2021 IAAE Annual Conference - International Association for Applied Econometrics

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

#	Date/Time	Type	Title/Location	Papers
1	June 22, 2021 13:00-14:00	invited	Gibbs Lecture, Jaap Abbring: Identifying time preferences in dynamic discrete choice models     Location: Plenary room	0
2	June 22, 2021 14:05-15:50	contributed	Dynamic Factors I     Location: Parallel room 1	4
3	June 22, 2021 14:05-15:50	contributed	Empirical Finance I     Location: Parallel room 2	3
4	June 22, 2021 14:05-15:50	contributed	Estimation of macro models     Location: Parallel room 3	4
5	June 22, 2021 14:05-15:50	contributed	Financial Econometrics: Risk     Location: Parallel room 4	4
6	June 22, 2021 14:05-15:50	contributed	Household Consumption and Saving I     Location: Parallel room 5	4
7	June 22, 2021 14:05-15:50	contributed	Income and Wealth Inequality     Location: Parallel room 6	4
8	June 22, 2021 14:05-15:50	contributed	Labor Economics I     Location: Parallel room 7	4
9	June 22, 2021 14:05-15:50	contributed	Macro Risk and Uncertainty I     Location: Parallel room 8	4
10	June 22, 2021 14:05-15:50	contributed	Panel Data I: Unknown Groups and Clusters     Location: Parallel room 9	4
11	June 22, 2021 14:05-15:50	contributed	Production Functions and Productivity     Location: Parallel room 10	3
12	June 22, 2021 14:05-15:50	contributed	Regression Discontinuity     Location: Parallel room 11	4
13	June 22, 2021 14:05-15:50	contributed	Spatial Econometrics     Location: Parallel room 12	4
14	June 22, 2021 14:05-15:50	contributed	Time series: Theory I     Location: Parallel room 13	4
15	June 22, 2021 16:00-17:45	contributed	Demand Estimation I     Location: Parallel room 1	4
16	June 22, 2021 16:00-17:45	contributed	Empirical Finance II     Location: Parallel room 2	4
17	June 22, 2021 16:00-17:45	contributed	Financial Econometrics: Robust Inference     Location: Parallel room 3	4
18	June 22, 2021 16:00-17:45	contributed	Fiscal policy I     Location: Parallel room 4	4
19	June 22, 2021 16:00-17:45	contributed	Household Consumption and Saving II     Location: Parallel room 5	4
20	June 22, 2021 16:00-17:45	contributed	Labor Economics II     Location: Parallel room 6	4
21	June 22, 2021 16:00-17:45	contributed	Macro shocks     Location: Parallel room 7	4
22	June 22, 2021 16:00-17:45	contributed	Network Econometrics: Methodology I     Location: Parallel room 8	4
23	June 22, 2021 16:00-17:45	contributed	Panel Data II: Unobserved Factor Structure     Location: Parallel room 9	4
24	June 22, 2021 16:00-17:45	contributed	Spatial and High-Dimensional Data     Location: Parallel room 10	3
25	June 22, 2021 16:00-17:45	contributed	Testing/Inference of Distributions, Ranks, and Menus     Location: Parallel room 11	4
26	June 22, 2021 16:00-17:45	contributed	Time series methods II     Location: Parallel room 12	4
27	June 22, 2021 16:00-17:45	contributed	Treatment Effects I     Location: Parallel room 13	4
28	June 22, 2021 16:00-17:45	contributed	VAR models I     Location: Parallel room 14	4
29	June 22, 2021 18:00-19:00	invited	Plenary 1, Yuichi Kitamura: Group membership in flexible choice models     Location: Plenary room	0
30	June 23, 2021 13:00-14:00	invited	Plenary 2, Enrique Sentana: Discrete mixtures of normal pseudo maximum likelihood estimators of structural vector autoregressions.     Location: Plenary room	0
31	June 23, 2021 14:05-15:50	contributed	Aggregate Fluctuations I     Location: Parallel room 1	4
32	June 23, 2021 14:05-15:50	contributed	Covid-19 I     Location: Parallel room 2	4
33	June 23, 2021 14:05-15:50	contributed	Economics of Education I     Location: Parallel room 3	4
34	June 23, 2021 14:05-15:50	contributed	Empirical Finance III     Location: Parallel room 4	3
35	June 23, 2021 14:05-15:50	contributed	Financial Econometrics: Asset Pricing and Factor Modeling     Location: Parallel room 5	4
36	June 23, 2021 14:05-15:50	contributed	Financial Frictions     Location: Parallel room 6	4
37	June 23, 2021 14:05-15:50	contributed	Forecast combination     Location: Parallel room 7	4
38	June 23, 2021 14:05-15:50	contributed	Health Economics I     Location: Parallel room 8	4
39	June 23, 2021 14:05-15:50	contributed	Macro finance I     Location: Parallel room 9	4
40	June 23, 2021 14:05-15:50	contributed	Marriage and Divorce     Location: Parallel room 10	4
41	June 23, 2021 14:05-15:50	contributed	Monetary Policy III     Location: Parallel room 11	3
42	June 23, 2021 14:05-15:50	contributed	Network Econometrics: Methodology II     Location: Parallel room 12	3
43	June 23, 2021 14:05-15:50	contributed	Nonparametric Estimation and Identification     Location: Parallel room 13	4
44	June 23, 2021 14:05-15:50	contributed	Panel Data III: Nonlinear Models     Location: Parallel room 14	4
45	June 23, 2021 16:00-17:45	contributed	Banks and Lending Markets     Location: Parallel room 1	4
46	June 23, 2021 16:00-17:45	contributed	Covid-19 II     Location: Parallel room 2	4
47	June 23, 2021 16:00-17:45	contributed	Demand Estimation II     Location: Parallel room 3	4
48	June 23, 2021 16:00-17:45	contributed	Empirical Finance IV     Location: Parallel room 4	4
49	June 23, 2021 16:00-17:45	contributed	Estimation of Microeconometric Models I     Location: Parallel room 5	4
50	June 23, 2021 16:00-17:45	contributed	Financial Econometrics: Jumps and Drifts in Asset Prices     Location: Parallel room 6	4
51	June 23, 2021 16:00-17:45	contributed	Forecasting I     Location: Parallel room 7	4
52	June 23, 2021 16:00-17:45	contributed	Health Economics II     Location: Parallel room 8	4
53	June 23, 2021 16:00-17:45	contributed	Household Consumption and Finance     Location: Parallel room 9	3
54	June 23, 2021 16:00-17:45	contributed	Macro theory     Location: Parallel room 10	4
55	June 23, 2021 16:00-17:45	contributed	Methods for impulse response function estimation     Location: Parallel room 11	4
56	June 23, 2021 16:00-17:45	contributed	Micro data for macro questions     Location: Parallel room 12	4
57	June 23, 2021 16:00-17:45	contributed	Monetary Policy II     Location: Parallel room 13	4
58	June 23, 2021 16:00-17:45	contributed	Panel Data IV: Treatment Effects     Location: Parallel room 14	4
59	June 23, 2021 17:55-19:40	contributed	Bond Markets and Yields I     Location: Parallel room 1	4
60	June 23, 2021 17:55-19:40	contributed	Financial Econometrics: Topics II     Location: Parallel room 2	4
61	June 23, 2021 17:55-19:40	contributed	Labor Economics III     Location: Parallel room 3	4
62	June 23, 2021 17:55-19:40	contributed	Macro finance II     Location: Parallel room 4	4
63	June 23, 2021 17:55-19:40	contributed	Macro II     Location: Parallel room 5	4
64	June 23, 2021 17:55-19:40	contributed	Network Econometrics: Applications I     Location: Parallel room 6	4
65	June 23, 2021 17:55-19:40	contributed	Nowcasting     Location: Parallel room 7	4
66	June 23, 2021 17:55-19:40	contributed	Oil and commodity markets I     Location: Parallel room 8	4
67	June 23, 2021 17:55-19:40	contributed	Panel Data V: Heterogeneity     Location: Parallel room 9	4
68	June 23, 2021 17:55-19:40	contributed	Phillips curve     Location: Parallel room 10	4
69	June 23, 2021 17:55-19:40	contributed	Public Finance     Location: Parallel room 11	4
70	June 23, 2021 17:55-19:40	contributed	Time Series Theory II     Location: Parallel room 12	4
71	June 23, 2021 17:55-19:40	contributed	Treatment Effects II     Location: Parallel room 13	4
72	June 23, 2021 19:45-20:45	invited	IAAE Lecture, Frank Diebold: Reduced-Form vs. Structural Perspectives on Melting Arctic Sea Ice.     Location: Plenary room	0
73	June 24, 2021 12:10-12:55	contributed	Communications: Applied Micro I     Location: Parallel room 1	3
74	June 24, 2021 12:10-12:55	contributed	Communications: Applied Micro III     Location: Parallel room 2	3
75	June 24, 2021 12:10-12:55	contributed	Communications: Econometric Methodology I     Location: Parallel room 3	4
76	June 24, 2021 12:10-12:55	contributed	Communications: Empirical Finance     Location: Parallel room 4	4
77	June 24, 2021 12:10-12:55	contributed	Communications: Exchange rates     Location: Parallel room 5	3
78	June 24, 2021 12:10-12:55	contributed	Communications: Forecasting     Location: Parallel room 6	3
79	June 24, 2021 12:10-12:55	contributed	Communications: Shocks, news and uncertainty     Location: Parallel room 7	4
80	June 24, 2021 12:10-12:55	contributed	Communications:VAR models     Location: Parallel room 8	4
81	June 24, 2021 13:00-14:00	invited	Robeco Lecture, Wouter den Haan: Problems in Applied Macroeconomics     Location: Plenary room	0
82	June 24, 2021 14:05-15:50	contributed	Bond Markets and Yields II     Location: Parallel room 1	4
83	June 24, 2021 14:05-15:50	contributed	Child Health and Development I     Location: Parallel room 2	4
84	June 24, 2021 14:05-15:50	contributed	DSGE Models II     Location: Parallel room 3	4
85	June 24, 2021 14:05-15:50	contributed	Economics of Education II     Location: Parallel room 4	4
86	June 24, 2021 14:05-15:50	contributed	Estimation of Microeconometric Models II     Location: Parallel room 5	4
87	June 24, 2021 14:05-15:50	contributed	Forecasting II     Location: Parallel room 6	4
88	June 24, 2021 14:05-15:50	contributed	Human Capital and Skills     Location: Parallel room 7	4
89	June 24, 2021 14:05-15:50	contributed	Macro I     Location: Parallel room 8	4
90	June 24, 2021 14:05-15:50	contributed	Monetary Policy I     Location: Parallel room 9	4
91	June 24, 2021 14:05-15:50	contributed	Prices,inflation, and expectations I     Location: Parallel room 10	4
92	June 24, 2021 14:05-15:50	contributed	Testing and Partial Identification     Location: Parallel room 11	4
93	June 24, 2021 14:05-15:50	contributed	Time Series Theory III     Location: Parallel room 12	4
94	June 24, 2021 14:05-15:50	contributed	Urban Economics and Housing     Location: Parallel room 13	4
95	June 24, 2021 14:05-15:50	contributed	VAR models II     Location: Parallel room 14	4
96	June 24, 2021 16:00-17:45	contributed	Child Health and Development II     Location: Parallel room 1	4
97	June 24, 2021 16:00-17:45	contributed	Decisionmaking and Stategic Agents     Location: Parallel room 2	3
98	June 24, 2021 16:00-17:45	contributed	Dynamic Factors II     Location: Parallel room 3	4
99	June 24, 2021 16:00-17:45	contributed	Estimation of Microeconometric Models III     Location: Parallel room 4	4
100	June 24, 2021 16:00-17:45	contributed	Financial Econometrics: Predicting Features of Asset Prices     Location: Parallel room 5	4
101	June 24, 2021 16:00-17:45	contributed	Financial Econometrics: Topics     Location: Parallel room 6	4
102	June 24, 2021 16:00-17:45	contributed	Forecasting III     Location: Parallel room 7	4
103	June 24, 2021 16:00-17:45	contributed	Gender Gap     Location: Parallel room 8	4
104	June 24, 2021 16:00-17:45	contributed	Instrumental Variables Estimation     Location: Parallel room 9	4
105	June 24, 2021 16:00-17:45	contributed	International Trade     Location: Parallel room 10	4
106	June 24, 2021 16:00-17:45	contributed	Labor Economics IV     Location: Parallel room 11	4
107	June 24, 2021 16:00-17:45	contributed	Macro III     Location: Parallel room 12	4
108	June 24, 2021 16:00-17:45	contributed	Oil and commodity markets II     Location: Parallel room 13	4
109	June 24, 2021 16:00-17:45	contributed	Time Series Theory IV     Location: Parallel room 14	4
110	June 24, 2021 18:00-19:00	invited	Plenary 3, Yanqin Fan: Vector copulas     Location: Plenary room	0
111	June 25, 2021 12:10-12:55	contributed	Communications: Applied Micro II     Location: Parallel room 1	3
112	June 25, 2021 12:10-12:55	contributed	Communications: Business Cycles     Location: Parallel room 2	3
113	June 25, 2021 12:10-12:55	contributed	Communications: Econometric Methodology II     Location: Parallel room 3	4
114	June 25, 2021 12:10-12:55	contributed	Communications: Empirical Macro     Location: Parallel room 4	4
115	June 25, 2021 12:10-12:55	contributed	Communications: Financial Econometrics     Location: Parallel room 5	3
116	June 25, 2021 12:10-12:55	contributed	Communications: Fiscal policy     Location: Parallel room 6	4
117	June 25, 2021 12:10-12:55	contributed	Communications: Monetary Policy     Location: Parallel room 7	4
118	June 25, 2021 12:10-12:55	contributed	Communications: Time series Methods     Location: Parallel room 8	3
119	June 25, 2021 13:00-14:00	invited	DNB Lecture, Herman van Dijk: Quantifying time-varying forecasting uncertainty and risk for the real price of oil in regular and crisis periods.     Location: Plenary room	0
120	June 25, 2021 14:05-15:50	contributed	Business cycle heterogeneity     Location: Parallel room 1	4
121	June 25, 2021 14:05-15:50	contributed	DSGE models I     Location: Parallel room 2	4
122	June 25, 2021 14:05-15:50	contributed	Environmental Economics     Location: Parallel room 3	4
123	June 25, 2021 14:05-15:50	contributed	High Frequency and Time Series     Location: Parallel room 4	4
124	June 25, 2021 14:05-15:50	contributed	Labor Economics V     Location: Parallel room 5	4
125	June 25, 2021 14:05-15:50	contributed	Machine learning     Location: Parallel room 6	4
126	June 25, 2021 14:05-15:50	contributed	Macro IV     Location: Parallel room 7	4
127	June 25, 2021 14:05-15:50	contributed	Macro Risk and Uncertainty II     Location: Parallel room 8	4
128	June 25, 2021 14:05-15:50	contributed	Monetary Policy V     Location: Parallel room 9	4
129	June 25, 2021 14:05-15:50	contributed	News and uncertainty     Location: Parallel room 10	4
130	June 25, 2021 14:05-15:50	contributed	Online Markets     Location: Parallel room 11	3
131	June 25, 2021 14:05-15:50	contributed	Time Series Methods I     Location: Parallel room 12	4
132	June 25, 2021 14:05-15:50	contributed	Treatment Effects III     Location: Parallel room 13	4
133	June 25, 2021 16:00-17:45	contributed	Auctions and Online Markets     Location: Parallel room 1	4
134	June 25, 2021 16:00-17:45	contributed	Covid-19 III     Location: Parallel room 2	4
135	June 25, 2021 16:00-17:45	contributed	Financial Econometrics: Financial Volatility and Systemic Risk     Location: Parallel room 3	4
136	June 25, 2021 16:00-17:45	contributed	Financial Stress and the Macroeconomy     Location: Parallel room 4	4
137	June 25, 2021 16:00-17:45	contributed	Forecasting IV     Location: Parallel room 5	4
138	June 25, 2021 16:00-17:45	contributed	Inference in Binary Choice Models     Location: Parallel room 6	4
139	June 25, 2021 16:00-17:45	contributed	Labor Economics VI     Location: Parallel room 7	4
140	June 25, 2021 16:00-17:45	contributed	Local projections I     Location: Parallel room 8	4
141	June 25, 2021 16:00-17:45	contributed	Macro V     Location: Parallel room 9	4
142	June 25, 2021 16:00-17:45	contributed	Monetary Policy VI     Location: Parallel room 10	4
143	June 25, 2021 16:00-17:45	contributed	Network Econometrics: Applications II     Location: Parallel room 11	4
144	June 25, 2021 16:00-17:45	contributed	Political Economy     Location: Parallel room 12	3
145	June 25, 2021 16:00-17:45	contributed	Prices,inflation, expectations II     Location: Parallel room 13	4
146	June 25, 2021 16:00-17:45	contributed	Treatment Effects IV     Location: Parallel room 14	4
147	June 25, 2021 18:00-19:00	invited	Plenary 4, Juan Rubio Ramirez: Dividend momentum and stock return predictability: a Bayesian approach     Location: Plenary room	0

 

147 sessions, 538 papers, and 0 presentations with no associated papers

2021 IAAE Annual Conference - International Association for Applied Econometrics
Detailed List of Sessions

Session 1: Gibbs Lecture, Jaap Abbring: Identifying time preferences in dynamic discrete choice models June 22, 2021 13:00 to 14:00 Location: Plenary room
Session type: invited
Session 2: Dynamic Factors I June 22, 2021 14:05 to 15:50 Location: Parallel room 1
Session Chair: Carlo Favero, Bocconi University
Session type: contributed
Dimension Reduction for High Dimensional Vector Autoregressive Models
presented by: Gianluca Cubadda, Università di Roma
A Multilevel Factor Model with Observation-Driven Dynamics
presented by: Mariia Artemova, Vrije Universiteit Amsterdam
Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility.
presented by: Angelo Cuzzola, Scuola Superiore Sant'Anna
Factor Models with Drifting Prices
presented by: Carlo Favero, Bocconi University
Session 3: Empirical Finance I June 22, 2021 14:05 to 15:50 Location: Parallel room 2
Session Chair: Anthony Garratt, University of Warwick
Session type: contributed
Commodity Pricing: Time-Varying Discount Rates vs. Investors' Heterogeneity
presented by: Valerio Potì, University College Dublin Ireland
Robust q Theory
presented by: Qian Qi, Peking University
Currency Anomalies
presented by: Anthony Garratt, University of Warwick
Session 4: Estimation of macro models June 22, 2021 14:05 to 15:50 Location: Parallel room 3
Session Chair: Alessandro Rebucci, The Johns Hopkins Carey Business School
Session type: contributed
Two-Step Identification and Estimation of Macro Models with an Application to Heterogeneous Earnings Risk
presented by: Eva Janssens, University of Amsterdam
Efficient and robust inference of models with occasionally binding constraints
presented by: Massimo Giovannini, European Commission
Financial Crises and Shadow Banks: A Quantitative Analysis
presented by: Matthias Rottner, Deutsche Bundesbank
Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
presented by: Alessandro Rebucci, The Johns Hopkins Carey Business School
Session 5: Financial Econometrics: Risk June 22, 2021 14:05 to 15:50 Location: Parallel room 4
Session Chair: Xin Huang, Federal Reserve Board
Session type: contributed
Conditional Quantile Coverage: an Application to Growth-at-Risk
presented by: Daniel Gutknecht, University of Frankfurt
Scaled Dynamic Equicorrelation Models
presented by: Bram van Os, Erasmus School of Economics, Erasmus University Rotterdam
COVID-19: Tail Risk and Predictive Regressions
presented by: Rustam Ibragimov, Imperial College London
A Tale of Two Tail Risks: Bank Credit Risk and Financial Market Jump Hazard
presented by: Xin Huang, Federal Reserve Board
Session 6: Household Consumption and Saving I June 22, 2021 14:05 to 15:50 Location: Parallel room 5
Session Chair: Jeanne Commault, Sciences Po
Session type: contributed
Flexibility vs. Commitment: The Effect of Home Equity Withdrawal on Consumption, Saving, and Welfare
presented by: Patrick Moran, University of Copenhagen & IFS
The Anatomy of the Consumption Response to a Household Foreign Currency Debt Crisis
presented by: Győző Gyöngyösi, Leibniz Institute for Financial Research SAFE e.V.
The Distribution of Households' Indebtedness and the Transmission of Monetary Policy
presented by: Paul Hubert, Banque de France & Sciences Po - OFCE
Why Does Consumption Fluctuate in Old Age and How Should the Government Insure It?
presented by: Jeanne Commault, Sciences Po
Session 7: Income and Wealth Inequality June 22, 2021 14:05 to 15:50 Location: Parallel room 6
Session Chair: Michael Haliassos, Goethe University Frankfurt
Session type: contributed
Do Parents Propagate Income Inequality among Children? Evidence from Chinese and Swedish Twins
presented by: Aiday Sikhova, NA
Intergenerational Income Mobility and Income Taxation
presented by: Mehmet Soytas, Ozyegin University
Impact of universities in a flat hierarchy: Do degrees from top universities lead to a higher wage?
presented by: Jakob Schwerter, TU Dortmund, IFS
Wealth Inequality: Opportunity or Unfairness?
presented by: Michael Haliassos, Goethe University Frankfurt
Session 8: Labor Economics I June 22, 2021 14:05 to 15:50 Location: Parallel room 7
Session Chair: Martin Biewen, University of Tübingen
Session type: contributed
Skilled and Unskilled Labor Are Less Substitutable than Commonly Thought
presented by: Olesia Zeynalova, Charles University
Can Recidivism Be Prevented From Behind Bars? Evidence From a Behavioral Program
presented by: William Arbour, University of Toronto
Love thy Neighbour? Brexit and Hate Crime
presented by: Joel Carr, University of Antwerp
The effects of the German minimum wage on the distribution of hourly wages and hours worked
presented by: Martin Biewen, University of Tübingen
Session 9: Macro Risk and Uncertainty I June 22, 2021 14:05 to 15:50 Location: Parallel room 8
Session Chair: Alessia Paccagnini, University College Dublin
Session type: contributed
Modeling and Forecasting Macroeconomic Downside Risk
presented by: Andrea De Polis, University of Warwick
Measuring Aggregate and Sectoral Uncertainty
presented by: Luis Uzeda, Bank of Canada
Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic
presented by: Cem Cakmakli, Koc University
Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs
presented by: Alessia Paccagnini, University College Dublin
Session 10: Panel Data I: Unknown Groups and Clusters June 22, 2021 14:05 to 15:50 Location: Parallel room 9
Session Chair: James MacKinnon, Queen's University
Session type: contributed
Forecasting with Bayesian Grouped Random Effects in Panel Data
presented by: Boyuan Zhang, University of Pennsylvania
Estimation and Identification of Latent Group Structures in Panel Data
presented by: Ali Mehrabani, University of California, Riverside
Hidden Group Time Profiles: Heterogeneous Drawdown Behaviours in Retirement
presented by: Igor Balnozan, University of New South Wales
Testing for the appropriate level of clustering in linear regression models
presented by: James MacKinnon, Queen's University
Session 11: Production Functions and Productivity June 22, 2021 14:05 to 15:50 Location: Parallel room 10
Session Chair: Tommaso Bighelli, Halle Institute for Economic Research
Session type: contributed
Estimating Productivity in the Presence of Spillovers: Firm-level Evidence from the US Production Network
presented by: Ebehi Iyoha, Vanderbilt University
Estimation of Production function with revenue data.
presented by: Susumu Imai, Hokkaido University
European Firm Concentration and Aggregate Productivity
presented by: Tommaso Bighelli, Halle Institute for Economic Research
Session 12: Regression Discontinuity June 22, 2021 14:05 to 15:50 Location: Parallel room 11
Session Chair: Shu Shen, UC Davis
Session type: contributed
Mode Treatment Effects in the Regression Discontinuity Designs
presented by: Tao Wang, University of California at Riverside
Heterogeneous Treatment Effects in Regression Discontinuity Design
presented by: Ágoston Reguly, Central European University
Visual Inference and Graphical Representation in Regression Discontinuity Designs
presented by: Zhuan Pei, Cornell University
Dynamic Regression Discontinuity Under Treatment Effect Heterogeneity
presented by: Shu Shen, UC Davis
Session 13: Spatial Econometrics June 22, 2021 14:05 to 15:50 Location: Parallel room 12
Session Chair: Mark Watson, Princeton University
Session type: contributed
Spatial dynamic differential game models: a leader and followers with multiple activities
presented by: Hanbat Jeong, The Ohio State University
Sparse Generalized Yule–Walker Estimation for Large Spatio-temporal Autoregressions with an Application to Satellite Data
presented by: Etienne Wijler, Maastricht University
A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices
presented by: Ilya Archakov, University of Vienna
Spatial Correlation Robust Inference
presented by: Mark Watson, Princeton University
Session 14: Time series: Theory I June 22, 2021 14:05 to 15:50 Location: Parallel room 13
Session Chair: Adriana Cornea-Madeira, University of York
Session type: contributed
Panel Cointegration Bounds Testing with Common Factors
presented by: Josep Lluís Carrion-i-Silvestre, University of Barcelona
Inference in Non-stationary High-Dimensional VARs
presented by: Luca Margaritella, Maastricht University
Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
presented by: Sebastien Fries, Vrije Universiteit Amsterdam
Bootstrap Tests for Integer-valued GARCH Models with Covariates
presented by: Adriana Cornea-Madeira, University of York
Session 15: Demand Estimation I June 22, 2021 16:00 to 17:45 Location: Parallel room 1
Session Chair: Xiaoxia Shi, University of Wisconsin at Madison
Session type: contributed
Sources of State Dependence in Brand Choices: Learning vs. Switching Costs
presented by: Daisoon Kim, North Carolina State University
Estimating the Potential Effect of Multi-Market Contact on the Intensity of Competition
presented by: Alon Eizenberg, Hebrew University Jerusalem
Approximating demand dynamics in storable good industries
presented by: Alan Crawford, Universidad Carlos III de Madrid
Estimating Demand for Differentiated Products with Zeroes in Market Share Data
presented by: Xiaoxia Shi, University of Wisconsin at Madison
Session 16: Empirical Finance II June 22, 2021 16:00 to 17:45 Location: Parallel room 2
Session Chair: N'Golo Koné, Université de Montréal
Session type: contributed
How to Detect Financial Bubbles? A New Indicator
presented by: Marlon Fritz, University of Paderborn
Issuance and Valuation of Corporate Bonds with Quantitative Easing
presented by: Stefano Pegoraro, University of Notre Dame
Temperature Shocks and Real Exchange Rates
presented by: Jonas Nauerz,
Reinsurance demand and liquidity creation: A search for bi-causality
presented by: N'Golo Koné, Université de Montréal
Session 17: Financial Econometrics: Robust Inference June 22, 2021 16:00 to 17:45 Location: Parallel room 3
Session Chair: Frank Kleibergen, University of Amsterdam
Session type: contributed
Predictability of Cryptocurrency Returns: Evidence from Robust Tests
presented by: Siyun He, University of Michigan
New Approaches to Robust Inference on Market (Non-)Efficiency,Volatility Clustering and Nonlinear Dependence
presented by: Anton Skrobotov, Russian Presidential Academy of National Economy and Public Administration and Saint Petersburg Univ
High-frequency instruments and identification-robust inference for stochastic volatility models
presented by: Md. Nazmul Ahsan, Concordia University and CIRANO
Double Robust Continuous Updating GMM
presented by: Frank Kleibergen, University of Amsterdam
Session 18: Fiscal policy I June 22, 2021 16:00 to 17:45 Location: Parallel room 4
Session Chair: Thorsten Drautzburg, Federal Reserve Bank of Philadelphia
Session type: contributed
Measuring the Fiscal Multiplier when Plans Take Time to Implement
presented by: Kalvinder Shields, University of Melbourne
State Dependence of Fiscal Multipliers: The Source of Fluctuations Matters
presented by: Francesco Zanetti, University of Oxford
State dependent government spending multipliers: Downward nominal wage rigidity and sources of business cycle fluctuations
presented by: Yoon J. Jo, Texas A&M University
Partisanship and Fiscal Policy in Economic Unions: Evidence from U.S. States
presented by: Thorsten Drautzburg, Federal Reserve Bank of Philadelphia
Session 19: Household Consumption and Saving II June 22, 2021 16:00 to 17:45 Location: Parallel room 5
Session Chair: Eve Colson-Sihra, The Hebrew University of Jerusalem
Session type: contributed
The Covid-19 Crisis and Consumption: Survey Evidence from Six EU Countries
presented by: Dimitris Christelis, University of Glasgow
Consumer Cash Withdrawal Behavior: Access to Cash and Density of the Banking Network
presented by: Matthew Strathearn, Bank of Canada
Culture and portfolios: trust, precautionary savings and home ownership
presented by: Johannes Fleck, European University Institute
Does Inequality Affect the Perception of Needs?
presented by: Eve Colson-Sihra, The Hebrew University of Jerusalem
Session 20: Labor Economics II June 22, 2021 16:00 to 17:45 Location: Parallel room 6
Session Chair: Fabian Lange, McGill University
Session type: contributed
Examining Income Expectations in the College and Early Post-college Periods: New Distributional Tests of Rational Expectations
presented by: Yifan Gong, University of Western Ontario
Job Mobility Within and Across Occupations
presented by: Attila Gyetvai, Duke University
Intrahousehold Commitment and Intertemporal Labor Supply
presented by: Jorge Velilla, University of La Rioja
On the Role of Learning, Human Capital, and Performance Incentives for Wages
presented by: Fabian Lange, McGill University
Session 21: Macro shocks June 22, 2021 16:00 to 17:45 Location: Parallel room 7
Session Chair: Francesco Furlanetto, Norges Bank
Session type: contributed
The Multifaceted Impact of US Trade Policy on Financial Markets
presented by: Lukas Boer, DIW Berlin
Global uncertainty and the dollar
presented by: Georgios Georgiadis, European Central Bank
US Tax and Spending Shocks 1950–2019: SVAR Overidentification with External Instruments
presented by: James McNeil, Dalhousie University
Estimating hysteresis effects
presented by: Francesco Furlanetto, Norges Bank
Session 22: Network Econometrics: Methodology I June 22, 2021 16:00 to 17:45 Location: Parallel room 8
Session Chair: Bryan Graham, UC Berkeley
Session type: contributed
Identification and Estimation of Social Interactions in Endogenous Peer Groups
presented by: Shuyang Sheng, UCLA
Identification and Estimation of Network Models with Nonparametric Unobserved Heterogeneity
presented by: Andrei Zeleneev, University College London
Spillovers, Homophily, and Selection into Treatment: The Network Propensity Score
presented by: Alejandro Sanchez Becerra, University of Pennsylvania
“An optimal test for strategic interaction in social and economic network formation between heterogeneous agents”
presented by: Bryan Graham, UC Berkeley
Session 23: Panel Data II: Unobserved Factor Structure June 22, 2021 16:00 to 17:45 Location: Parallel room 9
Session Chair: Yiannis Karavias, University of Birmingham
Session type: contributed
Regularized Quantile Regression with Interactive Fixed Effects
presented by: Junlong Feng, Hong Kong University of Science and Tech
Impact of extreme temperatures on wheat crops in Australia: An interactive fixed effects approach
presented by: Natalia Bailey, Monash University
A semiparametric panel data model with common factors and spatial dependence: the knowledge production function
presented by: Alexandra Soberon, Universidad de Cantabria. CIF: ES Q3918001-C
Structural Breaks in Interactive Effect Panels and the Stock Market Reaction to COVID-19
presented by: Yiannis Karavias, University of Birmingham
Session 24: Spatial and High-Dimensional Data June 22, 2021 16:00 to 17:45 Location: Parallel room 10
Session Chair: Harold Chiang, University of Wisconsin-Madison
Session type: contributed
The Signaling Values of Nested Wine Names
presented by: Julie Le Gallo, AgroSup Dijon
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
presented by: Marie Ternes, Maastricht University
INFERENCE FOR HIGH-DIMENSIONAL EXCHANGEABLE ARRAYS
presented by: Harold Chiang, University of Wisconsin-Madison
Session 25: Testing/Inference of Distributions, Ranks, and Menus June 22, 2021 16:00 to 17:45 Location: Parallel room 11
Session Chair: Miguel Delgado, Universidad Carlos III de Madrid
Session type: contributed
Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievements across Countries
presented by: Daniel Wilhelm, University College London
Robust Permutation Test for Equality of Distributions under Covariate-Adaptive Randomization
presented by: Mauricio Olivares, University of Illinois at Urbana-Champaign
Do Lenders Still Discriminate? A Robust Approach for Assessing Differences in Menus
presented by: David Zhang, Harvard Business School
A Pearson Test for Conditional Distributions
presented by: Miguel Delgado, Universidad Carlos III de Madrid
Session 26: Time series methods II June 22, 2021 16:00 to 17:45 Location: Parallel room 12
Session Chair: Sofia Velasco, Central Bank of Ireland and Queen Mary University
Session type: contributed
A Time-Varying Threshold STAR Model of Unemployment and the Natural Rate
presented by: Laura Jackson Young, Bentley University
Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis
presented by: Wenqian Sun, Simon Fraser University
Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility
presented by: Xuewen Yu, Purdue University
Unobserved components models with stochastic volatility for extracting trends and cycles in credit
presented by: Sofia Velasco, Central Bank of Ireland and Queen Mary University
Session 27: Treatment Effects I June 22, 2021 16:00 to 17:45 Location: Parallel room 13
Session Chair: Alexandre Poirier, Georgetown University
Session type: contributed
Evidence Aggregation for Treatment Choice
presented by: Takuya Ishihara,
Efficient Estimation for Staggered Rollout Designs
presented by: Pedro H. C. Sant'Anna, Vanderbilt University
Efficient semiparametric difference-in-differences estimation of quantile treatment effect
presented by: Doosoo Kim, Ryerson University
Assessing Sensitivity to Unconfoundedness: Estimation and Inference
presented by: Alexandre Poirier, Georgetown University
Session 28: VAR models I June 22, 2021 16:00 to 17:45 Location: Parallel room 14
Session Chair: Sergio Villalvazo, University of Pennsylvania
Session type: contributed
The Role of the Prior in Estimating VAR Models with Sign Restrictions
presented by: Lutz Kilian, Federal Reserve Bank of Dallas
Identification and Inference Under Narrative Restrictions
presented by: Matthew Read, University College London
AN IDENTIFICATION STRATEGY FOR PROXY-SVARs WITH WEAK PROXIES
presented by: Luca Fanelli, University of Bologna
SVARs With Occasionally-Binding Constraints
presented by: Sergio Villalvazo, University of Pennsylvania
Session 29: Plenary 1, Yuichi Kitamura: Group membership in flexible choice models June 22, 2021 18:00 to 19:00 Location: Plenary room
Session type: invited
Session 30: Plenary 2, Enrique Sentana: Discrete mixtures of normal pseudo maximum likelihood estimators of structural vector autoregressions. June 23, 2021 13:00 to 14:00 Location: Plenary room
Session type: invited
Session 31: Aggregate Fluctuations I June 23, 2021 14:05 to 15:50 Location: Parallel room 1
Session Chair: Efrem Castelnuovo, University of Padova
Session type: contributed
Heterogeneity and Aggregate Fluctuations
presented by: Minsu Chang, Georgetown University
The Transmission of Keynesian Supply Shocks
presented by: Andrea Ferrero, University of Oxford
The (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations
presented by: Alice Albonico, University of Milan - Bicocca
Why Does Risk Matter More in Recessions than in Expansions?
presented by: Efrem Castelnuovo, University of Padova
Session 32: Covid-19 I June 23, 2021 14:05 to 15:50 Location: Parallel room 2
Session Chair: Miriam Marcén, Universidad de Zaragoza
Session type: contributed
Economic Impact of the Most Drastic Lockdown During COVID-19 Pandemic---the Experience of Hubei, China
presented by: Xiao Ke, Hubei University of Economics
Isolating the incapacitative effect of social distancing on crime: Evidence from Ecuador’s Covid-19 lockdown
presented by: Clotilde Mahe, University of Luxembourg
Schools opening and Covid-19 diffusion: evidence from geolocalized microdata
presented by: Andros Kourtellos, University of Cyprus
The intensity of COVID-19 Non-Pharmaceutical Interventions and labor market outcomes in the public sector
presented by: Miriam Marcén, Universidad de Zaragoza
Session 33: Economics of Education I June 23, 2021 14:05 to 15:50 Location: Parallel room 3
Session Chair: Brent Hickman, University of Chicago
Session type: contributed
Modeling the Spending and Welfare Effects of School Finance Reforms
presented by: Aaron Goodman, Massachusetts Institute of Technology
Teacher-to-classroom assignment and student achievement
presented by: Petra Thiemann,
Incomplete Information and the Complexity of Centralized College Application Processes
presented by: Anaïs Fabre, TSE
Productivity Versus Motivation in Adolescent Human Capital Production: Evidence from a Structurally Motivated Field Experiment
presented by: Brent Hickman, University of Chicago
Session 34: Empirical Finance III June 23, 2021 14:05 to 15:50 Location: Parallel room 4
Session Chair: Sarah Mouabbi, Banque de France
Session type: contributed
Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies
presented by: Terri van der Zwan, Erasmus University Rotterdam
(When) do banks react to anticipated capital reliefs?
presented by: Guillaume Arnould, Bank of England
TAMING DEBT: CAN GDP-LINKED BONDS DO THE TRICK?
presented by: Sarah Mouabbi, Banque de France
Session 35: Financial Econometrics: Asset Pricing and Factor Modeling June 23, 2021 14:05 to 15:50 Location: Parallel room 5
Session Chair: mirco rubin, EDHEC, Nice
Session type: contributed
Score-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance
presented by: Dennis Umlandt, University of Trier
Econometric Analysis of Partial Equilibrium Asset Pricing Models: A Two Step Partial Indirect Inference Approach
presented by: Julie Schnaitmann, University of Konstanz
Factor Strengths, Pricing errors, and Estimation of Risk Premia
presented by: Ron Smith, Birkbeck, University of London
Searching for Common Pricing Factors
presented by: mirco rubin, EDHEC, Nice
Session 36: Financial Frictions June 23, 2021 14:05 to 15:50 Location: Parallel room 6
Session Chair: Ambrogio Cesa-Bianchi, Bank of England
Session type: contributed
Fiscal Policy and Financial Frictions in Recessions and Expansions
presented by: Juan Figueres, European Central Bank
Financial frictions and capital misallocation
presented by: Jiaqi Li, Bank of Canada
Corporate credit booms, financial constraints, and the investment nexus
presented by: Bruno Albuquerque, Bank of England
Crossing the Credit Channel: Credit Spreads and Firm Heterogeneity
presented by: Ambrogio Cesa-Bianchi, Bank of England
Session 37: Forecast combination June 23, 2021 14:05 to 15:50 Location: Parallel room 7
Session Chair: Giulia Mantoan, University of Warwick
Session type: contributed
Real-Time Density Nowcasts of U.S. Inflation: A Model-Combination Approach
presented by: Edward Knotek II, Federal Reserve Bank of Cleveland
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
presented by: Todd Clark, Federal Reserve Bank of Cleveland
Combining Bayesian VARs with survey density forecasts: does it pay off?
presented by: Joan Paredes, European Central Bank
Quantile density combination: An application to US GDP forecasts
presented by: Giulia Mantoan, University of Warwick
Session 38: Health Economics I June 23, 2021 14:05 to 15:50 Location: Parallel room 8
Session Chair: Pamela Giustinelli, Bocconi University
Session type: contributed
The Determinants of Physicians’ Location Choice: Understanding the Rural Shortage
presented by: Elena Falcettoni, Board of Governors of the Federal Reserve System
Dynamic Moral Hazard in Nonlinear Health Insurance Contracts
presented by: Cecilia Diaz Campo, University of Western Ontario
Labor Supply Effects of Health Shocks: A New Approach on Misclassification of Health Measures
presented by: Ning Li, Salisbury University
Precise or Imprecise Probabilities? Evidence from survey response related to late-onset dementia
presented by: Pamela Giustinelli, Bocconi University
Session 39: Macro finance I June 23, 2021 14:05 to 15:50 Location: Parallel room 9
Session Chair: Alexander Ballantyne, University of Melbourne
Session type: contributed
Moments, Shocks and Spillovers in Markov Switching VAR Models
presented by: Erik Kole, Erasmus University Rotterdam
Is Risk the Fuel of the Business Cycle?
presented by: Christoph Schult, Halle Institute for Economic Research
Monetary Policy and Bond Prices with Drifting Equilibrium Rates and Diagnostic Expectations
presented by: Alessandro Melone, Vienna Graduate School of Finance (VGSF)
Household Consumption: MPC Asymmetry and Financial Frictions
presented by: Alexander Ballantyne, University of Melbourne
Session 40: Marriage and Divorce June 23, 2021 14:05 to 15:50 Location: Parallel room 10
Session Chair: Rafael González-Val, Universidad de Zaragoza & Institut d'Economia de Barcelona (IEB)
Session type: contributed
Who Marries Whom? The Role of Identity, Intelligence and Personality in Marriage
presented by: Annalisa Marini, UCL
Education and Consanguineous Marriage
presented by: Pelin Akyol, Bilkent University
Marriage, Migration, and Migration Policy: Evidence from Hukou Reform in China
presented by: Ling Zhou, Toulouse School of Economics
Did Unilateral Divorce raise house prices in Europe?
presented by: Rafael González-Val, Universidad de Zaragoza & Institut d'Economia de Barcelona (IEB)
Session 41: Monetary Policy III June 23, 2021 14:05 to 15:50 Location: Parallel room 11
Session Chair: Marek Jarocinski, European Central Bank
Session type: contributed
The Dynamic Effects of the ECB's Asset Purchases: A Survey-based Identification
presented by: Stephane Lhuissier, Banque de France
Testing the effectiveness of Unconventional Monetary Policy in Japan and the United States
presented by: Sophocles Mavroeidis, Oxford University
Fed's unconventional policies: lessons from the non-Gaussian responses of financial markets
presented by: Marek Jarocinski, European Central Bank
Session 42: Network Econometrics: Methodology II June 23, 2021 14:05 to 15:50 Location: Parallel room 12
Session Chair: Lina Zhang, Monash University
Session type: contributed
Identifying dominant units using graphical models in panel time series data
presented by: Jan Ditzen, Free University of Bozen-Bolzano
On the Identification and Estimation of Endogenous Peer Effects in Multiplex Networks
presented by: Juan Estrada, Emory University
Spillovers of Program Benefits with Mismeasured Networks
presented by: Lina Zhang, Monash University
Session 43: Nonparametric Estimation and Identification June 23, 2021 14:05 to 15:50 Location: Parallel room 13
Session Chair: Nail Kashaev, University of Western Ontario
Session type: contributed
Identification and Estimation of Partial Effects with Proxy Variables
presented by: Kenichi Nagasawa, University of Warwick
Nonparametric Estimation of Truncated Conditional Expectation Functions
presented by: Tomasz Olma, University of Mannheim
Nonparametric Identification and Estimation of Productivity Distributions and Trade Costs
presented by: Ayse Ozgur Pehlivan, TOBB University
Prices, Profits, Proxies, and Production
presented by: Nail Kashaev, University of Western Ontario
Session 44: Panel Data III: Nonlinear Models June 23, 2021 14:05 to 15:50 Location: Parallel room 14
Session Chair: Jesus Carro, Universidad Carlos III de Madrid
Session type: contributed
Errors-In-Variables in Large Nonlinear Panel and Network Models
presented by: Kirill Evdokimov, Universitat Pompeu Fabra
Information equivalence among transformations of semiparametric nonlinear panel data models
presented by: Nicholas Brown, Michigan State University
Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels
presented by: Senay Sokullu, University of Bristol
Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models
presented by: Jesus Carro, Universidad Carlos III de Madrid
Session 45: Banks and Lending Markets June 23, 2021 16:00 to 17:45 Location: Parallel room 1
Session Chair: Egle Jakucionyte, Bank of Lithuania
Session type: contributed
Screening Behaviour in Fintech Markets
presented by: Seyit Gokmen, University of Birmingham
Stickiness in Bank Credit Ratings
presented by: Christos Ioannidis, UCL
Banks through the Lens of the Media
presented by: Eva Arnold, Universität Hamburg
Bowling Alone, Buying Alone: The Decline of Co-borrowers in the US Mortgage Market
presented by: Egle Jakucionyte, Bank of Lithuania
Session 46: Covid-19 II June 23, 2021 16:00 to 17:45 Location: Parallel room 2
Session Chair: Sara Ayllón, University of Girona
Session type: contributed
How Effective Is Social Distancing?
presented by: Difang Huang, Monash University
Tell me a story: Quantifying economic narratives and their role during COVID-19
presented by: Daniel Borup, Aarhus University, CREATES, Danish Finance Institute
Who Should Get Vaccinated? Individualized Allocation of Vaccines Over SIR Network
presented by: Guanyi Wang, University College London
Food insecurity in the US during the pandemic: What can we learn from real-time data?
presented by: Sara Ayllón, University of Girona
Session 47: Demand Estimation II June 23, 2021 16:00 to 17:45 Location: Parallel room 3
Session Chair: Nathan Yang, Cornell University
Session type: contributed
Is the Price Elasticity of Demand Asymmetric? Evidence from Public Transport Demand
presented by: Firat Yaman, City University London
Superstar Products and the Sources of Market Power
presented by: Gianluca Antonecchia, Erasmus School of Economics
Unravelling the Markups Changes: The Role of Demand Elasticity and Concentration
presented by: Michał Gradzewicz, Warsaw School of Economics
Victim of Your (Customer's) Own Success
presented by: Nathan Yang, Cornell University
Session 48: Empirical Finance IV June 23, 2021 16:00 to 17:45 Location: Parallel room 4
Session Chair: David Elliott, Bank of England
Session type: contributed
Empirical asset pricing with many assets and short time series
presented by: Rasmus Lönn, Erasmus School of Economics - Erasmus University Rotterdam
Time and the price impact of trades in Australian banking stocks around interest rate announcements
presented by: Manh Cuong Pham, Lancaster University
Predictive Regressions under Arbitrary Persistence and Stock Return Predictability
presented by: Yunus Emre Ergemen, CREATES, Aarhus University, Danish Finance Institute
Separating Retail and Investment Banking: Evidence from the UK
presented by: David Elliott, Bank of England
Session 49: Estimation of Microeconometric Models I June 23, 2021 16:00 to 17:45 Location: Parallel room 5
Session Chair: Arnaud Maurel, Duke University
Session type: contributed
Estimation and Inference in Games of Incomplete Information with Non-separable Unobserved Heterogeneity
presented by: Xuetao Shi, University of Sydney
A Dynamic Estimation Approach for Centralized Matching Markets: Understanding Segregation in Day Care
presented by: Minyoung Rho, Markets, Organizations and Votes in Economics, Universitat Autònoma de Barcelona, and Barcelona GSE
Dealing with Logs and Zeros in Regression Models
presented by: Louis Pape, CREST
Conditional Choice Probability Estimation of Continuous-Time Job Search Models
presented by: Arnaud Maurel, Duke University
Session 50: Financial Econometrics: Jumps and Drifts in Asset Prices June 23, 2021 16:00 to 17:45 Location: Parallel room 6
Session Chair: Massimiliano Caporin, University of Padua
Session type: contributed
Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps
presented by: Rodrigo Hizmeri, Lancaster University
Realized drift
presented by: Roberto Reno, University of Verona
Jump Contagion among Stock Market Indices: Evidence from Option Markets
presented by: Evgenii Vladimirov, University of Amsterdam
The role of jumps and asset liquidity in realized volatility modeling and forecasting
presented by: Massimiliano Caporin, University of Padua
Session 51: Forecasting I June 23, 2021 16:00 to 17:45 Location: Parallel room 7
Session Chair: Ana Beatriz Galvao, University of Warwick
Session type: contributed
Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models
presented by: Mike West, Duke University
News media vs. FRED-MD for macroeconomic forecasting
presented by: Jon Ellingsen, BI Norwegian Business School
An Early Warning System for Tail Financial Risks
presented by: Gianni De Nicolo', John Hopkins University
Forecasting Low Frequency Macroeconomic Events with High Frequency Data
presented by: Ana Beatriz Galvao, University of Warwick
Session 52: Health Economics II June 23, 2021 16:00 to 17:45 Location: Parallel room 8
Session Chair: Christine Dauth, IAB
Session type: contributed
Subjective Expectations and Demand for Contraception
presented by: Christine Valente, University of Bristol
Dynamic Social Interactions and Health Risk Behavior
presented by: Tiziano Arduini, University of Rome Tor Vergata
Job Displacement and the Mental Health of Partners: A Burden Shared is a Burden Halved?
presented by: Yuejun Zhao, Monash University
The effects of private versus public health insurance on health and labor market outcomes
presented by: Christine Dauth, IAB
Session 53: Household Consumption and Finance June 23, 2021 16:00 to 17:45 Location: Parallel room 9
Session Chair: Eileen Tipoe, University of Oxford
Session type: contributed
Can Estimated Risk and Time Preferences Explain Real-life Financial Choices?
presented by: Jorgo Goossens, Tilburg University
Correlation of Idiosyncratic Asset Return and Wage Risk of U.S. Households
presented by: Stephen Snudden, Wilfrid Laurier University
Price Inattention: A Revealed Preference Characterisation
presented by: Eileen Tipoe, University of Oxford
Session 54: Macro theory June 23, 2021 16:00 to 17:45 Location: Parallel room 10
Session Chair: Neville Francis, UNC Chapel Hill
Session type: contributed
Mainly Employment
presented by: Riccardo Maria Masolo, Bank of England
Liquidity and Safety over the Business Cycle
presented by: Alexander Haas, University of Oxford
Compensation and Capital Income Inequality, Business Cycles, and Monetary Policy: United States, 1957-2016
presented by: Nikolaos Charalampidis, Université Laval
Age-Earnings Profiles and the Reallocating Effects of Tenure-Dependent Severance Costs: A Life-Cycle Perspective
presented by: Neville Francis, UNC Chapel Hill
Session 55: Methods for impulse response function estimation June 23, 2021 16:00 to 17:45 Location: Parallel room 11
Session Chair: Alessio Volpicella, University of Surrey
Session type: contributed
Comparison of Projection Estimators for Proxy Vector Autoregressions
presented by: Martin Bruns, University of East Anglia
Monetary policy shocks over the business cycle
presented by: Michele Piffer, King's College London
Combining Proxy SVARs and Forecast Error Variance Decomposition Restrictions
presented by: Tilmann Härtl, University of Konstanz
The Identifying Information in the Forecast Error Variance: an Application to Endogenous and Heterogeneous Uncertainty and its Relationship with Financial Shocks
presented by: Alessio Volpicella, University of Surrey
Session 56: Micro data for macro questions June 23, 2021 16:00 to 17:45 Location: Parallel room 12
Session Chair: Laura Liu, Indiana University
Session type: contributed
EMU DEEPENING AND SOVEREIGN DEBT SPREADS: USING POLITICAL SPACE TO ACHIEVE POLICY SPACE
presented by: Ivan Kataryniuk, Bank of Spain
A Dynamic Rational Inattention Model under Mixed-Frequency: Estimation and Testing using a Panel of Forecasts
presented by: Joao Issler, Getulio Vargas Foundation
The income inequality cycle
presented by: Geraldine Dany-Knedlik, DIW Berlin
Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data
presented by: Laura Liu, Indiana University
Session 57: Monetary Policy II June 23, 2021 16:00 to 17:45 Location: Parallel room 13
Session Chair: Michael Ehrmann, ECB
Session type: contributed
The Limited Power of Monetary Policy in a Pandemic
presented by: Cristina Fuentes-Albero, Board of Governors of the Federal Reserve
Limitations on the Effectiveness of Forward Guidance in the Wake of the COVID-19 Pandemic
presented by: Arunima Sinha, Fordham University
Perceived FOMC: The Making of Hawks, Doves and Swingers
presented by: Klodiana Istrefi, Banque de France
Voting right rotation and the behaviour of committee members – a case study of the U.S. Federal Open Market Committee
presented by: Michael Ehrmann, ECB
Session 58: Panel Data IV: Treatment Effects June 23, 2021 16:00 to 17:45 Location: Parallel room 14
Session Chair: Markus Eberhardt, University of Nottingham
Session type: contributed
When Is Parallel Trends Sensitive to Functional Form?
presented by: Jonathan Roth, Microsoft
Testing Attrition Bias in Field Experiments
presented by: Karen Ortiz-Becerra, University of California, Davis
Nonparametric Identification and Estimation of Panel Quantile Models with Sample Selection
presented by: Sungwon Lee, Sogang University
Democracy Doesn’t Always Happen Over Night: Regime Change in Stages and Economic Growth
presented by: Markus Eberhardt, University of Nottingham
Session 59: Bond Markets and Yields I June 23, 2021 17:55 to 19:40 Location: Parallel room 1
Session Chair: Kasper Joergensen, Federal Reserve Board
Session type: contributed
Term Premia and Credit Risk in Emerging Markets: The Role of U.S. Monetary Policy
presented by: Pavel Solis, Johns Hopkins University
Long Run Impact of Macro News on Treasury Bond Yields
presented by: Guillaume Roussellet, McGill University
Expectations and term premia in ESM bond yields
presented by: Lorenzo Ricci, European Stability Mechanism
Bond Risk Premiums at the Zero Lower Bound
presented by: Kasper Joergensen, Federal Reserve Board
Session 60: Financial Econometrics: Topics II June 23, 2021 17:55 to 19:40 Location: Parallel room 2
Session Chair: Hugo Schyns, Maastricht University School of Business and Economics
Session type: contributed
Generalized Transform Analysis for Asset Pricing and Parameter Estimation
presented by: Yannick Dillschneider, Goethe University Frankfurt
Inferring Financial Bubbles from Option Data
presented by: Simon Kwok, The University of Sydney
Measuring Measurement Error
presented by: Aaron Pancost, University of Texas at Austin McCombs School of Business
A Neural Network with Shared Dynamics for Multi-Step Prediction of Value-at-Risk and Volatility
presented by: Hugo Schyns, Maastricht University School of Business and Economics
Session 61: Labor Economics III June 23, 2021 17:55 to 19:40 Location: Parallel room 3
Session Chair: Julia Lang, Institute for Employment Research (IAB)
Session type: contributed
Earnings and Employment Dynamics: Capturing Cyclicality using Mixed Frequency Data
presented by: Johan Holmberg, Umeå University
Local Human Capital and Firm Creation. Evidence from the Massification of Higher Education in France.
presented by: Elio Nimier-David, CREST (ENSAE-Ecole Polytechnique)
Measurement error in bite-dependent minimum wage evaluations
presented by: Mario Bossler, Institute for Employment Research (IAB)
Predicting long-term unemployment using machine learning techniques and administrative data
presented by: Julia Lang, Institute for Employment Research (IAB)
Session 62: Macro finance II June 23, 2021 17:55 to 19:40 Location: Parallel room 4
Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco
Session type: contributed
The Transmission of Financial Shocks and Leverage of Banks: An Endogenous Regime Switching Framework
presented by: Kirstin Hubrich, Federal Reserve Board
Financial Constraints, Firm Age, and the Labor Market
presented by: Brigitte Hochmuth, Friedrich-Alexander University Erlangen-Nuremberg (FAU)
Financial Conditions and the Risks to Economic Growth in the United States Since 1875
presented by: Patrick Coe, Carleton University
Replicating Business Cycles and Asset Returns with Sentiment and Low Risk Aversion
presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
Session 63: Macro II June 23, 2021 17:55 to 19:40 Location: Parallel room 5
Session Chair: Christian Matthes, Indiana University
Session type: contributed
The Amortization Elasticity of Mortgage Demand
presented by: Claes Backman, Aarhus University
Duration Structure of Unemployment Hazards and the Trend Unemployment Rate
presented by: Hie Joo Ahn, Federal Reserve Board
The Factor Structure of Disagreement
presented by: Fabian Winkler, Federal Reserve Board
Economic Theories and Macroeconomic Reality
presented by: Christian Matthes, Indiana University
Session 64: Network Econometrics: Applications I June 23, 2021 17:55 to 19:40 Location: Parallel room 6
Session Chair: Suyong Song, University of Iowa
Session type: contributed
A Graphical Lasso Approach to Estimating Network Connections: The Case of U.S. Lawmakers
presented by: Sida Peng, MICROSOFT RESEARCH
Dyadic Machine Learning: with an Application to High-Dimensional Dyadic-Robust Analysis of Determinants of Free Trade Agreements
presented by: Yukun Ma, Vanderbilt University
Quantile Connectedness of the U.S. Interbank Liquidity Risk Network: a Bayesian Nuclear Norm Estimation Approach
presented by: Lina Lu, Federal Reserve Bank of Boston
Boardroom Networks and Corporate Investment
presented by: Suyong Song, University of Iowa
Session 65: Nowcasting June 23, 2021 17:55 to 19:40 Location: Parallel room 7
Session Chair: Eleonora Granziera, Norges Bank
Session type: contributed
Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data
presented by: Thomas Drechsel, University of Maryland
Nowcasting with Large Bayesian Vector Autoregressions
presented by: Jacopo Cimadomo, European Central Bank
Back to the Present: Learning about the Euro Area through a Now-casting Model
presented by: Danilo Cascaldi-Garcia, Federal Reserve Board
Nowcasting Norwegian Household Consumption with Debit Card Transaction Data
presented by: Eleonora Granziera, Norges Bank
Session 66: Oil and commodity markets I June 23, 2021 17:55 to 19:40 Location: Parallel room 8
Session Chair: Fabrizio Venditti, European Central Bank
Session type: contributed
OPEC's Crude Game: Strategic competition and regime-switching in global oil markets
presented by: Thomas Størdal Gundersen, BI Norwegian Business School
Climate Risk and Commodity Currencies
presented by: Felix Kapfhammer, BI Norwegian Business School
Mining for Oil Forecasts
presented by: Nida Cakir Melek, Federal Reserve Bank of Kansas City
Global financial markets and oil price shocks in real time
presented by: Fabrizio Venditti, European Central Bank
Session 67: Panel Data V: Heterogeneity June 23, 2021 17:55 to 19:40 Location: Parallel room 9
Session Chair: Vassilis Hajivassiliou, London School of Economics
Session type: contributed
A new test for common breaks in heterogeneous panel data
presented by: Peiyun Jiang, Hitotsubashi University
Estimation and inference in large heterogenous panels with stochastic time-varying coefficients
presented by: Yu Bai, Bocconi University
Algorithmic Subsampling under Multiway Clustering
presented by: Jiatong Li, Vanderbilt University
Estimation and specification testing of panel data models with non-ignorable persistent heterogeneity, contemporaneous and intertemporal simultaneity and observable and unobservable dynamics
presented by: Vassilis Hajivassiliou, London School of Economics
Session 68: Phillips curve June 23, 2021 17:55 to 19:40 Location: Parallel room 10
Session Chair: Francesca Rondina, University of Ottawa
Session type: contributed
Heterogeneous Beliefs in the Phillips Curve
presented by: Roland Meeks, International Monetary Fund
FORECASTING INFLATION WITH THE NEW KEYNESIAN PHILLIPS CURVE: FREQUENCY MATTERS
presented by: Manuel Martins, Universidade do Porto
Structural Changes in the Job Ladder and the Flattening of the Phillips Curve
presented by: Riccardo Zago, Banque de France/College de France
Model uncertainty and the direction of fit of the postwar U.S. Phillips curve(s)
presented by: Francesca Rondina, University of Ottawa
Session 69: Public Finance June 23, 2021 17:55 to 19:40 Location: Parallel room 11
Session Chair: Anne Brockmeyer, World Bank
Session type: contributed
Intended and unintended effects of public incentives for innovation. Quasi-experimental evidence from Italy
presented by: Marco Ventura, Sapienza University or Rome
Health inequalities and the progressivity of old-age social insurance programs
presented by: Jeroen van der Vaart, University of Groningen
How Generous Are Societies toward their Elderly? A European Comparative Study of Households’ Replacement Rates, Well-Being and Economic Adequacy
presented by: Aviad Tur-Sinai, The Max Stern Yezreel Valley College
Electronic Payment Technology and Tax Capacity: Evidence from Uruguay's Financial Inclusion Reform
presented by: Anne Brockmeyer, World Bank
Session 70: Time Series Theory II June 23, 2021 17:55 to 19:40 Location: Parallel room 12
Session Chair: Matteo Barigozzi, University of Bologna
Session type: contributed
Determining the rank of cointegration with infinite variance
presented by: Lorenzo Trapani, University of Nottingham
Impulse response analysis for structural dynamic models with nonlinear regressors
presented by: Elena Pesavento, Emory University
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data
presented by: Alban Moor, University of Geneva
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
presented by: Matteo Barigozzi, University of Bologna
Session 71: Treatment Effects II June 23, 2021 17:55 to 19:40 Location: Parallel room 13
Session Chair: Xavier D'Haultfoeuille, CREST
Session type: contributed
Causal mediation analysis with double machine learning
presented by: Henrika Langen, University of Fribourg
Marginal Treatment Effects with Misclassified Treatment
presented by: Desire Kedagni, Iowa State University
Double Machine Learning based Program Evaluation under Unconfoundedness
presented by: Michael Knaus, University of St. Gallen
Difference-in-Differences Estimators of Intertemporal Treatment Effects
presented by: Xavier D'Haultfoeuille, CREST
Session 72: IAAE Lecture, Frank Diebold: Reduced-Form vs. Structural Perspectives on Melting Arctic Sea Ice. June 23, 2021 19:45 to 20:45 Location: Plenary room
Session type: invited
Session 73: Communications: Applied Micro I June 24, 2021 12:10 to 12:55 Location: Parallel room 1
Session Chair: Meango Romuald, Max Planck Institute for Social Law and
Session type: contributed
Crime in the era of COVID-19: Evidence from England
presented by: Kyriakos Neanidis, University of Manchester
A random forest a day keeps the doctor away
presented by: Markus Eyting, GSEFM Frankfurt
The option-value of overstaying
presented by: Meango Romuald, Max Planck Institute for Social Law and
Session 74: Communications: Applied Micro III June 24, 2021 12:10 to 12:55 Location: Parallel room 2
Session Chair: Michel Lubrano, Aix-Marseille University
Session type: contributed
Do cost reminders lead to healthier decisions? Experimental evidence on the use of nudges to reduce tobacco intake in rural Bangladesh
presented by: Adnan Fakir, University of Western Australia
Ready or not here it comes: Winners and losers in smart work time
presented by: Federico Giorgi, Banca d'Italia
Optimal lockdowns: Analysing the efficiency of sanitary policies in Europe during the COVID first wave
presented by: Michel Lubrano, Aix-Marseille University
Session 75: Communications: Econometric Methodology I June 24, 2021 12:10 to 12:55 Location: Parallel room 3
Session Chair: Anna Gloria Billé, University of Padua
Session type: contributed
Estimation of nonstationary nonparametric regression model with multiplicative structure
presented by: Ekaterina Smetanina, University of Chicago
Discrete-Continuous Dynamic Choice Models: Identification and Conditional Choice Probability Estimation
presented by: Christophe-Alain Bruneel-Zupanc, Toulouse School of Economics
Agglomerative Hierarchical Clustering for Selecting Valid Instrumental Variables
presented by: Xiaoran Liang, University of Bristol
Feasible ML Estimator for Dynamic Spatial Panel Data Probit Models with Fixed Effects and Large Datasets
presented by: Anna Gloria Billé, University of Padua
Session 76: Communications: Empirical Finance June 24, 2021 12:10 to 12:55 Location: Parallel room 4
Session Chair: Richard Luger, Laval University
Session type: contributed
Which factor model? A systematic return covariation perspective
presented by: Lazaros Symeonidis, University of Essex
An Euro Area Term Structure Model with Time Varying Exposures
presented by: Tommaso Tornese, Queen Mary University of London
The Impact of Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics
presented by: Seohyun Lee, IMF
Multiple testing of the forward rate unbiasedness hypothesis across currencies
presented by: Richard Luger, Laval University
Session 77: Communications: Exchange rates June 24, 2021 12:10 to 12:55 Location: Parallel room 5
Session Chair: Kevin Lee, University of Nottingham
Session type: contributed
Exchange Rates and the Information Channel of Monetary Policy
presented by: Oliver Holtemöller, Martin-Luther-University Halle-Wittenberg and Halle Institute for Economic Research (IWH)
Interest rate differentials and the dynamic asymmetry of exchange rates
presented by: Julien Hambuckers, HEC Liege -University of Liege
A Meta Model Analysis of Exchange Rate Determination
presented by: Kevin Lee, University of Nottingham
Session 78: Communications: Forecasting June 24, 2021 12:10 to 12:55 Location: Parallel room 6
Session Chair: Bruno Levy, Insper
Session type: contributed
Forecasting financial markets with semantic network analysis in the COVID-19 crisis
presented by: Stefano Grassi, Univeristy of Rome 'Tor vergata'
Macroeconomic Predictions using Payments Data and Machine Learning
presented by: Ajit Desai, Bank of Canada
Dynamic Ordering Learning in Multivariate Forecasting
presented by: Bruno Levy, Insper
Session 79: Communications: Shocks, news and uncertainty June 24, 2021 12:10 to 12:55 Location: Parallel room 7
Session Chair: Paola Di Casola, Sveriges Riksbank
Session type: contributed
On the Importance of Financial News Shocks: An Empirical Assessment
presented by: Luis Herrera Bravo,
Subjective Expectations and Uncertainty
presented by: Andrzej Kociecki, Narodowy Bank Polski
Monetary policy shocks and inflation inequality
presented by: Christoph Lauper, University of Lausanne
Technology news, creative destruction and economic fluctuations
presented by: Paola Di Casola, Sveriges Riksbank
Session 80: Communications:VAR models June 24, 2021 12:10 to 12:55 Location: Parallel room 8
Session Chair: Michael Pfarrhofer, University of Salzburg
Session type: contributed
Identification of Singular and Noisy Structural VAR Models: The Collapsing-ICA Approach
presented by: Francesco Cordoni, University of Pisa - Department of Economics and Management
Identification of fiscal SVARs in small open economies using trading partner forecast errors as instruments
presented by: Sakari Lähdemäki, Labour Institute for Economic Research
Global Demand Spillovers Near the Zero Lower Bound
presented by: Rashad Ahmed, University of Southern California
Approximate Bayesian Inference and Forecasting in Huge-dimensional Multi-country VARs
presented by: Michael Pfarrhofer, University of Salzburg
Session 81: Robeco Lecture, Wouter den Haan: Problems in Applied Macroeconomics June 24, 2021 13:00 to 14:00 Location: Plenary room
Session type: invited
Session 82: Bond Markets and Yields II June 24, 2021 14:05 to 15:50 Location: Parallel room 1
Session Chair: Soroosh Soofi Siavash, Bank of Lithuania
Session type: contributed
Conditional Skewness of Treasury Yields
presented by: Michael Bauer, Universität Hamburg
Dissecting Currency Premia: Term Structure, Macro Risks, and Hidden Factors
presented by: Ruirui Liu, King's College London, United Kingdom
Fiscal limits and the pricing of Eurobonds
presented by: Kevin Pallara, University of Lausanne
What Moves Treasury Yields?
presented by: Soroosh Soofi Siavash, Bank of Lithuania
Session 83: Child Health and Development I June 24, 2021 14:05 to 15:50 Location: Parallel room 2
Session Chair: Paul Rodriguez Lesmes, Universidad del Rosario
Session type: contributed
Intergenerational Effects of Grandparental Care on Children and Parents
presented by: Mara Barschkett, DIW Berlin
Operation Allied Force: Unintended Consequences of the NATO Bombing on Children’s Outcomes
presented by: Suncica Vujic, University of Antwerp
The Role of Social Interactions in Early Childhood Development: Evidence From Rural China
presented by: Yiwei Qian, University of Southern California
Early childhood health inequalities and in-utero health interventions: evidence from the treatment of gestational diabetes
presented by: Paul Rodriguez Lesmes, Universidad del Rosario
Session 84: DSGE Models II June 24, 2021 14:05 to 15:50 Location: Parallel room 3
Session Chair: Marco Del Negro, Federal Reserve Bank of New York
Session type: contributed
Adaptive Importance Sampling for Large DSGE Models
presented by: Francesco Ravazzolo, Free University of Bozen-Bolzano
Misspecified Forecasts and Myopia in an Estimated New Keynesian Model
presented by: Ina Hajdini, Drexel University
Filtering with limited information
presented by: Pablo Guerron, Boston College
Estimating HANK: Macro Time Series and Micro Moments
presented by: Marco Del Negro, Federal Reserve Bank of New York
Session 85: Economics of Education II June 24, 2021 14:05 to 15:50 Location: Parallel room 4
Session Chair: John Egyir, Universidad de Alicante
Session type: contributed
School Choice, Mismatch, and Graduation Outcomes
presented by: Marco Pariguana, UWO
Coed vs Single-Sex Schooling: Mental Health and Non-Cognitive Outcomes
presented by: Seul-Ki Kim, Sogang University
Effects of Choice of Early Childhood Education and Care on Cognitive and Non-Cognitive Ability in Japan
presented by: Tim Ruberg, University of Hohenheim
Literacy, numeracy skills and free basic education in Ghana
presented by: John Egyir, Universidad de Alicante
Session 86: Estimation of Microeconometric Models II June 24, 2021 14:05 to 15:50 Location: Parallel room 5
Session Chair: Samuele Centorrino, Stony Brook University
Session type: contributed
Improved Estimation by Simulated Maximum Likelihood
presented by: Ilze Kalnina, North Carolina State University
Efficient Likelihood Simulation in Discrete Choice Models with Observed Payoffs
presented by: Ben Waltmann, Institute for Fiscal Studies
Detecting relevant variables in quantiles
presented by: Shengtao Dai, Peking University
Maximum Likelihood Estimation of Stochastic Frontier Models with Endogeneity
presented by: Samuele Centorrino, Stony Brook University
Session 87: Forecasting II June 24, 2021 14:05 to 15:50 Location: Parallel room 6
Session Chair: Jesus Gonzalo, Universidad Carlos III de Madrid
Session type: contributed
Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates
presented by: Jean-Yves Pitarakis, Jean-Yves Pitarakis
Testing the predictive accuracy of COVID-19 forecasts
presented by: Laura Coroneo, University of York
Proper scoring rules for evaluating asymmetry in density forecasting
presented by: Matteo Iacopini, Vrije Universiteit Amsterdam
Long-term Climate Forecasts
presented by: Jesus Gonzalo, Universidad Carlos III de Madrid
Session 88: Human Capital and Skills June 24, 2021 14:05 to 15:50 Location: Parallel room 7
Session Chair: Michael Keane, University of New South Wales
Session type: contributed
Grade Retention and Multidimensional Skill Formation in Young Children
presented by: Fernando Saltiel, McGill University
The Persistence of Socio-Emotional Skills: Life Cycle and Intergenerational Evidence
presented by: Alessandro Toppeta, University College London
Causal mediation analysis of the effect of education on cognitive abilities
presented by: Hendrik Schmitz, Paderborn University
The Impact of Child Work on Cognitive Development: Results from Four Low to Middle Income Countries
presented by: Michael Keane, University of New South Wales
Session 89: Macro I June 24, 2021 14:05 to 15:50 Location: Parallel room 8
Session Chair: Ferre De Graeve, KU Leuven
Session type: contributed
Testing Macroeconomic Policies with Sufficient Statistics
presented by: Geert Mesters, Universitat Pompeu Fabra
Empirical evidence on the Euler equation for investment in the US
presented by: Leandro Magnusson, University of Western Australia
Heterogeneity and the Dynamic Effects of Aggregate Shocks
presented by: Andreas Tryphonides, Department of Economics, University of Cyprus
Identifying sectoral supply and demand shocks with a modicum of economic theory: from the 1970s to the pandemic
presented by: Ferre De Graeve, KU Leuven
Session 90: Monetary Policy I June 24, 2021 14:05 to 15:50 Location: Parallel room 9
Session Chair: Matthew Schaffer, University of North Carolina at Greensboro
Session type: contributed
The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments
presented by: Matthew Klepacz, Federal Reserve Board
Endogenous Production Networks and Non-Linear Monetary Transmission
presented by: Mishel Ghassibe, University of Oxford
Estimating the Effects of Demographics on Interest Rates: A Robust Bayesian Perspective
presented by: Paul Ho, Federal Reserve Bank of Richmond
The International Spillover Effects of US Monetary Policy Uncertainty
presented by: Matthew Schaffer, University of North Carolina at Greensboro
Session 91: Prices,inflation, and expectations I June 24, 2021 14:05 to 15:50 Location: Parallel room 10
Session Chair: James Nason, North Carolina State University
Session type: contributed
Measuring Price Selection in Microdata - It's Not There
presented by: Peter Karadi, European Central Bank
How Well Does Economic UncertaintyForecast Economic Activity?
presented by: Jiawen Xu, Shanghai University of Finance and Economics
What Matters in Households' Inflation Expectations?
presented by: Philippe Andrade, Federal Reserve Bank of Boston
UK Inflation Forecasts since the Thirteenth Century
presented by: James Nason, North Carolina State University
Session 92: Testing and Partial Identification June 24, 2021 14:05 to 15:50 Location: Parallel room 11
Session Chair: Joerg Stoye, Cornell University
Session type: contributed
Identification robust testing for affine term structure models
presented by: Lingwei Kong, University of Groningen
Permutation Tests at Nonparametric Rates
presented by: Marinho Bertanha, University of Notre Dame
Partial Identification of Marginal Treatment Effects with discrete instruments and measurement error
presented by: Santiago Acerenza, Iowa State University
A Simple, Short, but Never-Empty Confidence Interval for Partially Identified Parameters
presented by: Joerg Stoye, Cornell University
Session 93: Time Series Theory III June 24, 2021 14:05 to 15:50 Location: Parallel room 12
Session Chair: Carlos Velasco, Universidad Carlos III de Madrid
Session type: contributed
Accurate and (Almost) Tuning Parameter Free Inference in Cointegrating Regressions
presented by: Karsten Reichold, University of Klagenfurt
Shocks and policies in Linear Rational Expectations models: An Expected Markovian approach
presented by: Jordan Roulleau-Pasdeloup, National University of Singapore
High Dimensional Forecast Combinations Under Latent Structures
presented by: Zhentao Shi, The Chinese University of Hong Kong
Estimation of time series models using the characteristic function
presented by: Carlos Velasco, Universidad Carlos III de Madrid
Session 94: Urban Economics and Housing June 24, 2021 14:05 to 15:50 Location: Parallel room 13
Session Chair: Thierry Magnac, Toulouse School of Economics, Universit�
Session type: contributed
A Unified Empirical Framework to Study Segregation
presented by: Gregorio Caetano, University of Georgia
Neighborhood Sorting Obscures Neighborhood Effects in the Opportunity Atlas
presented by: Dionissi Aliprantis, Federal Reserve Bank of Cleveland
How transport infrastructures shape cities? Evidence from the Regional Express Rail in Paris
presented by: Thomas Delemotte, Institut Polytechnique de Paris
Housing policy evaluation: An heterogenous agent general equilibrium model for France
presented by: Thierry Magnac, Toulouse School of Economics, Universit�
Session 95: VAR models II June 24, 2021 14:05 to 15:50 Location: Parallel room 14
Session Chair: Michele Lenza, European Central Bank
Session type: contributed
Too Many Shocks Spoil The Interpretation
presented by: Tim Robinson, University of Melbourne
The importance of supply and demand for oil prices: evidence from non-Gaussianity
presented by: Robin Braun, Bank of England
Bayesian Assessment of Identifying Restrictions for Heteroskedastic Structural VARs
presented by: Tomasz Wozniak, University of Melbourne
How to estimate a VAR after March 2020
presented by: Michele Lenza, European Central Bank
Session 96: Child Health and Development II June 24, 2021 16:00 to 17:45 Location: Parallel room 1
Session Chair: Hans Henrik Sievertsen, University of Bristol
Session type: contributed
Abortion and mental health among young women: Endogenous selection and risky choices
presented by: Bettina Siflinger, Tilburg University
Preschool and Child Health: Evidence from China’s Subsidized Child Care Program
presented by: Meiqing Ren, University of Illinois at Chicago
Newborns during the Crisis: Evidence from the 1980s’ Farm Crisis
presented by: CHAN YU, University of International Business and Economics
Saving Neonatal Lives for a Quarter
presented by: Hans Henrik Sievertsen, University of Bristol
Session 97: Decisionmaking and Stategic Agents June 24, 2021 16:00 to 17:45 Location: Parallel room 2
Session Chair: Robin Sickles, Rice University
Session type: contributed
Ordered Discrete Choices with Heterogenous Peer Effects
presented by: Zhongjian Lin, Emory University
Policy Targeting with Strategic Agents
presented by: Evan Munro, Stanford University
Heterogeneous Decision-Making and Market Power: An Application to Eurozone Banks
presented by: Robin Sickles, Rice University
Session 98: Dynamic Factors II June 24, 2021 16:00 to 17:45 Location: Parallel room 3
Session Chair: Sylvia Kaufmann, Study Center Gerzensee
Session type: contributed
Nonlinear Dynamic Factor Models
presented by: Molin Zhong, Federal Reserve Board
Common and idiosyncratic inflation
presented by: Matteo Luciani, Federal Reserve Board, Washington DC
Factor Models with Downside Risk
presented by: Daniele Massacci, King's College London
Reduced-form factor augmented VAR - Exploiting sparsity to include meaningful factors
presented by: Sylvia Kaufmann, Study Center Gerzensee
Session 99: Estimation of Microeconometric Models III June 24, 2021 16:00 to 17:45 Location: Parallel room 4
Session Chair: Daniel Henderson, University of Alabama
Session type: contributed
Fast Bayesian Record Linkage with Record-Specific Disagreement Parameters
presented by: Thomas Stringham, University of Toronto
Wild bootstrap consistency for matching estimators: the role of bias-correction
presented by: Christopher Walsh, TU Dortmund University
REMITTANCES AT THE INDIVIDUAL LEVEL: A MATCHED QUANTILE DIFFERENCE IN DIFFERENCE APPROACH
presented by: Erika Schutt, University of Miami
Model-free difference-in-differences with confounders
presented by: Daniel Henderson, University of Alabama
Session 100: Financial Econometrics: Predicting Features of Asset Prices June 24, 2021 16:00 to 17:45 Location: Parallel room 5
Session Chair: Florian Richard, Carleton University
Session type: contributed
Predictive Regressions for Aggregate Stock Market Volatility with Machine Learning
presented by: Erwin Hansen, University of Chile
Simple Tests for Stock Return Predictability with Good Size and Power Properties
presented by: Robert Taylor, University of Essex
A penalized two-pass regression to predict stock returns with time-varying risk premia
presented by: Gaetan Bakalli, University of Geneva
Model Confidence Sets in Multivariate Systems
presented by: Florian Richard, Carleton University
Session 101: Financial Econometrics: Topics June 24, 2021 16:00 to 17:45 Location: Parallel room 6
Session Chair: Chiara Scotti, Federal Reserve Board
Session type: contributed
Monetary Policy and Cryptocurrencies
presented by: Sören Karau, Deutsche Bundesbank
(Dis-)Aggregate Consumption and Monetary Policy
presented by: Michael Dobrew, Deutsche Bundesbank
Monetary Policy and Firm Heterogeneity:The Role of Leverage Since the Financial Crisis
presented by: Aeimit Lakdawala, Wake Forest University
Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements
presented by: Chiara Scotti, Federal Reserve Board
Session 102: Forecasting III June 24, 2021 16:00 to 17:45 Location: Parallel room 7
Session Chair: Gary Koop, University of Strathclyde
Session type: contributed
To Bag is to Prune
presented by: Philippe Goulet Coulombe, University of Pennsylvania
Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets
presented by: Massimo Guidolin, Bocconi University
The time-varying evolution of inflation risks
presented by: Anthoulla Phella, University of Surrey
Tail forecasting with multivariate Bayesian additive regression trees
presented by: Gary Koop, University of Strathclyde
Session 103: Gender Gap June 24, 2021 16:00 to 17:45 Location: Parallel room 8
Session Chair: Conny Wunsch, University of Basel
Session type: contributed
Different Questions, Different Gender Gap: Can the Format of Questions Explain the Gender Gap in Mathematics?
presented by: Silvia Griselda, University of Melbourne
Trends in the U.S. gender wage gap: 1977-2019
presented by: Franco Peracchi, University of Rome Tor Vergata
Decomposing Gender Wage Gaps - A Family Economics Perspective
presented by: Dorothée Averkamp, University of Wuppertal
The Gender Pay Gap Revisited with Big Data: Do Methodological Choices Matter?
presented by: Conny Wunsch, University of Basel
Session 104: Instrumental Variables Estimation June 24, 2021 16:00 to 17:45 Location: Parallel room 9
Session Chair: Marine Carrasco, University of Montreal
Session type: contributed
Partially Linear Models with Endogeneity: a conditional moment based approach
presented by: Xiaolin Sun, Simon Fraser University
Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters
presented by: Wenjie Wang, Nanyang Technological University
Yet Another Look at the Omitted Variable Bias
presented by: Artem Prokhorov, University of Sydney
Choosing the number of instruments for Jackknife instrumental variable estimator
presented by: Marine Carrasco, University of Montreal
Session 105: International Trade June 24, 2021 16:00 to 17:45 Location: Parallel room 10
Session Chair: Mariarosaria Comunale, Bank of Lithuania
Session type: contributed
The Effect of Trade on Skill Requirements: Evidence from Job Postings
presented by: Fabrizio Colella, University of Lausanne
Double Dividend Replacment of Trade Taxes with VAT
presented by: Kowsar Yousefi, University of Tehran
Statistical Model of Multiproduct Exporters
presented by: Lena Sheveleva, Cardiff Business School
What Explains Excess Trade Persistence? A Theory of Habits in the Supply Chains.
presented by: Mariarosaria Comunale, Bank of Lithuania
Session 106: Labor Economics IV June 24, 2021 16:00 to 17:45 Location: Parallel room 11
Session Chair: Michael Oberfichtner, Institute for Employment Research (IAB)
Session type: contributed
The Intergenerational Effects of Requiring Unemployment Benefit Recipients to Engage in Non-Search Activities
presented by: Sarah Dahmann, The University of Melbourne
Born in the right place at the right time: what drives training contracts as a long-lasting employment device?
presented by: Daniela Sonedda, Università del Piemonte Orientale
An Alternative to Affirmative Action: Contextualized Admissions and Labor Market Outcomes
presented by: Sonkurt Sen, University of Essex
A Firm-Side Perspective on Parental Leave
presented by: Michael Oberfichtner, Institute for Employment Research (IAB)
Session 107: Macro III June 24, 2021 16:00 to 17:45 Location: Parallel room 12
Session Chair: Davide Delle Monache, Bank of Italy
Session type: contributed
Employment Response of Small and Large Firms to Monetary Policy Shocks
presented by: Aarti Singh, University of Sydney
Bubbly Firm Dynamics and Aggregate Fluctuations
presented by: Donghai Zhang, University of Bonn
The Effects of Mutual Recognition Agreements on Firm-Level International Trade
presented by: Thomas Prayer, University of Cambridge
Tracking economic growth during the Covid-19: a weekly indicator for Italy
presented by: Davide Delle Monache, Bank of Italy
Session 108: Oil and commodity markets II June 24, 2021 16:00 to 17:45 Location: Parallel room 13
Session Chair: Paolo Gelain, Federal Reserve Bank of Cleveland
Session type: contributed
Reading the News: Telling Supply from Demand in Commodity Markets
presented by: Evgenia Passari, University Paris Dauphine
The economic consequences of putting a price on carbon
presented by: Diego Känzig, London Business School
Energy Efficiency and CO2 Emission Fluctuations
presented by: Soojin Jo, Bank of Canada
The transmission of oil price shocks through the US credit sector
presented by: Paolo Gelain, Federal Reserve Bank of Cleveland
Session 109: Time Series Theory IV June 24, 2021 16:00 to 17:45 Location: Parallel room 14
Session Chair: Majid Al Sadoon, Durham University Business School
Session type: contributed
Spectral decomposition of the information about latent variables in dynamic macroeconomic models
presented by: Nikolay Iskrev, Bank of Portugal
Peaks, Gaps, and Time Reversibility of Economic Time Series
presented by: Tommaso Proietti, Università degli Studi di Roma
Approximate Bayes factors for unit root testing
presented by: Martin Magris, Aarhus University
The Spectral Approach to Linear Rational Expectations Models
presented by: Majid Al Sadoon, Durham University Business School
Session 110: Plenary 3, Yanqin Fan: Vector copulas June 24, 2021 18:00 to 19:00 Location: Plenary room
Session type: invited
Session 111: Communications: Applied Micro II June 25, 2021 12:10 to 12:55 Location: Parallel room 1
Session Chair: Ahmet Ali Taskin, Institute for Employment Research (IAB)
Session type: contributed
Examining Patent Examiners: Present Bias, Procrastination and Task Performance
presented by: Ryo Nakajima, Keio University
Student Preferences, Capacity Constraints and Post-Secondary Achievements in a Non-Selective System
presented by: Georgia Thebault, Paris School of Economics
Credit Supply, Homeownership and Mortgage Debt
presented by: Ahmet Ali Taskin, Institute for Employment Research (IAB)
Session 112: Communications: Business Cycles June 25, 2021 12:10 to 12:55 Location: Parallel room 2
Session Chair: Lin Zhang, Henan University
Session type: contributed
Business Cycle Synchronization and Asymmetry in the European Union
presented by: Vladimir Arčabić, University of Zagreb, Faculty of Economics and Business
Lasting for Longer: On the Shifting Roles of Business Cycle Fluctuations
presented by: Josefine Quast, Deutsche Bundesbank, University of Würzburg
Business cycle synchronization across Chinese provinces
presented by: Lin Zhang, Henan University
Session 113: Communications: Econometric Methodology II June 25, 2021 12:10 to 12:55 Location: Parallel room 3
Session Chair: Liana Jacobi, University of Melbourne
Session type: contributed
Structured Regularization of High-Dimensional Panel Vector Autoregressions
presented by: Stephan Smeekes, Maastricht University
Precision Least Squares: Estimation and Inference in High-Dimensional Linear Regression Models
presented by: Rosnel Sessinou, Aix-Marseille University
Address Sample Selection Bias for Machine Learning Methods
presented by: Alyssa Carlson, University of Missouri
Beyond Local and Pointwise Prior Parameter Sensitivity: Assessing prior dependence in MCMC inference via sensitivity manifolds over prior parameterregions
presented by: Liana Jacobi, University of Melbourne
Session 114: Communications: Empirical Macro June 25, 2021 12:10 to 12:55 Location: Parallel room 4
Session Chair: Elena Bobeica, European Central Bank
Session type: contributed
Econometric issues with Laubach and Williams’ estimates of the natural rate of interest
presented by: Daniel Buncic, Stockholm University
Anchoring of long-term inflation expectations: Do inflation target formulations matter?
presented by: Christoph Grosse Steffen, Banque de France
Individual Experiences and Inflation Expectations
presented by: Riccardo Maria Masolo, Bank of England
The COVID-19 shock and challenges for time series models
presented by: Elena Bobeica, European Central Bank
Session 115: Communications: Financial Econometrics June 25, 2021 12:10 to 12:55 Location: Parallel room 5
Session Chair: Claudia Moise, Duke University, Fuqua School of Business
Session type: contributed
Option-Implied Network Measures of Tail Contagion and Stock Return Predictability
presented by: Manuela Pedio, University of Bristol and Bocconi University
Cojump Anchoring
presented by: Lars Winkelmann, Freie Universität Berlin
High-Frequency Arbitrage and Market Illiquidity
presented by: Claudia Moise, Duke University, Fuqua School of Business
Session 116: Communications: Fiscal policy June 25, 2021 12:10 to 12:55 Location: Parallel room 6
Session Chair: Bent Sorensen, University of Houston
Session type: contributed
Does fiscal consolidation impact public investment efficiency?
presented by: Moulaye Bamba, CERDI-UCA-CNRS
The Effects of Government Spending in the Eurozone
presented by: Mathias Klein, Sveriges Riksbank
Fiscal Multipliers: a Tale from the Labor Market
presented by: Anna Rogantini Picco, European University Institute
Optimal allocation of resources among heterogeneous individuals with an application to the COVID-19 stimulus checks
presented by: Bent Sorensen, University of Houston
Session 117: Communications: Monetary Policy June 25, 2021 12:10 to 12:55 Location: Parallel room 7
Session Chair: Christopher Neely, Federal Reserve Bank of St. Louis
Session type: contributed
Monetary Policy Expectation Errors
presented by: Sigurd Anders Steffensen, Danmarks Nationalbank
Fed Communication on Financial Stability Concerns and Monetary Policy Decisions: Revelations from Speeches
presented by: Florens Odendahl, Banco de España
Credibility of the Fed's Inflation Target and Anchoring of Public Perceptions under Asymmetric Information
presented by: Max Diegel, Freie Universität Berlin
How Persistent Are Unconventional Monetary Policy Effects?
presented by: Christopher Neely, Federal Reserve Bank of St. Louis
Session 118: Communications: Time series Methods June 25, 2021 12:10 to 12:55 Location: Parallel room 8
Session Chair: Tomás del Barrio Castro, University of the Balearic Islands
Session type: contributed
Backward CUSUM for Testing and Monitoring Structural Change
presented by: Sven Otto, University of Bonn
A Simple Model Correction for Modelling and Forecasting (Un)Reliable Realized Volatility
presented by: Marwan Izzeldin, Lancaster University
On cointegration for processes integrated at di¤erent frequencies
presented by: Tomás del Barrio Castro, University of the Balearic Islands
Session 119: DNB Lecture, Herman van Dijk: Quantifying time-varying forecasting uncertainty and risk for the real price of oil in regular and crisis periods. June 25, 2021 13:00 to 14:00 Location: Plenary room
Session type: invited
Session 120: Business cycle heterogeneity June 25, 2021 14:05 to 15:50 Location: Parallel room 1
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Session type: contributed
Business Cycles and Earnings Inequality
presented by: Byoungchan Lee, Hong Kong University of Science and Technology
Optimal Fiscal Policy with Heterogeneous Firms and Aggregate Shock
presented by: Alaïs Martin-Baillon, SciencesPo
Marginal Propensities to Consume Before and After the Great Recession
presented by: James Morley, University of Sydney
Industrial Connectedness and Business Cycle Comovements
presented by: Michael Owyang, Federal Reserve Bank of St Louis
Session 121: DSGE models I June 25, 2021 14:05 to 15:50 Location: Parallel room 2
Session Chair: Marco Maria Sorge, University of Salerno
Session type: contributed
On the Accuracy of Linear DSGE Solution Methods and the Consequences for Log-Normal Asset Pricing
presented by: Alexander Meyer-Gohde, Goethe-Universität Frankfurt
Large Macroeconomic Shocks During the Pandemic: a DSGE Analysis
presented by: Aldo Paolillo, University of Rome Tor Vergata
Bayesian Estimation of DSGE Models with Hamiltonian Monte Carlo
presented by: Balint Tatar, Goethe University Frankfurt
A Matter of Sunspots? On DSGE Models and Fat Tails
presented by: Marco Maria Sorge, University of Salerno
Session 122: Environmental Economics June 25, 2021 14:05 to 15:50 Location: Parallel room 3
Session Chair: Daniel Millimet, Southern Methodist University
Session type: contributed
Heterogeneous effects of waste pricing policies
presented by: Marica Valente, ETH Zurich and DIW Berlin
Natural capital and sovereign bonds
presented by: Dieter Wang, Vrije Universiteit Amsterdam
URBAN AIR POLLUTION AND SICK LEAVES: EVIDENCE FROM SOCIAL SECURITY DATA
presented by: Felix Holub, University of Mannheim
Remotely Incorrect?
presented by: Daniel Millimet, Southern Methodist University
Session 123: High Frequency and Time Series June 25, 2021 14:05 to 15:50 Location: Parallel room 4
Session Chair: Timo Terasvirta, Aarhus University
Session type: contributed
High dimensional high frequency retail price dynamics: accounting for missing prices and quantities
presented by: Lars Nesheim, University College London
High frequency monitoring of Growth-at-Risk
presented by: Laurent Ferrara, Banque de France
Structural Breaks in Seemingly Unrelated Regression Models
presented by: Shahnaz Parsaeian, University of Kansas
Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation Model
presented by: Timo Terasvirta, Aarhus University
Session 124: Labor Economics V June 25, 2021 14:05 to 15:50 Location: Parallel room 5
Session Chair: Cynthia Doniger, Federal Reserve Board
Session type: contributed
Jobs Reports Affect Personal Job Loss Expectations
presented by: Bart de Koning, Maastricht University
Workload, Time Use and Efficiency
presented by: Erina Ytsma, Carnegie Mellon University
Labor Market Effects of Credit Constraints: Evidence from a Natural Experiment
presented by: Anil Kumar, Federal Reserve Bank of Dallas
Ten Days Late and Billions of Dollars Short:The Employment Effects of Delays in PaycheckProtection Program Financing
presented by: Cynthia Doniger, Federal Reserve Board
Session 125: Machine learning June 25, 2021 14:05 to 15:50 Location: Parallel room 6
Session Chair: Massimiliano Marcellino, Bocconi University
Session type: contributed
Synthetic Control with Time Varying Parameters: A State Space Approach with Bayesian Shrinkage
presented by: Danny Klinenberg, UCSB
Diverging roads: Theory-based vs. machine learning-implied stock risk premia
presented by: Constantin Hanenberg, University of Tubingen
Lasso Inference for High-Dimensional Time Series
presented by: Robert Adamek, Maastricht University
Can Machine Learning Catch the COVID-19 Recession?
presented by: Massimiliano Marcellino, Bocconi University
Session 126: Macro IV June 25, 2021 14:05 to 15:50 Location: Parallel room 7
Session Chair: Elmar Mertens, Deutsche Bundesbank
Session type: contributed
Econometric Foundations of the Great Ratios of Economics
presented by: Don Harding, Victoria University
Tracking the natural rate of interest via a robust multivariate trend-cycle decomposition
presented by: (Brian) Trung Duc Tran, University of Sydney
Fiscal Spending Multipliers over the Household Leverage Cycle
presented by: Hamza Polattimur, Universität Hamburg
Forecasting with Shadow-Rate VARs
presented by: Elmar Mertens, Deutsche Bundesbank
Session 127: Macro Risk and Uncertainty II June 25, 2021 14:05 to 15:50 Location: Parallel room 8
Session Chair: Chara Papioti, Universitat Autonoma de Barcelona
Session type: contributed
Heterogeneity in Manufacturing Growth Risk: A Multi-level Quantile Regression approach
presented by: Daan Opschoor, Erasmus University Rotterdam
Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk
presented by: Ed Manuel, Bank of England
Holding the Economy by the Tail: Analysis of Short- and Long-run Macroeconomic Risks
presented by: Michal Franta, Czech National Bank
Liquidity Risk, Market Power and the Informational Effects of Policy
presented by: Chara Papioti, Universitat Autonoma de Barcelona
Session 128: Monetary Policy V June 25, 2021 14:05 to 15:50 Location: Parallel room 9
Session Chair: Kamil Yilmaz, Koc University
Session type: contributed
Inflation Expectations and Consumer Spending: Micro-data Evidence
presented by: Junichi Kikuchi, Yokohama City University
The Real Effects of Financial Uncertainty Shocks: A Daily Identification Approach
presented by: Piergiorgio Alessandri, Banca d'Italia
The Global Transmission of U.S. Monetary Policy
presented by: Riccardo Degasperi, University of Warwick
Unconventional Monetary Policy and Bond Market Connectedness in the New Normal
presented by: Kamil Yilmaz, Koc University
Session 129: News and uncertainty June 25, 2021 14:05 to 15:50 Location: Parallel room 10
Session Chair: Yoosoon Chang, Indiana University
Session type: contributed
Bad News, Good News: Coverage and Response Asymmetries
presented by: Nicolò Maffei Faccioli, Università Bocconi, IGIER
Is there News in Inventories
presented by: Christoph Gortz, University of Birmingham
Complementarity and Macroeconomic Uncertainty
presented by: Nathaniel Throckmorton, William & Mary
Time-Varying Expectation Effects of Switching Financial Uncertainty
presented by: Yoosoon Chang, Indiana University
Session 130: Online Markets June 25, 2021 14:05 to 15:50 Location: Parallel room 11
Session Chair: Adi Shany, Tel Aviv University
Session type: contributed
Drugs on the Web, Crime in the Streets. The impact of Dark Web marketplaces on street crime
presented by: Diego Zambiasi, University College Doblin
Optimal Dynamic Hotel Pricing
presented by: Sung-Jin Cho, Seoul National University
How Markets Clear Without Prices? Service Time in Online Grocery
presented by: Adi Shany, Tel Aviv University
Session 131: Time Series Methods I June 25, 2021 14:05 to 15:50 Location: Parallel room 12
Session Chair: Juan Carlos Escanciano, Universidad Carlos III de Madrid
Session type: contributed
Quasi-score driven macro-financial vulnerability
presented by: Pierluigi Vallarino, Aarhus BSS
Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
presented by: Mengheng Li, University of Technology Sydney
Financial Distress as an Agency Problem: Evidence on Non-Monotonic and Substitute Discipline Effects of Leverage and Competition
presented by: Ayaz Zeynalov, Prague University of Economics and Business
Generalized Band Spectrum Estimation with an Application to the New Keynesian Phillips Curve
presented by: Juan Carlos Escanciano, Universidad Carlos III de Madrid
Session 132: Treatment Effects III June 25, 2021 14:05 to 15:50 Location: Parallel room 13
Session Chair: Carolina Caetano, University of Georgia
Session type: contributed
Decomposing Causal Effect Heterogeneity under Multiple Treatment Versions
presented by: Phillip Heiler, University of Aarhus
When Should We (Not) Interpret Linear IV Estimands as LATE?
presented by: Tymon Sloczynski, Brandeis University
Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments
presented by: Ying-Ying Lee, University of California, Irvine
Correcting for Endogeneity in Models with Bunching
presented by: Carolina Caetano, University of Georgia
Session 133: Auctions and Online Markets June 25, 2021 16:00 to 17:45 Location: Parallel room 1
Session Chair: Yao Luo, University of Toronto
Session type: contributed
Secret Reserve Prices by Uninformed Sellers
presented by: El Hadi Caoui, University of Toronto
Does the Internet Replace Brick-and-Mortar Bank Branches?
presented by: Minhae Kim, Ohio State University
Spatial Competition with Online Platforms: Theory and Evidence from the Wealth Management Product Market
presented by: Chao Ma, Xiamen University
Identification of Auction Models Using Order Statistics
presented by: Yao Luo, University of Toronto
Session 134: Covid-19 III June 25, 2021 16:00 to 17:45 Location: Parallel room 2
Session Chair: Stefanie Huber, University of Amsterdam, Tinbergen Institute
Session type: contributed
Living on my own: The impact of an epidemic on housing preferences
presented by: Michele Loberto, Banca d'Italia
The impact of COVID-19 on the European short-term rental market
presented by: Elisa Guglielminetti, Bank of Italy
Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model
presented by: Cynthia Yang, Florida State University
Zombies ahead: The Covid-19 consumption game-changer Evidence from a large-scale multi-country survey
presented by: Stefanie Huber, University of Amsterdam, Tinbergen Institute
Session 135: Financial Econometrics: Financial Volatility and Systemic Risk June 25, 2021 16:00 to 17:45 Location: Parallel room 3
Session Chair: Anne Opschoor, Vrije Universiteit Amsterdam
Session type: contributed
Elicitability of Market-Based Systemic-Risk Measures
presented by: Sylvain Benoit, Université Paris-Dauphine
Modelling Volatility Cycles: the (MF)^2 GARCH Model
presented by: Christian Conrad, Heidelberg University
Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas
presented by: Francesco Violante, ENSAE
Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution
presented by: Anne Opschoor, Vrije Universiteit Amsterdam
Session 136: Financial Stress and the Macroeconomy June 25, 2021 16:00 to 17:45 Location: Parallel room 4
Session Chair: Dario Caldara, Federal Reserve Board
Session type: contributed
Measuring Systemic Financial Stress and its Impact on the Macroeconomy
presented by: Manfred Kremer, European Central Bank
Growth-and-Risk Trade-o
presented by: Maria Dolores Gadea, University of Zaragoza
Quantifying Qualitative Survey Data: New Insights on the (Ir)Rationality of Firms' Forecasts
presented by: Plutarchos Sakellaris, Athens University of Economics and Business
Understanding Growth-at-Risk: A Markov-Switching Approach
presented by: Dario Caldara, Federal Reserve Board
Session 137: Forecasting IV June 25, 2021 16:00 to 17:45 Location: Parallel room 5
Session Chair: Alvaro Escribano, Universidad Carlos III de Madrid
Session type: contributed
All Forecasters are not the Same: Time-varying Predictive Ability Across Forecast Environments
presented by: Robert Rich, Federal Reserve Bank of Cleveland
Reconciled Estimates of Monthly GDP in the US
presented by: James Mitchell, Federal Reserve Bank of Cleveland
Forecasting Macroeconomic Risk in Real Time: Great and Covid-19 Recessions
presented by: Wouter Van der Veken, University of Ghent
Mixed Random Forest, Cointegration, and Forecasting Gasoline Prices
presented by: Alvaro Escribano, Universidad Carlos III de Madrid
Session 138: Inference in Binary Choice Models June 25, 2021 16:00 to 17:45 Location: Parallel room 6
Session Chair: Pavel Cizek, Tilburg University
Session type: contributed
Binary choice with asymmetric loss in a data-rich environment: theory and an application to racial justice
presented by: Andrii Babii, University of North Carolina at Chapel H
Fixed Effects Binary Choice Models with Three or More Periods
presented by: Martin Mugnier, Center For Research in Economics and Statistics (CREST)
A Discrete Choice Model for Partially Ordered Alternatives
presented by: Eleni Aristodemou, University of Cyprus
Misclassification-robust semiparametric estimation of single-index binary-choice models
presented by: Pavel Cizek, Tilburg University
Session 139: Labor Economics VI June 25, 2021 16:00 to 17:45 Location: Parallel room 7
Session Chair: Filippo Pusterla,
Session type: contributed
The Unintended Consequences of Maternity Leave Allowance on Fertility and Career Decisions
presented by: Sébastien Fontenay, Université Libre de Bruxelles
Keep Working and Spend Less? Collective Childcare and Parental Earnings in France
presented by: Pierre Pora, Drees-Crest-EconomiX
The Impact of Benefit Exhaustion on Unemployment
presented by: Jonas Jessen, DIW and FU Berlin
Does ICT Affect the Demand for Vocationally Educated Workers?
presented by: Filippo Pusterla,
Session 140: Local projections I June 25, 2021 16:00 to 17:45 Location: Parallel room 8
Session Chair: Edward Herbst, Federal Reserve Board
Session type: contributed
Local Projections vs. VARs: Lessons From Thousands of DGPs
presented by: Mikkel Plagborg-Møller, Princeton University
Local Projections in Unstable Environments
presented by: Yiru Wang, University of Pittsburgh
Quantile Local Projections: Identification, Smooth Estimation, and Inference
presented by: Josef Ruzicka, Universidad Carlos III de Madrid
Bias in Local Projections
presented by: Edward Herbst, Federal Reserve Board
Session 141: Macro V June 25, 2021 16:00 to 17:45 Location: Parallel room 9
Session Chair: Martin Bodenstein, Federal Reserve Board
Session type: contributed
The Economic Impact of Yield Curve Compression: Evidence from Euro Area Forward Guidance and Unconventional Monetary Policy
presented by: Robert Goodhead, Central Bank of Ireland
Ten Days Late and Billions of Dollars Short: The Employment Effects of Delays in Paycheck Protection Program Financing
presented by: Benjamin Kay, Federal Reserve Board
Partial Dollarization and Financial Frictions in Emerging Economies
presented by: Bo Yang, Swansea University
Social Distancing and Supply Disruptions in a Pandemic
presented by: Martin Bodenstein, Federal Reserve Board
Session 142: Monetary Policy VI June 25, 2021 16:00 to 17:45 Location: Parallel room 10
Session Chair: Tatevik Sekhposyan, Texas A&M University
Session type: contributed
A tail of labor supply and a tale of monetary policy
presented by: Filippo Ferroni, Federal Reserve Bank of Chicago
Quantitative Easing in US and Financial Cycles in Emerging Markets
presented by: Grzegorz Wesołowski, Narodowy Bank Polski
Estimation of Nonlinear Effects of the Fed's Interest Rate Policy Using the Generalized Propensity Score
presented by: Balázs Vonnák, Corvinus University of Budapest
Networking the Yield Curve: Implications for Monetary Policy
presented by: Tatevik Sekhposyan, Texas A&M University
Session 143: Network Econometrics: Applications II June 25, 2021 16:00 to 17:45 Location: Parallel room 11
Session Chair: Xiaodong Liu, University of Colorado Boulder
Session type: contributed
Spillovers and Redistribution through Intra-Firm Networks: The Product Replacement Channel
presented by: Ryan Kim, Johns Hopkins University
Endogenous Production Networks and Learning-by-Networking
presented by: Nuriye Melisa Bilgin, Koc University
The diffusion of knowledge: Evidence from the Jet Age
presented by: Fernando Stipanicic, Toulouse School of Economics
Collaboration in Bipartite Networks
presented by: Xiaodong Liu, University of Colorado Boulder
Session 144: Political Economy June 25, 2021 16:00 to 17:45 Location: Parallel room 12
Session Chair: Marlene Thomas, Nova School of Business and Economics
Session type: contributed
Hosting Refugees and Voting for the Far-Right: Evidence from France
presented by: Sarah Schneider-Strawczynski, Paris School of Economics, Paris 1 Panthéon-Sorbonne University
Populism and Ideological Convergence in a Multiparty System: Evidence from Finland
presented by: Tuuli Tähtinen, European University Institute
Does Organized Crime Attract EU funding? Evidence from Sicily
presented by: Marlene Thomas, Nova School of Business and Economics
Session 145: Prices,inflation, expectations II June 25, 2021 16:00 to 17:45 Location: Parallel room 13
Session Chair: Francesca Loria, Federal Reserve Board
Session type: contributed
Inflation Expectations and Uncertainty from the Perspective of Firms
presented by: Xuguang Simon Sheng, American University
Thinking Outside the Box: Do SPF Respondents Have Anchored Inflation Expectations?
presented by: Randal Verbrugge, Federal Reserve Bank of Cleveland
The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve
presented by: Guido Ascari, University of Oxford
Inflation at Risk
presented by: Francesca Loria, Federal Reserve Board
Session 146: Treatment Effects IV June 25, 2021 16:00 to 17:45 Location: Parallel room 14
Session Chair: Deepankar Basu, University of Massachusetts Amherst
Session type: contributed
Bounds on Causal Direct and Indirect Average Treatment Effects in the Presence of Noncompliance
presented by: Xuan Chen, Renmin University of China
The Impact of Retention on School Attainment: Local Average Treatment Effect(s) with a Multivalued Instrument
presented by: Derya Uysal, LMU Munich
The Effect of Retirement on Mental Health: Indirect Treatment Effects and Causal Mediation
presented by: Mingjia Xie, Tilburg University
Bias-Adjusted Treatment Effects Under Equal Selection
presented by: Deepankar Basu, University of Massachusetts Amherst
Session 147: Plenary 4, Juan Rubio Ramirez: Dividend momentum and stock return predictability: a Bayesian approach June 25, 2021 18:00 to 19:00 Location: Plenary room
Session type: invited