthias Wieschemeyer, Halle Institute for Economic Research (IWH)
Session 99: Inequality June 28, 2018 14:00 to 16:00 R-R160
Session Organizer: ,
Session Chair: Mustapha Douch, Aston University
Trends in the distribution of household income and changes in the interdependence between income sources
By Iryna Kyzyma; LISER Alessio Fusco; LISER Philippe Van Kerm; LISER and University of Luxembourg
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
By Tymon Słoczyński; Brandeis University
presented by: Tymon Słoczyński, Brandeis University
The Convergence of the Gender Pay Gap - An Alternative Estimation Approach -
By Carolina Castagnetti; University of Pavia Marina Topfer; University of Erlangen-Nuremberg
presented by: Marina Topfer, University of Erlangen-Nuremberg
Aid Effectiveness: Human Rights as a Conditionality Measure?
By Mustapha Douch; Loughborough University
presented by: Mustapha Douch, Aston University
Session 100: Plenary lecture by Alan Timmermann: Pockets of Predictability June 28, 2018 16:30 to 17:30 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session 101: Plenary Lecture: Tim Conley June 29, 2018 9:00 to 10:00
Session Organizer: ,
Session 102: Macro-Finance IV June 29, 2018 10:30 to 12:30 R-2895
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
By Andre Lucas; Vrije Universiteit Amsterdam Bernd Schwaab; European Central Bank Xin Zhang; Sveriges Riksbank
presented by: Bernd Schwaab, European Central Bank
The (un)demand for cash in Canada
By Geoffrey Dunbar; Bank of Canada Casey Jones; Government of Canada
presented by: Geoffrey Dunbar, Bank of Canada
The Macroeconomic Effects of Bank Capital Requirement Tightenings: Evidence from a Narrative Approach
By Sandra Eickmeier; Deutsche Bundesbank Benedikt Kolb; European University Institute Esteban Prieto; Deutsche Bundesbank
presented by: Esteban Prieto, Deutsche Bundesbank
Consumption and wealth in the long run: an integrated unobserved component approach
By Lorenzo Pozzi; Erasmus University Rotterdam
presented by: Lorenzo Pozzi, Erasmus University Rotterdam
Session 103: Exchange rates June 29, 2018 10:30 to 12:30 R-2120
Session Organizer: ,
Session Chair: David Papell, University of Houston
The Macroeconomic Effects of Exchange Rate Movements in Emerging Market Economies
By Pablo Anaya; Freie Universität Berlin, DIW Berlin Michael Hachula; DIW Berlin
presented by: Pablo Anaya, Freie Universität Berlin, DIW Berlin
Exchange Rate Determination under Inflation Targeting: A Microstructural Approach for Emerging Economies
By Fredy Gamboa-Estrada; Banco de la Republica
presented by: Fredy Gamboa-Estrada, Banco de la Republica
Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates
By Luca Dedola; European Central Bank Georgios Georgiadis; European Central Bank Johannes Graeb; European Central Bank Arnaud Mehl; European Central Bank
presented by: Georgios Georgiadis, European Central Bank
Long-Run Purchasing Parity Redux
By David Papell; University of Houston Ruxandra Prodan; University of Houston
presented by: David Papell, University of Houston
Session 104: Factor Models II June 29, 2018 10:30 to 12:30 R-R160
Session Organizer: ,
Session Chair: L. Vanessa Smith, University of York
Sieve estimation of time-varying factor loadings
By Ying Lun Cheung; Goethe University Frankfurt
presented by: Ying Lun Cheung, Goethe University Frankfurt
Quantile Factor Models
By JUAN J. DOLADO; European University Institute
presented by: JUAN J. DOLADO, European University Institute
Short T Dynamic Panel Data Models with Individual and Interactive Time Effects
[slides]
By Kazuhiko Hayakawa; Hiroshima University M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge L. Vanessa Smith; University of York
presented by: L. Vanessa Smith, University of York
Session 105: Inflation dynamics II June 29, 2018 10:30 to 12:30 R-2155
Session Organizer: ,
Session Chair: Viacheslav Sheremirov, Federal Reserve Bank of Boston
Global Factors and Trend Inflation
By Gunes Kamber; Bank for International Settlements Benjamin Wong; Reserve Bank of New Zealand
presented by: Benjamin Wong, Monash University
Estimating unobservable inflation expectations in the New Keynesian Phillips Curve
By Francesca Rondina; University of Ottawa
presented by: Francesca Rondina, University of Ottawa
Inflation targeting under inflation uncertainty - Multi-economy evidence from a stochastic volatility model
By Matthias Hartmann; Deutsche Bundesbank Helmut Herwartz; University Göttingen Maren Ulm; University of Goettingen
presented by: Maren Ulm, University of Goettingen
Session 106: Uncertainty in Macroeconomics III June 29, 2018 10:30 to 12:30 R-2205
Session Organizer: ,
Session Chair: Norbert Metiu, Deutsche Bundesbank
MACROECONOMIC UNCERTAINTY, PERCEPTION AND INTERNET
By Maria Elena Bontempi; University of Bologna Roberto Golinelli; University of Bologna Matteo Squadrani; University of Bologna
presented by: Maria Elena Bontempi, University of Bologna
The impact of macroeconomic uncertainty on inequality: An empirical study for the UK.
By Angeliki Theophilopoulou; University of Westminister
presented by: Angeliki Theophilopoulou, University of Westminister
Optimal Monetary Policy in a Regime-Switching DSGE Model with Time-Varying Concern for Model Uncertainty
By Gulserim Ozcan; Bilkent University
presented by: Gulserim Ozcan, Bilkent University
The impact of correlation shocks
By Norbert Metiu; Deutsche Bundesbank Esteban Prieto; Deutsche Bundesbank
presented by: Norbert Metiu, Deutsche Bundesbank
Session 107: Survey Forecasts and Expectation Formation II June 29, 2018 10:30 to 12:30 R-2240
Session Organizer: ,
Session Chair: Sarantis Tsiaplias, The University of Melbourne
Business Cycle Asymmetry and Unemployment Rate Forecasts
By John Galbraith; McGill University Simon van Norden; HEC Montréal
presented by: Simon van Norden, HEC Montréal
Conformism and Inflation Expectations Surveys
By Rolande KPEKOU TOSSOU; Université Laval
presented by: Rolande KPEKOU TOSSOU, Université Laval
From fixed-event to fixed-horizon density forecasts: professional forecasters' view on multi-horizon uncertainty
By Gergely Ganics; Bank of Spain Barbara Rossi; ICREA-Univ. Pompeu Fabra, Barcelona GSE Tatevik Sekhposyan; Texas A&M University
presented by: Gergely Ganics, Bank of Spain
What do consumers know about aggregate prices?
By Sarantis Tsiaplias; The University of Melbourne
presented by: Sarantis Tsiaplias, The University of Melbourne
Session 108: Volatility modeling IV June 29, 2018 10:30 to 12:30 R-2630
Session Organizer: ,
Session Chair: Ulrich Hounyo, University at Albany, SUNY
Forecasting the Implied Volatility Surface using Put-Call parity Deviations
By Xun Gong; Erasmus University Rotterdam
presented by: Xun Gong, Erasmus University Rotterdam
On the robustness of the principal volatility components
By Carlos Trucíos; São Paulo School of Economics - FGV. Brazil Luiz K. Hotta; University of Campinas Pedro Valls Pereira; Sao Paulo School of Economics - FGV
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
By Kim Christensen; Aarhus University Ulrich Hounyo; University at Albany, SUNY Mark Podolskij; Aarhus University
presented by: Ulrich Hounyo, University at Albany, SUNY
Session 109: Time Series Models IV June 29, 2018 10:30 to 12:30 R-2670
Session Organizer: ,
Session Chair: Alexander Mayer, WHU -- Otto von Beisheim School of Management
Regime Switching Models with Multiple Dynamic Factors
By Yoosoon Chang; Indiana University Joon Park; Indiana University Shi Qiu; Indiana University Bloomington
presented by: Shi Qiu, Indiana University Bloomington
Confidence Sets for the Date of a Structural Change at the End of a Sample
By Eiji Kurozumi; Hitotsubashi University
presented by: Eiji Kurozumi, Hitotsubashi University
Conditional Inference in Nearly Cointegrated Vector Error-Correction Models with Small Signal-To-Noise Ratio
By Nikolay Gospodinov; Federal Reserve Bank of Atlanta Alex Maynard; University of Guelph Elena Pesavento; Emory University
presented by: Alex Maynard, University of Guelph
A Three-Step Estimator for Macroeconomic Learning Models
By Alexander Mayer; WHU -- Otto von Beisheim School of Management
presented by: Alexander Mayer, WHU -- Otto von Beisheim School of Management
Session 110: Business Cycle Fluctuations II June 29, 2018 10:30 to 12:30 R-R150
Session Organizer: ,
Session Chair: Pål Boug, Statistics Norway
Business cycle narratives
By Vegard Larsen; Norges Bank Leif Anders Thorsrud; Norges Bank
presented by: Vegard Larsen, Norges Bank
Noise-Ridden Lending Cycles
[slides]
By Elena Afanasyeva; Federal Reserve Board Jochen Guentner; Johannes Kepler University Linz
presented by: Elena Afanasyeva, Federal Reserve Board
Global Macro-Financial Cycles and Spillovers
By Jongrim Ha; World Bank M. Ayhan Kose; World Bank Christopher Otrok; University of Missouri Eswar Prasad; Cornell University
presented by: Jongrim Ha, World Bank
The consumption Euler equation or the Keynesian consumption function?
By Pål Boug; Statistics Norway Aadne Cappelen; Statistics Norway Eilev Jansen; Statistics Norway Anders Rygh Swensen; University of Oslo
presented by: Pål Boug, Statistics Norway
Session 111: Prediction with high dimensional data June 29, 2018 10:30 to 12:30 R-R120
Session Organizer: ,
Session Chair: Sullivan Hué, Laboratoire d'Economie d'Orléans
Lasso variable selection in predictive mixed-frequency model
By Clément Marsilli; Banque de France
presented by: Clément Marsilli, Banque de France
Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables
By alessandro barbarino; Federal Reserve Board
presented by: alessandro barbarino, Federal Reserve Board
Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects
By Sullivan Hué; Laboratoire d'Economie d'Orléans Elena Dumitrescu; Université Paris Ouest Nanterre La Défense Christophe Hurlin; Université d’Orléans Sessi Tokpavi; LEO, Laboratory of Economics, University of Orléans
presented by: Sullivan Hué, Laboratoire d'Economie d'Orléans
Session 112: Return predictability June 29, 2018 10:30 to 12:30 R-M140
Session Organizer: ,
Session Chair: Stefano Soccorsi, Lancaster University Management School
Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections
By Chaoyi Chen; University of Guelph Nikolay Gospodinov; Federal Reserve Bank of Atlanta Alex Maynard; University of Guelph Elena Pesavento; Emory University
presented by: Chaoyi Chen, University of Guelph
Uncovered Return Parity: Equity Returns and Currency Returns
By Edouard Djeutem; Bank of Canada Geoffrey Dunbar; Bank of Canada
presented by: Edouard Djeutem, Bank of Canada
Cyclical Earnings as a Predictor of Stock Index Crash Risk
By Tom Roberts; Bank of Canada
presented by: Tom Roberts, Bank of Canada
Forecasting Stock Returns with Large Dimensional Factor Models
By Alessandro Giovannelli; Università di Roma Tor Vergata Daniele Massacci; Bank of England Stefano Soccorsi; Lancaster University Management School
presented by: Stefano Soccorsi, Lancaster University Management School
Session 113: Treatment Effects III June 29, 2018 10:30 to 12:30 Salle Marie-Gérin Lajoie, J-M400
Session Organizer: ,
Session Chair: Jasmin Fliegner, Toulouse School of Economics and TU Berlin
Identification with Additively Separable Heterogeneity
By Roy Allen; University of Western Ontario
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
By CHEN WANG; ANU
presented by: CHEN WANG, ANU
How Bad is Unconfoundedness in Practice? Evidence from Randomised Controlled Trials with Imperfect Compliance
By Sylvain Chabe-Ferret; Toulouse School of Economics Jasmin Fliegner; TSE Roland Rathelot; University of Warwick
presented by: Jasmin Fliegner, Toulouse School of Economics and TU Berlin
Session 114: Health Economics III June 29, 2018 10:30 to 12:30 R-M150
Session Organizer: ,
Session Chair: Siddhartha Sanghi, Washington University in St. Louis
Health effects of extending State Pension Age for UK women
By Ludovico Carrino; King's College London
presented by: Ludovico Carrino, King's College London
Measuring Physicians’ Response to Incentives: Evidence on Hours Worked and Multitasking
By Bernard Fortin; Laval University
presented by: Bernard Fortin, Laval University
Session 115: Dynamics of Prices and Returns June 29, 2018 10:30 to 12:30 R-M180
Session Organizer: ,
Session Chair: Veronika Selezneva, CERGE-EI
Oil Prices in the Determination of Sovereign CDS Spreads: The Case of Russia
By Sanvi Avouyi-Dovi; Banque de France
presented by: Sanvi Avouyi-Dovi, Banque de France
Formation of Market Beliefs in the Oil Market
By Stanislav Anatolyev; CERGE-EI and New Economic School Sergei Seleznev; - Veronika Selezneva; CERGE-EI
presented by: Veronika Selezneva, CERGE-EI
Session 116: Economic and Financial Networks June 29, 2018 10:30 to 12:30 R-M510
Session Organizer: ,
Session Chair: Elfried Faton, Laval University
The Double-Edged Sword of Global Integration: Robustness, Fragility & Contagion in the International Firm Network
[slides]
By Everett Grant; Federal Reserve Bank of Dallas Julieta Yung; Bates College
presented by: Julieta Yung, Bates College
Search Frictions in International Good Markets
By Julien Martin; Université du Québec à Montréal
presented by: Julien Martin, Université du Québec à Montréal
Strategic Substitutability in the Workplace: An Empirical Evidence
By Elfried Faton; Laval University
presented by: Elfried Faton, Laval University