IAAE 2023 Annual Conference

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

#	Date/Time	Type	Title/Location	Papers
1	June 27, 2023 9:45-10:45	invited	IAAE Plenary Speaker 1: Tim Bollerslev, “Granular Volatilities, Betas and Functional Risk-Return Tradeoffs”     Location: A1-040	0
2	June 27, 2023 10:45-11:00	invited	Break     Location: A1-040	0
3	June 27, 2023 11:00-12:45	contributed	Central Banking I     Location: B2-060	4
4	June 27, 2023 11:00-12:45	contributed	Energy Shocks     Location: B2-070	3
5	June 27, 2023 11:00-12:45	contributed	High Frequency Financial Data     Location: C2-005	4
6	June 27, 2023 11:00-12:45	contributed	Household Finance     Location: C2-045	3
7	June 27, 2023 11:00-12:45	contributed	Inequalities in work     Location: C2-060	4
8	June 27, 2023 11:00-12:45	contributed	Instrumental Variables I     Location: C2-020	4
9	June 27, 2023 11:00-12:45	contributed	Peer Effects     Location: C2-040	3
10	June 27, 2023 11:00-12:45	contributed	Prices and Pricing Mechanisms     Location: C2-055	3
11	June 27, 2023 11:00-12:45	contributed	Quantiles     Location: B2-010	4
12	June 27, 2023 11:00-12:45	contributed	Semi-Parametric Methods     Location: C2-030	4
13	June 27, 2023 11:00-12:45	contributed	Structural Identification in Macro I     Location: B2-030	4
14	June 27, 2023 11:00-12:45	contributed	Topics in Forecasting     Location: C2-010	4
15	June 27, 2023 14:00-15:45	invited	Advances in econometrics I     Location: C2-040	4
16	June 27, 2023 14:00-15:45	invited	Advances in Panel Models     Location: C2-020	3
17	June 27, 2023 14:00-15:45	contributed	Applied Finance I     Location: C2-010	4
18	June 27, 2023 14:00-15:45	contributed	Applied Macroeconomics I     Location: B2-070	3
19	June 27, 2023 14:00-15:45	contributed	Credit Risk I     Location: C2-065	4
20	June 27, 2023 14:00-15:45	contributed	Demand Models and Estimation     Location: C2-045	4
21	June 27, 2023 14:00-15:45	contributed	Education     Location: C2-055	3
22	June 27, 2023 14:00-15:45	contributed	Financial Econometrics I     Location: C2-060	4
23	June 27, 2023 14:00-15:45	contributed	Forecast Evaluation     Location: B2-030	4
24	June 27, 2023 14:00-15:45	contributed	Inflation I     Location: B2-040	4
25	June 27, 2023 14:00-15:45	contributed	Local Average Treatment Effects     Location: C2-030	4
26	June 27, 2023 14:00-15:45	contributed	Matching Models and Applications     Location: C2-080	4
27	June 27, 2023 14:00-15:45	contributed	Modeling Persistence     Location: B2-060	4
28	June 27, 2023 14:00-15:45	contributed	Monetary Policy I     Location: B2-010	4
29	June 27, 2023 14:00-15:45	contributed	Mortgage and Household Debt     Location: B2-065	3
30	June 27, 2023 14:00-15:45	contributed	Shocks and dynamic equilibrium models     Location: C2-005	4
31	June 27, 2023 15:45-16:15	invited	Coffee Break     Location: Lunch Area	0
32	June 27, 2023 16:15-17:15	invited	Panel Session: Hashem Pesaran "High Dimensional Forecasting with Known Knowns and Known Unknowns"     Location: A1-040	0
33	June 27, 2023 17:15-18:15	invited	Plenary 2: Magne Mogstad, "Income and Substitution Effects of Labor Income Taxation"     Location: A1-040	0
34	June 28, 2023 8:30-9:20	invited	JAE Plenary Speaker 3: Lars Hansen - Risk, Ambiguity, and Misspecification: Decision Theory, Robust Control, and Statistics     Location: A1-040	0
35	June 28, 2023 9:20-9:45	invited	JAE Plenary Discussants: Marco del Negro & Mark Watson     Location: A1-040	0
36	June 28, 2023 10:15-12:00	contributed	Advances in econometrics II     Location: C2-045	4
37	June 28, 2023 10:15-12:00	contributed	Advances in Forecasting I     Location: B2-010	4
38	June 28, 2023 10:15-12:00	contributed	Applied Finance II     Location: C2-020	4
39	June 28, 2023 10:15-12:00	contributed	Applied Macroeconomics II     Location: B2-070	4
40	June 28, 2023 10:15-12:00	contributed	Dynamic discrete choice models     Location: C2-030	4
41	June 28, 2023 10:15-12:00	contributed	Dynamic Structural Models and Computational Methods     Location: C2-060	3
42	June 28, 2023 10:15-12:00	contributed	Firms and Pay     Location: C2-080	4
43	June 28, 2023 10:15-12:00	contributed	Inflation II     Location: C2-005	3
44	June 28, 2023 10:15-12:00	contributed	Monetary policy II     Location: B2-060	4
45	June 28, 2023 10:15-12:00	contributed	Return Predictability I     Location: C2-010	4
46	June 28, 2023 10:15-12:00	contributed	Stochastic Volatility     Location: B2-030	4
47	June 28, 2023 10:15-12:00	contributed	Structural Identification in Macro II     Location: B2-040	3
48	June 28, 2023 10:15-12:00	contributed	Treatment effects and policy evaluation     Location: C2-040	4
49	June 28, 2023 13:15-15:00	contributed	Bayesian Time Series     Location: B2-010	4
50	June 28, 2023 13:15-15:00	contributed	Central Banking II     Location: B2-060	4
51	June 28, 2023 13:15-15:00	contributed	Climate Forecasting     Location: B2-030	4
52	June 28, 2023 13:15-15:00	contributed	Competition     Location: C2-045	3
53	June 28, 2023 13:15-15:00	contributed	Empirical Asset Pricing     Location: C2-010	4
54	June 28, 2023 13:15-15:00	contributed	Expectations     Location: C2-060	4
55	June 28, 2023 13:15-15:00	contributed	Financial Econometrics II     Location: C2-030	4
56	June 28, 2023 13:15-15:00	contributed	Gender and Family     Location: C2-065	4
57	June 28, 2023 13:15-15:00	contributed	Oil     Location: B2-070	4
58	June 28, 2023 13:15-15:00	contributed	Partial identification     Location: C2-040	4
59	June 28, 2023 13:15-15:00	contributed	Recessions     Location: B2-040	3
60	June 28, 2023 13:15-15:00	contributed	Structural Macroeconomic Models     Location: C2-005	4
61	June 28, 2023 13:15-15:00	invited	Treatment Effects and Randomization Inference     Location: C2-020	3
62	June 28, 2023 15:30-17:15	contributed	Advances in difference in differences methods     Location: C2-040	4
63	June 28, 2023 15:30-17:15	contributed	Advances in Forecasting II     Location: B2-010	4
64	June 28, 2023 15:30-17:15	contributed	Advances in Time Series II     Location: B2-030	4
65	June 28, 2023 15:30-17:15	contributed	Applied Finance III     Location: C2-030	4
66	June 28, 2023 15:30-17:15	contributed	Applied Macroeconomics III     Location: B2-070	4
67	June 28, 2023 15:30-17:15	contributed	Climate Economics I     Location: B2-040	4
68	June 28, 2023 15:30-17:15	contributed	Credit Risk II     Location: C2-020	4
69	June 28, 2023 15:30-17:15	contributed	Empirical applications of causal inference     Location: C2-055	4
70	June 28, 2023 15:30-17:15	contributed	Empirical Games     Location: C2-065	4
71	June 28, 2023 15:30-17:15	contributed	Family Labour Supply and Welfare     Location: C2-080	4
72	June 28, 2023 15:30-17:15	contributed	Inflation III     Location: B2-060	3
73	June 28, 2023 15:30-17:15	contributed	Machine learning     Location: C2-045	3
74	June 28, 2023 15:30-17:15	contributed	Monetary Policy III     Location: C2-010	4
75	June 28, 2023 15:30-17:15	contributed	Structural VARs     Location: C2-005	4
76	June 28, 2023 15:30-17:15	contributed	Sustainability and climate change     Location: C2-060	4
77	June 28, 2023 17:15-18:15	invited	IAAE General Members' Meeting     Location: A1-040	0
78	June 29, 2023 8:45-9:45	invited	Plenary 4: Ana Maria Herrera - Nonlinear Impulse Response Functions     Location: A1-040	0
79	June 29, 2023 10:15-12:00	contributed	Advances in Econometrics III     Location: C2-060	3
80	June 29, 2023 10:15-12:00	contributed	Advances in Forecasting III     Location: B2-010	4
81	June 29, 2023 10:15-12:00	contributed	Applied Macroeconomics IV     Location: C2-020	3
82	June 29, 2023 10:15-12:00	contributed	Financial Econometrics III     Location: C2-010	4
83	June 29, 2023 10:15-12:00	contributed	Health and Disability     Location: C2-065	4
84	June 29, 2023 10:15-12:00	contributed	Identification and estimation of marginal treatment effects     Location: C2-040	4
85	June 29, 2023 10:15-12:00	contributed	Inflation IV     Location: C2-005	4
86	June 29, 2023 10:15-12:00	contributed	Lending and Capital Flows     Location: B2-060	4
87	June 29, 2023 10:15-12:00	contributed	Monetary Policy IV     Location: B2-070	4
88	June 29, 2023 10:15-12:00	contributed	Panel data models     Location: C2-030	4
89	June 29, 2023 10:15-12:00	contributed	Social Networks and Peer Effects     Location: C2-045	4
90	June 29, 2023 10:15-12:00	contributed	Structural Identification in Macro III     Location: B2-030	4
91	June 29, 2023 10:15-12:00	contributed	Time Varying Parameter Models     Location: B2-040	4
92	June 29, 2023 13:15-15:00	contributed	Central Banking III     Location: B2-070	4
93	June 29, 2023 13:15-15:00	contributed	Climate Economics II     Location: B2-060	4
94	June 29, 2023 13:15-15:00	contributed	Factor models     Location: C2-030	4
95	June 29, 2023 13:15-15:00	contributed	Financial Econometrics IV     Location: C2-020	4
96	June 29, 2023 13:15-15:00	contributed	Firms     Location: C2-045	4
97	June 29, 2023 13:15-15:00	contributed	Fiscal Policy I     Location: B2-040	4
98	June 29, 2023 13:15-15:00	contributed	Forecasting and ML     Location: B2-010	4
99	June 29, 2023 13:15-15:00	contributed	Inference Methods     Location: C2-060	4
100	June 29, 2023 13:15-15:00	contributed	Macroeconometrics     Location: C2-005	4
101	June 29, 2023 13:15-15:00	contributed	Migration     Location: C2-065	4
102	June 29, 2023 13:15-15:00	contributed	Quantile treatment effects     Location: C2-040	4
103	June 29, 2023 13:15-15:00	contributed	The Phillips Curve     Location: C2-010	4
104	June 29, 2023 13:15-15:00	contributed	Time Series Modeling     Location: B2-030	3
105	June 29, 2023 15:30-17:15	contributed	Advances in Methods for Policy Evaluation II     Location: C2-020	4
106	June 29, 2023 15:30-17:15	contributed	Applied Macroeconomics V     Location: C2-040	4
107	June 29, 2023 15:30-17:15	contributed	Auctions     Location: C2-055	3
108	June 29, 2023 15:30-17:15	contributed	Covid     Location: C2-030	3
109	June 29, 2023 15:30-17:15	contributed	Financial Econometrics V     Location: C2-010	4
110	June 29, 2023 15:30-17:15	contributed	Health     Location: C2-065	3
111	June 29, 2023 15:30-17:15	contributed	Inflation Expectations     Location: B2-070	4
112	June 29, 2023 15:30-17:15	contributed	Inflation Regimes     Location: C2-080	3
113	June 29, 2023 15:30-17:15	contributed	Jobs and Skills     Location: C2-060	4
114	June 29, 2023 15:30-17:15	contributed	Macroeconomic Risks     Location: B2-060	4
115	June 29, 2023 15:30-17:15	contributed	Natural Rate of Interest     Location: B2-010	3
116	June 29, 2023 15:30-17:15	contributed	Preferences and Consumption     Location: C2-045	4
117	June 29, 2023 15:30-17:15	contributed	Survey forecasts and uncertainty     Location: B2-040	4
118	June 29, 2023 15:30-17:15	contributed	Time Series Factors     Location: B2-030	4
119	June 29, 2023 15:30-17:15	contributed	Volatility, Risk, and Returns     Location: C2-005	4
120	June 29, 2023 17:20-18:20	invited	Plenary 5: Todd Clark - Shadow-Rate VARs     Location: A1-040	0
121	June 30, 2023 8:45-9:45	invited	Plenary 6: Hilde Bjornland - Structural Change and Second Round Effects: Energy and the Macroeconomy     Location: A1-040	0
122	June 30, 2023 10:15-12:00	contributed	Advances in Time Series I     Location: B2-070	3
123	June 30, 2023 10:15-12:00	contributed	Causal Analysis: Applications     Location: C2-010	4
124	June 30, 2023 10:15-12:00	contributed	Central Bank Communication     Location: B2-010	4
125	June 30, 2023 10:15-12:00	contributed	Fiscal Policy II     Location: B2-040	4
126	June 30, 2023 10:15-12:00	contributed	Health and Labour Supply     Location: C2-020	4
127	June 30, 2023 10:15-12:00	contributed	Instrumental Variables II     Location: C2-005	4
128	June 30, 2023 10:15-12:00	contributed	Labour Markets     Location: C2-030	4
129	June 30, 2023 10:15-12:00	contributed	Macroeconomic Uncertainty     Location: B2-060	4
130	June 30, 2023 10:15-12:00	contributed	Return Predictability II     Location: C2-040	4
131	June 30, 2023 10:15-12:00	contributed	Text-based Forecasting     Location: B2-030	4

 

131 sessions, 455 papers, and 0 presentations with no associated papers

IAAE 2023 Annual Conference
Detailed List of Sessions

Session 1: IAAE Plenary Speaker 1: Tim Bollerslev, “Granular Volatilities, Betas and Functional Risk-Return Tradeoffs” June 27, 2023 9:45 to 10:45 Location: A1-040
Session type: invited
Session 2: Break June 27, 2023 10:45 to 11:00 Location: A1-040
Session type: invited
Session 3: Central Banking I June 27, 2023 11:00 to 12:45 Location: B2-060
Session Chair: Chun-Che Chi, Academia Sinica
Session type: contributed
The Effects of Central Bank Extraordinary Measures on Financial Conditions: Evidence from Mexico
By Carlos Alba; Central Bank of Mexico Gabriel Cuadra; Banco de México Raul Ibarra; Banco de Mexico
presented by: Carlos Alba, Central Bank of Mexico
Whose Inflation Rates Matter Most? A DSGE Model and Machine Learning Approach to Monetary Policy in the Euro Area
By Daniel Stempel; Heinrich Heine University Düsseldorf Johannes Zahner; Philipps Universität Marburg
presented by: Johannes Zahner, Philipps Universität Marburg
Robust frequency-based monetary policy rules
By Alexander Dück; Institute for Monetary and Financial Stability Fabio Verona; Bank of Finland
presented by: Alexander Dück, Institute for Monetary and Financial Stability
Optimal Bank Reserve Remuneration and Capital Control Policy
By Chun-Che Chi; Academia Sinica Stephanie Schmitt-Grohe; Columbia University Martin Uribe; Columbia University
presented by: Chun-Che Chi, Academia Sinica
Session 4: Energy Shocks June 27, 2023 11:00 to 12:45 Location: B2-070
Session Chair: Karl Harmenberg, University of Oslo
Session type: contributed
Global Food and Energy Shocks and Their Transmission to the Euro Area Economy
By Carlos Montes-Galdon; European Central Bank Yiqiao Sun; European Central Bank;
presented by: Yiqiao Sun, European Central Bank;
Oil Windfalls and Regional Economic Performance in Russia
By Julia Skretting; Statistics Norway
presented by: Julia Skretting, Statistics Norway
Macro Shocks in a Micro Laboratory: Unified Evidence on Spousal Income Insurance, Household Spending, and Spillovers
By Andreas Fagereng Magnus Gulbrandsen; Norges Bank Karl Harmenberg; University of Oslo Gisle Natvik; BI Norwegian Business School
presented by: Karl Harmenberg, University of Oslo
Session 5: High Frequency Financial Data June 27, 2023 11:00 to 12:45 Location: C2-005
Session Chair: Dobrislav Dobrev, Board of Governors of the Federal Reserve System
Session type: contributed
Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models
By Roxana Halbleib; University of Freiburg
presented by: Roxana Halbleib, University of Freiburg
Testing for endogeneity of irregular sampling schemes
By Aleksey Kolokolov; University of Manchester
presented by: Aleksey Kolokolov, University of Manchester
Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence
By Yifan Li; University of Manchester Ingmar Nolte; Lancaster University Sandra Nolte; Lancaster University Management School Shifan Yu; Lancaster University
presented by: Ingmar Nolte, Lancaster University
High-Frequency Cross-Market Trading: Model Free Measurement and Testable Implications
By Dobrislav Dobrev; Board of Governors of the Federal Reserve System
presented by: Dobrislav Dobrev, Board of Governors of the Federal Reserve System
Session 6: Household Finance June 27, 2023 11:00 to 12:45 Location: C2-045
Session Chair: Magnus Gulbrandsen, Norges Bank
Session type: contributed
Earnings Dynamics and Income Insurance in Germany: A Cohort View
By Niklas Isaak; RWI - Leibniz Institute for Economic Research Robin Jessen; RWI
presented by: Niklas Isaak, RWI - Leibniz Institute for Economic Research
Intergenerational income mobility: A multivariate distribution regression approach
By Jonas Meier; University of Amsterdam Blaise Melly; University of Bern Costanza Naguib; University of Bern Marc Schranz; University of Bern
presented by: Marc Schranz, University of Bern
Peer Effects and Debt Accumulation: Heterogeneity and Consequences for Households’ Financial Vulnerability
By Magnus Gulbrandsen; Norges Bank
presented by: Magnus Gulbrandsen, Norges Bank
Session 7: Inequalities in work June 27, 2023 11:00 to 12:45 Location: C2-060
Session Chair: Soohyung Lee, Seoul National Univerity
Session type: contributed
Public Opinion, Racial Bias, and Labor Market Outcomes
By Kaveh Majlesi; Monash University Silvia Prina; Northeastern University Paul Sullivan; American University
presented by: Silvia Prina, Northeastern University
Can Firms Reduce the Child Penalty? Consequences of a Mandated Increase in Firm Family-Friendliness
By Pia Heckl; Vienna University of Economics and Business Elisabeth Wurm; Vienna University of Economics and Business
presented by: Pia Heckl, Vienna University of Economics and Business
Mind the (Gender Pay) Gap: Firm productivity and board gender composition
By Yannis Galanakis; King's College London
presented by: Yannis Galanakis, King's College London
Men against Nature: How Technological Innovation in Rice Farming Marginalized Women
By Soohyung Lee; Seoul National Univerity
presented by: Soohyung Lee, Seoul National Univerity
Session 8: Instrumental Variables I June 27, 2023 11:00 to 12:45 Location: C2-020
Session Chair: Henrik Sigstad, BI Norwegian Business School
Session type: contributed
Optimal Categorical Instrumental Variables
By Thomas Wiemann; University of Chicago
presented by: Thomas Wiemann, University of Chicago
Testing for Outliers in Robust Two-Stage Least Squares Regressions
By Jonas Kai Kurle; University of Oxford
presented by: Jonas Kai Kurle, University of Oxford
Bridging TSLS and JIVE
By Lei (Bill) Wang; Ohio State University
presented by: Lei (Bill) Wang, Ohio State University
2SLS with Multiple Treatments
By Manudeep Bhuller; University of Oslo Henrik Sigstad; BI Norwegian Business School
presented by: Henrik Sigstad, BI Norwegian Business School
Session 9: Peer Effects June 27, 2023 11:00 to 12:45 Location: C2-040
Session Chair: Naveen Sunder, Bentley University
Session type: contributed
Estimating Peer effects and Network Formation models with missing links
By Eyo Herstad; University of Chicago
presented by: Eyo Herstad, University of Chicago
Measurement Error and Peer Effects
By Yann Bramoullé; AMSE, CNRS Sebastiaan Maes; University of Antwerp
presented by: Sebastiaan Maes, University of Antwerp
The Company You Keep: Peer Effects of Kindergarten Attendance
By Naveen Sunder; Bentley University
presented by: Naveen Sunder, Bentley University
Session 10: Prices and Pricing Mechanisms June 27, 2023 11:00 to 12:45 Location: C2-055
Session Chair: Ao Wang, University of Warwick
Session type: contributed
Who Should be Subsidized for Electric Vehicles? Demand Estimation and Policy Design under Network Effects
By Jiarui Liu; University of Chicago
presented by: Jiarui Liu, University of Chicago
Estimating the Gains (and Losses) of Revenue Management
By Xavier D'Haultfoeuille; CREST Ao Wang; University of Warwick Philippe Fevrier; CREST Lionel Wilner; Insee
presented by: Ao Wang, University of Warwick
Cross-country price and inflation dispersion: Retail network or national border?
By Teresa Messner; Oesterreichische Nationalbank Fabio Rumler; Oesterreichische Nationalbank Georg Strasser; European Central Bank
presented by: Teresa Messner, Oesterreichische Nationalbank
Session 11: Quantiles June 27, 2023 11:00 to 12:45 Location: B2-010
Session Chair: Anthoulla Phella, University of Glasgow
Session type: contributed
Probabilistic quantile factor analysis
By Dimitris Korobilis; University of Glasgow Maximilian Schröder; BI Norwegian Business School
presented by: Maximilian Schröder, BI Norwegian Business School
Density forecasts of inflation: a quantile regressions forest approach
By Michele Lenza; European Central Bank Joan Paredes; European Central Bank Inès Moutachaker; INSEE
presented by: Joan Paredes, European Central Bank
Causality in Quantiles with Mixed Frequency Data: Futures on Commodities and Inflation
By Sara Boni; Free University of Bolzano Massimiliano Caporin; University of Padua Francesco Ravazzolo; Free University of Bozen-Bolzano
presented by: Sara Boni, Free University of Bolzano
Predicting tail risks and the evolution of temperatures
By Anthoulla Phella; University of Glasgow Vasco Gabriel; University of Victoria Luis Filipe Martins; Instituto Universitario de Lisboa, ISCTE
presented by: Anthoulla Phella, University of Glasgow
Session 12: Semi-Parametric Methods June 27, 2023 11:00 to 12:45 Location: C2-030
Session Chair: Anne Vanhems, TBS Education
Session type: contributed
Utility-Maximizing Binary Prediction via Nearest Neighbor Method and Its Application to Credit Scoring in Peer-to-Peer Lending
By Jiun-Hua Su; Academia Sinica
presented by: Jiun-Hua Su, Academia Sinica
A Sparse Grid Approach for the Nonparametric Estimation of High-Dimensional Random Coefficient Models
By Maximilian Osterhaus; University of Groningen
presented by: Maximilian Osterhaus, University of Groningen
Locally robust efficient Bayesian inference
By Marco Del Negro; Federal Reserve Bank of New York Ulrich Mueller; Princeton University Andriy Norets; Brown University
presented by: Andriy Norets, Brown University
A mollifier approach to the deconvolution of probability densities
By Anne Vanhems; TBS Education
presented by: Anne Vanhems, TBS Education
Session 13: Structural Identification in Macro I June 27, 2023 11:00 to 12:45 Location: B2-030
Session Chair: Pooyan Amir-Ahmadi, University of Illinois at Urbana-Champaign
Session type: contributed
Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty
By Alessio Volpicella; University of Surrey Andrea Carriero; Queen Mary Univerity of London
presented by: Alessio Volpicella, University of Surrey
Oil Shocks and US Banks: A SVAR Approach
By Paolo Gelain; Federal Reserve Bank of Cleveland Marco Lorusso; Newcastle University Business School Saeed Zaman; Federal Reserve Bank of Cleveland
presented by: Paolo Gelain, Federal Reserve Bank of Cleveland
Understanding Instruments in Macroeconomics - A Study of High-Frequency Identification
By Pooyan Amir-Ahmadi; University of Illinois at Urbana-Champaign Christian Matthes; Indiana University Mu-Chun Wang; Deutsche Bundesbank
presented by: Pooyan Amir-Ahmadi, University of Illinois at Urbana-Champaign
Controls, Not Shocks: Estimating Dynamic Causal Effects in the Face of Confounding Factors
By Simon Lloyd; Bank of England Ed Manuel; Bank of England
presented by: Ed Manuel, Bank of England
Session 14: Topics in Forecasting June 27, 2023 11:00 to 12:45 Location: C2-010
Session Chair: Rainer Schüssler, University of Rostock
Session type: contributed
Asymmetric loss in SPF forecasts
By Kajal Lahiri; University at Albany: SUNY Wuwei Wang; Southwestern University of Finance and Economics
presented by: Wuwei Wang, Southwestern University of Finance and Economics
Assessing the ex ante uncertainty in the US SPF
By Malte Knüppel; Deutsche Bundesbank Lora Pavlova; Karlsruhe Institute of Technology
presented by: Malte Knüppel, Deutsche Bundesbank
Partisan Bias in Professional Macroeconomic Forecasts
By Benjamin Kay; Federal Reserve Board Aeimit Lakdawala; Wake Forest University Jane Ryngaert; University of Notre Dame Michael Futch; Civitech
presented by: Benjamin Kay, Federal Reserve Board
Forecasting Macroeconomic Tail Risk in Real Time: Do Textual Data Add Value?
By Philipp Adämmer; University of Greifswald Jan Prüser; TU Dortmund Rainer Schüssler; University of Rostock
presented by: Rainer Schüssler, University of Rostock
Session 15: Advances in econometrics I June 27, 2023 14:00 to 15:45 Location: C2-040
Session Chair: Mark Watson, Princeton University
Session type: invited
Identification and Estimation of Categorical Random Coefficient Models
By Zhan Gao; University of Southern California
presented by: Zhan Gao, University of Southern California
Robust Minimum Distance Inference in Structural Models
By Joan Alegre; UC3M Juan Carlos Escanciano; Universidad Carlos III de Madrid
presented by: Joan Alegre, UC3M
Bias and Variance of Estimators in the Presence of Hellinger Speedless Points
By David Pacini; University of Bristol
presented by: David Pacini, University of Bristol
Spatial Unit Roots
By Ulrich Mueller; Princeton University Mark Watson; Princeton University
presented by: Mark Watson, Princeton University
Session 16: Advances in Panel Models June 27, 2023 14:00 to 15:45 Location: C2-020
Session Chair: Chris Muris, McMaster University
Session type: invited
Misspecification and Identification Robust Testing for Predictability in Panels with General Predictors
By Arturas Juodis; University of Amsterdam
presented by: Arturas Juodis, University of Amsterdam
Detecting structural breaks in spatial panel data models with unknown networks
By Ryo Okui; University of Tokyo Michele Aquaro; European Commission Wendun Wang; Erasmus University Rotterdam
presented by: Ryo Okui, University of Tokyo
New moment conditions and instrumental variables for the linear dynamic panel model
By Irene Botosaru; McMaster University Chris Muris; McMaster University
presented by: Chris Muris, McMaster University
Session 17: Applied Finance I June 27, 2023 14:00 to 15:45 Location: C2-010
Session Chair: Paul Wohlfarth, Solbridge International School of Business
Session type: contributed
Exchange Rate Supervised Topic Modelling
By Aaron Mora; University of Pennsylvania
presented by: Aaron Mora, University of Pennsylvania
A non-Normal framework for price discovery: The independent component based information shares measure
By Sebastiano Zema; Scuola Superiore Sant'Anna
presented by: Sebastiano Michele Zema, Sant'Anna School of Advanced Studies
Measuring price impact and information content of trades in a time-varying setting
By Francesco Campigli; Scuola Normale Superiore Giacomo Bormetti; University of Bologna Fabrizio Lillo; University of Bologna
presented by: Fabrizio Lillo, University of Bologna
Limits to Arbitrage and the Term Structure of CIP Violations
By Paul Wohlfarth; Solbridge International School of Business
presented by: Paul Wohlfarth, Solbridge International School of Business
Session 18: Applied Macroeconomics I June 27, 2023 14:00 to 15:45 Location: B2-070
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Session type: contributed
Impulse Response Functions in a Self-Exciting World
By Neville Francis; UNC Chapel Hill
presented by: Neville Francis, UNC Chapel Hill
Dynamic Macroeconomic Effects of Monetary Policy in China
By Ana Beatriz Galvao; Bloomberg Economics and University of Warwick
presented by: Ana Beatriz Galvao, Bloomberg Economics and University of Wa
Productivity Shocks and Income Inequality
By Laura Jackson Young; Bentley University Michael Owyang; Federal Reserve Bank of St Louis Ashley Stewart; Federal Reserve Bank of St. Louis
presented by: Michael Owyang, Federal Reserve Bank of St Louis
Session 19: Credit Risk I June 27, 2023 14:00 to 15:45 Location: C2-065
Session Chair: Serdar Kabaca, Bank of Canada
Session type: contributed
The Effects of Foreign Investor Composition on Colombia’s Sovereign Debt Flows
By Fredy Gamboa-Estrada; Banco de la Republica Andrés Sánchez Jabba; Banco de la República
presented by: Fredy Gamboa-Estrada, Banco de la Republica
Fast Two-Stage Variational Bayesian Approach to Estimating Panel Spatial Autoregressive Models with Unrestricted Spatial Weights Matrices
By Deborah Gefang; University of Leicester
presented by: Deborah Gefang, University of Leicester
Completing the Market: Generating Shadow CDS Spreads with Machine Learning
By Nan Hu; Hong Kong Institute for Monetary and Financial Research Jian Li; Dongbei University of Finance and Economics
presented by: Jian Li, Dongbei University of Finance and Economics
International transmission of quantitative easing policies: Evidence from Canada
By Serdar Kabaca; Bank of Canada Kerem Tuzcuoglu; Bank of Canada
presented by: Serdar Kabaca, Bank of Canada
Session 20: Demand Models and Estimation June 27, 2023 14:00 to 15:45 Location: C2-045
Session Chair: Victor Aguirregabiria, University of Toronto
Session type: contributed
Demand for in-app purchases in mobile apps – A difference-in-difference approach
By Andreea Enache; Stockholm School of Economics Richard Friberg; Stockholm School of Economics
presented by: Andreea Enache, Stockholm School of Economics
Semi-parametric instrument-free demand estimation: relaxing optimality and equilibrium assumptions
By Sung-Jin Cho; Seoul National University John Rust; Georgetown University
presented by: Sung-Jin Cho, Seoul National University
Estimation of perturbed utility models using demand inversion
By Mogens Fosgerau; University of Copenhagen Dennis Kristensen; University College London
presented by: Dennis Kristensen, University College London
Identification and Estimation of Demand Models with Endogenous Product Entry
By Victor Aguirregabiria; University of Toronto Alessandro Iaria; University of Bristol Senay Sokullu; University of Bristol
presented by: Victor Aguirregabiria, University of Toronto
Session 21: Education June 27, 2023 14:00 to 15:45 Location: C2-055
Session Chair: Ana Gazmuri, Toulouse School of Economics
Session type: contributed
Parental Investment, Child's Efforts, and Intergenerational Mobility.
By Hyunjae Kang; STONY BROOK UNIVERSITY
presented by: Hyunjae Kang, Stony Brook University
Heterogeneity in Long-Term Returns to Education: An Inconvenient Truth
By Philipp Kugler; IAW Tübingen Tim Ruberg; University of Hohenheim Anne Zühlke; Institute for Applied Economic Research
presented by: Tim Ruberg, University of Hohenheim
School Choice and Class-Size Effects: Unintended Consequences of a Targeted Voucher Program
By Ana Gazmuri; Toulouse School of Economics
presented by: Ana Gazmuri, Toulouse School of Economics
Session 22: Financial Econometrics I June 27, 2023 14:00 to 15:45 Location: C2-060
Session Chair: M. Hashem Pesaran, University of Southern California
Session type: contributed
Which (Nonlinear) Factor Models?
By Caio Almeida; Princeton University Gustavo Freire; Erasmus University Rotterdam
presented by: Gustavo Freire, Erasmus University Rotterdam
Time-varying Environmental Alphas, Betas, and Latent Factors in Corporate Bonds
By Emanuele Chini; University of Luxembourg Mirco Rubin; EDHEC Business School Dario Ruzzi; Bank of Italy
presented by: Mirco Rubin, EDHEC Business School
Regime causality
By Jerome Collet; Lombard Odier IM Florian Ielpo; Centre d'Economie de la Sorbonne
presented by: Jerome Collet, Lombard Odier IM
The role of pricing errors in linear asset pricing models with strong, semi-strong, and latent factors
By M. Hashem Pesaran; University of Southern California Ron Smith; Birkbeck, University of London
presented by: M. Hashem Pesaran, University of Southern California
Session 23: Forecast Evaluation June 27, 2023 14:00 to 15:45 Location: B2-030
Session Chair: Ramon Punder, University of Amsterdam
Session type: contributed
A Novel Approach to Predictive Accuracy Testing in Nested Environments
By Jean-Yves Pitarakis; Jean-Yves Pitarakis
presented by: Jean-Yves Pitarakis, Jean-Yves Pitarakis
On the use of mean square error and directional forecast accuracy for model selection: a Monte Carlo investigation
By Mauro Costantini; University of L'Aquila Robert Kunst; Institute for Advanced Studies Vienna
presented by: Robert Kunst, Institute for Advanced Studies Vienna
Calibration Test for Multi-horizon Density Forecasts
By Ana Beatriz Galvao; Bloomberg Economics and University of Warwick Giulia Mantoan; Bank of England James Mitchell; Federal Reserve Bank of Cleveland
presented by: Giulia Mantoan, Bank of England
A General Procedure for Localising Strictly Proper Scoring Rules
By Ramon Punder; University of Amsterdam
presented by: Ramon Punder, University of Amsterdam
Session 24: Inflation I June 27, 2023 14:00 to 15:45 Location: B2-040
Session Chair: Juan Wlasiuk, Central Bank of Chile
Session type: contributed
Inflation returns. Revisiting the role of foreign and domestic shocks with Bayesian structural VAR
By Karol Szafranek; Narodowy Bank Polski Grzegorz Szafranski; Narodowy Bank Polski Agnieszka Leszczynska-Paczesna; Narodowy Bank Polski
presented by: Grzegorz Szafranski, Narodowy Bank Polski
The Risk of Inflation Dispersion in the Euro Area
By Stephane Lhuissier; Banque de France Aymeric Ortmans; Universite Paris Saclay Fabien Tripier; Université Paris Dauphine - PSL
presented by: Fabien Tripier, Université Paris Dauphine - PSL
Dominant Drivers of National Inflation
By Jan Ditzen; Free University of Bozen-Bolzano Francesco Ravazzolo; Free University of Bozen-Bolzano
presented by: Jan Ditzen, Free University of Bozen-Bolzano
Where is the inflation? The diverging patterns of prices of goods and services
By Juan Wlasiuk; Central Bank of Chile
presented by: Juan Wlasiuk, Central Bank of Chile
Session 25: Local Average Treatment Effects June 27, 2023 14:00 to 15:45 Location: C2-030
Session Chair: Giovanni Mellace, University of Southern Denmark
Session type: contributed
Identification-robust inference for the LATE with high-dimensional covariates
By Yukun Ma; Vanderbilt University
presented by: Yukun Ma, Vanderbilt University
Abadie’s Kappa and Weighting Estimators of the Local Average Treatment Effect
By Tymon Sloczynski; Brandeis University S. Derya Uysal; LMU Munich Jeffrey Wooldridge; Michigan State University
presented by: S. Derya Uysal, LMU Munich
Identifying Program Benefits when Participation is Misreported
By Denni Tommasi; University of Bologna Lina Zhang; University of Amsterdam and Tinbergen Institute
presented by: Lina Zhang, University of Amsterdam and Tinbergen Institute
Limited Monotonicity and the Combined Compliers LATE
By Arthur Lewbel; Boston College Giovanni Mellace; University of Southern Denmark Nadja van 't Hoff; University of Southern Denmark
presented by: Giovanni Mellace, University of Southern Denmark
Session 26: Matching Models and Applications June 27, 2023 14:00 to 15:45 Location: C2-080
Session Chair: Andreas Fagereng, BI Norwegian Business School
Session type: contributed
Teacher Labor Market Policy and The Theory of the Second Best
By Michael Bates; UC Riverside Michael Dinerstein; University of Chicago Andrew Johnston Isaac Sorkin; Stanford University
presented by: Michael Bates, UC Riverside
Effects of centralizing school admissions on education equality
By Lisa Botbol; Toulouse School of Economics Ana Gazmuri; Toulouse School of Economics
presented by: Lisa Botbol, Toulouse School of Economics
Marriage and Employment Returns to Female Education
By Mohammad Hoseini; Tehran Institute for Advanced Studies, Khatam University
presented by: Mohammad Hoseini, Tehran Institute for Advanced Studies
Assortative Mating and Wealth Inequality
By Andreas Fagereng; BI Norwegian Business School
presented by: Andreas Fagereng, BI Norwegian Business School
Session 27: Modeling Persistence June 27, 2023 14:00 to 15:45 Location: B2-060
Session Chair: Anders Rygh Swensen, University of Oslo
Session type: contributed
The fractional unobserved components model: a generalization of trend-cycle decompositions to data of unknown persistence
By Tobias Hartl; University of Regensburg
presented by: Tobias Hartl, University of Regensburg
Frequency Domain Local Bootstrap in long memory time series
By Josu Arteche; UPV-EHU
presented by: Josu Arteche, UPV-EHU
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity
By Mika Meitz; University of Helsinki Pentti Saikkonen; University of Helsinki
presented by: Mika Meitz, University of Helsinki
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
By Anders Rygh Swensen; University of Oslo
presented by: Anders Rygh Swensen, University of Oslo
Session 28: Monetary Policy I June 27, 2023 14:00 to 15:45 Location: B2-010
Session Chair: Romain Crucil, HEC- Liège (University of Liège)
Session type: contributed
Taylor Rules with Endogenous Regimes
By Knut Are Aastveit; Norges Bank Jamie Cross; BI Norwegian Business School Francesco Furlanetto; Norges Bank Herman van Dijk; Erasmus University Rotterdam
presented by: Herman van Dijk, Erasmus University Rotterdam
Negative Rates, Monetary Policy Transmission and Cross-Border Lending via International Financial Centers
By Simon Lloyd; Bank of England Maren Froemel; Bank of England
presented by: Maren Froemel, Bank of England
Hawkish or Dovish Fed? Gauging the Monetary Policy Stance of the Median Participant of the Federal Open Market Committee
By Manuel González-Astudillo; Board of Governors of the Federal Reserv
presented by: Manuel González-Astudillo, Board of Governors of the Federal Reserv
Do monetary policy shocks affect financial uncertainty? A non-Gaussian proxy SVAR approach
By Romain Crucil; HEC- Liège (University of Liège) Julien Hambuckers; University of Liège - HEC Liège Simone Maxand; Europa-Universität Viadrina
presented by: Romain Crucil, HEC- Liège (University of Liège)
Session 29: Mortgage and Household Debt June 27, 2023 14:00 to 15:45 Location: B2-065
Session Chair: Knut Are Aastveit, Norges Bank
Session type: contributed
How does monetary policy affect household indebtedness?
By andreas fagereng Magnus Gulbrandsen; Norges Bank Martin Holm; University of Oslo Gisle Natvik; BI Norwegian Business School
presented by: Gisle Natvik, BI Norwegian Business School
Opioid Epidemic and Mortgage Default
By Tural Karimli; Frankfurt School of Finance and Management
presented by: Tural Karimli, Frankfurt School of Finance and Management
The leverage-liquidity trade-off of mortgage regulation
By Knut Are Aastveit; Norges Bank Ragnar Juelsrud; Norges Bank Ella Wold; BI Norwegian Business School
presented by: Knut Are Aastveit, Norges Bank
Session 30: Shocks and dynamic equilibrium models June 27, 2023 14:00 to 15:45 Location: C2-005
Session Chair: Bo Yang, Swansea University
Session type: contributed
Filtering with Limited Information
By Thorsten Drautzburg; Federal Reserve Bank of Philadelphia Jesus Fernandez-Villaverde; University of Pennsylvania Pablo Guerron; Boston College Dick Oosthuizen; University of Pennsylvania
presented by: Thorsten Drautzburg, Federal Reserve Bank of Philadelphia
Spectral decomposition of the information about latent variables in dynamic macroeconomic models
By Nikolay Iskrev; Bank of Portugal
presented by: Nikolay Iskrev, Bank of Portugal
Posterior Inferences on Incomplete Structural Models: The Minimal Econometric Interpretation
By Takashi Kano; Hitotsubashi University
presented by: Takashi Kano, Hitotsubashi University
The Use and Mis-Use of SVARs for Validating DSGE Models
By Bo Yang; Swansea University
presented by: Bo Yang, Swansea University
Session 31: Coffee Break June 27, 2023 15:45 to 16:15 Location: Lunch Area
Session type: invited
Session 32: Panel Session: Hashem Pesaran "High Dimensional Forecasting with Known Knowns and Known Unknowns" June 27, 2023 16:15 to 17:15 Location: A1-040
Session Chair: Marcelle Chauvet, University of California Riverside
Session type: invited
Session 33: Plenary 2: Magne Mogstad, "Income and Substitution Effects of Labor Income Taxation" June 27, 2023 17:15 to 18:15 Location: A1-040
Session type: invited
Session 34: JAE Plenary Speaker 3: Lars Hansen - Risk, Ambiguity, and Misspecification: Decision Theory, Robust Control, and Statistics June 28, 2023 8:30 to 9:20 Location: A1-040
Session type: invited
Session 35: JAE Plenary Discussants: Marco del Negro & Mark Watson June 28, 2023 9:20 to 9:45 Location: A1-040
Session type: invited
Session 36: Advances in econometrics II June 28, 2023 10:15 to 12:00 Location: C2-045
Session Chair: Enrique Sentana, CEMFI
Session type: contributed
Hidden in Plain Sight: Influential Sets in Linear Regression
By Nikolas Kuschnig; Vienna University of Economics and Business Gregor Zens; Vienna University of Economics and Business Jesus Crespo Cuaresma; Vienna University of Economics and Business
presented by: Nikolas Kuschnig, Vienna University of Economics and Business
Bootstrap inference in the presence of bias
By Giuseppe Cavaliere; University of Bologna Silvia Goncalves; McGill University Morten Nielsen; Aarhus University
presented by: Morten Nielsen, Aarhus University
Estimating Concentration Parameters for Bandit Algorithms
By Jonas Lieber; University of Chicago
presented by: Jonas Lieber, University of Chicago
Score-type tests for normal mixtures
By Dante Amengual; CEMFI Xinyue Bei; Duke University Marine Carrasco; University of Montreal Enrique Sentana; CEMFI
presented by: Enrique Sentana, CEMFI
Session 37: Advances in Forecasting I June 28, 2023 10:15 to 12:00 Location: B2-010
Session Chair: Boris Kozyrev, Halle Institute for Economic Research (IWH)
Session type: contributed
Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
By Alain Hecq; Maastricht University Marie Ternes; Maastricht University Ines Wilms; Maastricht University
presented by: Marie Ternes, Maastricht University
Similarity-based recession prediction in different interest rate environments
By Visa Kuntze; University of Turku Henri Nyberg; University of Turku Samuel Rauhala; University of Turku
presented by: Visa Kuntze, University of Turku
A time varying three pass regression filter
By Yiannis Dendramis; Athens University of Economics and Business George Kapetanios; King's College London Massimiliano Marcellino; Bocconi University
presented by: Yiannis Dendramis, Athens University of Economics and Business
Forecasting Economic Activity with a Neural Network in Uncertain Times: Monte Carlo Evidence and Application to German GDP
By Oliver Holtemöller; Martin-Luther-University Halle-Wittenberg and Halle Institute for Economic Boris Kozyrev; Halle Institute for Economic Research (IWH)
presented by: Boris Kozyrev, Halle Institute for Economic Research (IWH)
Session 38: Applied Finance II June 28, 2023 10:15 to 12:00 Location: C2-020
Session Chair: Maren Ulm, University of Liège
Session type: contributed
Uncovering the Asymmetric Information Content of High-Frequency Options
By Lykourgos Alexiou; University of Liverpool Management School Mattia Bevilacqua; University of Liverpool Rodrigo Hizmeri; University of Liverpool Management School
presented by: Mattia Bevilacqua, University of Liverpool
Characterizing the Conditional Pricing Kernel: A New Approach
By Hyung Joo Kim; Federal Reserve Board
presented by: Hyung Joo Kim, Federal Reserve Board
Characteristic function-based factor modelling of affine jump diffusions using options
By Niels Marijnen; University of Amsterdam
presented by: Niels Marijnen, University of Amsterdam
Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model
By Maren Ulm; University of Liège Julien Hambuckers; University of Liège - HEC Liège
presented by: Maren Ulm, University of Liège
Session 39: Applied Macroeconomics II June 28, 2023 10:15 to 12:00 Location: B2-070
Session Chair: Anna Lipinska, Federal Reserve Board
Session type: contributed
Measuring and Comparing Consumption Inequality Between France and the United States
By Aliocha Accardo; INSEE Sylverie Herbert; Banque de France Cristina Jude; Banque de France Adrian Penalver; Banque de France
presented by: Sylverie Herbert, Banque de France
Zoomers and Boomers: Asset Prices and Intergenerational Inequality
By Leland Farmer; University of Virginia Roger Farmer; Warwick University
presented by: Leland Farmer, University of Virginia
Macroeconomic Effects of the Gender Revolution
By Drago Bergholt; Norges Bank Research Luca Fosso; European Central Bank Francesco Furlanetto; Norges Bank
presented by: Luca Fosso, European Central Bank
Sectoral Shocks, Reallocation, and Labor Market Policies
By Anna Lipinska; Federal Reserve Board
presented by: Anna Lipinska, Federal Reserve Board
Session 40: Dynamic discrete choice models June 28, 2023 10:15 to 12:00 Location: C2-030
Session Chair: Vassilis Hajivassiliou, London School of Economics
Session type: contributed
A dynamic ordered logit model with fixed effects
By Chris Muris; McMaster University Pedro Raposo; FCEE-UCP Sotiris Vandoros; King's College London
presented by: Pedro Raposo, FCEE-UCP
Heterogeneity, Uncertainty and Learning: Semiparametric Identification and Estimation
By Jackson Bunting; Texas A&M University Paul Diegert; Duke University Arnaud Maurel; Duke University
presented by: Jackson Bunting, Texas A&M University
Transition Probabilities and Identifying Moments in Dynamic Fixed Effects Logit Models
By Kevin Dano; University of California Berkeley
presented by: Kevin Dano, University of California Berkeley
Simultaneously Incomplete and Incoherent (SII) Dynamic LDV Models: With an Application to Financing Constraints and Firms' Decision to Innovate
By Vassilis Hajivassiliou; London School of Economics Frederique Savignac; Banque de France
presented by: Vassilis Hajivassiliou, London School of Economics
Session 41: Dynamic Structural Models and Computational Methods June 28, 2023 10:15 to 12:00 Location: C2-060
Session Chair: Fedor Iskhakov, Australian National University
Session type: contributed
A fast upper envelope scan method for discrete-continuous dynamic programming
By Loretti Dobrescu; University of New South Wales Akshay Shanker; University of New South Wales, Sydney
presented by: Akshay Shanker, University of New South Wales, Sydney
Central Bank Digital Currency and Banking Choices
By Jiaqi Li; Bank of Canada
presented by: Jiaqi Li, Bank of Canada
Equilibrium Trade in Automobiles
By Kenneth Gillingham; Yale University Fedor Iskhakov; Australian National University Anders Munk-Nielsen; University of Copenhagen John Rust; Georgetown University Bertel Schjerning; University of Copenhagen
presented by: Fedor Iskhakov, Australian National University
Session 42: Firms and Pay June 28, 2023 10:15 to 12:00 Location: C2-080
Session Chair: Jason Sockin, University of Pennsylvania
Session type: contributed
Careers in Multinational Enterprises
By Michiel Gerritse; Erasmus University Rotterdam Bas Karreman; Erasmus School of Economics Marcus Roesch; Erasmus University Rotterdam
presented by: Marcus Roesch, Erasmus University Rotterdam
Firm-Level Productivity and Demand Shocks in Imperfectly Competitive Labor Markets: Implications for Wage Dynamics
By Micole De Vera; CEMFI
presented by: Micole De Vera, CEMFI
Firm Shutdowns: The Great Equalizer?
By Johannes König; DIW Berlin Maximilian Longmuir; Humboldt Universität zu Berlin Johannes Seebauer; DIW Berlin & Berlin School of Economics
presented by: Johannes Seebauer, DIW Berlin & Berlin School of Economics
Show Me the Amenity: Are Higher-Paying Firms Better All Around?
By Jason Sockin; University of Pennsylvania
presented by: Jason Sockin, University of Pennsylvania
Session 43: Inflation II June 28, 2023 10:15 to 12:00 Location: C2-005
Session Chair: Claudio Morana, University Milano Bicocca; CefES; RCEA-Europe ETS; CeRP - Collegio Carlo Alberto
Session type: contributed
Trend Inflation under Bounded Rationality
By Francisco Ilabaca; US Treasury - Office of Financial Research Greta Meggiorini; University of California, Irvine
presented by: Francisco Ilabaca, US Treasury - Office of Financial Research
Uncertainty and the Business Cycle When Inflation is High
By Efrem Castelnuovo; University of Padova Giovanni Pellegrino; University of Padova Laust Særkjær; Aarhus University
presented by: Laust Særkjær, Aarhus University
Euro Area Inflation and a New Measure of Core Inflation
By Claudio Morana; University Milano Bicocca; CefES; RCEA-Europe ETS; CeRP - Collegio Carlo Alberto
presented by: Claudio Morana, University Milano Bicocca; CefES; RCEA-Europe ETS; CeRP - Collegio Carlo Alberto
Session 44: Monetary policy II June 28, 2023 10:15 to 12:00 Location: B2-060
Session Chair: Robert Goodhead, Central Bank of Ireland
Session type: contributed
Why Follow the Fed? Monetary Policy in Times of US Tightening
By Gonzalo Huertas; IMF
presented by: Gonzalo Huertas, IMF
The Investment Channel of Monetary Policy: Evidence from Norway
By Jin Cao; Norges Bank Torje Hegna; University of Oslo Martin Holm; University of Oslo Ragnar Juelsrud; Norges Bank Tobias König; University of Bonn Mikkel Riiser; Norges Bank
presented by: Mikkel Riiser, Norges Bank
Central Bank Mandates and Monetary Policy Stances: through the Lens of Federal Reserve Speeches
By Christoph Bertsch; Sveriges Riksbank Isaiah Hull; BI Norwegian Business School Robin Lumsdaine; Kogod School of Business, American University Xin Zhang; Sveriges Riksbank
presented by: Isaiah Hull, BI Norwegian Business School
The Central Bank Crystal Ball: Temporal information in monetary policy communication
By David Byrne; Central Bank of Ireland Robert Goodhead; Central Bank of Ireland Michael McMahon; University of Oxford Conor Parle; European Central Bank
presented by: Robert Goodhead, Central Bank of Ireland
Session 45: Return Predictability I June 28, 2023 10:15 to 12:00 Location: C2-010
Session Chair: Ivan Petrella, University of Warwick
Session type: contributed
Predicting Equity Returns with Forecast Combinations of Deep Learning and Ensemble Methods
By Eike Brinkop; University of Reading Emese Lazar; University of Reading Marcel Prokopczuk; Leibniz University Hannover
presented by: Eike Brinkop, University of Reading
Simulated Minimum Distance Estimation of Return Predictive Regressions
By Marco Bianco; Lund University
presented by: Marco Bianco, Lund University
Climate transition risks and financial stability
By Javier Ojea Ferreiro Juan C. Reboredo; Universidade de Santiago de Compostela Andrea Ugolini; University of Millano-Bicocca
presented by: Andrea Ugolini, University of Millano-Bicocca
Taming Momentum Crashes
By Daniele Bianchi; Queen Mary, University of London Andrea De Polis; University of Warwick Ivan Petrella; University of Warwick
presented by: Ivan Petrella, University of Warwick
Session 46: Stochastic Volatility June 28, 2023 10:15 to 12:00 Location: B2-030
Session Chair: Andrea Renzetti, University of Bologna
Session type: contributed
Large Stochastic Volatility in Mean VARs
By Jamie Cross; BI Norwegian Business School Chenghan Hou; Hunan University Gary Koop; University of Strathclyde Aubrey Poon; Örebro University
presented by: Aubrey Poon, Örebro University
Structural Vector Autoregressions with Common Factor Stochastic Volatility
By Max Diegel; Universität zu Köln
presented by: Max Diegel, Universität zu Köln
Flexible Fat-tailed Vector Autoregression
By Sune Karlsson; Örebro University Stepan Mazur; Örebro University
presented by: Stepan Mazur, Örebro University
Modelling and forecasting macroeconomic risk with time varying skewness stochastic volatility models
By Andrea Renzetti; University of Bologna
presented by: Andrea Renzetti, University of Bologna
Session 47: Structural Identification in Macro II June 28, 2023 10:15 to 12:00 Location: B2-040
Session Chair: Adam Lee, BI Norwegian Business School
Session type: contributed
A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters
By Giacomo Bormetti; University of Bologna Fulvio Corsi; University of Pisa
presented by: Giacomo Bormetti, University of Bologna
Quantile Structural Vector Autoregression
By Josef Ruzicka; Nazarbayev University
presented by: Josef Ruzicka, Nazarbayev University
Robust Inference for Non-Gaussian SVAR models
By Adam Lee; BI Norwegian Business School
presented by: Adam Lee, BI Norwegian Business School
Session 48: Treatment effects and policy evaluation June 28, 2023 10:15 to 12:00 Location: C2-040
Session Chair: Sungwon Lee, Sogang University
Session type: contributed
Distributional Difference-in-Differences for Underreported Discrete Outcomes
By Daniel Gutknecht; Goethe University Frankfurt Cenchen Liu; Goethe University Frankfurt
presented by: Cenchen Liu, Goethe University Frankfurt
Dynamic Treatment Effects with Endogenous and Varying-intensity Treatments
By Dakyung Seong; University of Sydney Shu Shen; UC Davis Jaerim Choi; University of Hawaii at Manoa
presented by: Shu Shen, UC Davis
A Unified Framework for Dynamic Treatment Effect Estimation in Interactive Fixed Effect Models
By Nicholas Brown; Queen's University Kyle Butts; University of Colorado Boulder
presented by: Nicholas Brown, Queen's University
Semiparametric Models for Dynamic Treatment Effects and Mediation Analyses with Observational Data
By Sukjin Han; University of Bristol Sungwon Lee; Sogang University
presented by: Sungwon Lee, Sogang University
Session 49: Bayesian Time Series June 28, 2023 13:15 to 15:00 Location: B2-010
Session Chair: Danilo Cascaldi-Garcia, Federal Reserve Board
Session type: contributed
Conditional density forecasting: a tempered importance sampling approach
By Carlos Montes-Galdon; European Central Bank Joan Paredes; European Central Bank Elias Wolf; Freie Universität Berlin
presented by: Elias Wolf, Freie Universität Berlin
Enhanced Bayesian Neural Networks for Macroeconomics and Finance
By Niko Hauzenberger; University of Salzburg Florian Huber; University of Salzburg Karin Klieber; Oesterreichische Nationalbank Massimiliano Marcellino; Bocconi University
presented by: Karin Klieber, Oesterreichische Nationalbank
Dynamic Calibration and Combination of Models Predictions
By Dario Palumbo; Ca' Foscari University of Venice
presented by: Dario Palumbo, Ca' Foscari University of Venice
Pandemic Priors
By Danilo Cascaldi-Garcia; Federal Reserve Board
presented by: Danilo Cascaldi-Garcia, Federal Reserve Board
Session 50: Central Banking II June 28, 2023 13:15 to 15:00 Location: B2-060
Session Chair: Stefan Laseen, Sveriges Riksbank
Session type: contributed
Time-Varying Effects of ECB Policy Announcements
By Max Breitenlechner; University of Innsbruck Daniel Gründler; University of Innsbruck Johann Scharler; University of Innsbruck
presented by: Max Breitenlechner, University of Innsbruck
Monetary Policy Inertia According to Central Bankers: Evidence from Bank of Canada Staff Forecasts
By Kyra Carmichael; Bank of Canada Francesca Rondina; University of Ottawa
presented by: Kyra Carmichael, Bank of Canada
Central Bank Communication of Uncertainty
By Klodiana Istrefi; Banque de France and CEPR
presented by: Klodiana Istrefi, Banque de France and CEPR
Central bank asset purchases: Insights from quantitative easing auctions of government bonds
By Stefan Laseen; Sveriges Riksbank
presented by: Stefan Laseen, Sveriges Riksbank
Session 51: Climate Forecasting June 28, 2023 13:15 to 15:00 Location: B2-030
Session Chair: Yoosoon Chang, Indiana University
Session type: contributed
Long-term climate forecasts: a heterogeneous future
By Maria Dolores Gadea; University of Zaragoza Jesus Gonzalo; Universidad Carlos III de Madrid
presented by: Maria Dolores Gadea, University of Zaragoza
Forecasting Global Temperatures by Exploiting Cointegration with Radiative Force
By Luca Benati; Department of Economics
presented by: Luca Benati, Department of Economics
Heterogeneous Predictive Association of CO2 with Global Warming
By Liang Chen; Peking University JUAN J. DOLADO; Universidad Carlos III de Madrid Jesus Gonzalo; Universidad Carlos III de Madrid Andrey Ramos Ramirez; Universidad Carlos III de Madrid
presented by: Andrey Ramos Ramirez, Universidad Carlos III de Madrid
Unraveling Dynamic Interactions of Economic Activity and Climate Change
By Yoosoon Chang; Indiana University J. Isaac Miller; University of Missouri Joon Park; Indiana University
presented by: Yoosoon Chang, Indiana University
Session 52: Competition June 28, 2023 13:15 to 15:00 Location: C2-045
Session Chair: Clara Etcheverry, Institut Mines-Télécom Business School
Session type: contributed
The Cannibalization Effects of Within-Firm Competition: Evidence from Product Assortment Decisions
By Francis Guiton; University of Toronto
presented by: Francis Guiton, University of Toronto
The Consequences of Vertical Integration in Residential Real Estate Markets
By Rebecca Jorgensen; University of Pennsylvania
presented by: Rebecca Jorgensen, University of Pennsylvania
The Impact of Online Grocery Shopping on Retail Competition and Profit Sharing: an Empirical Evidence of the French Soft Drink Market
By Celine Bonnet; Toulouse School of Economics Clara Etcheverry; Institut Mines-Télécom Business School
presented by: Clara Etcheverry, Institut Mines-Télécom Business School
Session 53: Empirical Asset Pricing June 28, 2023 13:15 to 15:00 Location: C2-010
Session Chair: Yu Bai, Monash University
Session type: contributed
Fundamental Anomalies
By Erica Li; Cheung Kong Graduate School of Business Guoliang Ma; Iowa State University Shujing Wang; Tongji University Cindy Yu; Iowa State University
presented by: Erica Li, Cheung Kong Graduate School of Business
A No-Arbitrage Approach to Asset Pricing using Panel Data Asymptotics
By Fabio Araujo; BCB Joao Issler; Getulio Vargas Foundation
presented by: João Issler, Getulio Vargas Foundation
Parametric portfolio weights with many factors
By Bart Keijsers; University of Amsterdam Mario Rothfelder; University of Amsterdam
presented by: Bart Keijsers, University of Amsterdam
GMM estimation for moment condition models with time-varying parameters
By Yu Bai; Monash University
presented by: Yu Bai, Monash University
Session 54: Expectations June 28, 2023 13:15 to 15:00 Location: C2-060
Session Chair: Daniel Gray, University of Sheffield
Session type: contributed
Subjective income expectations and consumption dynamics
By Henrique Basso; Bank of Spain Olympia Bover; Bank of Spain Jose Maria Casado; AIReF Julio Galvez; Bank of Spain Laura Hospido; Bank of Spain
presented by: Julio Galvez, Bank of Spain
Beliefs, Stockholding, and Wealth Accumulation Throughout the Life Cycle
By Mateo Velásquez-Giraldo; Johns Hopkins University
presented by: Mateo Velásquez-Giraldo, Johns Hopkins University
The pass-through from inflation perceptions to inflation expectations
By Stefanie Huber; University of Amsterdam Daria Minina; University of Amsterdam Tobias Schmidt; Deutsche Bundesbank
presented by: Tobias Schmidt, Deutsche Bundesbank
Arbitrary Inflation in Fractional Models
By Sarah Brown; University of Sheffield Daniel Gray; University of Sheffield William Greene; New York University Mark Harris; Curtin University
presented by: Daniel Gray, University of Sheffield
Session 55: Financial Econometrics II June 28, 2023 13:15 to 15:00 Location: C2-030
Session Chair: John Cotter, University College Dublin
Session type: contributed
GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices
By Yannick Dillschneider; University of Amsterdam Raimond Maurer; Goethe University Frankfurt
presented by: Yannick Dillschneider, University of Amsterdam
Tensor Principal Component Analysis
By Andrii Babii; UNC-Chapel Hill Eric Ghysels; University of North Carolina-Chapel Hill Junsu Pan; University of North Carolina at Chapel H
presented by: Eric Ghysels, University of North Carolina-Chapel Hill
Bootstrap Inference in Group Factor Models
By Silvia Goncalves; McGill University Yookyung Julia Koh; McGill University Benoit Perron; University of Montreal
presented by: Benoit Perron, University of Montreal
Macro-Financial Spillovers
By John Cotter; University College Dublin
presented by: John Cotter, University College Dublin
Session 56: Gender and Family June 28, 2023 13:15 to 15:00 Location: C2-065
Session Chair: Bruno Souza, University of Warwick
Session type: contributed
The Women-Empowering Effect of Higher Education.
By Alina Shirshikova; Maastricht University Ahmed Elsayed; IZA
presented by: Alina Shirshikova, Maastricht University
Does marriage shape gender role attitudes? Evidence from a schooling reform in China
By Huali Wu; ESSEC Business School
presented by: Huali Wu, ESSEC Business School
Parental Leave, Worker Substitutability, and Firms’ Employment
By Mathias Huebener; BiB, DIW Berlin Jonas Jessen; IZA, Berlin School of Economics, DIW Berlin Daniel Kuehnle; University Duisburg-Essen Michael Oberfichtner; Institute for Employment Research (IAB)
presented by: Jonas Jessen, IZA, Berlin School of Economics, DIW Berlin
To Take or not to Take: Voluntary Maternity Benefits and their Effects on Labor Market Outcomes
By Bruno Souza; University of Warwick
presented by: Bruno Souza, University of Warwick
Session 57: Oil June 28, 2023 13:15 to 15:00 Location: B2-070
Session Chair: Zakaria Moussa, Department of Economics
Session type: contributed
The Price Responsiveness of Shale Producers: Evidence from Micro Data
By Knut Are Aastveit; Norges Bank Hilde Bjørnland; BI Norwegian Business School Thomas Størdal Gundersen; BI Norwegian Business School
presented by: Thomas Størdal Gundersen, BI Norwegian Business School
Identification of Expectational Shocks in the Oil Market using OPEC Announcements
By Riccardo Degasperi; Bank of Italy
presented by: Riccardo Degasperi, Bank of Italy
A Leap in the Dark: How Climate Policy Risk Led to Underinvestment in the Energy Sector
By Mehdi Benatiya Andaloussii; International Monetary Fund Christian Bogmans; International Monetary Fund Andrea Pescatori; IMF Ervin Prifti; IMF
presented by: Christian Bogmans, International Monetary Fund
Identifying oil supply news shocks and their effects on the global oil market
By Zakaria Moussa; Department of Economics Arthur Thomas; Univeristy Paris Dauphine - PSL and CREST
presented by: Zakaria Moussa, Department of Economics
Session 58: Partial identification June 28, 2023 13:15 to 15:00 Location: C2-040
Session Chair: Mathieu Marcoux, Université de Montréal
Session type: contributed
Bootstrap Hausdorff Confidence Regions for Average Treatment Effect Bounds
By Xueyan Zhao; Monash University
presented by: Xueyan Zhao, Monash University
Optimal Decision Rules Under Partial Identification
By Kohei Yata; University of Wisconsin-Madison
presented by: Kohei Yata, University of Wisconsin-Madison
Partially Linear Models under Data Combination
By Xavier D'Haultfœuille; CREST-ENSAE Christophe Gaillac; Nuffield College, University of Oxford Arnaud Maurel; Duke University, NBER and IZA
presented by: Christophe Gaillac, Nuffield College, University of Oxford
A Simple Specification Test for Models with Many Conditional Moment Inequalities
By Mathieu Marcoux; Université de Montréal Thomas Russell; Carleton University Yuanyuan Wan; University of Toronto
presented by: Mathieu Marcoux, Université de Montréal
Session 59: Recessions June 28, 2023 13:15 to 15:00 Location: B2-040
Session Chair: Maximilian Göbel, Bocconi University
Session type: contributed
The scarring effects of deep contractions
By David Aikman; King's College London Mathias Drehmann; Bank for International Settlements Mikael Juselius; Bank of FInland Xiaochuan Xing; Yale University
presented by: Mikael Juselius, Bank of Finland
An Investigation into the Probability That This is the Last Year of the Economic Expansion
By Manfred Keil; Claremont McKenna College
presented by: Manfred Keil, Claremont McKenna College
Forecasting U.S. Recessions: The Yield-Curve - What Else?!
By Maximilian Göbel; Bocconi University
presented by: Maximilian Göbel, Bocconi University
Session 60: Structural Macroeconomic Models June 28, 2023 13:15 to 15:00 Location: C2-005
Session Chair: Francesco Furlanetto, Norges Bank
Session type: contributed
Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets
By Ansgar Rannenberg; National Bank of Belgium
presented by: Ansgar Rannenberg, National Bank of Belgium
Aerospace Growth Spillovers: a Macroeconomic Perspective
By Luisa Corrado; University of Rome Tor Vergata Stefano Grassi; Universita di Roma 'Tor Vergata' Aldo Paolillo; Free University of Bozen-Bolzano Edgar Silgado-Gomez; Central Bank of Ireland
presented by: Aldo Paolillo, Free University of Bozen-Bolzano
Estimating Nonlinear Heterogeneous Agents Models with Neural Networks
By Hanno Kase; University of Minnesota Leonardo Melosi; Federal Reserve Bank of Chicago Matthias Rottner; Deutsche Bundesbank
presented by: Matthias Rottner, Deutsche Bundesbank
Explaining Deviations from Okun’s Law
By Claudia Foroni; ECB Francesco Furlanetto; Norges Bank
presented by: Francesco Furlanetto, Norges Bank
Session 61: Treatment Effects and Randomization Inference June 28, 2023 13:15 to 15:00 Location: C2-020
Session Chair: Marinho Bertanha, University of Notre Dame
Session type: invited
Design-Based Uncertainty for Quasi-Experiments
By Ashesh Rambachan; Microsoft Research New England Jonathan Roth; Brown University
presented by: Ashesh Rambachan, Microsoft Research New England
Permutation Inference under Dependence
By EunYi Chung; University of Illinois at Urbana-Champai Ji Hyung Lee; University of Illinois
presented by: EunYi Chung, University of Illinois at Urbana-Champai
Randomization Inference on Policy Assignments
By Marinho Bertanha; University of Notre Dame EunYi Chung; University of Illinois at Urbana-Champai Azeem Shaikh; University of Chicago
presented by: Marinho Bertanha, University of Notre Dame
Session 62: Advances in difference in differences methods June 28, 2023 15:30 to 17:15 Location: C2-040
Session Chair: Sarojini Hirshleifer, UC Riverside
Session type: contributed
Difference-in-differences with Economic Factors and the Case of Housing Returns
By Jiyuan Huang; University of Zurich Per Östberg; University of Zurich
presented by: Jiyuan Huang, University of Zurich
Identification and Estimation of Indirect Effects with Difference-in-Differences
By Timo Schenk; University of Amsterdam
presented by: Timo Schenk, University of Amsterdam
Estimation of heterogeneous treatment effects using two-way fixed effects
By Jhordano Aguilar; University of Groningen
presented by: Jhordano Aguilar, University of Groningen
Correcting Attrition Bias via Changes-in-Changes
By Dalia Ghanem; University of California, Davis Sarojini Hirshleifer; UC Riverside Desire Kedagni; Iowa State University Karen Ortiz-Becerra; UCDavis
presented by: Sarojini Hirshleifer, UC Riverside
Session 63: Advances in Forecasting II June 28, 2023 15:30 to 17:15 Location: B2-010
Session Chair: Aubrey Poon, Örebro University
Session type: contributed
Employment Reconciliation and Nowcasting\
By Simon van Norden; HEC Montréal
presented by: Simon van Norden, HEC Montréal
Measuring and Nowcasting Macroeconomic Variables with Textual Data: examples from Twitter
By Juri Marcucci; Bank of Italy
presented by: Juri Marcucci, Bank of Italy
A Flexible Bayesian MIDAS Approach for Interpretable Nowcasting and Forecasting
By David Kohns; Heriot-Watt University Galina Potjagailo; Bank of England
presented by: David Kohns, Heriot-Watt University
Conditional Forecasts in Large Bayesian VARs with Multiple Soft and Hard Constraints
By Joshua Chan; Purdue University Davide Pettenuzzo; Brandeis Univeristy Aubrey Poon; Örebro University Dan Zhu; Monash University
presented by: Aubrey Poon, Örebro University
Session 64: Advances in Time Series II June 28, 2023 15:30 to 17:15 Location: B2-030
Session Chair: Maria Dolores Gadea, University of Zaragoza
Session type: contributed
A Robust Test for Weak Instruments with Multiple Endogenous Regressors
By Daniel Lewis; University College London Karel Mertens; Federal Reserve Bank of Dallas
presented by: Daniel Lewis, University College London
Monte Carlo Likelihood Ratio Tests for Markov Switching Models
By Jean-Marie Dufour; McGill University Gabriel Rodriguez Rondon; McGill University
presented by: Gabriel Rodriguez Rondon, McGill University
A Score-Driven Filter for Time-Varying Regression Models with Endogenous Regressors
By Francisco Blasques; Vrije Universiteit Amsterdam Noah Stegehuis; Vrije Universiteit Amsterdam
presented by: Noah Stegehuis, Vrije Universiteit Amsterdam
Local Projections Inference
By Maria Dolores Gadea; University of Zaragoza Oscar Jorda
presented by: Maria Dolores Gadea, University of Zaragoza
Session 65: Applied Finance III June 28, 2023 15:30 to 17:15 Location: C2-030
Session Chair: Benjamin Holcblat, University of Luxembourg
Session type: contributed
Believe it or Not: The Role of Investor Beliefs for Private Equity Valuation
By Aleksandr Ermakov; University of Luxembourg
presented by: Aleksandr Ermakov, University of Luxembourg
Who Knows? Information Differences Between Trader Types
By Albert Menkveld; Vrije Universiteit Amsterdam Ion Lucas Saru; VU Amsterdam
presented by: Ion Lucas Saru, VU Amsterdam
Cross Market Impact and Price Bubbles: A Two-Asset Lab-Experiment
By Philipp Chapkovski Francesco Cordoni; Royal Holloway, University of London Caterina Giannetti; University of Pisa, Department of Economics and Center E. Piaggio Fabrizio Lillo; University of Bologna
presented by: Caterina Giannetti, University of Pisa, Department of Economics and Center E. Piaggio
Anomaly or Possible Risk Factor? Simple-To-Use Tests
By Benjamin Holcblat; University of Luxembourg Abraham Lioui; EDHEC Business School Michael Weber; University of Chicago
presented by: Benjamin Holcblat, University of Luxembourg
Session 66: Applied Macroeconomics III June 28, 2023 15:30 to 17:15 Location: B2-070
Session Chair: Francesco Giancaterini, Maastricht University
Session type: contributed
Identifying News Shocks from Forecasts
By Jonathan Adams; University of Florida Philip Barrett; International Monetary Fund
presented by: Philip Barrett, International Monetary Fund
INVALID PROXIES AND VOLATILITY CHANGES
By Luca Fanelli; University of Bologna Giovanni Angelini; University of Bologna Luca Neri; University of Bologna
presented by: Luca Fanelli, University of Bologna
Spectral estimation for mixed causal-noncausal autoregressive models
By Daniel Velasquez-Gaviria; Maastricht University
presented by: Daniel Velasquez-Gaviria, Maastricht University
Estimation of multivariate mixed causal and noncausal models: a comparison
By Gianluca Cubadda; Tor Vergata University of Rome Francesco Giancaterini; Maastricht University Alain Hecq; Maastricht University
presented by: Francesco Giancaterini, Maastricht University
Session 67: Climate Economics I June 28, 2023 15:30 to 17:15 Location: B2-040
Session Chair: Francesco Lucidi, Sapienza Università di Roma
Session type: contributed
GDP and Temperature: Evidence on Cross-Country Response Heterogeneity
By Kimberly Berg; Miami University Chadwick Curtis; University of Richmond Nelson Mark; University of Notre Dame
presented by: Nelson Mark, University of Notre Dame
Dynamic effects of weather shocks on production in European economies
By Daniele Colombo; London Business School Laurent Ferrara; SKEMA Business School
presented by: Daniele Colombo, London Business School
Temperature and Growth: a Panel Mixed Frequency VAR Analysis using NUTS2 data
By Andrea Cipollini; University of Palermo Fabio Parla; University of Palermo
presented by: Fabio Parla, University of Palermo
The effects of temperature shocks on energy prices and inflation in the Euro Area
By Francesco Lucidi; Sapienza Università di Roma
presented by: Francesco Lucidi, Sapienza Università di Roma
Session 68: Credit Risk II June 28, 2023 15:30 to 17:15 Location: C2-020
Session Chair: Wilmar Cabrera, Central Bank of Colombia
Session type: contributed
Bank lending rates and the remuneration for risk: evidence from portfolio and loan level data
By Julian Metzler; European Central Bank
presented by: Julian Metzler, European Central Bank
Do capital requirements really reduce the riskiness of banks?
By Antoine Baena; Banque de France
presented by: Antoine Baena, Banque de France
The impact of capital requirements on bank capital
By Ugo Albertazzi; European Central Bank Aurea Ponte Marques; European Central Bank Giulia Leila Travaglini; Columbia University
presented by: Aurea Ponte Marques, European Central Bank
Examining Macroprudential Policy through a Microprudential Lens
By Wilmar Cabrera; Central Bank of Colombia Andrés Gómez; Banco de la República de Colombia Mauricio Villamizar-Villegas; Banco de la Republica
presented by: Wilmar Cabrera, Central Bank of Colombia
Session 69: Empirical applications of causal inference June 28, 2023 15:30 to 17:15 Location: C2-055
Session Chair: Stefania Simion, University of Bristol
Session type: contributed
Property Tax Compliance in Tanzania: Can Nudges Help?
By Fredrick Manang; University of Dodoma (UDOM)
presented by: Fredrick Manang, University of Dodoma (UDOM)
Inequality Impacts of Raising Minimum Years of Schooling
By Gawain Heckley; Lund University Dennis Petrie; Monash University
presented by: Dennis Petrie, Monash University
The Heterogeneous Value of Four- and Two-year College Choices.
By Alejandra Montoya Agudelo; University of Maryland
presented by: Alejandra Montoya Agudelo, University of Maryland
Do Second Chances Pay Off? Evidence from a Natural Experiment with Low-Achieving Students
By Aspasia Bizopoulou; University of York; VATT Institute for Economic Research Rigissa Megalokonomou; University of Queensland Stefania Simion; University of Bristol
presented by: Stefania Simion, University of Bristol
Session 70: Empirical Games June 28, 2023 15:30 to 17:15 Location: C2-065
Session Chair: Jaap Abbring, Tilburg University
Session type: contributed
Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games
By Adam Dearing; Cornell University Jason Blevins; The Ohio State University
presented by: Jason Blevins, The Ohio State University
ISD as a Basis for Set Identification in Strategically Monotonic Supermodular Games
By Francisco Garrido; ITAM
presented by: Francisco Garrido, ITAM
Repeated Matching Games: An Empirical Framework
By Pauline Corblet; University of Luxembourg
presented by: Pauline Corblet, University of Luxembourg
Interdependent Hitting Times
By Jaap Abbring; Tilburg University Yifan Yu; Zhejiang University
presented by: Jaap Abbring, Tilburg University
Session 71: Family Labour Supply and Welfare June 28, 2023 15:30 to 17:15 Location: C2-080
Session Chair: Chris Riddell, University of Waterloo
Session type: contributed
Women's education and household labor supply: Causal Evidence From Turkey
By Ekin Yurdakul; University of Antwerp
presented by: Ekin Yurdakul, University of Antwerp
The Effects of Longer Secondary School Days on Parents’ Labour Market Outcomes: Evidence from the Jornada Escolar Completa Reform in Peru
By Erkal Ersoy; Heriot-Watt University Rachel Forshaw; Heriot-Watt University
presented by: Rachel Forshaw, Heriot-Watt University
Do means-tested childcare subsidies discourage mom and dad from working?
By Trine Vattø; Statistics Norway Kjersti Østbakken; Institute for Social Research
presented by: Trine Vattø, Statistics Norway
Labor Supply and Marital Bliss Under a Negative Income Tax: New Evidence from Old Experiments
By Chris Riddell; University of Waterloo
presented by: Chris Riddell, University of Waterloo
Session 72: Inflation III June 28, 2023 15:30 to 17:15 Location: B2-060
Session Chair: Giovanni Nicolo, Federal Reserve Board
Session type: contributed
Shocks to Inflation Expectations
By Jonathan Adams; University of Florida Philip Barrett; International Monetary Fund
presented by: Jonathan Adams, University of Florida
Inflation Expectations and Bond Risk Premiums in the Euro Area: Evidence from France
By Jens Christensen; Federal Reserve Bank of San Francisco Sarah Mouabbi; Banque de France
presented by: Sarah Mouabbi, Banque de France
Inflation and Real Activity over the Business Cycle
By Francesco Bianchi; Johns Hopkins University Giovanni Nicolo; Federal Reserve Board Dongho Song; Johns Hopkins University
presented by: Giovanni Nicolo, Federal Reserve Board
Session 73: Machine learning June 28, 2023 15:30 to 17:15 Location: C2-045
Session Chair: Hyungjin Kim, University of Pittsburgh
Session type: contributed
On the Existence, Power, and Automatic Construction of Orthogonal Moments for Inference
By Facundo Argañaraz; Universidad Carlos III de Madrid Juan Carlos Escanciano; Universidad Carlos III de Madrid
presented by: Facundo Argañaraz, Universidad Carlos III de Madrid
Model averaging and double machine learning
By Achim Ahrens; ETH Zurich Christian B Hansen; University of Chicago Mark Schaffer; Heriot-Watt University Thomas Wiemann; University of Chicago
presented by: Achim Ahrens, ETH Zurich
Double/Debiased Machine Learning for Static Games with Incomplete Information
By Hyungjin Kim; University of Pittsburgh
presented by: Hyungjin Kim, University of Pittsburgh
Session 74: Monetary Policy III June 28, 2023 15:30 to 17:15 Location: C2-010
Session Chair: Frederik Lund-Thomsen, European Central Bank
Session type: contributed
Commodity Prices and Global Cycles: Monetary Policy Matters
By Efrem Castelnuovo; University of Padova Lorenzo Mori; University of Padova Gert Peersman; Ghent University
presented by: Lorenzo Mori, University of Padova
Asset Purchase Programs and the Dollar Exchange Rate in the COVID-19 Crisis
By Sinem Yagmur Toraman; Johns Hopkins University
presented by: Sinem Yagmur Toraman, Johns Hopkins University
Estimating the Fed's Unconventional Policy Shocks
By Marek Jarocinski; European Central Bank
presented by: Marek Jarocinski, European Central Bank
Modelling Financial Stability Considerations for Monetary Policy: A Quantile VAR Approach
By Frederik Lund-Thomsen; European Central Bank Manfred Kremer; European Central Bank Sulkhan Chavleishvili; Aarhus University
presented by: Frederik Lund-Thomsen, European Central Bank
Session 75: Structural VARs June 28, 2023 15:30 to 17:15 Location: C2-005
Session Chair: Michele Piffer, King's College London
Session type: contributed
Incorporating Prior Economic Knowledge into Structural Vector Autoregressions and the Interaction of the Oil and Stock Market
By Sascha Keweloh; TU Dortmund University
presented by: Sascha Keweloh, TU Dortmund University
SVARs with breaks: Identification and inference
By Emanuele Bacchiocchi; University of Bologna Toru Kitagawa; Brown University
presented by: Emanuele Bacchiocchi, University of Bologna
Bayesian Inference on Fully and Partially Identified Structural Vector Autoregressions
By Jetro Anttonen; University of Helsinki Markku Lanne; University of Helsinki Jani Luoto; University of Helsinki
presented by: Jetro Anttonen, University of Helsinki
Flexible prior beliefs on impulse responses in Bayesian vector autoregressive models
By Fabio Canova; Norwegian Business School Andrzej Kociecki; University of Warsaw Michele Piffer; King's College London
presented by: Michele Piffer, King's College London
Session 76: Sustainability and climate change June 28, 2023 15:30 to 17:15 Location: C2-060
Session Chair: Thomas Jansson, Sveriges riksbank
Session type: contributed
Does Climate Sensitivity Differ Across Regions? A Varying–Coefficient Approach
By Wei Wei; Monash University
presented by: Wei Wei, Monash University
The Economic Impact of Carbon Pricing
By Maren Ludwig; London School of Economics and Political Science Robin Lumsdaine; Kogod School of Business, American University
presented by: Robin Lumsdaine, Kogod School of Business, American University
A Neural Network Approach to the Environmental Kuznets Curve
By Sebastian Jensen; Aarhus University Mikkel Bennedsen; Aarhus University Eric Hillebrand; Aarhus University
presented by: Sebastian Jensen, Aarhus University
Individual Investor Behavior and Sustainability
By Thomas Jansson; Sveriges riksbank Vicke Noren; Sveriges Riksbank
presented by: Thomas Jansson, Sveriges riksbank
Session 77: IAAE General Members' Meeting June 28, 2023 17:15 to 18:15 Location: A1-040
Session Chair: Marcelle Chauvet, University of California Riverside
Session type: invited
Session 78: Plenary 4: Ana Maria Herrera - Nonlinear Impulse Response Functions June 29, 2023 8:45 to 9:45 Location: A1-040
Session type: invited
Session 79: Advances in Econometrics III June 29, 2023 10:15 to 12:00 Location: C2-060
Session Chair: Stefan Hubner, University of Bristol
Session type: contributed
Treatment Effect Analysis for Pairs with Endogenous Treatment Takeup
By Mate Kormos; Delft University of Technology Robert Lieli; Central European University Martin Huber; University of Fribourg
presented by: Robert Lieli, Central European University
Randomization Test for the Specification of Interference Structure
By Tadao Hoshino; Waseda University Takahide Yanagi; Kyoto University
presented by: Takahide Yanagi, Kyoto University
It's complicated: A Nonparametric Test of Preference Stability between Singles and Couples
By Stefan Hubner; University of Bristol
presented by: Stefan Hubner, University of Bristol
Session 80: Advances in Forecasting III June 29, 2023 10:15 to 12:00 Location: B2-010
Session Chair: Luca Tiozzo Pezzoli, European Commission - JRC
Session type: contributed
Forecasting Regional Employment in the Presence of Structural Breaks
By Bruno Barbosa; FGV Pedro L. Valls Pereira; Sao Paulo School of Economics - FGV Emerson Marçal; CEMAP-EESP-FGV and CSSA-Mackenzie
presented by: Bruno Barbosa, FGV
SHAPoly: A novel Shapley-polynomial framework for estimating nonlinear dynamics in macroeconomic data using deep neural networks
By Luigi Longo; IMT School for Advanced Studies Lucca
presented by: Luigi Longo, IMT School for Advanced Studies Lucca
Quantifying Uncertainty in Electricity Prices Forecasting: Models and Methods
By Alessandro Giovannelli; University of L'Aquila Tommaso Proietti; Università degli Studi di Roma Andrea Cerasa; Joint Research Centre of the European Commission Fany Nan; European Commission, Joint Research Centre
presented by: Alessandro Giovannelli, University of L'Aquila
Multi-horizon Forecasting with Economic and Financial Sentiment
By Luca Tiozzo Pezzoli; European Commission - JRC
presented by: Luca Tiozzo Pezzoli, European Commission - JRC
Session 81: Applied Macroeconomics IV June 29, 2023 10:15 to 12:00 Location: C2-020
Session Chair: Simon Lloyd, Bank of England
Session type: contributed
The Role of Expectations and Sectoral Heterogeneity in Price Setting in the UK
By Cristina Griffa; University of Nottingham
presented by: Cristina Griffa, University of Nottingham
Social Welfare and Government Size
By Javier Andres; University of Valencia Eduardo Bandres; Unievrsity of Zaragoza Rafael Domenech; Universidad de Valencia and BBVA Research Maria Dolores Gadea; University of Zaragoza
presented by: Rafael Domenech, Universidad de Valencia and BBVA Research
Exchange-Rate Risk and Business Cycles
By Simon Lloyd; Bank of England Emile Marin; U. Cambridge/ U.C. Davis
presented by: Simon Lloyd, Bank of England
Session 82: Financial Econometrics III June 29, 2023 10:15 to 12:00 Location: C2-010
Session Chair: Giuseppe Cavaliere, University of Bologna
Session type: contributed
Forecast combination in the frequency domain
By Gonçalo Faria; Universidade Católica Portuguesa, Católica Porto Business School Fabio Verona; Bank of Finland
presented by: Fabio Verona, Bank of Finland
Empirical Asset Pricing in a DSGE Framework: Reconciling Calibration and Econometrics using Partial Indirect Inference
By Julie Schnaitmann; University of Tübingen Joachim Grammig; University of Tuebingen Dalia Elshiaty; University of Tuebingen
presented by: Julie Schnaitmann, University of Tübingen
Generalized Autoregressive Score Trees and Forests
By Andrew Patton; Duke University Yasin Simsek; Duke University
presented by: Yasin Simsek, Duke University
The Econometrics of Financial Duration Modeling
By Giuseppe Cavaliere; University of Bologna Thomas Mikosch; University of Copenhagen Anders Rahbek; University of Copenhagen Frederik Vilandt; University of Copenhagen
presented by: Giuseppe Cavaliere, University of Bologna
Session 83: Health and Disability June 29, 2023 10:15 to 12:00 Location: C2-065
Session Chair: Robert Millard, Stony Brook University
Session type: contributed
Can Information Improve the Uptake of Disability Benefits in a Developing Country?
By Michael Palmer; University of Western Australia
presented by: Michael Palmer, University of Western Australia
Estimating the Moral Hazard Cost of Private Disability Insurance and its Welfare Consequences
By Sebastian Seitz; University of Manchester
presented by: Sebastian Seitz, University of Manchester
The Economic Value of Eliminating Diseases
By Julio Crego; Tilburg University Daniel Karpati; Tilburg University Jens Kvaerner; Tilburg University Luc Renneboog; Tilburg University
presented by: Julio Crego, Tilburg University
Early-Onset Disability, Education Investments, and Social Insurance
By Robert Millard; Stony Brook University
presented by: Robert Millard, Stony Brook University
Session 84: Identification and estimation of marginal treatment effects June 29, 2023 10:15 to 12:00 Location: C2-040
Session Chair: Carolina Caetano, University of Georgia
Session type: contributed
Nonparametric Identification and Estimation of Distributional Features of Marginal Effects in Short Panels
By Vladislav Morozov; Universitat Pompeu Fabra, Barcelona School of Economics
presented by: Vladislav Morozov, Universitat Pompeu Fabra, Barcelona School of Economics
Identification of the Marginal Treatment Effect with Multivalued Treatments
By Toshiki Tsuda
presented by: Toshiki Tsuda,
Marginal Effects for Probit and Tobit with Endogeneity
By Kirill Evdokimov; Universitat Pompeu Fabra Ilze Kalnina; NC State University Andrei Zeleneev; University College London
presented by: Kirill Evdokimov, Universitat Pompeu Fabra
Identification and Estimation of Average Marginal Treatment Effects with a Bunching Design
By Carolina Caetano; University of Georgia Gregorio Caetano; University of Georgia Eric Nielsen; Federal Reserve Board
presented by: Carolina Caetano, University of Georgia
Session 85: Inflation IV June 29, 2023 10:15 to 12:00 Location: C2-005
Session Chair: Guenter Beck, Siegen University
Session type: contributed
Supply Drivers of the US Inflation Since the Pandemic
By Serdar Kabaca; Bank of Canada Kerem Tuzcuoglu; Bank of Canada
presented by: Kerem Tuzcuoglu, Bank of Canada
Global Inflation and Inflation Risks
By Luis Hernandez-Roman; University of Warwick
presented by: Luis Hernandez-Roman, University of Warwick
Fan charts 2.0: Flexible Forecast Distributions with Expert Judgement
By Andrej Sokol; Bloomberg LP
presented by: Andrej Sokol, Bloomberg LP
Nowcasting Consumer Price Inflation Using High-Frequency Scanner Data: Evidence from Germany
By Guenter Beck; Siegen University Kai Carstensen; University of Kiel Jan-Oliver Menz; Deutsche Bundesbank Richard Schnorrenberger; Kiel University Elisabeth Wieland; Deutsche Bundesbank
presented by: Guenter Beck, Siegen University
Session 86: Lending and Capital Flows June 29, 2023 10:15 to 12:00 Location: B2-060
Session Chair: Andreea Rotarescu, Wake Forest University
Session type: contributed
Global Fund Flows and Emerging Market Tail Risk
By Anusha Chari; University of North Carolina at Chapel H Karlye Dilts Stedman; Federal Reserve Bank of Kansas City Christian T. Lundblad; The University of North Carolina at Chapel Hill
presented by: Karlye Dilts Stedman, Federal Reserve Bank of Kansas City
Regulatory Collateral Requirements and Delinquency Rate in a Two-Agent New Keynesian Model
By Aicha Kharazi; Free University of Bozen-Bolzano Francesco Ravazzolo; Free University of Bozen-Bolzano
presented by: Aicha Kharazi, University of Exeter
Capital reallocation under climate policy uncertainty
By Makram Khalil; Deutsche Bundesbank Felix Strobel; Bundesbank
presented by: Felix Strobel, Bundesbank
Productivity slowdown and firm exit: The ins and outs of banking crises
By Andreea Rotarescu; Wake Forest University
presented by: Andreea Rotarescu, Wake Forest University
Session 87: Monetary Policy IV June 29, 2023 10:15 to 12:00 Location: B2-070
Session Chair: Taeyoung Doh, Federal Reserve Bank of Kansas City
Session type: contributed
Factor-Augmented Vector Autoregression with narrative identification. An application to monetary policy in the U.S.
By Giorgia De Nora; Queen Mary University of London/European Central Bank/European Central Bank
presented by: Giorgia De Nora, Queen Mary University of London/European Central Bank/European Central Bank
The Chronology of Brexit and UK Monetary Policy
By Jochen Güntner; Johannes Kepler University Linz Martin Geiger; Liechtenstein Institute
presented by: Jochen Güntner, Johannes Kepler University Linz
Supply Bottlenecks, US Inflation, and Monetary Policy
By Moaz Elsayed; Banque de France Christoph Grosse-Steffen; Banque de France Magali MARX; Banque de France
presented by: Moaz Elsayed, Banque de France
Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements
By Taeyoung Doh; Federal Reserve Bank of Kansas City Dongho Song; Johns Hopkins University
presented by: Taeyoung Doh, Federal Reserve Bank of Kansas City
Session 88: Panel data models June 29, 2023 10:15 to 12:00 Location: C2-030
Session Chair: Nese Yildiz, University of Rochester
Session type: contributed
A projection based approach for interactive fixed effects panel data models
By Georg Keilbar; University of Vienna Juan Manuel Rodriguez-Poo; Universidad de Cantabria Alexandra Soberon; Universidad de Cantabria. CIF: ES Q3918001-C Weining Wang; University of York
presented by: Juan Manuel Rodriguez-Poo, Universidad de Cantabria
Learning a Panel Data
By Carolina Castagnetti; University of Pavia Fabrizio Ghezzi; University of Pavia Eduardo Rossi; University of Pavia Lorenzo Trapani; University of Leicester
presented by: Fabrizio Ghezzi, University of Pavia
Identification robust inference for risk premia in short panels
By Frank Kleibergen; University of Amsterdam Zhaoguo Zhan; Kennesaw State University
presented by: Frank Kleibergen, University of Amsterdam
A Short T Interactive Panel Data Model with Fixed Effects
By Jinyong Hahn; UCLA Nese Yildiz; University of Rochester
presented by: Nese Yildiz, University of Rochester
Session 89: Social Networks and Peer Effects June 29, 2023 10:15 to 12:00 Location: C2-045
Session Chair: Hugo Reis, Banco de Portugal
Session type: contributed
How Social Movements Affect Educational Outcomes: Theory and BLM Evidence
By Nagham Sayour
presented by: Nagham Sayour,
Inventors' Coworker Networks and Innovation
By Sabrina Di Addario; Bank of Italy Zhexin Feng; University of Essex Michel Serafinelli; University of Essex/IZA/CReAM
presented by: Sabrina Di Addario, Bank of Italy
Firm-to-Firm Connections and Workforce Reallocation
By Mikael Carlsson; Uppsala University Andrei Gorshkov; Uppsala University Francis Kramarz; CREST, ENSAE Oskar Skans; Uppsala University
presented by: Andrei Gorshkov, Uppsala University
Human Capital Spillovers and Returns to Education
By Pedro Portugal; Banco de Portugal Hugo Reis; Banco de Portugal Ana Rute Cardoso; IAE-CSIC and Barcelona GSE
presented by: Hugo Reis, Banco de Portugal
Session 90: Structural Identification in Macro III June 29, 2023 10:15 to 12:00 Location: B2-030
Session Chair: Soroosh Soofi Siavash, Bank of Lithuania
Session type: contributed
Intervention analysis, causality and generalized impulse responses in VAR models: theory and inference
By Jean-Marie Dufour; McGill University Endong Wang; McGill University
presented by: Endong Wang, McGill University
Nonparametric impulse response analysis in changing macroeconomic conditions
By Markku Lanne; University of Helsinki Henri Nyberg; University of Turku
presented by: Henri Nyberg, University of Turku
Don't Ruin the Surprise: Temporal Aggregation Bias in Structural Innovations
By Reinhard Ellwanger; Bank of Canada Stephen Snudden; Wilfrid Laurier University
presented by: Stephen Snudden, Wilfrid Laurier University
Factor-Augmented VARs with Noisy Factor Proxies
By Emanuel Moench; Frankfurt School of Finance and Manageme Soroosh Soofi Siavash; Bank of Lithuania
presented by: Soroosh Soofi Siavash, Bank of Lithuania
Session 91: Time Varying Parameter Models June 29, 2023 10:15 to 12:00 Location: B2-040
Session Chair: Liudas Giraitis, Queen Mary University of London
Session type: contributed
Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications
By Matteo Iacopini; Queen Mary University of London Francesco Ravazzolo; Free University of Bozen-Bolzano Luca Rossini; University of Milan
presented by: Francesco Ravazzolo, Free University of Bozen-Bolzano
Dynamic Sparse Linear Regressions
By Daniele Bianchi; Queen Mary, University of London
presented by: Daniele Bianchi, Queen Mary, University of London
A Time-Varying Parameter Model with Bayesian Shrinkage for Global Minimum Variance Portfolio Prediction
By Roman Liesenfeld; University of Cologne
presented by: Roman Liesenfeld, University of Cologne
A partially time-varying regression model
By Liudas Giraitis; Queen Mary University of London George Kapetanios; King's College London Yufei Li; Queen Mary University of London Tien Nguyen; Queen Mary University of London
presented by: Liudas Giraitis, Queen Mary University of London
Session 92: Central Banking III June 29, 2023 13:15 to 15:00 Location: B2-070
Session Chair: Andrea De Polis, University of Warwick
Session type: contributed
Monetary Policy Decisions and Higher Moments of Federal Reserve Forecasts
By Francesco Fusari; University of Surrey
presented by: Francesco Fusari, University of Surrey
Fed Sentiment and Expectations: Evidence from Speeches by FOMC Members
By Eleonora Granziera; Norges Bank
presented by: Eleonora Granziera, Norges Bank
Capturing international influences in US monetary policy through a NLP approach
By Nicolas de Roux; Economix - UMR 7235 Laurent Ferrara; SKEMA Business School
presented by: Nicolas de Roux, Economix - UMR 7235
The Ever-Changing Challenges to Price Stability
By Andrea De Polis; University of Warwick Leonardo Melosi; Federal Reserve Bank of Chicago Ivan Petrella; University of Warwick
presented by: Andrea De Polis, University of Warwick
Session 93: Climate Economics II June 29, 2023 13:15 to 15:00 Location: B2-060
Session Chair: Tommaso Proietti, Università degli Studi di Roma
Session type: contributed
Long Monthly European Temperature Series and the North Atlantic Oscillation
By Changli He; Tianjin University of Finance and Economics Jian Kang; Dongbei University of Finance and Economics Annastiina Silvennoinen; Queensland University of Technology Timo Terasvirta; Aarhus University
presented by: Timo Terasvirta, Aarhus University
Climate Change and Commodity Currencies: Measuring transition risk with word embeddings
By Felix Kapfhammer; BI Norwegian Business School Vegard Larsen; BI Norwegian Business School Leif Thorsrud; BI Norwegian Business School
presented by: Vegard Larsen, BI Norwegian Business School
The effect of the Paris Agreement and the COVID-19 pandemic on the volatility persistence of brown and green stocks
By J. Eduardo Vera-Valdes; Aalborg University
presented by: J. Eduardo Vera-Valdes, Aalborg University
Regularized Estimation and Prediction of the El Nino/Southern Oscillation Cycle
By Tommaso Proietti; Università degli Studi di Roma Alessandro Giovannelli; University of L'Aquila
presented by: Tommaso Proietti, Università degli Studi di Roma
Session 94: Factor models June 29, 2023 13:15 to 15:00 Location: C2-030
Session Chair: Matthew Harding, University of California, Irvine
Session type: contributed
5 Lessons for Applied Researchers from the Decades of Common Correlated Effects Estimation
By Arturas Juodis; University of Amsterdam Simon Reese; Lund University
presented by: Simon Reese, Lund University
Weak Factor Models with Sparse Factor Loadings
By Jie Wei; Huazhong University of Science and Techn Yonghui Zhang; Renmin University of China
presented by: Jie Wei, Huazhong University of Science and Techn
Identification Through Sparsity in Factor Models: the l1-rotation criterion
By Simon Freyaldenhoven; Federal Reserve Bank of Philadelphia
presented by: Simon Freyaldenhoven, Federal Reserve Bank of Philadelphia
Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data
By Matthew Harding; University of California, Irvine Carlos Lamarche; University of Kentucky Chris Muris; McMaster University
presented by: Matthew Harding, University of California, Irvine
Session 95: Financial Econometrics IV June 29, 2023 13:15 to 15:00 Location: C2-020
Session Chair: Jiawen Xu, University of Shanghai for Science and Technology
Session type: contributed
Underestimating Beta in Empirical Asset Pricing: New Insights on the Effects of Asynchronous Trading
By Timo Wiedemann; University of Münster
presented by: Timo Wiedemann, University of Münster
Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network
By Tomohiro Ando; University of Melbourne Jushan Bai; Columbia University Lina Lu; Federal Reserve Bank of Boston Cindy Vojtech; Federal Reserve Board
presented by: Cindy Vojtech, Federal Reserve Board
Constructing and using double-adjusted alphas to analyze mutual fund performance
By Reza Brink; Erasmus University Rotterdam Erik Kole; Erasmus University Rotterdam
presented by: Erik Kole, Erasmus University Rotterdam
A multifrequency shot-noise approach to volatility forecasting
By Laurent Calvet; EDHEC Business School Jiawen Xu; University of Shanghai for Science and Technology Yapei Zhang; ShanghaiTech University
presented by: Jiawen Xu, University of Shanghai for Science and Technology
Session 96: Firms June 29, 2023 13:15 to 15:00 Location: C2-045
Session Chair: Pamela Giustinelli, Bocconi University
Session type: contributed
Factor income shares and input distortions in China
By Xiaoyue Zhang; Tilburg University Junjie Xia; Peking University
presented by: Xiaoyue Zhang, Tilburg University
The Size-Centrality Relationship in Production Networks
By Marko Melolinna; Bank of England Nikola Dacic
presented by: Marko Melolinna, Bank of England
Impact of Market Structure on Regulatory Compliance: Evidence from Online Censorship in China
By Jessie Liu; Johns Hopkins University
presented by: Jessie Liu, Johns Hopkins University
The Coherence Side of Rationality: Rules of thumb, narrow bracketing, and managerial incoherence in corporate forecasts
By Pamela Giustinelli; Bocconi University Stefano Rossi; Bocconi University
presented by: Pamela Giustinelli, Bocconi University
Session 97: Fiscal Policy I June 29, 2023 13:15 to 15:00 Location: B2-040
Session Chair: Marios Zachariadis, University of Cyprus
Session type: contributed
Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior
By Sascha Keweloh; TU Dortmund University Mathias Klein; Sveriges Riksbank Jan Prüser; TU Dortmund University
presented by: Jan Prüser, TU Dortmund University
Comparing the Efficacy and Efficiency of Fiscal Interventions
By Gökhan Ider; DIW Berlin, Berlin School of Economics Malte Rieth; Martin-Luther-Universität Halle-Wittenb
presented by: Gökhan Ider, DIW Berlin, Berlin School of Economics
Estimating the Effects of Government Spending Through the Production Network
By Matteo Cacciatore; HEC Montreal Alessandro Barattieri; ESG UQAM Nora Traum; HEC Montreal
presented by: Matteo Cacciatore, HEC Montreal
Fiscal policy and economic activity: New Causal Evidence
By David Brasington; University of Cincinnati Marios Zachariadis; University of Cyprus
presented by: Marios Zachariadis, University of Cyprus
Session 98: Forecasting and ML June 29, 2023 13:15 to 15:00 Location: B2-010
Session Chair: David Rapach, Federal Reserve Bank of Atlanta
Session type: contributed
Global Inflation Forecasting Benefits from Machine Learning Methods
By Erik Christian Schutte; Aarhus University
presented by: Erik Christian Schutte, Aarhus University
Maximally Machine-Learnable Portfolios
By Philippe Goulet Coulombe; UQAM
presented by: Maximilian Göbel, Bocconi University
Cryptocurrency Return Predictability: A Machine-Learning Analysis
By Ilias Filippou; Washington University in St. Louis David Rapach; Federal Reserve Bank of Atlanta Christoffer Thimsen; Aarhus University
presented by: Ilias Filippou, Washington University in St. Louis
The Anatomy of Out-of-Sample Forecasting Accuracy
By Daniel Borup; Aarhus University, CREATES Philippe Goulet Coulombe; UQAM David Rapach; Federal Reserve Bank of Atlanta Erik Christian Schutte; Aarhus University Sander Schwenk-Nebbe; Aarhus University
presented by: David Rapach, Federal Reserve Bank of Atlanta
Session 99: Inference Methods June 29, 2023 13:15 to 15:00 Location: C2-060
Session Chair: Phillip Heiler, University of Aarhus
Session type: contributed
This Shock is Different: Estimation and Inference in Misspeficied Two-Way Fixed Effects Regressions
By Arturas Juodis; University of Amsterdam
presented by: Arturas Juodis, University of Amsterdam
Jackknife Standard Errors for Clustered Regression
By Bruce Hansen; University of Wisconsin
presented by: Bruce Hansen, University of Wisconsin
Testing for the appropriate level of clustering in linear regression models
By James MacKinnon; Queen's University Morten Nielsen; Aarhus University Matthew Webb; Carleton University
presented by: James MacKinnon, Queen's University
Causal Inference under Sample Selection and Missing Data - Co-teacher Intervention Effects on Mental Health
By Simon Andersen; Aarhus University Phillip Heiler; University of Aarhus Helena Nielsen; Aarhus University
presented by: Phillip Heiler, University of Aarhus
Session 100: Macroeconometrics June 29, 2023 13:15 to 15:00 Location: C2-005
Session Chair: Michael Graff, ETH Zurich
Session type: contributed
Factor-Augmented Nonstationary Panels with Multiple Structural Changes
By Badi Baltagi; Syracuse University Qu Feng; Nanyang Technological University, Singapore Wei Wang; Shandong University
presented by: Wei Wang, Shandong University
Slow EM Convergence in Low-Noise Dynamic Factor Models
By Daan Opschoor; Erasmus University Rotterdam Dick van Dijk; Erasmus University Rotterdam
presented by: Daan Opschoor, Erasmus University Rotterdam
Imputing monthly values for quarterly time series. An application performed with Swiss business cycle data
By Klaus Abberger; ETH Zürich Michael Graff; ETH Zurich Oliver Mueller; ETH Zürich Boriss Siliverstovs; Bank of Latvia
presented by: Michael Graff, ETH Zurich
Flooded credit markets: loans to SMEs after a natural disaster
By Luca Barbaglia; European Commission Serena Fatica; European Commission Caterina Rho; European Commission - Joint Research Centre
presented by: Caterina Rho, Joint Research Centre - European Commission
Session 101: Migration June 29, 2023 13:15 to 15:00 Location: C2-065
Session Chair: Sandra Dummert, Institute for Employment Research (IAB)
Session type: contributed
Immigration and Inequality: New macroeconomic evidence
By Ørjan Robstad; Norges Bank Francesco Furlanetto; Norges Bank Samad Sarferaz; ETH Zurich
presented by: Ørjan Robstad, Norges Bank
Employment effect of citizenship acquisition: Evidence from the Belgian labour market
By Sousso Bignandi; University of Liège
presented by: Sousso Bignandi, University of Liège
Age at Migration, Social Integration, and COVID-19
By Olof Åslund; Uppsala University Erik Grönqvist; Uppsala University Tram Pham; Uppsala University Oskar Skans; Uppsala University
presented by: Tram Pham, Uppsala University
The effects of out-migration on training in firms in the source country: Evidence from opening the Swiss border to German commuters
By Sandra Dummert; Institute for Employment Research (IAB) Caroline Neuber-Pohl; Federal Institute for Vocational Education & Training (BIBB)
presented by: Sandra Dummert, Institute for Employment Research (IAB)
Session 102: Quantile treatment effects June 29, 2023 13:15 to 15:00 Location: C2-040
Session Chair: Sukjin Han, University of Bristol
Session type: contributed
Minimum Distance Estimation of Quantile Panel Data Models
By Blaise Melly; University of Bern Martina Pons; University of Bern
presented by: Martina Pons, University of Bern
Combining Difference-in-Differences and Recentred Influence Functions to Estimate Quantile Treatment Effects – Pitfalls and Remedies
By Marian Ruemmele; University of Tübingen
presented by: Marian Ruemmele, University of Tübingen
Decomposition of Differences in Distribution under Sample Selection and the Gender Wage Gap
By Santiago Pereda-Fernández; Universidad de Cantabria
presented by: Santiago Pereda-Fernández, Universidad de Cantabria
On Quantile Treatment Effects, Rank Similarity, and the Variation of Instrumental Variables
By Sukjin Han; University of Bristol Haiqing Xu; University of Texas
presented by: Sukjin Han, University of Bristol
Session 103: The Phillips Curve June 29, 2023 13:15 to 15:00 Location: C2-010
Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco
Session type: contributed
Did Monetary Policy Kill the Phillips Curve? Some Simple Arithmetics
By Drago Bergholt; Norges Bank Research Francesco Furlanetto; Norges Bank Etienne Vaccaro-Grange; New York University Abu Dhabi
presented by: Drago Bergholt, Norges Bank Research
Phillips Multipliers in the Eurozone
By Martin Geiger; University of Innsbruck and Liechtenstein Institute Mathias Klein; Sveriges Riksbank
presented by: Martin Geiger, University of Innsbruck and Liechtenstein Institute
Sticky Information Versus Sticky Prices Revisited: A Bayesian VAR-GMM Approach
By Takushi Kurozumi; Bank of Japan Ryohei Oishi; University College London Willem Van Zandweghe; Federal Reserve Bank of Cleveland
presented by: Ryohei Oishi, University College London
Anchored Inflation Expectations and the Slope of the Phillips Curve
By Peter Jørgensen; Copenhagen Business School Kevin Lansing; Federal Reserve Bank of San Francisco
presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
Session 104: Time Series Modeling June 29, 2023 13:15 to 15:00 Location: B2-030
Session Chair: Majid Al Sadoon, Durham University Business School
Session type: contributed
HIGH DIMENSIONAL GENERALISED PENALISED LEAST SQUARES
By Ilias Chronopoulos; University of Essex Katerina Chrysikou; King's College London George Kapetanios; King's College London
presented by: Ilias Chronopoulos, University of Essex
The Block-Autoregressive Model in Non-Standard Bases
By Maria Grith; Erasmus University Rotterdam
presented by: Maria Grith, Erasmus University Rotterdam
The Spectral Approach to Linear Rational Expectations Models
By Majid Al Sadoon; Durham University Business School
presented by: Majid Al Sadoon, Durham University Business School
Session 105: Advances in Methods for Policy Evaluation II June 29, 2023 15:30 to 17:15 Location: C2-020
Session Chair: Mengshan Xu, University of Mannheim
Session type: contributed
Identifying Causal Effects of Treatments with Variable Intensity using Multiple Instrumental Variables
By Nadja van 't Hoff; University of Southern Denmark
presented by: Nadja van 't Hoff, University of Southern Denmark
Causal identification with subjective outcomes
By Leonard Goff; University of Calgary
presented by: Leonard Goff, University of Calgary
Asymptotic Properties of the Synthetic Control Method
By Xiaomeng Zhang; Chinese Academy of Sciences Wendun Wang; Erasmus University Rotterdam Xinyu Zhang; Chinese Academy of Sciences
presented by: Wendun Wang, Erasmus University Rotterdam
Isotonic propensity score matching
By Taisuke Otsu; London School of Economics Mengshan Xu; University of Mannheim
presented by: Mengshan Xu, University of Mannheim
Session 106: Applied Macroeconomics V June 29, 2023 15:30 to 17:15 Location: C2-040
Session Chair: Skander Garchi Casal, ECB
Session type: contributed
Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era
By Dimitrios Kanelis; University of Muenster Pierre Siklos; Wilfrid Laurier University
presented by: Dimitrios Kanelis, University of Muenster
One Scheme Fits All: a Central Fiscal Capacity for the EMU Targeting Eurozone, National and Regional Shocks
By R.M.W.J. (Roel) Beetsma; University of Amsterdam Jacopo Cimadomo; European Central Bank Josha van Spronsen; Tinbergen Institute, University of Amsterdam
presented by: Josha van Spronsen, Tinbergen Institute, University of Amsterdam
Estimating a Behavioral New Keynesian Model with the Zero Lower Bound
By Yasuo Hirose; Keio University Hirokuni Iiboshi; Tokyo Metropolitan University Mototsugu Shintani; University of Tokyo Kozo Ueda; Waseda University
presented by: Hirokuni Iiboshi, Tokyo Metropolitan University
The Power of Many: The Procrustes Approach to Proxy-SVAR Identification with Multiple Instruments
By Skander Garchi Casal; ECB Srecko Zimic; European Central Bank
presented by: Skander Garchi Casal, ECB
Session 107: Auctions June 29, 2023 15:30 to 17:15 Location: C2-055
Session Chair: Dongwoo Kim, Simon Fraser University
Session type: contributed
Search and Price Formation with Incomplete Information
By Aaron Barkley; University of Melbourne David Genesove; Hebrew University of Jerusalem James Hansen; University of Melbourne
presented by: Aaron Barkley, University of Melbourne
Identification of First-Price Auctions with Endogenous Entry and Possibly Biased Beliefs
By Tong Li; Vanderbilt University Yu Zhu; Renmin University of China
presented by: Yu Zhu, Renmin University of China
Nonparametric Estimation of Sponsored Search Auctions and Impacts of Ad Quality on Search Revenue
By Dongwoo Kim; Simon Fraser University Pallavi Pal; Stevens Institute of Technology
presented by: Dongwoo Kim, Simon Fraser University
Session 108: Covid June 29, 2023 15:30 to 17:15 Location: C2-030
Session Chair: Silvia Tiezzi, University of Siena
Session type: contributed
An NLP approach to analyzing official COVID-19 communication in the UK
By Sipke Dom; Erasmus School of Economics Robin Lumsdaine; Kogod School of Business, American University Sam van Meer; Erasmus University Rotterdam
presented by: Sam van Meer, Erasmus University Rotterdam
What moves households’ expectations during a crisis? Evidence from a randomized information experiment.
By Norbert Metiu; Deutsche Bundesbank Valentin Stockerl; Deutsche Bundesbank
presented by: Valentin Stockerl, Deutsche Bundesbank
The Gray Zone. How Business as usual led to the Bergamo COVID-19 Tragedy
By Federico Crudu; University of Siena Roberta Di Stefano; Sapienza University of Rome Giovanni Mellace; University of Southern Denmark Silvia Tiezzi; University of Siena
presented by: Silvia Tiezzi, University of Siena
Session 109: Financial Econometrics V June 29, 2023 15:30 to 17:15 Location: C2-010
Session Chair: Samuel Engle, University of Exeter Business School
Session type: contributed
An adaptive long memory conditional correlation model
By Jonathan Dark; University of Melbourne
presented by: Jonathan Dark, University of Melbourne
Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach
By Matei Demetrescu; TU Dortmund University Paulo Rodrigues; Bank of Portugal Robert Taylor; University of Essex
presented by: Paulo Rodrigues, Bank of Portugal
Non-Standard Errors
By Albert Menkveld; Vrije Universiteit Amsterdam
presented by: Albert Menkveld, Vrije Universiteit Amsterdam
Robust Tests for Heavy-Tailed Data
By Samuel Engle; University of Exeter Business School
presented by: Samuel Engle, University of Exeter Business School
Session 110: Health June 29, 2023 15:30 to 17:15 Location: C2-065
Session Chair: Hsuan-Chih Lin, Academia Sinica
Session type: contributed
The mental health effects of noncontributory pensions in China
By Castor Comploj; University of Groningen Stefan Pichler; University of Groningen Gerard Van den Berg; University of Groningen
presented by: Castor Comploj, University of Groningen
WHAT DRIVES MORTALITY IMPROVEMENTS IN THE US? AN EMPIRICAL ANALYSIS USING INSTRUMENTAL VARIABLE APPROACH
By Catherine Forbes; Monash University Jianjie Shi; Monash University Dan Zhu; Monash University
presented by: Jianjie Shi, Monash University
Estimating the Direct and Indirect Costs of Health Reduction: Evidence from Administrative Data
By Hsuan-Chih Lin; Academia Sinica Atsuko Tanaka; University of Calgary
presented by: Hsuan-Chih Lin, Academia Sinica
Session 111: Inflation Expectations June 29, 2023 15:30 to 17:15 Location: B2-070
Session Chair: Robert Czudaj, Technical University of Freiberg
Session type: contributed
How Do Agents Form Inflation Expectations? Evidence from the Forecast Uncertainty
By Tao Wang; Johns Hopkins University
presented by: Tao Wang, Johns Hopkins University
Energy Prices and Inflation Expectations: Evidence from Households and Firms
By Nils Wehrhöfer; Deutsche Bundesbank
presented by: Nils Wehrhöfer, Deutsche Bundesbank
Political Affiliation, Perception of News, and Inflation Expectations
By Soojin Jo; Yonsei University Jaemin Jeong; Yonsei University
presented by: Soojin Jo, Yonsei University
Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring
By Joscha Beckmann; FernUniversität in Hagen Robert Czudaj; Chemnitz University of Technology
presented by: Robert Czudaj, Technical University of Freiberg
Session 112: Inflation Regimes June 29, 2023 15:30 to 17:15 Location: C2-080
Session Chair: James Yetman, Bank for International Settlements
Session type: contributed
ICARIS : An Indicator of Core by Aggregating Regimes of Inflation Sub-components
By Danilo Leiva-Leon; European Central Bank Matias Pacce; Banco de España
presented by: Matias Pacce, Banco de España
The transmission of monetary policy when agents fear extreme inflation outcomes
By Anastasia Allayioti; European Central Bank Francesca Monti; UCLouvain Michele Piffer; King's College London
presented by: Anastasia Allayioti, European Central Bank
The two-regime view of inflation
By Claudio Borio; Bank for International Settlements Marco Lombardi; Bank for International Settlements James Yetman; Bank for International Settlements Egon Zakrajsek; Bank for International Settlements
presented by: James Yetman, Bank for International Settlements
Session 113: Jobs and Skills June 29, 2023 15:30 to 17:15 Location: C2-060
Session Chair: Ciprian Domnisoru, Aalto University School of Business
Session type: contributed
Performance Pay and Worker Quality: Who Reaps the Rewards?
By Marco Clemens; IAAEU and Trier University Jan Sauermann; IFAU
presented by: Marco Clemens, IAAEU and Trier University
The Option Value of Occupations
By Attila Gyetvai; Bank of Portugal
presented by: Attila Gyetvai, Bank of Portugal
Educational Choices and Mismatches in the Labor Market
By Gyung-Mo Kim; Toulouse School of Economics (TSE)
presented by: Gyung-Mo Kim, Toulouse School of Economics (TSE)
Skills, Mismatch, and Labor Market Search
By Ciprian Domnisoru; Aalto University School of Business
presented by: Ciprian Domnisoru, Aalto University School of Business
Session 114: Macroeconomic Risks June 29, 2023 15:30 to 17:15 Location: B2-060
Session Chair: Maximilian Boeck, Vienna School of International Studies
Session type: contributed
Macroeconomic and Financial Risks: A Tale of Mean and Volatility
By Dario Caldara; Federal Reserve Board Chiara Scotti; Federal Reserve Bank of Dallas Molin Zhong; Federal Reserve Board
presented by: Dario Caldara, Federal Reserve Board
The global financial cycle and macroeconomic tail risks
By Johannes Beutel; Deutsche Bundesbank Lorenz Emter; Central Bank of Ireland Norbert Metiu; Deutsche Bundesbank Esteban Prieto; Deutsche Bundesbank Yves Schüler; Deutsche Bundesbank
presented by: Yves Schüler, Deutsche Bundesbank
Energy Supply Shocks’ Nonlinearities on Output and Prices
By Roberto De Santis; European Central Bank Tommaso Tornese; Queen Mary University of London
presented by: Roberto De Santis, European Central Bank
Identification of Non-Rational Risk Shocks
By Maximilian Boeck; Vienna School of International Studies
presented by: Maximilian Boeck, Vienna School of International Studies
Session 115: Natural Rate of Interest June 29, 2023 15:30 to 17:15 Location: B2-010
Session Chair: Marco Del Negro, Federal Reserve Bank of New York
Session type: contributed
On a Standard Method for Measuring the Natural Rate of Interest
By Daniel Buncic; Stockholm University
presented by: Daniel Buncic, Stockholm University
Estimating the Euro Area Output Gap Using Multivariate Information and Addressing the COVID-19 Pandemic
By James Morley; University of Sydney Diego Rodriguez; European Central Bank Yiqiao Sun; European Central Bank; Benjamin Wong; Monash University
presented by: Benjamin Wong, Monash University
The Financial (In)Stability Real Interest Rate, R**
By Ozge Akinci; Federal Reserve Bank of New York Gianluca Benigno; Federal Reserve Bank of New York Marco Del Negro; Federal Reserve Bank of New York Albert Queralto; Federal Reserve Board
presented by: Marco Del Negro, Federal Reserve Bank of New York
Session 116: Preferences and Consumption June 29, 2023 15:30 to 17:15 Location: C2-045
Session Chair: Leandro M. Magnusson, University Western Australia
Session type: contributed
How does fuel demand respond to anticipated price changes? Quasi-experimental evidence based on high-frequency data
By Etienne Fize; Paris School of Economics - IPP Odran Bonnet; Insee Lionel Wilner; Insee Tristan Loisel; Insee
presented by: Etienne Fize, Paris School of Economics - IPP
The Cross Section of Household Preferences and the Marginal Propensity to Consume: Evidence from high frequency data
By Elena Andreou; University of Cyprus Maria Dimitriadou; University of Cyprus Andreas Tryphonides; University of Cyprus
presented by: Maria Dimitriadou, University of Cyprus
The Microfinance Disappointment: An Explanation based on Risk Aversion
By Dagmara Celik Katreniak; City, University of London
presented by: Dagmara Celik Katreniak, City, University of London
Distrustful men and risk-averse women: Evidence from the Black Saturday Fires in Victoria, Australia
By Leandro M. Magnusson; University Western Australia Sebastian Roth; University of Western Australia
presented by: Leandro M. Magnusson, University Western Australia
Session 117: Survey forecasts and uncertainty June 29, 2023 15:30 to 17:15 Location: B2-040
Session Chair: John Tsoukalas, University of Glasgow, Adam Smith Business School
Session type: contributed
What Is the Predictive Value of SPF Point and Density Forecasts?
By Todd Clark; Federal Reserve Bank of Cleveland Gergely Ganics; Bank of Spain Elmar Mertens; Deutsche Bundesbank
presented by: Elmar Mertens, Deutsche Bundesbank
Behind the scenes of expectations: interpreting survey forecasts
By Federica Brenna; KU Leuven
presented by: Federica Brenna, KU Leuven
The Term Structure of Disagreement
By Leland Farmer; University of Virginia Hie Joo Ahn; Federal Reserve Board
presented by: Hie Joo Ahn, Federal Reserve Board
Agreed and Disagreed Uncertainty
By Luca Gambetti; Universitat Autonoma de Barcelona Dimitris Korobilis; University of Glasgow John Tsoukalas; University of Glasgow, Adam Smith Business School Francesco Zanetti; University of Oxford
presented by: John Tsoukalas, University of Glasgow, Adam Smith Business School
Session 118: Time Series Factors June 29, 2023 15:30 to 17:15 Location: B2-030
Session Chair: Jesus Gonzalo, Universidad Carlos III de Madrid
Session type: contributed
An Order-invariant Score-driven Dynamic Factor Model
By Mariia Artemova; Vrije Universiteit Amsterdam
presented by: Mariia Artemova, Vrije Universiteit Amsterdam
Approximate Factor Models for Functional Time Series
By Sven Otto; University of Cologne Nazarii Salish; Universidad Carlos III de Madrid
presented by: Sven Otto, University of Cologne
The boosted HP filter is more general than you might think
By Ziwei Mei; The Chinese University of Hong Kong Peter Phillips; Yale University Zhentao Shi; The Chinese University of Hong Kong
presented by: Zhentao Shi, The Chinese University of Hong Kong
Estimation of Characteristics-based Quantile Factor Models
By Liang Chen; Peking University JUAN J. DOLADO; Universidad Carlos III de Madrid Jesus Gonzalo; Universidad Carlos III de Madrid Haozi Pan; Peking Unviersity
presented by: Jesus Gonzalo, Universidad Carlos III de Madrid
Session 119: Volatility, Risk, and Returns June 29, 2023 15:30 to 17:15 Location: C2-005
Session Chair: Onno Kleen, Erasmus University Rotterdam
Session type: contributed
Tail Risk and Asset Prices in the Short-Term
By Caio Almeida; Princeton University Gustavo Freire; Erasmus School of Economics René Garcia; Universite de Montreal Rodrigo Hizmeri; University of Liverpool Management School
presented by: Rodrigo Hizmeri, University of Liverpool Management School
Covariates hiding in the tails
By Murat Ergun; LSE Casper de Vries; Erasmus Universiteit Rotterdam Milian Bachem
presented by: Murat Ergun, LSE
Hedge funds systemic risks: which factors matter?
By Julien Hambuckers; University of Liège - HEC Liège Philippe Hübner; HEC-Liège, University of Liège
presented by: Philippe Hübner, HEC-Liège, University of Liège
Equity Options and Firm Characteristics
By Gustavo Freire; Erasmus School of Economics Onno Kleen; Erasmus University Rotterdam
presented by: Onno Kleen, Erasmus University Rotterdam
Session 120: Plenary 5: Todd Clark - Shadow-Rate VARs June 29, 2023 17:20 to 18:20 Location: A1-040
Session type: invited
Session 121: Plenary 6: Hilde Bjornland - Structural Change and Second Round Effects: Energy and the Macroeconomy June 30, 2023 8:45 to 9:45 Location: A1-040
Session type: invited
Session 122: Advances in Time Series I June 30, 2023 10:15 to 12:00 Location: B2-070
Session Chair: Greta Goracci, Free University of Bolzano/Bozen
Session type: contributed
Asymptotic Properties of Approximate Maximum Likelihood Estimator in Markov-Switching State-Space Models
By Chaojun Li; East China Normal University
presented by: Chaojun Li, East China Normal University
Judgment can spur long memory
By Emilio Zanetti Chini; University of Bergamo
presented by: Emilio Zanetti Chini, University of Bergamo
Testing for Threshold Effects in Presence of Volatility and Measurement Error: The Case of Italian Strikes.
By Francesco Angelini; University of Bologna Massimiliano Castellani; University of Bologna Simone Giannerini; University of Bologna Greta Goracci; Free University of Bolzano/Bozen
presented by: Greta Goracci, Free University of Bolzano/Bozen
Session 123: Causal Analysis: Applications June 30, 2023 10:15 to 12:00 Location: C2-010
Session Chair: Pedro R. D. Bom, Deusto Business School
Session type: contributed
Technology and State Capacity: Experimental Evidence from Illegal Mining in Colombia
By Santiago Saavedra; Universidad del Rosario
presented by: Santiago Saavedra, Universidad del Rosario
Minimum Wage and Voting: Assessing the Political Returns to Redistribution Outside the Tax System
By Emiliano Huet-Vaughn; Pomona College
presented by: Emiliano Huet-Vaughn, Pomona College
Feature Selection for Personalized Policy Analysis
By Maria Nareklishvili; University of Oslo/Frischsenteret
presented by: Maria Nareklishvili, University of Oslo/Frischsenteret
Spurious Precision in Meta-Analysis
By Pedro R. D. Bom; Deusto Business School Tomas Havranek; Czech National Bank Zuzana Irsova; Charles University in Prague Heiko Rachinger; University of the Balearic Islands
presented by: Pedro R. D. Bom, Deusto Business School
Session 124: Central Bank Communication June 30, 2023 10:15 to 12:00 Location: B2-010
Session Chair: Federico Di Pace, Bank of England
Session type: contributed
Cross-country Effects of the ECB Asset Purchase Programs
By Sarah Zoi; Federal Reserve Board
presented by: Sarah Zoi, Federal Reserve Board
Volatility Jumps and the Classification of Monetary Policy Announcements
By Giampiero Gallo; New York University in Florence Demetrio Lacava; Univerisity of Messina Edoardo Otranto; University of Messina
presented by: Demetrio Lacava, Univerisity of Messina
Leverage and time-varying effects of monetary policy on the stock market
By Severin Bernhard; Swiss National Bank Philip Vermeulen; Auckland University of Technology
presented by: Philip Vermeulen, Auckland University of Technology
Do firm expectations respond to monetary policy announcements?
By Federico Di Pace; Bank of England Giacomo Mangiante; University of Lausanne Riccardo Maria Masolo; Catholic University of the Sacred Heart
presented by: Federico Di Pace, Bank of England
Session 125: Fiscal Policy II June 30, 2023 10:15 to 12:00 Location: B2-040
Session Chair: Michael O'Grady, Central Bank of Ireland
Session type: contributed
Fiscal space and the size of the fiscal multiplier
By Luca Metelli; Bank of Italy Kevin Pallara; Bank of Italy
presented by: Kevin Pallara, Bank of Italy
Government Spending Shocks in the Open Economy: Does the Type of Expenditure Matter?
By Stefano Grassi; Universita di Roma 'Tor Vergata' Marco Lorusso; Newcastle University Business School Francesco Ravazzolo; Free University of Bozen-Bolzano
presented by: Marco Lorusso, Newcastle University Business School
Identification of fiscal SVAR-IVs in small open economies
By Henri Keränen; Finnish Economic Policy Council Sakari Lähdemäki; ETLA Economic Research
presented by: Sakari Lähdemäki, ETLA Economic Research
The Differing Effects of Brexit on the Irish Economy
By Michael O'Grady; Central Bank of Ireland Silvia Calo'; European Stability Mechanism
presented by: Michael O'Grady, Central Bank of Ireland
Session 126: Health and Labour Supply June 30, 2023 10:15 to 12:00 Location: C2-020
Session Chair: Sergi Jimenez-Martin, Universitat Pompeu Fabra & BSE
Session type: contributed
Out for Good: Labor Market Effects of Transitory and Persistent Health Shocks
By Mattis Beckmannshagen; DIW Berlin Johannes Koenig; DIW Berlin
presented by: Johannes Koenig, DIW Berlin
Part-time sick leave: an attractive treatment for a complex situation
By Daniela Andrén; Örebro University School of Business Thomas Andren; Saco
presented by: Daniela Andrén, Örebro University School of Business
Income, Employment and Health Risks of Older Workers
By SIQI WEI; IE University
presented by: SIQI WEI, IE University
The Effect of Removing Early Retirement on Mortality
By Cristina Belles; Universitat de Barcelona Sergi Jimenez-Martin; Universitat Pompeu Fabra & BSE Han Ye; University of Mannheim
presented by: Sergi Jimenez-Martin, Universitat Pompeu Fabra & BSE
Session 127: Instrumental Variables II June 30, 2023 10:15 to 12:00 Location: C2-005
Session Chair: Jens Klooster, Erasmus University Rotterdam
Session type: contributed
Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics
By Zhenghong Huang; The University of Hong Kong
presented by: Zhenghong Huang, The University of Hong Kong
Identification- and many instrument-robust tests via invariant moment conditions
By Tom Boot; University of Groningen Johannes Ligtenberg
presented by: Johannes Ligtenberg,
On the properties of an estimator for dynamic linear panel data models based on nonlinear moment conditions
By Andrew Adrian Pua; Xiamen University Markus Fritsch Joachim Schnurbus; University of Passau
presented by: Markus Fritsch,
Outlier Robust Inference in (Weak) Linear Instrumental Variable Models
By Jens Klooster; Erasmus University Rotterdam Mikhail Zhelonkin; Erasmus University Rotterdam
presented by: Jens Klooster, Erasmus University Rotterdam
Session 128: Labour Markets June 30, 2023 10:15 to 12:00 Location: C2-030
Session Chair: Patrick Arni, University of Bristol and IZA, CESifo
Session type: contributed
The Micro and Macro Effects of Changes in the Potential Benefit Duration: Evidence from a Polish Discontinuity
By Jonas Jessen; IZA Robin Jessen; RWI Ewa Gałecka-Burdziak; SGH Warsaw School of Economics Marek Gora; Warsaw School of Economics Jochen Kluve; Humboldt-Universität zu Berlin
presented by: Robin Jessen, RWI
Predicting Re-Employment: Machine Learning Versus Assessments by Unemployed Workers and by Their Caseworkers
By Max Kunaschk; Institute for Employment Research (IAB) Julia Lang; Institute for Employment Research (IAB) Gesine Stephan; Institute for Employment Research Arne Uhlendorff; CREST Gerard Van den Berg; University of Groningen
presented by: Max Kunaschk, Institute for Employment Research (IAB)
The challenging task of regulating temporary contracts: the case of Decreto Dignità
By Davide Fiaschi; University of Pisa Cristina Tealdi; Heriot-Watt University
presented by: Davide Fiaschi, University of Pisa
Winners and losers of a large exchange rate shock: unveiling heterogeneous worker responses
By Patrick Arni; University of Bristol and IZA, CESifo Peter Egger; ETH Zurich Katharina Erhardt; Heinrich-Heine-University Duesseldorf Matthias Gubler; Swiss National Bank Philip Saure; University of Mainz
presented by: Patrick Arni, University of Bristol and IZA, CESifo
Session 129: Macroeconomic Uncertainty June 30, 2023 10:15 to 12:00 Location: B2-060
Session Chair: Luis Uzeda, Bank of Canada
Session type: contributed
Global Impacts of US Monetary Policy Uncertainty Shocks
By Povilas Lastauskas; Queen Mary University of London Anh Nguyen; International Monetary Fund
presented by: Povilas Lastauskas, Queen Mary University of London
Long-term uncertainty shocks
By Mathias Krogh; Aarhus University Giovanni Pellegrino; Aarhus University
presented by: Mathias Krogh, Aarhus University
Exchange Rate Uncertainty and the Interest Rate Parity
By Julian Fernandez; Copenhagen Business School
presented by: Julian Fernandez, Copenhagen Business School
Sectoral Uncertainty
By Efrem Castelnuovo; University of Padova Kerem Tuzcuoglu; Bank of Canada Luis Uzeda; Bank of Canada
presented by: Luis Uzeda, Bank of Canada
Session 130: Return Predictability II June 30, 2023 10:15 to 12:00 Location: C2-040
Session Chair: Massimiliano Caporin, University of Padua
Session type: contributed
Detecting the Predictive Power of Imperfect Predictors with Slowly Varying Components
By Matei Demetrescu; TU Dortmund University Mehdi Hosseinkouchack; EBS University
presented by: Matei Demetrescu, TU Dortmund University
How and When are High-Frequency Stock Returns Predictable?
By Yacine Ait-Sahalia; Princeton University Jianqing Fan; Princeton University Lirong Xue; Princeton University Yifeng Zhou; Princeton University
presented by: Yacine Ait-Sahalia, Princeton University
SMARTboost learning for financial data
By Paolo Giordani; Norwegian Business School
presented by: Paolo Giordani, Norwegian Business School
Penalized CAW, Forecast Error Variance Decompositions and Systemic Risk Measurement
By Massimiliano Caporin; University of Padua Giuseppe Storti; University of Salerno
presented by: Massimiliano Caporin, University of Padua
Session 131: Text-based Forecasting June 30, 2023 10:15 to 12:00 Location: B2-030
Session Chair: Luiz Lima, The University of Tennessee
Session type: contributed
Forecasting the Prices of Used Cars: A Comparative Analysis of Supervised Learning Algorithms
By George Milunovich; Macquarie University
presented by: George Milunovich, Macquarie University
Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press
By Jasper de Winter; De Nederlandsche Bank Dorinth Van Dijk; De Nederlandsche Bank
presented by: Jasper de Winter, De Nederlandsche Bank
Do daily news abstracts help nowcasting Swiss GDP growth?
By Marc Burri; University of Neuchâtel
presented by: Marc Burri, University of Neuchâtel
Quantile Forecasting with Textual Data
By Luiz Lima; The University of Tennessee
presented by: Luiz Lima, The University of Tennessee