IAAE 2024 Greece International Association for Applied Econometrics

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

#	Date/Time	Type	Title/Location	Papers
1	June 25, 2024 8:30-8:45	invited	Welcome Remarks     Location: Grace BC	0
2	June 25, 2024 8:45-9:45	invited	JAE lecture: Bruce Hansen (Wisconsin) 'Standard Errors for Difference-in-Difference Regression'     Location: Grace BC, link to paper: https://users.ssc.wisc.edu/~bhansen/papers/did.html	0
3	June 25, 2024 9:45-10:15	invited	Coffee Break	0
4	June 25, 2024 10:15-12:00	contributed	Causal inference 1: synthetic control and instruments     Location: Grace D	4
5	June 25, 2024 10:15-12:00	contributed	Climate policies 1     Location: Epsilon	3
6	June 25, 2024 10:15-12:00	contributed	Education and health 1: Parental effects     Location: Garden Hall B	4
7	June 25, 2024 10:15-12:00	contributed	Financial econometrics 1: predictability and high dimensions     Location: Semifloor office	4
8	June 25, 2024 10:15-12:00	contributed	Government Debts     Location: Garden Hall A	3
9	June 25, 2024 10:15-12:00	contributed	Income Inequality and Mobility     Location: Grace A	4
10	June 25, 2024 10:15-12:00	contributed	Micro econometrics 1: Sample selection, rank mobility curves, isotonic regression and partioning     Location: Gamma	4
11	June 25, 2024 10:15-12:00	contributed	Misspecification and identification testing     Location: Orion	4
12	June 25, 2024 10:15-12:00	contributed	Monetary Policy Transmission     Location: Grace BC	4
13	June 25, 2024 10:15-12:00	contributed	Nowcasting     Location: Celeste	4
14	June 25, 2024 10:15-12:00	contributed	Vector Autoregression     Location: Theta	2
15	June 25, 2024 12:00-13:30	invited	Lunch	0
16	June 25, 2024 13:30-15:15	contributed	Aggregate Shocks, Consumption and Labor Markets     Location: Grace A	3
17	June 25, 2024 13:30-15:15	contributed	Causal inference 2: distribution regression and quantiles     Location: Grace D	4
18	June 25, 2024 13:30-15:15	contributed	Climate Change, Temperature Trends and Forecasting     Location: Epsilon	4
19	June 25, 2024 13:30-15:15	contributed	Education and health 2: Environmental effects on economic behavior     Location: Garden Hall B	3
20	June 25, 2024 13:30-15:15	contributed	Financial econometrics 2: risk factors, risk premia and spanning     Location: Semifloor office	4
21	June 25, 2024 13:30-15:15	contributed	Micro econometrics 2: Moment inequalities. simulated ML, matching and fast estimation     Location: Gamma	3
22	June 25, 2024 13:30-15:15	contributed	Panel data: Groups, clustering and non-linearity     Location: Orion	4
23	June 25, 2024 13:30-15:15	contributed	Time Varying Model     Location: Theta	3
24	June 25, 2024 13:30-15:15	contributed	Time-Varying Monetary Policy     Location: Grace BC	3
25	June 25, 2024 13:30-15:15	contributed	Topics in Forecasting 1     Location: Celeste	4
26	June 25, 2024 13:30-15:15	contributed	Toward More General Business Cycle Models     Location: Garden Hall A	4
27	June 25, 2024 15:15-15:45	invited	Coffee Break	0
28	June 25, 2024 15:45-17:30	contributed	Causal inference 3: LATE, synthetic controls, instruments and dif-in-dif     Location: Grace D	4
29	June 25, 2024 15:45-17:30	contributed	Education and health 3: Health shocks     Location: Garden Hall B	4
30	June 25, 2024 15:45-17:30	contributed	Factor-based Forecasting     Location: Celeste	4
31	June 25, 2024 15:45-17:30	contributed	Financial econometrics 3: Risk and options     Location: Semifloor office	4
32	June 25, 2024 15:45-17:30	contributed	Fiscal Policy     Location: Garden Hall A	4
33	June 25, 2024 15:45-17:30	contributed	Geographical Heterogeneity and Climate Change     Location: Epsilon	4
34	June 25, 2024 15:45-17:30	contributed	Labor Markets and Policy Interactions     Location: Grace A	3
35	June 25, 2024 15:45-17:30	contributed	Micro econometrics 3: publication bias, heterogeneity, high dimension, double robust     Location: Gamma	4
36	June 25, 2024 15:45-17:30	contributed	Monetary Policy Rules     Location: Grace BC	3
37	June 25, 2024 15:45-17:30	contributed	Panel data: random effects and trends     Location: Orion	4
38	June 25, 2024 15:45-17:30	contributed	Time Series Models for High Dimensional Data or with Many Regressors     Location: Theta	4
39	June 25, 2024 17:35-18:35	invited	IAAE invited lecture: Guido Imbens (Stanford) 'Recent Advances in Causal Panel Data Models'     Location: Grace BC	0
40	June 25, 2024 18:45-20:15	invited	Welcome Reception	0
41	June 26, 2024 8:45-9:45	invited	IAAE invited lecture: Anna Mikusheva (MIT) 'GMM is Inadmissible Under Weak Identification'     Location: Grace BC, link to paper: https://economics.mit.edu/sites/default/files/2023-05/GMM%20Inadmissibility.pdf	0
42	June 26, 2024 9:45-10:15	invited	Coffee Break	0
43	June 26, 2024 10:15-12:00	contributed	Business Cycle Measurement     Location: Garden Hall A	4
44	June 26, 2024 10:15-12:00	contributed	Causal inference 4: cube method, factor model, misclassification and synthetic control     Location: Grace D	4
45	June 26, 2024 10:15-12:00	contributed	Education and health 4: Education and dropping out     Location: Garden Hall B	4
46	June 26, 2024 10:15-12:00	contributed	Financial econometrics 4: Risk measures     Location: Semifloor office	4
47	June 26, 2024 10:15-12:00	contributed	Gender, Race and Labor Markets     Location: Grace A	3
48	June 26, 2024 10:15-12:00	contributed	Housing Prices and Household Finance     Location: Epsilon	4
49	June 26, 2024 10:15-12:00	contributed	Micro econometrics 4: Testing, quantiles and extremum estimators     Location: Gamma	4
50	June 26, 2024 10:15-12:00	contributed	Monetary Policy Shocks and Measurements     Location: Grace BC	4
51	June 26, 2024 10:15-12:00	contributed	Panel data: robustness and interactive effects     Location: Orion	3
52	June 26, 2024 10:15-12:00	contributed	Shocks and Impulse Responses     Location: Theta	4
53	June 26, 2024 10:15-12:00	contributed	Topics in Forecasting 2     Location: Celeste	4
54	June 26, 2024 12:00-13:30	invited	Lunch	0
55	June 26, 2024 13:30-15:15	contributed	Business Cycle Measurement and Identification     Location: Garden Hall A	4
56	June 26, 2024 13:30-15:15	contributed	Causal inference 5: synthetic control, double robust estimation and mediation     Location: Grace D	4
57	June 26, 2024 13:30-15:15	contributed	Climate policies 2     Location: Epsilon	4
58	June 26, 2024 13:30-15:15	contributed	Education and health 5: Effects from divorce and financial decisions     Location: Garden Hall B	4
59	June 26, 2024 13:30-15:15	contributed	Empirical IO     Location: Gamma	4
60	June 26, 2024 13:30-15:15	contributed	Empirical Macroeconomics 1     Location: Grace BC	4
61	June 26, 2024 13:30-15:15	contributed	Financial econometric 5: volatility     Location: Semifloor office	4
62	June 26, 2024 13:30-15:15	contributed	Instability in Time Series Models     Location: Theta	4
63	June 26, 2024 13:30-15:15	contributed	International Macroeconomics     Location: Celeste	4
64	June 26, 2024 13:30-15:15	contributed	Labor Markets and Expectations     Location: Grace A	3
65	June 26, 2024 13:30-15:15	contributed	Panel data: approximations and limits     Location: Orion	4
66	June 26, 2024 15:15-15:45	invited	Coffee Break	0
67	June 26, 2024 15:45-17:30	contributed	Causal inference 6: Bunching, clustering, heterogeneity and complementarity     Location: Grace D	4
68	June 26, 2024 15:45-17:30	contributed	Empirical Macroeconomics 2     Location: Grace BC	4
69	June 26, 2024 15:45-17:30	contributed	Financial econometrics 6: Volatility and high dimensions     Location: SemiFloor Office	4
70	June 26, 2024 15:45-17:30	contributed	Macro econometrics 2: Computational Macro     Location: Garden Hall B	4
71	June 26, 2024 15:45-17:30	contributed	Micro econometrics 5: Discrete choice, nonstationary binary choice and measurement error     Location: Gamma	3
72	June 26, 2024 15:45-17:30	contributed	Modelling Climate Change and Energy Markets     Location: Epsilon	3
73	June 26, 2024 15:45-17:30	contributed	Networks     Location: Orion	4
74	June 26, 2024 15:45-17:30	contributed	Nonlinear Methods for Time Series Models     Location: Theta	4
75	June 26, 2024 15:45-17:30	contributed	Nowcasting and machine learning     Location: Celeste	4
76	June 26, 2024 15:45-17:30	contributed	Topics in Business Cycle Analysis     Location: Garden Hall A	4
77	June 26, 2024 15:45-17:30	contributed	Wages, Prices and Expectations     Location: Grace A	4
78	June 26, 2024 17:30-18:00	invited	IAAE General Assembly	0
79	June 26, 2024 18:00-23:00	invited	Conference Dinner	0
80	June 27, 2024 8:45-9:45	invited	Key note lecture: Isaiah Andrews (MIT) 'Bootstrap Diagnostics for Irregular Estimators'     Location: Grace BC, link to paper: https://economics.mit.edu/sites/default/files/2024-01/VarEst.pdf	0
81	June 27, 2024 9:45-10:15	invited	Coffee Break	0
82	June 27, 2024 10:15-12:00	contributed	Education and health 7: Health (insurance) effects     Location: Garden Hall B	4
83	June 27, 2024 10:15-12:00	contributed	Empirical Macroeconomics 3     Location: Grace BC	4
84	June 27, 2024 10:15-12:00	contributed	Financial econometrics 7: Portfolios     Location: SemiFloor Office	4
85	June 27, 2024 10:15-12:00	contributed	Fiscal Policy and Economic Activity     Location: Garden Hall A	4
86	June 27, 2024 10:15-12:00	contributed	Forecasting Inflation     Location: Celeste	4
87	June 27, 2024 10:15-12:00	contributed	Frontiers in Machine Learning Methodologies     Location: Grace D	4
88	June 27, 2024 10:15-12:00	contributed	Inference in Time Series Models     Location: Theta	3
89	June 27, 2024 10:15-12:00	contributed	Modeling Inflation     Location: Grace A	4
90	June 27, 2024 10:15-12:00	invited	Topics in Climate and Environment     Location: Epsilon	3
91	June 27, 2024 10:15-12:00	contributed	Topics in Microeconometrics     Location: Gamma	4
92	June 27, 2024 10:15-12:00	contributed	Weak identification and many instruments     Location: Orion	4
93	June 27, 2024 12:00-13:30	invited	Lunch	0
94	June 27, 2024 13:30-15:15	contributed	Advanced Methods in Econometrics     Location: Gamma	3
95	June 27, 2024 13:30-15:15	contributed	Empirical Finance and Nonlinear Dynamics     Location: Epsilon	4
96	June 27, 2024 13:30-15:15	contributed	Empirical Macroeconomics 4     Location: Grace BC	3
97	June 27, 2024 13:30-15:15	contributed	Financial econometrics 8: Portfolios and risk perception     Location: SemiFloor Office	4
98	June 27, 2024 13:30-15:15	contributed	High Dimensional Inference Techniques     Location: Grace D	4
99	June 27, 2024 13:30-15:15	contributed	Inflation Drivers     Location: Grace A	4
100	June 27, 2024 13:30-15:15	contributed	International Macro-Finance     Location: Celeste	4
101	June 27, 2024 13:30-15:15	contributed	Macro econometrics 1     Location: Grand Hall B	3
102	June 27, 2024 13:30-15:15	contributed	Macroeconomic Consequences of Taxation and Pension     Location: Garden Hall A	4
103	June 27, 2024 13:30-15:15	contributed	Panel data: spatial and heterogeneity     Location: Orion	4
104	June 27, 2024 13:30-15:15	contributed	Trend     Location: Theta	3
105	June 27, 2024 15:15-15:45	invited	Coffee Break	0
106	June 27, 2024 15:45-17:30	contributed	Applied Microeconomics and Trade     Location: Epsilon	4
107	June 27, 2024 15:45-17:30	contributed	Covid and politics     Location: Semifloor office	4
108	June 27, 2024 15:45-17:30	contributed	Drivers of the Business Cycle     Location: Garden Hall A	4
109	June 27, 2024 15:45-17:30	contributed	Economic Applications of Machine Learning Methods     Location: Grace D	4
110	June 27, 2024 15:45-17:30	contributed	Education and health 6: The economics effects of disruptions     Location: Garden Hall B	4
111	June 27, 2024 15:45-17:30	invited	Empirical Macroeconomics 5     Location: Grace BC	4
112	June 27, 2024 15:45-17:30	contributed	Exchange Rates and International Reserves     Location: Celeste	2
113	June 27, 2024 15:45-17:30	contributed	Inflation Components and Targets     Location: Grace A	4
114	June 27, 2024 15:45-17:30	contributed	Networks and spatial     Location: Orion	4
115	June 27, 2024 15:45-17:30	contributed	Nonlinear Time Series     Location: Theta	4

 

115 sessions, 368 papers, and 0 presentations with no associated papers

IAAE 2024 Greece International Association for Applied Econometrics
Detailed List of Sessions

Session 1: Welcome Remarks June 25, 2024 8:30 to 8:45 Location: Grace BC
Session type: invited
Session 2: JAE lecture: Bruce Hansen (Wisconsin) 'Standard Errors for Difference-in-Difference Regression' June 25, 2024 8:45 to 9:45 Location: Grace BC, link to paper: https://users.ssc.wisc.edu/~bhansen/papers/did.html
Session Chair: Yoosoon Chang, Indiana University
Session type: invited
Session 3: Coffee Break June 25, 2024 9:45 to 10:15
Session type: invited
Session 4: Causal inference 1: synthetic control and instruments June 25, 2024 10:15 to 12:00 Location: Grace D
Session Chair: Heshani Madigasekara, Monash University
Session type: contributed
1. Synthetic instruments in DiD designs with unmeasured confounding
By Ahmet Gulek; MIT
presented by: Ahmet Gulek, MIT
2. Alternative approaches for estimation and inference in synthetic control designs
By Lennart Bolwin; German Economic Institute Joerg Breitung; University of Cologne
presented by: Joerg Breitung, University of Cologne
3. Difference-in-Differences with Unpoolable Data
By Nichole Austin; Dalhousie University Sunny Karim; Carleton University Erin Strumpf; McGill University Matthew Webb; Carleton University
presented by: Sunny Karim, Carleton University
4. Partial Identification of the Distributional Treatment Effects in Panel Data using Copula Equality Assumptions
By Heshani Madigasekara; Monash University Xueyan Zhao; Monash University
presented by: Heshani Madigasekara, Monash University
Session 5: Climate policies 1 June 25, 2024 10:15 to 12:00 Location: Epsilon
Session Chair: Timothy Neal, University of New South Wales
Session type: contributed
1. Is the Green Transition Inflationary?
[slides]
By Marco Del Negro; Federal Reserve Bank of New York Julian di Giovanni; Federal Reserve Bank of New York Keshav Dogra; Federal Reserve Bank of New York
presented by: Marco Del Negro, Federal Reserve Bank of New York
2. Climate Policy and International Capital Reallocation
By Marius Fourné; Martin-Luther-University Halle-Wittenberg and Halle Institute for Economic Xiang Li; Halle Institute for Economic Research
presented by: Marius Fourné, Martin-Luther-University Halle-Wittenberg and Halle Institute for Economic
3. The Importance of External Weather Effects in Projecting the Macroeconomic Impacts of Climate Change
By Timothy Neal; University of New South Wales
presented by: Timothy Neal, University of New South Wales
Session 6: Education and health 1: Parental effects June 25, 2024 10:15 to 12:00 Location: Garden Hall B
Session Chair: Florentine Oliveira, Paris School of Economics
Session type: contributed
1. Maternal Childcare Preferences and Labor Supply of Mothers
By Léa Dubreuil
presented by: Léa Dubreuil,
2. Targeted Policies in Higher Education
By Juan Pal; Toulouse School of Economics
presented by: Juan Pal, Toulouse School of Economics
3. Paid parental leave, couples' labour supply and the relative household income
By Lucas Mandrisch; University of Antwerp
presented by: Lucas Mandrisch, University of Antwerp
4. Children of the Revolution: Women's Liberation and Children's Success
By Florentine Oliveira; Paris School of Economics
presented by: Florentine Oliveira, Paris School of Economics
Session 7: Financial econometrics 1: predictability and high dimensions June 25, 2024 10:15 to 12:00 Location: Semifloor office
Session Chair: Matteo Santi, Bank of Italy
Session type: contributed
1. Stock market returns predictability: A time-varying analysis
By Isabel Casas; University of Deusto Helena Veiga; University Carlos III Madrid Xiuping Mao; Zhongnan University of Economics and Law
presented by: Helena Veiga, University Carlos III Madrid
2. Influential assets in Large-Scale Vector AutoRegressive Model
By Kexin Zhang; City University of Hong Kong Simon Trimborn; University of Amsterdam
presented by: Simon Trimborn, University of Amsterdam
3. Assessing the Predictive Power of Industry Portfolios on Small-Cap Stock Returns
By Michalis Stamatogiannis; University of Liveprool
presented by: Michalis Stamatogiannis, University of Liveprool
4. A High-Dimensional GDP-at-Risk and Inflation-at-Risk for the Euro Area
[slides]
By Matteo Santi; Bank of Italy
presented by: Matteo Santi, Bank of Italy
Session 8: Government Debts June 25, 2024 10:15 to 12:00 Location: Garden Hall A
Session Chair: Josha van Spronsen, Tinbergen Institute, University of Amsterdam
Session type: contributed
1. Fiscal Fatigue, Fiscal limits and Sovereign Credit Spreads
By Kevin Pallara; Bank of Italy
presented by: Kevin Pallara, Bank of Italy
2. Debt Sustainability and Fiscal Consolidation in HANK
By Francois Langot; GAINS Jocelyn Maillard; CEPREMAP Selma MALMBERG; Le Mans University & CEPREMAP Fabien Tripier; Université Paris Dauphine - PSL Jean-Olivier Hairault; University Paris 1
presented by: Jocelyn Maillard, CEPREMAP
3. Bringing Debt to the Market: Underwriting Spread Determinants and the Role of Official Loans
By Josha van Spronsen; Tinbergen Institute, University of Amsterdam Roel Beetsma; University of Amsterdam
presented by: Josha van Spronsen, Tinbergen Institute, University of Amsterdam
Session 9: Income Inequality and Mobility June 25, 2024 10:15 to 12:00 Location: Grace A
Session Chair: James Morley, University of Sydney
Session type: contributed
1. The Role of Skills and Sorting in Explaining Wage Inequality
By Paul Diegert; Toulouse School of Economics
presented by: Paul Diegert, Toulouse School of Economics
2. Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility
By Yoosoon Chang; Indiana University Steven Durlauf; University of Chicago Bo Hu; Indiana University Joon Park; Indiana University
presented by: Yoosoon Chang, Indiana University
3. Understanding Trends in the German Income Distribution: 2001-2019
By Eliana Coschignano;
presented by: Eliana Coschignano,
4. Unemployment in a Commodity-Rich Economy: How Relevant Is Dutch Disease?
By Mariano Kulish; University of Sydney James Morley; University of Sydney Nadine Yamout Francesco Zanetti; University of Oxford
presented by: James Morley, University of Sydney
Session 10: Micro econometrics 1: Sample selection, rank mobility curves, isotonic regression and partioning June 25, 2024 10:15 to 12:00 Location: Gamma
Session Chair: Antonio Raiola, University Carlos III of Madrid
Session type: contributed
1. Sample Selection in Unconditional Quantile Models
By Stefanie Sunao; Insper
presented by: Stefanie Sunao, Insper
2. Nonparametric and Semiparametric Estimation of Upward Rank Mobility Curves
By Tsung-Chih Lai; National Chung Cheng University Jia-Han Shih; National Sun Yat-sen University Yi-Hau Chen; Academia Sinica
presented by: Tsung-Chih Lai, National Chung Cheng University
3. Semiparametric and nonparametric instrumental variable estimation with first-stage isotonic regression
By Taisuke Otsu; London School of Economics Kazuhiko Shinoda; Keio University Mengshan Xu; University of Mannheim
presented by: Mengshan Xu, University of Mannheim
4. Testing Conditional Moment Restrictions: A Partitioning Approach
By Antonio Raiola; University Carlos III of Madrid
presented by: Antonio Raiola, University Carlos III of Madrid
Session 11: Misspecification and identification testing June 25, 2024 10:15 to 12:00 Location: Orion
Session Chair: Frank Kleibergen, University of Amsterdam
Session type: contributed
1. Structural Estimation Under Misspecification: Theory and Implications for Practice
By Isaiah Andrews; MIT Nano Barahona; University of California, Berkeley Matthew Gentzkow; Stanford Ashesh Rambachan; MIT Jesse Shapiro; Harvard University
presented by: Isaiah Andrews, MIT
2. The Robust F-Statistic as a Test for Weak Instruments
By Frank Windmeijer; University of Oxford
presented by: Frank Windmeijer, University of Oxford
3. Misspecification and Weak Identification in Forward-Looking Macroeconomic Models
By Haobai Guo; University of Amsterdam Frank Kleibergen; University of Amsterdam Sophocles Mavroeidis; Oxford University
presented by: Haobai Guo, University of Amsterdam
4. Testing for identification in potentially misspecified linear GMM
By Frank Kleibergen; University of Amsterdam Zhaoguo Zhan; Kennesaw State University
presented by: Frank Kleibergen, University of Amsterdam
Session 12: Monetary Policy Transmission June 25, 2024 10:15 to 12:00 Location: Grace BC
Session Chair: Riccardo Degasperi, Bank of Italy
Session type: contributed
1. Central bank digital currency - Impact on monetary policy transmission via banks
By Ramón Adalid; European Central Bank Lorenzo Burlon; European Central Bank Maria Dimou; European Central Bank
presented by: Maria Dimou, European Central Bank
2. Monetary policy surprise shocks under different fiscal regimes: a panel analysis of the Euro Area
By Antonio Afonso; University of Lisbon José Alves; REM - Research in Economics and Management Serena Ionta; Roma Tre University
presented by: Serena Ionta, Roma Tre University
3. Has Globalization Changed the International Transmission of U.S. Monetary Policy?
By Lorenzo Mori; University of Padova Maximilian Boeck; Università Bocconi
presented by: Lorenzo Mori, University of Padova
4. Disagreement and Monetary Policy Transmission
By Riccardo Degasperi; Bank of Italy Giovanni Ricco; CREST - Ecole Polytechnique Fabrizio Venditti; Banca d'Italia
presented by: Riccardo Degasperi, Bank of Italy
Session 13: Nowcasting June 25, 2024 10:15 to 12:00 Location: Celeste
Session Chair: Lucas Harlaar, Maastricht University
Session type: contributed
1. Lessons from Nowcasting GDP across the World
By Michele Modugno; Federal Reserve Board
presented by: Michele Modugno, Federal Reserve Board
2. Regime-Switching Factor Models and Nowcasting with Big Data
By Ömer Faruk Akbal; International Monetary Fund
presented by: Ömer Faruk Akbal, International Monetary Fund
3. Nowcasting with mixed frequency data using Gaussian processes
By Niko Hauzenberger; University of Strathclyde Massimiliano Marcellino; Bocconi University Michael Pfarrhofer; Vienna University of Economics and Business Anna Stelzer; Oesterreichische Nationalbank
presented by: Michael Pfarrhofer, Vienna University of Economics and Business
4. Statistical Early Warning models with applications
[slides]
By Lucas Harlaar; Maastricht University Jacques Commandeur; VU University Amsterdam Jan van den Brakel; Statistics Netherlands Siem Jan Koopman; Vrije Universiteit Amsterdam Niels Bos; SWOV institute for Road Safety Research Frits Bijleveld; SWOV Institute for Road Safety Research
presented by: Lucas Harlaar, Maastricht University
Session 14: Vector Autoregression June 25, 2024 10:15 to 12:00 Location: Theta
Session Chair: Georgios Papapanagiotou, University of Macedonia
Session type: contributed
1. Estimation of DSGE models by non-Gaussian Vector Autoregressions
By Damiano Di Francesco; Sant'Anna School of Advanced Studies Mario Martinoli; Sant'Anna School of Advanced Studies Alessio Moneta; Sant'Anna School of Advanced Studies Raffaello Seri; Università dell'Insubria
presented by: Alessio Moneta, Sant'Anna School of Advanced Studies
2. European Trade & Growth Imbalances: An Analysis using a Sign-Restriction Bayesian-GVAR with Stochastic Volatility
By Peter McAdam; Federal Reserve Bank of Kansas City Kostas Mouratidis Theodore Panagiotidis; University of Macedonia Georgios Papapanagiotou; University of Macedonia
presented by: Georgios Papapanagiotou, University of Macedonia
Session 15: Lunch June 25, 2024 12:00 to 13:30
Session type: invited
Session 16: Aggregate Shocks, Consumption and Labor Markets June 25, 2024 13:30 to 15:15 Location: Grace A
Session Chair: Yixuan Ma, Maastricht University
Session type: contributed
1. Firm Shocks, Workers Earnings and the Extensive Margin
By Matias Tapia; Central Bank of Chile
presented by: Matias Tapia, Central Bank of Chile
2. The effect of non-technological news shocks on unemployment fluctuations: The case of Europe
By Marta Garcia-Rodriguez; Universitat Autonoma de Barcelona
presented by: Marta Garcia-Rodriguez, Universitat Autonoma de Barcelona
3. Solving Dynamic Portfolio and Consumption Problems by Going Forward in Time
By Yixuan Ma; Maastricht University
presented by: Yixuan Ma, Maastricht University
Session 17: Causal inference 2: distribution regression and quantiles June 25, 2024 13:30 to 15:15 Location: Grace D
Session Chair: Gabriela Miyazato Szini, University of Amsterdam
Session type: contributed
1. Distribution Regression Difference-In-Differences
By Ivan Fernandez-Val; Boston University Jonas Meier; Swiss National Bank Aico van Vuuren; University of Groningen Francis Vella; Georgetown university
presented by: Aico van Vuuren, University of Groningen
2. Quantile on Quantiles
By Martina Pons; University of Bern
presented by: Martina Pons, University of Bern
3. A Synthetic Control Method for the Analysis of Effects across the Distribution
By Marc Schranz; University of Bern
presented by: Marc Schranz, University of Bern
4. A Pairwise Differencing Distribution Regression Approach for Network Models
By Gabriela Miyazato Szini; University of Amsterdam
presented by: Gabriela Miyazato Szini, University of Amsterdam
Session 18: Climate Change, Temperature Trends and Forecasting June 25, 2024 13:30 to 15:15 Location: Epsilon
Session Chair: Jesus Gonzalo, Universidad Carlos III de Madrid
Session type: contributed
1. Persistent Cycles and Long-run Covariability in Paleoclimate Time Series
By Vasco Gabriel; University of Victoria Luis Filipe Martins; Instituto Universitario de Lisboa, ISCTE Anthoulla Phella; University of Glasgow
presented by: Anthoulla Phella, University of Glasgow
2. Modeling and Forecasting Cyclical Trends in Paleoclimate Data
By Tomas del Barrio Castro; University of the Balearic Islands Alvaro Escribano; Universidad Carlos III de Madrid Philipp Sibbertsen; Leibniz Universitaet Hannover
presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover
3. Adaptive now- and forecasting of global temperatures under smooth structural changes
By Robinson Kruse-Becher; University of Hagen
presented by: Robinson Kruse-Becher, University of Hagen
4. Trends in Temperature Data: Micro-foundations of Their Nature
By Maria Dolores Gadea; University of Zaragoza Jesus Gonzalo; Universidad Carlos III de Madrid Andrey Ramos; Universidad Carlos III de Madrid
presented by: Jesus Gonzalo, Universidad Carlos III de Madrid
Session 19: Education and health 2: Environmental effects on economic behavior June 25, 2024 13:30 to 15:15 Location: Garden Hall B
Session Chair: Ailun Shui, University of Groningen
Session type: contributed
1. The Dirtier You Breathe, The Less Safe You Are. The Effect of Air Pollution on Work Accidents
By Domenico Depalo; Banca d'Italia Alessandro Palma; GSSI
presented by: Domenico Depalo, Banca d'Italia
2. Let's Get Physical: Impacts of Climate Change Physical Risks on Local Employment
By Genevieve Vallee; Bank of Canada Soojin Jo; Yonsei University Thibaut Duprey; Bank of Canada
presented by: Soojin Jo, Yonsei University
3. The impact of mining-induced earthquakes on mental health: evidence from Dutch Lifelines Biobank and Cohort Study
[slides]
By Ailun Shui; University of Groningen
presented by: Ailun Shui, University of Groningen
Session 20: Financial econometrics 2: risk factors, risk premia and spanning June 25, 2024 13:30 to 15:15 Location: Semifloor office
Session Chair: Maria Grith, EUR
Session type: contributed
1. The Decay of cay
By Moritz Dauber; University of Innsbruck Jochen Lawrenz; University of Innsbruck
presented by: Moritz Dauber, University of Innsbruck
2. Asymmetric Violations of the Spanning Hypothesis
By Gustavo Freire; Erasmus School of Economics Raul Riva; Kellogg School, Northwestern University
presented by: Raul Riva, Kellogg School, Northwestern University
3. Moment Conditions and Time-Varying Risk Premia
By Dennis Umlandt; University of Innsbruck
presented by: Dennis Umlandt, University of Innsbruck
4. Risk Premiums in the Bitcoin Market
By Caio Almeida; Princeton University Maria Grith; EUR Ratmir Miftachov; HU Berlin Zijin Wang; Southwestern University of Finance and Economics
presented by: Maria Grith, EUR
Session 21: Micro econometrics 2: Moment inequalities. simulated ML, matching and fast estimation June 25, 2024 13:30 to 15:15 Location: Gamma
Session Chair: Nese Yildiz, University of Rochester
Session type: contributed
1. Smoothed inference for Moment Inequalities
By Max Lesellier; Unversity of Montreal Christian Bontemps; ENAC and Toulouse School of Economics
presented by: Max Lesellier, Unversity of Montreal
2. Improved Estimation by Simulated Maximum Likelihood
By Kirill Evdokimov; Universitat Pompeu Fabra Ilze Kalnina; NC State University
presented by: Ilze Kalnina, NC State University
3. Low CPU Cost Semiparametric Estimation
By Eduardo Garcia steven stern; stony brook university Nese Yildiz; University of Rochester
presented by: Nese Yildiz, University of Rochester
Session 22: Panel data: Groups, clustering and non-linearity June 25, 2024 13:30 to 15:15 Location: Orion
Session Chair: Savas Papadopoulos, Bank of Greece
Session type: contributed
1. Specification testing with grouped fixed effects
By Claudia Pigini; Università Politecnica delle Marche Alessandro Pionati; Marche Polytechnic University Francesco Valentini; Università Politecnica delle Marche
presented by: Alessandro Pionati, Marche Polytechnic University
2. Testing for Clustering Under Switching
By Igor Custodio Joao; Vrije Universiteit Amsterdam
presented by: Igor Custodio Joao, Vrije Universiteit Amsterdam
3. Estimation of Nonlinear Dynamic Panel Data Models with Attrition
By Alyssa Carlson; University of Missouri
presented by: Alyssa Carlson, University of Missouri
4. Assessing the Impact of Macroprudential Policies on Economic Growth in 25 European Counties: A Quantile Regression Analysis of Panel Data (1999-2021
By Savas Papadopoulos; Bank of Greece
presented by: Savas Papadopoulos, Bank of Greece
Session 23: Time Varying Model June 25, 2024 13:30 to 15:15 Location: Theta
Session Chair: Bram van Os, Vrije Universiteit Amsterdam
Session type: contributed
1. Time Varying Three Pass Regression Filter
By Yiannis Dendramis; Athens University of Economics and Business George Kapetanios; King's College London massimiliano Marcelino; Bocconi University
presented by: Yiannis Dendramis, Athens University of Economics and Business
2. The Time-Varying Multivariate Autoregressive Index Model
By Gianluca Cubadda; Tor Vergata University of Rome Stefano Grassi; Universita di Roma 'Tor Vergata' Barbara Guardabascio; University of Perugia
presented by: Gianluca Cubadda, Tor Vergata University of Rome
3. Information-Theoretic Time-Varying Density Modeling
By Bram van Os; Vrije Universiteit Amsterdam
presented by: Bram van Os, Vrije Universiteit Amsterdam
Session 24: Time-Varying Monetary Policy June 25, 2024 13:30 to 15:15 Location: Grace BC
Session Chair: Francesco Furlanetto, Norges Bank
Session type: contributed
1. When is monetary policy more powerful?
By Dilan Aydin Yakut; Central Bank of Ireland David Byrne; Central Bank of Ireland Robert Goodhead; Central Bank of Ireland
presented by: Robert Goodhead, Central Bank of Ireland
2. Fed's policy rule: A discrete-choice regime-switching approach
By Andrei Sirchenko; Nyenrode Business University
presented by: Andrei Sirchenko, Nyenrode Business University
3. Taylor Rules with Endogenous Regimes
By Knut Are Aastveit; Norges Bank Jamie Cross; University of Melbourne Francesco Furlanetto; Norges Bank Herman van Dijk; Erasmus University Rotterdam
presented by: Francesco Furlanetto, Norges Bank
Session 25: Topics in Forecasting 1 June 25, 2024 13:30 to 15:15 Location: Celeste
Session Chair: Florens Odendahl, Banco de España
Session type: contributed
1. Taking advantage of biased proxies for forecast evaluation
By Giuseppe Buccheri; University of Verona Roberto Renò; ESSEC Business School Giorgio Vocalelli; University of Verona
presented by: Giorgio Vocalelli, University of Verona
2. Factor Augmented Forecasting Subject to Structural Breaks in the Factor Structure
By Xu Han; City University of Hong Kong Ze-Yu Zhong; Monash University
presented by: Ze-Yu Zhong, Monash University
3. Forecast Linear Augmented Projection (FLAP): A free lunch to reduce forecast error variance
By Yangzhuoran Yang; Monash University George Athanasopoulos; Monash University Rob Hyndman; Monash University Anastasios Panagiotelis; University of Sydney
presented by: Yangzhuoran Fin Yang, Monash University
4. Density forecast frequency transformation
By Matteo Mogliani; Banque de France Florens Odendahl; Banco de España
presented by: Florens Odendahl, Banco de España
Session 26: Toward More General Business Cycle Models June 25, 2024 13:30 to 15:15 Location: Garden Hall A
Session Chair: Michele Lenza, European Central Bank
Session type: contributed
1. Land development and frictions to housing supply over the business cycle
By Hyunseung Oh; Federal Reserve Board Choongryul Yang; Federal Reserve Board Chamna Yoon; Seoul National University
presented by: Hyunseung Oh, Federal Reserve Board
2. Three Centuries of Swiss Economic Sentiment
By Marc Burri; University of Neuchâtel
presented by: Marc Burri, University of Neuchâtel
3. ICT Innovations and Labor Hours: A Business Cycle Analysis
By Sangheon Ahn; Yonsei University Soojin Jo; Yonsei University Myungkyu Shim; Yonsei University
presented by: Sangheon Ahn, Yonsei University
4. Do we need firm data to understand macroeconomic dynamics?
By Michele Lenza; European Central Bank Ettore Savoia; SVERIGES RIKSBANK
presented by: Michele Lenza, European Central Bank
Session 27: Coffee Break June 25, 2024 15:15 to 15:45
Session type: invited
Session 28: Causal inference 3: LATE, synthetic controls, instruments and dif-in-dif June 25, 2024 15:45 to 17:30 Location: Grace D
Session Chair: Miyaji Sho, The University of Tokyo
Session type: contributed
1. Testing Identification Conditions of LATE in Fuzzy Regression Discontinuity Designs
By Yuanyuan Wan; University of Toronto
presented by: Yuanyuan Wan, University of Toronto
2. Don't (fully) exclude me, it's not necessary! Identification with semi-IVs
By Christophe-Alain Bruneel-Zupanc; KU Leuven
presented by: Christophe-Alain Bruneel-Zupanc, KU Leuven
3. A Method of Moments Approach to Asymptotically Unbiased Synthetic Controls
By Joseph Fry; CU Boulder Economics Department
presented by: Joseph Fry, CU Boulder Economics Department
4. Instrumented Difference-in-Differences with heterogeneous treatment effects
By Miyaji Sho; The University of Tokyo
presented by: Miyaji Sho, The University of Tokyo
Session 29: Education and health 3: Health shocks June 25, 2024 15:45 to 17:30 Location: Garden Hall B
Session Chair: Pedro Raposo, FCEE-UCP
Session type: contributed
1. The Impacts of Health Shocks on Household Labor Supply and Domestic Production
By Giovanni Di Meo; ETH Zurich Onur Eryilmaz; ETH Zurich
presented by: Onur Eryilmaz, ETH Zurich
2. Predictability and (co-)incidence of labor and health shocks
By Pim Kastelein; CPB Netherlands Bureau for Economic Policy Analysis Brinn Hekkelman Suzanne Vissers; EPFL Emile Cammeraat; CPB Netherlands Bureau for Economic Policy Analysis
presented by: Brinn Hekkelman,
3. Selecting the Patients Who Benefit Most: Evidence From Marginal Patients in Health Checks
By Kuan-Ming Chen; National Taiwan University Lin-tung Tsai
presented by: Lin-tung Tsai,
4. What lies behind the returns to experience and tenure? The role of job mobility and labor market sorting over the worker career
By John Addison; University of South Carolina Pedro Portugal; Banco de Portugal Pedro Raposo; FCEE-UCP
presented by: Pedro Raposo, FCEE-UCP
Session 30: Factor-based Forecasting June 25, 2024 15:45 to 17:30 Location: Celeste
Session Chair: George Athanasopoulos, Monash University
Session type: contributed
1. Factor-augmented functional regression with an application to electricity price curve forecasting
By Sven Otto; University of Cologne Luis Winter; University of Cologne
presented by: Luis Winter, University of Cologne
2. Modeling the Distribution of Key Economic Indicators in a Data-Rich Environment: New Empirical Evidence
By Iason Kynigakis; University College Dublin Ekaterini Panopoulou; University of Essex
presented by: Ekaterini Panopoulou, University of Essex
3. INDIVIDUAL AND COMMON INFORMATION: MODEL-FREE EVIDENCE FROM PROBABILITY FORECASTS
By Yizhou (Kyle) Kuang; University of Manchester Kristoffer Nimark; Cornell University
presented by: Yizhou Kuang, University of Manchester
4. Cross-temporal Probabilistic Forecast Reconciliation
By George Athanasopoulos; Monash University
presented by: George Athanasopoulos, Monash University
Session 31: Financial econometrics 3: Risk and options June 25, 2024 15:45 to 17:30 Location: Semifloor office
Session Chair: Yasin Simsek, Duke University
Session type: contributed
1. Refining crude oil uncertainty using corridor variance risk premia
By Dudley Gilder; Cardiff University Leonidas Tsiaras; Aston Business School
presented by: Dudley Gilder, Cardiff University
2. Autoencoder Option Pricing Models
By Gustavo Freire; Erasmus School of Economics Evgenii Vladimirov; Erasmus University Rotterdam
presented by: Evgenii Vladimirov, Erasmus University Rotterdam
3. The Recurrence of Financial Distress
By Ayaz Zeynalov; Prague University of Economics and Business
presented by: Ayaz Zeynalov, Prague University of Economics and Business
4. Intraday Variation in Systematic Risks and Information Flows
By Andrew Patton; Duke University Yasin Simsek; Duke University
presented by: Yasin Simsek, Duke University
Session 32: Fiscal Policy June 25, 2024 15:45 to 17:30 Location: Garden Hall A
Session Chair: Ruben Staffa, German Institute for Economic Research (DIW)
Session type: contributed
1. Fiscal policy and economic activity: New Causal Evidence
[slides]
By David Brasington; University of Cincinnati Marios Zachariadis; University of Cyprus
presented by: Marios Zachariadis, University of Cyprus
2. High Public Debts: Are Shocks or Discretionary Fiscal Policy to Blame?
By Nikhil Patel; International Monetary Fund
presented by: Nikhil Patel, International Monetary Fund
3. (Fiscal) Impulse responses in a high-dimensional setting
By Davide Bucci; Univeristy of Surrey
presented by: Davide Bucci, Univeristy of Surrey
4. Fiscal Policy under the Eyes of Wary Bondholders
By Ruben Staffa; German Institute for Economic Research (DIW) Gregor von Schweinitz; Halle Institute for Economic Research
presented by: Ruben Staffa, German Institute for Economic Research (DIW)
Session 33: Geographical Heterogeneity and Climate Change June 25, 2024 15:45 to 17:30 Location: Epsilon
Session Chair: Fabio Parla, University of Palermo
Session type: contributed
1. The dynamics of cattle expansion and deforestation in the Brazilian Amazon
By Nikolas Kuschnig; Vienna University of Economics and Business Lukas Vashold; Vienna University of Economics and Business
presented by: Lukas Vashold, Vienna University of Economics and Business
2. Testing extreme warming and geographical heterogeneity
By Maria Dolores Gadea; University of Zaragoza Jesus Gonzalo; Universidad Carlos III de Madrid Jose Olmo; Universidad de Zaragoza and Southampton
presented by: Maria Dolores Gadea, University of Zaragoza
3. Geography of Climate Change Adaptation in U.S. Agriculture: Evidence from Spatially Varying Long-Differences Approach
By Prasenjit Ghosh; University of Southern Indiana Emir Malikov; University of Nevada, Las Vegas RUIQING MIAO; Auburn University Jingfang Zhang; Alcorn State University
presented by: Emir Malikov, University of Nevada, Las Vegas
4. Common shocks and climate risk in European equities
By Andrea Cipollini; University of Palermo Fabio Parla; University of Palermo
presented by: Fabio Parla, University of Palermo
Session 34: Labor Markets and Policy Interactions June 25, 2024 15:45 to 17:30 Location: Grace A
Session Chair: Eva Janssens, Federal Reserve Board
Session type: contributed
1. Job Search and the Threat of Unemployment Benefit Sanctions
By Thomas Walsh; University of Glasgow
presented by: Thomas Walsh, University of Glasgow
2. The Asymmetric Effect of Wage Floors: A Natural Experiment with a Rising and Falling Minimum Wage
By Emiliano Huet-Vaughn; Pomona College
presented by: Emiliano Huet-Vaughn, Pomona College
3. Unemployment and the State-Dependent Effects of Monetary Policy
By Eva Janssens; Federal Reserve Board Sean McCrary; Ohio State University
presented by: Eva Janssens, Federal Reserve Board
Session 35: Micro econometrics 3: publication bias, heterogeneity, high dimension, double robust June 25, 2024 15:45 to 17:30 Location: Gamma
Session Chair: Christoph Breunig, University of Bonn
Session type: contributed
1. Disentangling p-Hacking and Publication Bias
[slides]
By Nino Buliskeria; Charles University
presented by: Nino Buliskeria, Charles University
2. Latent Position-Based Modeling of Parameter Heterogeneity
By Julius Vainora; University of Cambridge
presented by: Julius Vainora, University of Cambridge
3. Causal Inference on Quantiles in High Dimensions: A Bayesian Approach
By Duong Trinh; University of Glasgow
presented by: Duong Trinh, University of Glasgow
4. Double Robust Bayesian Inference on Average Treatment Effects
By Christoph Breunig; Bonn University Ruixuan Liu; Chinese University of Hong Kong Zhengfei Yu; University of Tsukuba
presented by: Christoph Breunig, University of Bonn
Session 36: Monetary Policy Rules June 25, 2024 15:45 to 17:30 Location: Grace BC
Session Chair: Giovanni Nicolo, Federal Reserve Board
Session type: contributed
1. Does it matter if the Fed goes conventional or unconventional?
By Marcin Kolasa; SGH Warsaw School of Economics Grzegorz Wesołowski; University of Warsaw
presented by: Grzegorz Wesołowski, University of Warsaw
2. Evaluating the Fed's New Policy Rules with the Fed's Model
By David Papell; University of Houston
presented by: David Papell, University of Houston
3. Is There a Forward Guidance Puzzle?
By Francesco Bianchi; Johns Hopkins University Leonardo Melosi; University of Warwick Giovanni Nicolo; Federal Reserve Board
presented by: Giovanni Nicolo, Federal Reserve Board
Session 37: Panel data: random effects and trends June 25, 2024 15:45 to 17:30 Location: Orion
Session Chair: Alexandra Soberon, Universidad de Cantabria. CIF: ES Q3918001-C
Session type: contributed
1. Policy Evaluation with Trending Data
By Andreas Pick; Erasmus University Rotterdam Timo Schenk; University of Amsterdam
presented by: Timo Schenk, University of Amsterdam
2. Random effects panel data models with known heteroskedasticity
By Julius Schaeper; University of Zurich Rainer Winkelmann; University of Zurich
presented by: Julius Schaeper, University of Zurich
3. Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods
By SIQI WEI; IE University
presented by: SIQI WEI, IE University
4. Estimation and Inference for Varying Coefficient Multidimensional Fixed-Effects Panel Data Models
By Daniel Henderson; University of Alabama Christopher Parmeter; University of Miami Alexandra Soberon; Universidad de Cantabria. CIF: ES Q3918001-C
presented by: Alexandra Soberon, Universidad de Cantabria. CIF: ES Q3918001-C
Session 38: Time Series Models for High Dimensional Data or with Many Regressors June 25, 2024 15:45 to 17:30 Location: Theta
Session Chair: Mikkel Sølvsten, Aarhus University
Session type: contributed
1. Uniform and distribution-free inference with general autoregressive processes
By Katerina Petrova; Universitat Pompeu Fabra
presented by: Katerina Petrova, Universitat Pompeu Fabra
2. Instrumental Factor Models for High-Dimensional Functional Data
By Young Kwang Kim; Toulouse School of Economics
presented by: Young Kwang Kim, Toulouse School of Economics
3. Inference on common trends in functional time series
By Morten Nielsen; Aarhus University Won-Ki Seo; University of Sydney Dakyung Seong; University of Sydney
presented by: Morten Nielsen, Aarhus University
4. Linear Regression with Weak Exogeneity
By Anna Mikusheva; Massachusetts Institute of Technology Mikkel Sølvsten; Aarhus University
presented by: Mikkel Sølvsten, Aarhus University
Session 39: IAAE invited lecture: Guido Imbens (Stanford) 'Recent Advances in Causal Panel Data Models' June 25, 2024 17:35 to 18:35 Location: Grace BC
Session Chair: Frank Kleibergen, University of Amsterdam
Session type: invited
Session 40: Welcome Reception June 25, 2024 18:45 to 20:15
Session type: invited
Session 41: IAAE invited lecture: Anna Mikusheva (MIT) 'GMM is Inadmissible Under Weak Identification' June 26, 2024 8:45 to 9:45 Location: Grace BC, link to paper: https://economics.mit.edu/sites/default/files/2023-05/GMM%20Inadmissibility.pdf
Session Chair: Marcelle Chauvet, University of California Riverside
Session type: invited
Session 42: Coffee Break June 26, 2024 9:45 to 10:15
Session type: invited
Session 43: Business Cycle Measurement June 26, 2024 10:15 to 12:00 Location: Garden Hall A
Session Chair: Richard Bräuer, Institute for Economic Research Halle
Session type: contributed
1. The Dynamic Effects of Local Labor Market Shocks on Small Firms in The United States
By Philip Barrett; International Monetary Fund Sophia Chen; International Monetary Fund Li Lin; International Monetary Fund Anke Weber; IMF
presented by: Philip Barrett, International Monetary Fund
2. Measuring the Euro Area Output Gap
By Matteo Barigozzi; Universita di Bologna Claudio Lissona; University of Bologna Matteo Luciani; Amazon.com
presented by: Claudio Lissona, University of Bologna
3. On the band-spectral estimation of business cycle models
By Nikolay Iskrev; Bank of Portugal
presented by: Nikolay Iskrev, Bank of Portugal
4. Labor market power and innovation
By Richard Bräuer; Institute for Economic Research Halle Jonathan Deist; Halle Institute for Economic Research (IWH) Matthias Mertens; Halle Institute for Economic Research
presented by: Richard Bräuer, Institute for Economic Research Halle
Session 44: Causal inference 4: cube method, factor model, misclassification and synthetic control June 26, 2024 10:15 to 12:00 Location: Grace D
Session Chair: Sam van Meer, Erasmus University Rotterdam
Session type: contributed
1. Revisiting Randomization with the Cube Method
[slides]
By Laurent Davezies; CREST and ENSAE Paris and Institut Polyt Guillaume Hollard; Ecole polytechnique - CNRS Pedro Vergara Merino; CREST - ENSAE - IP Paris
presented by: Pedro Vergara Merino, CREST - ENSAE - IP Paris
2. The potential outcomes factor model
By Jad Beyhum; KU Leuven
presented by: Jad Beyhum, KU Leuven
3. Two-step Parametric Estimation of Binary Treatment Effects with Misclassification and Endogeneity
[slides]
By Georgios Chrysanthou; University of Dundee
presented by: Georgios Chrysanthou, University of Dundee
4. Online Inference for Synthetic Control
By Sam van Meer; Erasmus University Rotterdam Nick Koning; Erasmus University Rotterdam
presented by: Sam van Meer, Erasmus University Rotterdam
Session 45: Education and health 4: Education and dropping out June 26, 2024 10:15 to 12:00 Location: Garden Hall B
Session Chair: Angela Parenti, Università di Pisa
Session type: contributed
1. Secular changes in educational attainment and the quality of the highly skilled - Evidence from Germany
By Miriam Sturm; University of Tuebingen
presented by: Miriam Sturm, University of Tuebingen
2. Examining the Fallout: Who is hurt by educational gender biases?
By Ragnar Alne; University of Bergen Eyo Herstad; Erasmus University
presented by: Eyo Herstad, Erasmus University
3. Kicked Out of School: Exploring the Impact of Childhood Physical Abuse on Educational Attainment
By Alba Sóñora Noya; University of Alicante
presented by: Alba Sóñora Noya, University of Alicante
4. Self-selection in migration
By Davide Fiaschi; Università di Pisa Angela Parenti; Università di Pisa Cristina Tealdi; Heriot-Watt University
presented by: Angela Parenti, Università di Pisa
Session 46: Financial econometrics 4: Risk measures June 26, 2024 10:15 to 12:00 Location: Semifloor office
Session Chair: Sven Pappert, TU Dortmund University
Session type: contributed
1. Expected Shortfall LASSO
By Sander Barendse; University of Amsterdam
presented by: Sander Barendse, University of Amsterdam
2. Evaluating financial tail risk forecasts with the Model Confidence Set
By Lukas Bauer; University of Freiburg
presented by: Lukas Bauer, University of Freiburg
3. Copula-Based Expectile Regression: estimation and inference
By Mohamed Doukali; University of Liverpool
presented by: Mohamed Doukali, University of Liverpool
4. Moving Aggregate Modified Autoregressive Copula-Based Time Series Models (MAGMAR-Copulas) Without Markov Restriction
By Sven Pappert; TU Dortmund University
presented by: Sven Pappert, TU Dortmund University
Session 47: Gender, Race and Labor Markets June 26, 2024 10:15 to 12:00 Location: Grace A
Session Chair: Donggyu Sul, University of Texas at Dallas
Session type: contributed
1. Gender Gaps in the Urban Wage Premium
By Kenza Elass; Bocconi University
presented by: Kenza Elass, Bocconi University
2. The Gender Wage Gap, Labor-Market Experience, and Family Choices: Lessons from East Germany?
By Dorothée Averkamp; University of Wuppertal
presented by: Dorothée Averkamp, University of Wuppertal
3. Identifying Convergent Determinant in the Long Run: Applications with Crimes and PCE Inflation
By Minyu Han; University of Texas at Dallas Yoonseok Lee; Syracuse University Suyong Song; University of Iowa Donggyu Sul; University of Texas at Dallas
presented by: Donggyu Sul, University of Texas at Dallas
Session 48: Housing Prices and Household Finance June 26, 2024 10:15 to 12:00 Location: Epsilon
Session Chair: Ana Maria Herrera, University of Kentucky
Session type: contributed
1. Can Media Narratives Predict House Price Movements?
By Firmin Ayivodji; University of Montreal (UdeM) Christopher Rauh; University of Cambridge
presented by: Firmin Ayivodji, Universite de Montreal (UdeM)
2. High-income immigration and housing prices - Evidence from the Netherlands
By Flavia Paoloni Lisa Timm; University of Amsterdam
presented by: Flavia Paoloni, University of Amsterdam
3. Retirement and investment decisions: evidence from a liquidity infusion
By Stefano Castaldo; Università degli studi di Padova
presented by: Stefano Castaldo, Università degli studi di Padova
4. Revisiting the Effect of Monetary Policy on Household Consumption: A Functional Approach
By Ana Maria Herrera; University of Kentucky Chase Coleman; University of Kentucky
presented by: Ana Maria Herrera, University of Kentucky
Session 49: Micro econometrics 4: Testing, quantiles and extremum estimators June 26, 2024 10:15 to 12:00 Location: Gamma
Session Chair: Aristide Houndetoungan, Cy Cergy Paris Universite, THEMA
Session type: contributed
1. The information matrix test for Gaussian mixtures
By Dante Amengual; CEMFI Gabriele Fiorentini; University of Florence Enrique Sentana; CEMFI
presented by: Dante Amengual, CEMFI
2. TESTING IDENTIFYING ASSUMPTIONS IN TOBIT MODELS
By Santiago Acerenza Otavio Bartalotti; Monash University Federico Veneri; Iowa Sate University
presented by: Santiago Acerenza,
3. Inference for quantile regression with generated variables
By Jayeeta Bhattacharya; University of Southampton
presented by: Jayeeta Bhattacharya, University of Southampton
4. Inference for Two-Stage Extremum Estimators
By Aristide Houndetoungan; Cy Cergy Paris Universite, THEMA Abdoul Haki Maoude; Concordia University
presented by: Aristide Houndetoungan, Cy Cergy Paris Universite, THEMA
Session 50: Monetary Policy Shocks and Measurements June 26, 2024 10:15 to 12:00 Location: Grace BC
Session Chair: Silvia Miranda-Agrippino, Federal Reserve Bank of New York
Session type: contributed
1. Subjective Monetary Policy Shocks
By Tango Kento; Yokohama City University Yoshiyuki Nakazono; Yokohama City University
presented by: Tango Kento, Yokohama City University
2. Monetary Policy in the Presence of Supply Constraints: Evidence from German firm-level data
By Almut Balleer; RWI Essen,TU Dortmund, IIES Stockholm Universit Marvin Noeller; RWI - Leibniz Institute for Economic Research
presented by: Marvin Noeller, RWI - Leibniz Institute for Economic Research
3. Managerial Decision-Making and Monetary Policy
By Lukas Hack; University of Mannheim Davud Rostam-Afschar; University of Mannheim
presented by: Davud Rostam-Afschar, University of Mannheim
4. Measuring Monetary Policy in the UK: the UK Monetary Policy Event-Study Database
By Robin Braun; Federal Reserve Board of Governors Silvia Miranda-Agrippino; Federal Reserve Bank of New York Tuli Saha; Bank of England
presented by: Silvia Miranda-Agrippino, Federal Reserve Bank of New York
Session 51: Panel data: robustness and interactive effects June 26, 2024 10:15 to 12:00 Location: Orion
Session Chair: Yuya Sasaki, Vanderbilt University
Session type: contributed
1. Dynamic Panel Data, Half Panel Jackknife and near Uniform Inference
By Geert Dhaene; KU Leuven Arturas Juodis; University of Amsterdam
presented by: Arturas Juodis, University of Amsterdam
2. Robust Estimation and Inference in Panels with Interactive Fixed Effects
By Timothy Armstrong; University of Southern California Martin Weidner; Oxford University Andrei Zeleneev; University College London
presented by: Timothy Armstrong, University of Southern California
3. Standard Errors for Two-Way Clustering with Serially Correlated Time Effects
By Harold Chiang; University of Wisconsin-Madison Bruce Hansen; University of Wisconsin Yuya Sasaki; Vanderbilt University
presented by: Yuya Sasaki, Vanderbilt University
Session 52: Shocks and Impulse Responses June 26, 2024 10:15 to 12:00 Location: Theta
Session Chair: Raffaella Giacomini, University College London
Session type: contributed
1. 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: Fabio Canova, Norwegian Business School
2. The AR-R2 prior: a joint prior for auto-regressive dynamics
By David Kohns; Heriot-Watt University
presented by: David Kohns, Heriot-Watt University
3. Druzhba? The macroeconomic effects of dirty oil for Europe
By Lukas Buhmann; Martin-Luther-Universität Halle-Wittenberg Malte Rieth; Martin-Luther-Universität Halle-Wittenberg
presented by: Lukas Buhmann, Martin-Luther-Universität Halle-Wittenberg
4. Perceived shocks and impulse-responses
By Raffaella Giacomini; University College London Jason Lu; IMF Katja Smetanina; University of Chicago
presented by: Raffaella Giacomini, University College London
Session 53: Topics in Forecasting 2 June 26, 2024 10:15 to 12:00 Location: Celeste
Session Chair: Chaoyi Chen, Central Bank of Hungary
Session type: contributed
1. Bayesian Estimation of the Heuristic Switching Model
By Mikhail Anufriev; University of Technology Sydney Cars Hommes; University of Amsterdam Valentyn Panchenko; University of New South Wales
presented by: Mikhail Anufriev, University of Technology Sydney
2. Efficiency of poll-based multi-period forecasting systems for German state elections
By Markus Fritsch; University of Passau Harry Haupt; University of Passau Joachim Schnurbus; University of Passau
presented by: Markus Fritsch, University of Passau
3. The judgmental strategy of professional forecasters
By Emilio Zanetti Chini; University of Bergamo
presented by: Emilio Zanetti Chini, University of Bergamo
4. Threshold MIDAS Forecasting of Inflation Rate
By Chaoyi Chen; Central Bank of Hungary
presented by: Chaoyi Chen, Central Bank of Hungary
Session 54: Lunch June 26, 2024 12:00 to 13:30
Session type: invited
Session 55: Business Cycle Measurement and Identification June 26, 2024 13:30 to 15:15 Location: Garden Hall A
Session Chair: Manuel González-Astudillo, Board of Governors of the Federal Reserv
Session type: contributed
1. Identifying The Euro Area Business Cycle Drivers: A Frequency Domain Approach
By Davide Brignone; University of Rome Tor Vergata Marco Mazzali; Università di Bologna
presented by: Marco Mazzali, Università di Bologna
2. Do survey data help identify supply and demand shocks in sign-restricted SVARs?
By Leonard Salzmann; German Council of Economic Experts
presented by: Leonard Salzmann, German Council of Economic Experts
3. Persistent earnings losses, Unemployment Risk, and the Business Cycle
By William Du; Johns Hopkins University
presented by: William Du, Johns Hopkins University
4. Macroeconomic Stars in a Hysteresis World
By Manuel González-Astudillo; Board of Governors of the Federal Reserv Jean-Philippe Laforte; Federal Reserve System Antoine Lepetit; Board of Governors of the Federal Reserv
presented by: Manuel González-Astudillo, Board of Governors of the Federal Reserv
Session 56: Causal inference 5: synthetic control, double robust estimation and mediation June 26, 2024 13:30 to 15:15 Location: Grace D
Session Chair: Noud van Giersbergen, University of Amsterdam
Session type: contributed
1. Asymptotic Properties of the Distributional Synthetic Controls
By Lu Zhang; University of Science and Technology of China Xiaomeng Zhang; Erasmus University Rotterdam Xinyu Zhang; Chinese Academy of Sciences
presented by: Xiaomeng Zhang, Erasmus University Rotterdam
2. Covariate Balancing and the Equivalence of Weighting and Doubly Robust Estimators of Average Treatment Effects
By Tymon Sloczynski; Brandeis University S. Derya Uysal; LMU Munich Jeffrey Wooldridge; Michigan State University
presented by: S. Derya Uysal, LMU Munich
3. Testing identification in mediation & dynamic treatment models
By Martin Huber; University of Fribourg Kevin Kloiber; University of Munich Lukas Laffers; Matej Bel University
presented by: Kevin Kloiber, University of Munich
4. Improved tests for mediation
By Grant Hillier; University of Southampton Kees Jan van Garderen; University of Amsterdam Noud van Giersbergen; University of Amsterdam
presented by: Noud van Giersbergen, University of Amsterdam
Session 57: Climate policies 2 June 26, 2024 13:30 to 15:15 Location: Epsilon
Session Chair: Yves Schüler, Deutsche Bundesbank
Session type: contributed
1. Does Climate Change Matter for Monetary Policy? Investigating the Interaction between Climate Change Shocks and Price Dynamics
By Tara Hamadi; Queen Mary University of London
presented by: Tara Hamadi, Queen Mary University of London
2. Green Risk In Europe
By Claudio Morana; University Milano Bicocca; CefES; RCEA-Europe ETS; CeRP - Collegio Carlo Alberto Nuno Cassola; University of Lisbon and CefES, University of Milano-Bicocca Elisa Ossola; University Milan-Bicocca
presented by: Claudio Morana, Università di Milano-Bicocca
3. Funding the Fittest? Pricing of Climate Transition Risk in the Corporate Bond Market
By Martijn A. Boermans; De Nederlandsche Bank Maurice Bun; De Nederlandsche Bank Yasmine van der straten; University of Amsterdam
presented by: Maurice Bun, De Nederlandsche Bank
4. Shocks to transition risk
By Christoph Meinerding; Deutsche Bundesbank Yves Schüler; Deutsche Bundesbank Philipp Zhang; University of Zürich
presented by: Yves Schüler, Deutsche Bundesbank
Session 58: Education and health 5: Effects from divorce and financial decisions June 26, 2024 13:30 to 15:15 Location: Garden Hall B
Session Chair: Aukje Nieuwenhuis, University of Groningen
Session type: contributed
1. The welfare implications of divorce
By Stefan Hubner; University of Bristol Jan Kabatek; The University of Melbourne
presented by: Stefan Hubner, University of Bristol
2. Demanding financial self-sufficiency after divorce: Understanding the consequences of the 2008 Alimony Reform
By Marianna Schaubert; Fraunhofer Institute
presented by: Marianna Schaubert, Fraunhofer Institute
3. Peer Effects in Financial Decisions: Evidence from Dutch Administrative Data
By Katja Maria Kaufmann; Bayreuth University Yasemin Özdemir; University of Bayreuth Michaela Paffenholz; Ludwig-Maximilans University
presented by: Yasemin Özdemir, University of Bayreuth
4. Gender-stereotypical employment expectations across generations. Evidence from conditional second moments.
By Aukje Nieuwenhuis; University of Groningen
presented by: Aukje Nieuwenhuis, University of Groningen
Session 59: Empirical IO June 26, 2024 13:30 to 15:15 Location: Gamma
Session Chair: John Rust, Georgetown University
Session type: contributed
1. Estimating Discrete Games with Many Firms and Many Decisions: An Application to Merger and Product Variety
By Ying Fan; University of Michigan Chenyu Yang; University of Maryland, College Park
presented by: Ying Fan, University of Michigan
2. Inference in Auctions with Many Bidders Using Transaction Prices
By Federico Bugni; Northwestern University Yulong Wang; Syracuse University
presented by: Yulong Wang, Syracuse University
3. Demand Estimation with Sparse Market-Product Shocks: A Bayesian Shrinkage Approach
By Zhentong Lu; Bank of Canada Kenichi Shimizu; University of Alberta
presented by: Zhentong Lu, Bank of Canada
4. Explaining Early Bidding in Informationally-Restricted, Ascending-Bid Auctions
By Sungjin Cho; Seoul National University Harry Paarsch; University of Central Florida John Rust; Georgetown University
presented by: John Rust, Georgetown University
Session 60: Empirical Macroeconomics 1 June 26, 2024 13:30 to 15:15 Location: Grace BC
Session Chair: Francesco Fusari, University of Surrey
Session type: contributed
1. Large Euro Area and Euro member countries datasets for macroeconomic research
By Matteo Barigozzi; Universita di Bologna Claudio Lissona; University of Bologna Lorenzo Tonni; University of Bologna
presented by: Lorenzo Tonni, University of Bologna
2. Sensitivity of core inflation to monetary policy in the euro area: A granular approach
By Anastasia Allayioti; European Central Bank Lucyna Gornicka; European Central Bank Sarah Holton; ECB Catalina Martinez Hernandez; European Central Bank
presented by: Anastasia Allayioti, European Central Bank
3. The economic impact of Russia's invasion of Ukraine on European countries - a SVAR approach
By Jonas Bruhin Rolf Scheufele; Swiss National Bank Yannic Stucki; Swiss National Bank
presented by: Yannic Stucki, Swiss National Bank
4. Skewness and Monetary Policy Decisions
By Francesco Fusari; University of Surrey
presented by: Francesco Fusari, University of Surrey
Session 61: Financial econometric 5: volatility June 26, 2024 13:30 to 15:15 Location: Semifloor office
Session Chair: Ekaterina Ugulava, University of Amsterdam
Session type: contributed
1. Semiparametric Estimation of Volatility in the Presence of Intraday Drift Dynamics
[slides]
By Giuseppe Buccheri; University of Verona Giorgio Vocalelli; University of Verona
presented by: Giuseppe Buccheri, University of Verona
2. Dynamic CoVaR
By Miguel Herculano; University of Glasgow
presented by: Miguel Herculano, University of Glasgow
3. Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models
By Timo Dimitriadis; Heidelberg University Roxana Halbleib; University of Freiburg Jeannine Polivka; University of St. Gallen Jasper Rennspies; University of Freiburg Sina Streicher; ETH Zürich Axel Wolter; University of Freiburg
presented by: Jasper Rennspies, University of Freiburg
4. Horizon-based estimation of volatility models: Application to Hausman-type Specification Testing and Forecasting.
By Ekaterina Ugulava; Universiteit van Amsterdam
presented by: Ekaterina Ugulava, University of Amsterdam
Session 62: Instability in Time Series Models June 26, 2024 13:30 to 15:15 Location: Theta
Session Chair: Fabrizio Ghezzi, University of Pavia
Session type: contributed
1. Quantile Granger Causality in the Presence of Instability
By Alexander Mayer; Università Ca' Foscari Dominik Wied; University of Cologne Victor Troster; Universitat de les Illes Balears (UIB)
presented by: Victor Troster, Universitat de les Illes Balears (UIB)
2. Change Point Detection in Time Series Using Mixed Integer Programming
By Artem Prokhorov; University of Sydney Peter Radchenko; University of Sydney Alexander Semenov; University of Jyväskylä Anton Skrobotov; Russian Presidential Academy of National
presented by: Anton Skrobotov, Russian Presidential Academy of National
3. Testing for Changes in the Predictive Accuracy under Long Memory
By Jannik Kreye; Leibniz University Hannover Philipp Sibbertsen; Leibniz Universitaet Hannover
presented by: Jannik Kreye, Leibniz University Hannover
4. Temporal Aggregation of Markov Switching Models
By Fabrizio Ghezzi; University of Pavia
presented by: Fabrizio Ghezzi, University of Pavia
Session 63: International Macroeconomics June 26, 2024 13:30 to 15:15 Location: Celeste
Session Chair: Robin Lumsdaine, Kogod School of Business, American Unive
Session type: contributed
1. HOW MUCH DO COMMODITY EXPORTERS SHARE RISK
By Emiliano Luttini Dawit Mekonnen; World Bank Valerie Mercer-Blackman; IMF Bent Sorensen; University of Houston
presented by: Bent Sorensen, University of Houston
2. Interest Rates Across the World: Global, Regional, and Idiosyncratic Factors
By Hang Zhou; University of International Business and Economics
presented by: Hang Zhou, University of International Business and Economics
3. Global Risk Aversion and Sovereign Debt in Emerging Market Economies
By Marco Flaccadoro; Banca d'Italia Stefania Villa; Bank of Italy
presented by: Marco Flaccadoro, Banca d'Italia
4. Four Facts about International Central Bank Communications
By Christoph Bertsch; Sveriges Riksbank Isaiah Hull; BI Norwegian Business School Robin Lumsdaine; Kogod School of Business, American Unive Xin Zhang; Sveriges Riksbank
presented by: Robin Lumsdaine, Kogod School of Business, American Unive
Session 64: Labor Markets and Expectations June 26, 2024 13:30 to 15:15 Location: Grace A
Session Chair: Tao Wang, Bank of Canada
Session type: contributed
1. The Indirect Effects of a Minimum Wage Increase: Propagation through Firm Networks
By Lajos Szabo; Magyar Nemzeti Bank
presented by: Lajos Szabo, Magyar Nemzeti Bank
2. News-driven household macroeconomic expectations: regional vs. national telecast information
By Justine Guillochon; Université Laval
presented by: Justine Guillochon, Université Laval
3. Uncovering Subjective Models from Survey Expectations
By Tao Wang; Bank of Canada
presented by: Tao Wang, Bank of Canada
Session 65: Panel data: approximations and limits June 26, 2024 13:30 to 15:15 Location: Orion
Session Chair: Samuel Engle, University of Exeter Business School
Session type: contributed
1. Normal Approximation in Large Network Models
By Michael Leung; UC Santa Cruz Hyungsik Roger Moon; University of Southern California
presented by: Hyungsik Roger Moon, University of Southern California
2. Limit Theorems for Small Worlds
By Arkadiusz Szydlowski; University of Kent
presented by: Arkadiusz Szydlowski, University of Kent
3. Empirical Likelihood based testing device for a semiparametric panel data model with cross-sectional dependence
By Luis Antonio Arteaga-Molina; Universidad de Cantabria Juan Manuel Rodriguez-Poo; Universidad de Cantabria
presented by: Luis Antonio Arteaga-Molina, Universidad de Cantabria
4. Alternative Asymptotics and Fixed-Alternative Power Analysis
By Samuel Engle; University of Exeter Business School
presented by: Samuel Engle, University of Exeter Business School
Session 66: Coffee Break June 26, 2024 15:15 to 15:45
Session type: invited
Session 67: Causal inference 6: Bunching, clustering, heterogeneity and complementarity June 26, 2024 15:45 to 17:30 Location: Grace D
Session Chair: Guanyi Wang, University College London
Session type: contributed
1. Kinks Know More: Policy Evaluation Beyond Bunching with an Application to Solar Subsidies
By Stefan Pollinger; Sciences Po
presented by: Stefan Pollinger, Sciences Po
2. Clustered treatment in multilevel models
By Myungkou Shin; University of Oxford
presented by: Myungkou Shin, University of Oxford
3. Event Study Designs for Discrete Outcomes with Latent Heterogeneity
By Young Ahn; University of Pennsylvania Hiroyuki Kasahara; University of British Columbia
presented by: Young Ahn, University of Pennsylvania
4. Individualized Treatment Allocation in Network Games with Complementarity
By Guanyi Wang; University College London
presented by: Guanyi Wang, University College London
Session 68: Empirical Macroeconomics 2 June 26, 2024 15:45 to 17:30 Location: Grace BC
Session Chair: Boromeus Wanengkirtyo, Bank of England
Session type: contributed
1. Institutional investors and house prices
By Emil Bandoni; Central Bank of Ireland Giorgia De Nora; Queen Mary University of London/European Central Bank/European Central Bank Margherita Giuzio; European Central Bank Ellen Ryan; European Central Bank Manuela Storz; European Central Bank
presented by: Giorgia De Nora, Queen Mary University of London/European Central Bank/European Central Bank
2. Loss-given-default and macroeconomic conditions
By Oana-Maria Georgescu; European Central Bank Benjamin Galow; D-fine Aurea Ponte Marques; European Central Bank
presented by: Oana-Maria Georgescu, European Central Bank
3. What explains the stock market's response to QE policy? Evidence from a decomposition of the S&P500 index
By Anshumaan Tuteja; University of Warwick
presented by: Anshumaan Tuteja, University of Warwick
4. Intertemporal pass-through
By Mishel Ghassibe; Centre de Recerca en Economia Internacional (CREi) Boromeus Wanengkirtyo; Bank of England Ivan Yotzov; Bank of England
presented by: Boromeus Wanengkirtyo, Bank of England
Session 69: Financial econometrics 6: Volatility and high dimensions June 26, 2024 15:45 to 17:30 Location: SemiFloor Office
Session Chair: Guangyuan Ji, BI Norwegian business school
Session type: contributed
1. Practical estimation methods for high-dimensional multivariate stochastic volatility models
By Md. Nazmul Ahsan; CMHC and McGill University Jean-Marie Dufour; McGill University
presented by: Md. Nazmul Ahsan, CMHC and McGill University
2. Parsimonious Spectral-Based Modelling of Dynamic High-Dimensional Correlation Matrices
By Stan Thijssen; Vrije Universiteit Amsterdam André Lucas; Vrije Universiteit Amsterdam Anne Opschoor; Vrije Universiteit Amsterdam
presented by: Stan Thijssen, Vrije Universiteit Amsterdam
3. Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach
By Ying Chen; NUS Maria Grith; Erasmus University Rotterdam Hannah Lan Huong Lai; National University of Singapore
presented by: Hannah Lan Huong Lai, National University of Singapore
4. Volatility prediction under misspecification
By Guangyuan Ji; BI Norwegian business school Genaro Sucarrat; BI Norwegian Business School
presented by: Guangyuan Ji, BI Norwegian business school
Session 70: Macro econometrics 2: Computational Macro June 26, 2024 15:45 to 17:30 Location: Garden Hall B
Session Chair: Alan Lujan, Johns Hopkins University
Session type: contributed
1. Endogenous Persistence at the Effective Lower Bound
By Chunbing cai Jordan Roulleau-Pasdeloup; National University of Singapore Zhongxi Zheng
presented by: Jordan Roulleau-Pasdeloup, National University of Singapore
2. Solving Linear DSGE Models With Structure-Preserving Doubling Methods
By Johannes Huber; University of Regensburg Alexander Meyer-Gohde; Goethe-Universität Frankfurt Johanna Saecker; Goethe University Frankfurt
presented by: Johannes Huber, University of Regensburg
3. What Does the Market Think?
By Leland Farmer; University of Virginia Daniel Murphy; University of Virginia Kieran Walsh; ETH Zurich
presented by: Leland Farmer, University of Virginia
4. EGM^n: The Sequential Endogenous Grid Method
By Alan Lujan; Johns Hopkins University
presented by: Alan Lujan, Johns Hopkins University
Session 71: Micro econometrics 5: Discrete choice, nonstationary binary choice and measurement error June 26, 2024 15:45 to 17:30 Location: Gamma
Session Chair: Kirill Evdokimov, Universitat Pompeu Fabra
Session type: contributed
1. Econometric Analysis of Discrete Choice with Congestion
By Debopam Bhattacharya; University of Cambridge
presented by: Debopam Bhattacharya, University of Cambridge
2. Estimating Individual Responses when Tomorrow Matters
By Stephane Bonhomme; University of Chicago Angela Denis; Bank of Spain
presented by: Angela Denis, Bank of Spain
3. Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables
By Kirill Evdokimov; Universitat Pompeu Fabra Andrei Zeleneev; University College London
presented by: Kirill Evdokimov, Universitat Pompeu Fabra
Session 72: Modelling Climate Change and Energy Markets June 26, 2024 15:45 to 17:30 Location: Epsilon
Session Chair: Marie Bruguet, Université Paris-Dauphine - PSL
Session type: contributed
1. An Unconditional-Quantile Vector Error Correction Model to Analyze Climate Heterogeneity
By Andrey Ramos; Universidad Carlos III de Madrid
presented by: Andrey Ramos, Universidad Carlos III de Madrid
2. Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach
By Alessandra Canepa; Turin University
presented by: Alessandra Canepa, Turin University
3. Weather Effects in Energy Seasonal Adjustment: An Application to France Energy Consumption
By Marie Bruguet; Université Paris-Dauphine - PSL Arthur Thomas; Univeristy Paris Dauphine - PSL Ronan Le Saout; ENSAI
presented by: Marie Bruguet, Université Paris-Dauphine - PSL
Session 73: Networks June 26, 2024 15:45 to 17:30 Location: Orion
Session Chair: Valentyn Panchenko, University of New South Wales
Session type: contributed
1. Connecting the Dots: The Network Nature of Shocks Propagation in Credit Markets
By Edoardo Rainone; Bank of Italy Stefano Pietrosanti; Banca d'Italia
presented by: Edoardo Rainone, Bank of Italy
2. Network approach to volatility diffusion and forecasting in global financial markets
By Matteo Orlandini; Université Côte d'Azur Sebastiano Michele Zema; Sant'Anna School of Advanced Studies Mauro Napoletano; Université Côte d'Azur Giorgio Fagiolo
presented by: Matteo Orlandini, Université Côte d'Azur
3. Networks in Space – Spillovers Effects in a Hierarchical Model
By Nikolas Kuschnig; Vienna University of Economics and Business
presented by: Nikolas Kuschnig, Vienna University of Economics and Business
4. Network Spillovers versus Common Factors: A Joint-Estimation Approach
By Ali Furkan Kalay Jorge Miranda-Pinto; International Monetary Fund and University of Queensland James Morley; University of Sydney Valentyn Panchenko; University of New South Wales Christiern Rose; University of Queensland
presented by: Valentyn Panchenko, University of New South Wales
Session 74: Nonlinear Methods for Time Series Models June 26, 2024 15:45 to 17:30 Location: Theta
Session Chair: Carlos Velasco, Universidad Carlos III de Madrid
Session type: contributed
1. Nonlinear non-Gaussian dynamic factor models with interacting location and scale factors
By Geert Mesters; Universitat Pompeu Fabra Siem Jan Koopman; Vrije Universiteit Amsterdam Bernd Schwaab; European Central Bank
presented by: Bernd Schwaab, European Central Bank
2. Performance Guarantees for Score-Driven Filters
[slides]
By Simon Donker van Heel; Erasmus University Rotterdam and Tinbergen Institute Rutger-Jan Lange; Erasmus University Rotterdam and Tinbergen Institute Dick van Dijk; Erasmus University Rotterdam and Tinbergen Institute Bram van Os; Vrije Universiteit Amsterdam
presented by: Simon Donker van Heel, Erasmus University Rotterdam and Tinbergen Institute
3. Dynamic factor models in the presence of block structures and missing data
By Angelo Cuzzola; Scuola Superiore Sant'Anna
presented by: Angelo Cuzzola, Scuola Superiore Sant'Anna Pisa
4. Time Domain Estimation of Non-fundamental ARMA Models in the presence of Heteroskedasticity of Unknown Form
By Ignacio Lobato; Instituto Tecnológico Autónomo De Méx Carlos Velasco; Universidad Carlos III de Madrid
presented by: Carlos Velasco, Universidad Carlos III de Madrid
Session 75: Nowcasting and machine learning June 26, 2024 15:45 to 17:30 Location: Celeste
Session Chair: Aishameriane Schmidt, Erasmus University Rotterdam, Tinbergen Institute, De Nederlandsche Bank
Session type: contributed
1. Nowcasting GDP: What are the gains from Machine Learning algorithms?
By Rolf Scheufele; Swiss National Bank
presented by: Rolf Scheufele, Swiss National Bank
2. Predicting U.S. Recessions in Real Time in a Big-Data Setting
By Wagner Gaglianone; Central Bank of Brazil Osmani Guillen; Banco Central do Brasil e Ibmec João Issler; Getulio Vargas Foundation Artur Rodrigues; FGV Farshid Vahid; Monash University
presented by: João Issler, Getulio Vargas Foundation
3. The Language of Economic Cycles: A Real-Time Textual Approach to Recession Prediction
[slides]
By Caio Dianin; Fundação Getulio Vargas Lucas Godeiro; Federal University of Paraiba João Issler; Getulio Vargas Foundation Luiz Lima; The University of Tennessee
presented by: Caio Dianin, Fundação Getulio Vargas
4. Harnessing Machine Learning for Real-Time Inflation Nowcasting
By Aishameriane Schmidt; Erasmus University Rotterdam, Tinbergen Institute, De Nederlandsche Bank Richard Schnorrenberger; Kiel University Guilherme Moura; Universidade Federal de Santa Catarina
presented by: Aishameriane Schmidt, Erasmus University Rotterdam, Tinbergen Institute, De Nederlandsche Bank
Session 76: Topics in Business Cycle Analysis June 26, 2024 15:45 to 17:30 Location: Garden Hall A
Session Chair: Filippo Natoli, Bank of Italy
Session type: contributed
1. The Macroeconomic Effects of Inflation Expectations: The Distribution Matters
By Guido Ascari; De Nederlandsche Bank and University of Pavia Paolo Bonomolo; De Nederlandsche Bank Alessandro Celani
presented by: Paolo Bonomolo, De Nederlandsche Bank
2. Do Recessions Slow Technology Growth? Evidence from the Firm Level
By Tobias Schmidt; Deutsche Bundesbank Olga Goldfayn-Frank; German Bundesbank Michaela Elfsbacka Schmöller; Bank of Finland
presented by: Tobias Schmidt, Deutsche Bundesbank
3. How do Macroeconomic Expectations React to Extreme Weather Shocks?
By Andrew Martinez; U.S. Department of Treasury
presented by: Andrew Martinez, U.S. Department of Treasury
4. The information effect of climate policy
By Riccardo Degasperi; Bank of Italy Filippo Natoli; Bank of Italy Kevin Pallara; Bank of Italy
presented by: Filippo Natoli, Bank of Italy
Session 77: Wages, Prices and Expectations June 26, 2024 15:45 to 17:30 Location: Grace A
Session Chair: Fabian Schupp, ECB
Session type: contributed
1. Stable, missing and wild inflation: The case of the Euro area
By Clemente Pinilla-Torremocha; University of Alicante
presented by: Clemente Pinilla-Torremocha, University of Alicante
2. Wage-price spirals: a risk-based approach
By Michal Franta; Czech National Bank
presented by: Michal Franta, Czech National Bank
3. Inflation Expectations and Durable Consumption: New Evidence during High- vs. Low-Inflation Periods
By Tiziana Assenza; Toulouse School of Economics, University Anna Mogilevskaja; University of Bonn, ECONtribute Stefanie J. Huber; University of Bonn Tobias Schmidt; Deutsche Bundesbank
presented by: Anna Mogilevskaja, University of Bonn, ECONtribute
4. Measuring Market-Based Core Inflation Expectations
By Kasper Jorgensen; ECB Fabian Schupp; ECB
presented by: Fabian Schupp, ECB
Session 78: IAAE General Assembly June 26, 2024 17:30 to 18:00
Session Chair: Marcelle Chauvet, University of California Riverside
Session type: invited
Session 79: Conference Dinner June 26, 2024 18:00 to 23:00
Session type: invited
Session 80: Key note lecture: Isaiah Andrews (MIT) 'Bootstrap Diagnostics for Irregular Estimators' June 27, 2024 8:45 to 9:45 Location: Grace BC, link to paper: https://economics.mit.edu/sites/default/files/2024-01/VarEst.pdf
Session Chair: Heather Anderson, Monash University
Session type: invited
Session 81: Coffee Break June 27, 2024 9:45 to 10:15
Session type: invited
Session 82: Education and health 7: Health (insurance) effects June 27, 2024 10:15 to 12:00 Location: Garden Hall B
Session Chair: Jenny Williams, University of Melbourne
Session type: contributed
1. The Apple Does Not Fall Far From the Tree: Intergenerational Persistence of Dietary Habits
By Frédéric Kluser; University of Bern Martina Pons; University of Bern
presented by: Frédéric Kluser, University of Bern
2. The Transitory Component of Health Care Employment
By Luiggi Donayre; University of Minnesota - Duluth Lacey Loomer; University of Minnesota Duluth
presented by: Luiggi Donayre, University of Minnesota - Duluth
3. Patient cost-sharing and redistribution in health insurance
By Tobias Klein; Tilburg University Martin Salm; Tilburg University Suraj Upadhyay; Tilburg University
presented by: Tobias Klein, Tilburg University
4. The Benefits of Timely Access to Treatment: Substance use disorders, health-care utilisation, employment and crime
By Jenny Williams; University of Melbourne
presented by: Jenny Williams, University of Melbourne
Session 83: Empirical Macroeconomics 3 June 27, 2024 10:15 to 12:00 Location: Grace BC
Session Chair: Paolo Gelain, Federal Reserve Bank of Cleveland
Session type: contributed
1. Central Banking in Times of High Geopolitical Risk
By Alessandro Franconi; University of Pavia
presented by: Alessandro Franconi, University of Pavia
2. How Important is Knowledge of the Fed's Conditioning Path?
By Amy Guisinger; Lafayette College Michael McCracken; Federal Reserve Bank of St. Louis Michael Owyang; Federal Reserve Bank of St Louis
presented by: Michael Owyang, Federal Reserve Bank of St Louis
3. Above and Beyond Interest Rates: Risk-Taking at the Zero Lower Bound
[slides]
By Radu Cristea; University of Cambridge
presented by: Radu Cristea, University of Cambridge
4. Ask the banks: DSGE models through the lens of stress test data
By Rhys Bidder; King's College London Paolo Gelain; Federal Reserve Bank of Cleveland James Wang; Board of Governors of the Federal Reserv
presented by: Paolo Gelain, Federal Reserve Bank of Cleveland
Session 84: Financial econometrics 7: Portfolios June 27, 2024 10:15 to 12:00 Location: SemiFloor Office
Session Chair: Anastasija Tetereva, Erasmus University Rotterdam
Session type: contributed
1. Sparse Vine Copula-based Portfolio Optimization
By Thomas Conlon; University College Dublin John Cotter; University College Dublin Illia Kovalenko; University of Limerick
presented by: Illia Kovalenko, University of Limerick
2. PARTNERS RISK PERCEPTION AND COUPLE PORTFOLIO ALLOCATION
By Francesco Maura; Università Bocconi, Age-It Pe8
presented by: Francesco Maura, Università Bocconi, Age-It Pe8
3. Enhancing Portfolio Resilience to Systemic Risk: A Neural Network Approach
By Abderrahim Taamouti; University of Liverpool Management School
presented by: Abderrahim Taamouti, University of Liverpool Management School
4. Advancing Markowitz: Asset Allocation Forest
By Luis Bettencourt; Erasmus University Rotterdam Alla Petukhina; Hochschule fur Technik und Wirtschaft Berlin Anastasija Tetereva; Erasmus University Rotterdam
presented by: Anastasija Tetereva, Erasmus University Rotterdam
Session 85: Fiscal Policy and Economic Activity June 27, 2024 10:15 to 12:00 Location: Garden Hall A
Session Chair: Marco Lombardi, Bank for International Settlements
Session type: contributed
1. The Effects of Fiscal Policy Shocks. Evidence from a Bayesian SVAR Model With Uncertain Identifying Assumptions
By Anna Sznajderska; SGH Warsaw School of Economics Alfred Haug; University of Otago
presented by: Anna Sznajderska, SGH Warsaw School of Economics
2. How do governments respond to interest rates?
By Franc Klaassen; University of Amsterdam Roel Beetsma; University of Amsterdam Joao Jalles; IMF
presented by: Franc Klaassen, University of Amsterdam
3. Measuring the Effects of Fiscal Policy Shocks on U.S. Output in a Markov-Switching Bayesian VAR
By Kenneth Rich; University of Mississippi
presented by: Kenneth Rich, University of Mississippi
4. Fiscal stimulus plans and households’ expectations
By Fiorella De Fiore; Bank for International Settlements Marco Lombardi; Bank for International Settlements Albert Pierres Tejada; Bank for International Settlements
presented by: Marco Lombardi, Bank for International Settlements
Session 86: Forecasting Inflation June 27, 2024 10:15 to 12:00 Location: Celeste
Session Chair: Marta Banbura, European Central Bank
Session type: contributed
1. Oil price expectations in explosive phases
By Robinson Kruse-Becher; University of Hagen Philip Letixerant
presented by: Philip Letixerant, University of Hagen
2. Step by step - A quarterly evaluation of EU Commissions' GDP forecasts
By Katja Heinisch; Halle Institute for Economic Research (IWH)
presented by: Katja Heinisch, Halle Institute for Economic Research (IWH)
3. Forecasting Inflation Rates: A Large Panel Micro-Level Data Approach
By Yongmiao Hong; University of Chinese Academy of Sciences Naijing Huang; Central University of Finance and Econom Yicheng Wang; Peking University
presented by: Naijing Huang, Central University of Finance and Economics
4. Forecasting inflation in the US and in the euro area
By Marta Banbura; European Central Bank Michele Lenza; European Central Bank Joan Paredes; European Central Bank
presented by: Marta Banbura, European Central Bank
Session 87: Frontiers in Machine Learning Methodologies June 27, 2024 10:15 to 12:00 Location: Grace D
Session Chair: Benjamin Wong, Monash University
Session type: contributed
1. Forecast Combination and Interpretability Using Random Subspace
By Boris Kozyrev; Halle Institute for Economic Research (IWH)
presented by: Boris Kozyrev, Halle Institute for Economic Research (IWH)
2. Type I Tobit Bayesian Additive Regression Trees for Censored Outcome Regression
By Eoghan O'Neill; Erasmus University Rotterdam
presented by: Eoghan O'Neill, Erasmus University Rotterdam
3. Ordered Correlation Forest
By Riccardo Di Francesco; University of Rome Tor Vergata
presented by: Riccardo Di Francesco, University of Rome Tor Vergata
4. Random Subspace Local Projections
By Viet Hoang Dinh; Monash University Didier Nibbering; Monash University Benjamin Wong; Monash University
presented by: Benjamin Wong, Monash University
Session 88: Inference in Time Series Models June 27, 2024 10:15 to 12:00 Location: Theta
Session Chair: Masamune Iwasawa, Doshisha University
Session type: contributed
1. Bootstrap-Based Tests for Skewness, Kurtosis, and Normality Under Unknown Dependence
By Marian Vavra; National Bank of Slovakia
presented by: Marian Vavra, National Bank of Slovakia
2. A novel test of economic convergence in time series
By Jose Olmo; University of Southampton
presented by: Jose Olmo, University of Southampton
3. Tying Maximum Likelihood Estimation for Dependent Data
By Masamune Iwasawa; Doshisha University QINGFENG LIU; Hosei University Ziyan Zhao; Otaru University of Commerce
presented by: Masamune Iwasawa, Doshisha University
Session 89: Modeling Inflation June 27, 2024 10:15 to 12:00 Location: Grace A
Session Chair: Greta Meggiorini, University of Auckland
Session type: contributed
1. Inflation Expectations and the Persistence of Unanticipated Inflation
By Arsenios Skaperdas; Federal Reserve Board
presented by: Arsenios Skaperdas, Federal Reserve Board
2. What drives core inflation? The role of supply shocks
By Marta Banbura; European Central Bank Catalina Martinez Hernandez; European Central Bank
presented by: Catalina Martinez Hernandez, European Central Bank
3. The sectoral origins of current inflation
By Jan David Schneider; Bank of Canada
presented by: Jan David Schneider, Bank of Canada
4. Speaking of Inflation: The Influence of Fed Speeches on Expectations
By Eleonora Granziera; Norges Bank Vegard Larsen; BI Norwegian Business School Greta Meggiorini; University of Auckland
presented by: Greta Meggiorini, University of Auckland
Session 90: Topics in Climate and Environment June 27, 2024 10:15 to 12:00 Location: Epsilon
Session Chair: Christoph Wegener,
Session type: invited
1. Female Legislators and Forest Conservation in India
By Sutirtha Bandyopadhyay; Indian Institute of Management, Indore Bipasha Maity; Ashoka University
presented by: Sutirtha Bandyopadhyay, Indian Institute of Management, Indore
2. Environmental Litigation as Scrutiny: A Four Decade Analysis of Justice, Firms, and Pollution in India
By Sandeep Bhupatiraju; World Bank Daniel Chen; Toulouse School of Economics Shareen Joshi; School of Foreign Service Peter Neis; CERDI Shashank Singh; The University of Chicago Booth School of Business
presented by: Peter Neis, CERDI
3. EU ETS Market Expectations and Rational Bubbles
By Christoph Wegener Robinson Kruse-Becher; University of Hagen Tony Klein; Technische Universität Chemnitz
presented by: Christoph Wegener,
Session 91: Topics in Microeconometrics June 27, 2024 10:15 to 12:00 Location: Gamma
Session Chair: Young Jun Lee, Korea Institute for International Economic Policy
Session type: contributed
1. Nonparametric Identification of Productivity in Nonseparable Production Functions
By Salvador Navarro; University of Western Ontario David Rivers; University of Western Ontario
presented by: Salvador Navarro, University of Western Ontario
2. Estimating Nonparametric Conditional Frontiers and Efficiencies: A New Approach
By Camilla Mastromarco; University of Calabria
presented by: Camilla Mastromarco, University of Calabria
3. Identification and Estimation of Finite Mixtures of Multinomial Logit Models
[slides]
By Dingyi Li; Cornell University
presented by: Dingyi Li, Cornell University
4. Semi-Nonparametric Models of Multidimensional Matching: an Optimal Transport Approach
By Dongwoo Kim; Simon Fraser University Young Jun Lee; Bocconi University
presented by: Young Jun Lee, Korea Institute for International Economic Policy
Session 92: Weak identification and many instruments June 27, 2024 10:15 to 12:00 Location: Orion
Session Chair: Yongdeng Xu, Cardiff University
Session type: contributed
1. Inference in IV models with clustered dependence, many instruments and weak identification
By Johannes Ligtenberg;
presented by: Johannes Ligtenberg,
2. Inference with High-dimensional Weak Instruments and the New Keynesian Phillips Curve
By Max-Sebastian Dovì; International Monetary Fund
presented by: Max-Sebastian Dovì, International Monetary Fund
3. Outlier Robust Inference in a General Class of Instrumental Variable Models
By Jens Klooster; Erasmus University Rotterdam
presented by: Jens Klooster, Erasmus University Rotterdam
4. Almost Unbiased Variance Estimation in IV regression with weak instruments
By Yongdeng Xu; Cardiff University
presented by: Yongdeng Xu, Cardiff University
Session 93: Lunch June 27, 2024 12:00 to 13:30
Session type: invited
Session 94: Advanced Methods in Econometrics June 27, 2024 13:30 to 15:15 Location: Gamma
Session Chair: Vassilis Hajivassiliou, London School of Economics
Session type: contributed
1. Identication and Estimation of a Dynamic Discrete Choice Model with Time-Varying Unobserved Heterogeneity Using Proxies
By Yujung Hwang; Johns Hopkins University
presented by: Yujung Hwang, Johns Hopkins University
2. Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models
[slides]
By James MacKinnon; Queen's University Morten Nielsen; Aarhus University Matthew Webb; Carleton University
presented by: Matthew Webb, Carleton University
3. Switching Regressions and Selectivity Models with Imperfect Regime Classification Information: Theory and Applications
By Vassilis Hajivassiliou; London School of Economics
presented by: Vassilis Hajivassiliou, London School of Economics
Session 95: Empirical Finance and Nonlinear Dynamics June 27, 2024 13:30 to 15:15 Location: Epsilon
Session Chair: Panagiotis Tziogkidis, University of Macedonia
Session type: contributed
1. Out of Sight, Out of Mind: Nearby Branch Closures and Small Business Growth
By Benjamin Ranish; Federal Reserve Board Andrea Stella; Federal Reserve Board Jeffery Zhang; University of Michigan Law School
presented by: Andrea Stella, Federal Reserve Board
2. Nonlinear productivity and investment dynamics
By Giulio Fella; Queen Mary, University of London Julio Galvez; CUNEF Universidad Beatriz González; Banco de España Juan Carlos Ruiz Garcia; Universitat de les Illes Balears Tatsuro Senga; Queen Mary University of London
presented by: Julio Galvez, CUNEF Universidad
3. Textual Representation of Business Plans and Firm Success
By Maria Mavillonio; University of Pisa
presented by: Maria Mavillonio, University of Pisa
4. Regulatory Profiling and Endogenous Benchmarking
By Panagiotis Tziogkidis; University of Macedonia Dionisis Philippas; ESSCA School of Management
presented by: Panagiotis Tziogkidis, University of Macedonia
Session 96: Empirical Macroeconomics 4 June 27, 2024 13:30 to 15:15 Location: Grace BC
Session Chair: Alberto Pavia, KU Leuven
Session type: contributed
1. Inequality with unequal data: building a yearly measure of consumption inequality to assess monetary policy's distributional impact
By Sylverie Herbert; Banque de France
presented by: Sylverie Herbert, Banque de France
2. Monetary policy and the joint distribution of income and wealth: The heterogeneous case of the euro area
By Anna Stelzer; Oesterreichische Nationalbank
presented by: Anna Stelzer, Oesterreichische Nationalbank
3. The Role of Risk Sharing in Attenuating Business Cycles Within Currency Unions
By Alberto Pavia; KU Leuven Christian Proebsting; KU Leuven
presented by: Alberto Pavia, KU Leuven
Session 97: Financial econometrics 8: Portfolios and risk perception June 27, 2024 13:30 to 15:15 Location: SemiFloor Office
Session Chair: Rasmus Lönn, Erasmus School of Economics - Erasmus University Rotterdam
Session type: contributed
1. Semivolatility Managed Portfolios
By Daniel Batista da Silva; Swiss Finance Institute Marcelo Fernandes; Fundação Getulio Vargas, FGV
presented by: Daniel Batista da Silva, Swiss Finance Institute - University of Geneva
2. The limits of parametric portfolio weights
By Bart Keijsers; University of Amsterdam Mario Rothfelder; University of Amsterdam
presented by: Bart Keijsers, University of Amsterdam
3. Tail Risk-Managed Portfolios
By Gianni De Nicolo'; John Hopkins University
presented by: Gianni De Nicolo', John Hopkins University
4. Dynamic Parametric Portfolio Policies
By Rasmus Lönn; Erasmus School of Economics - Erasmus University Rotterdam Dick van Dijk; Erasmus University Rotterdam and Tinbergen Institute Bram van Os; Vrije Universiteit Amsterdam
presented by: Rasmus Lönn, Erasmus School of Economics - Erasmus University Rotterdam
Session 98: High Dimensional Inference Techniques June 27, 2024 13:30 to 15:15 Location: Grace D
Session Chair: Ilias Chronopoulos, University of Essex
Session type: contributed
1. On the Inference of a LASSO-type Estimator with Highly Correlated Variables
By Chuanping Sun; City, University of London
presented by: Chuanping Sun, City, University of London
2. Estimating spatial weights in high dimensions: A CCE-OCMT variable selection procedure
[slides]
By Haoyang Li; Heriot-Watt Uni Arnab Bhattacharjee; Heriot-Watt University
presented by: Haoyang Li, Heriot-Watt Uni
3. Beyond Sparsity: Local Projections Inference with High-Dimensional Covariates
By Jooyoung Cha; Vanderbilt University
presented by: Jooyoung Cha, Vanderbilt University
4. 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
Session 99: Inflation Drivers June 27, 2024 13:30 to 15:15 Location: Grace A
Session Chair: Virginia Di Nino, ECB
Session type: contributed
1. Support of electricity storage utility operations with probabilistic price forecasting: A hybrid Factor-QRA approach
By Katarzyna Maciejowska; Wroclaw University of Science and Technology
presented by: Katarzyna Maciejowska, Wroclaw University of Science and Technology
2. Are Treasury BEIs Inflation Forecasts?
By Julie Bennett; Duke University Michael Owyang; Federal Reserve Bank of St Louis
presented by: Julie Bennett, Duke University
3. Saving for sunny days: The impact of climate (change) on consumer prices in the euro area
By Paulo Rodrigues; Bank of Portugal and Nova School of Business and Economics Nazarii Salish; Universidad Carlos III de Madrid
presented by: Paulo Rodrigues, Bank of Portugal and Nova School of Business and Economics
4. How income expectations adjusts to inflation – a consumers’ expectations-revealed pass-through.
By Virginia Di Nino; ECB
presented by: Virginia Di Nino, ECB
Session 100: International Macro-Finance June 27, 2024 13:30 to 15:15 Location: Celeste
Session Chair: Laura Coroneo, University of York
Session type: contributed
1. Optimal Currency Portfolios: Do Characteristics Matter?
[slides]
By A. Hedieh Shahini; UNIVERSITY OF WARWICK
presented by: A. Hedieh Shahini, UNIVERSITY OF WARWICK
2. The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis
By Fredy Gamboa-Estrada; Banco de la Republica
presented by: Fredy Gamboa-Estrada, Banco de la Republica
3. Global Factors in Non-core Bank Funding and Exchange Rate Flexibility
By Luis Catao; University of Lisbon Jan Ditzen; Free University of Bozen-Bolzano Daniel Marcel te Kaat; University of Groningen
presented by: Jan Ditzen, Free University of Bozen-Bolzano
4. Across the borders, above the bounds: a non-linear framework for international yield curves
By Laura Coroneo; University of York Iryna Kaminska; Bank of England Sergio Pastorello; University of Bologna
presented by: Laura Coroneo, University of York
Session 101: Macro econometrics 1 June 27, 2024 13:30 to 15:15 Location: Grand Hall B
Session Chair: Tae Hun Chang, Georgetown University
Session type: contributed
1. Measuring the Effects of Aggregate Shocks on Cross-sectional Distributions: Functional vs. Panel Approach
By Stephanie Ettmeier; University of Bonn Chi Hyun Kim; University of Bonn Frank Schorfheide; University of Pennsylvania
presented by: Stephanie Ettmeier, University of Bonn
2. New evidence on US monetary policy activism and the Taylor rule
By Sarantis Tsiaplias; The University of Melbourne
presented by: Sarantis Tsiaplias, The University of Melbourne
3. An Application of Neural Networks to Macroeconometrics: Revisiting the Phillips Curve
By Tae Hun Chang; Georgetown University
presented by: Tae Hun Chang, Georgetown University
Session 102: Macroeconomic Consequences of Taxation and Pension June 27, 2024 13:30 to 15:15 Location: Garden Hall A
Session Chair: Dooyeon Cho, Sungkyunkwan University
Session type: contributed
1. Income tax fluctuations and uncertainty in France
By Selma MALMBERG; Le Mans University & CEPREMAP
presented by: Selma MALMBERG, Le Mans University & CEPREMAP
2. Children and Optimal Taxation of Families over the Life Cycle
By Sahber Ahmadi-Renani; Tehran Institute for Advanced Studies (TeIAS), Khatam University
presented by: Sahber Ahmadi-Renani, Tehran Institute for Advanced Studies (TeIAS), Khatam University
3. Progressive Income Taxation and Inflation: The Macroeconomic Effects of Bracket Creep
By Lukas Hack; University of Mannheim
presented by: Lukas Hack, University of Mannheim
4. Population Aging and the Effectiveness of Fiscal Policy: Do Public Pension Systems Matter?
By Dooyeon Cho; Sungkyunkwan University Dong-Eun Rhee; Korea University
presented by: Dooyeon Cho, Sungkyunkwan University
Session 103: Panel data: spatial and heterogeneity June 27, 2024 13:30 to 15:15 Location: Orion
Session Chair: Tiziano Arduini, University of Rome Tor Vergata
Session type: contributed
1. Testing spatial correlation for spatial models with heterogeneous coefficients when both n and T are large
By Shi Ryoung Chang; The Ohio State University Robert de Jong; Ohio state University
presented by: Shi Ryoung Chang, The Ohio State University
2. Heterogeneous Grouping Structures in Panel Data
By Katerina Chrysikou; King's College London George Kapetanios; King's College London
presented by: Katerina Chrysikou, King's College London
3. Consistent Estimation of Finite Mixtures: An Application to Latent Group Panel Structures
By Raphaël Langevin; McGill University
presented by: Raphaël Langevin, McGill University
4. Design-based inference under neighborhood heterogeneity
By Tiziano Arduini; University of Rome Tor Vergata Federico Belotti; University of Rome Tor Vergata Edoardo Di Porto; University of Naples Federico II
presented by: Tiziano Arduini, University of Rome Tor Vergata
Session 104: Trend June 27, 2024 13:30 to 15:15 Location: Theta
Session Chair: Natalia Bailey, Monash University
Session type: contributed
1. 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
2. Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics
By Francisco Blasques; Vrije Universiteit Amsterdam Siem Jan Koopman; Vrije Universiteit Amsterdam Gabriele Mingoli; Vrije Universiteit Amsterdam
presented by: Gabriele Mingoli, Vrije Universiteit Amsterdam
3. Estimation of random cycles in persistent time series
By Karim Abadir; Imperial College London Natalia Bailey; Monash University Walter Distaso; Imperial College London Liudas Giraitis; Queen Mary University of London
presented by: Natalia Bailey, Monash University
Session 105: Coffee Break June 27, 2024 15:15 to 15:45
Session type: invited
Session 106: Applied Microeconomics and Trade June 27, 2024 15:45 to 17:30 Location: Epsilon
Session Chair: Theodore Papageorgiou, Boston College
Session type: contributed
1. Innovation Diffusion among Coworkers: Evidence from Senior Doctors
By Christiern Rose; University of Queensland
presented by: Christiern Rose, University of Queensland
2. The Role of Pharmacists in Generic Pharmaceutical Adoption
By Haruo Kakehi; Keio University Ryo Nakajima; Keio University
presented by: Haruo Kakehi, Keio University
3. Protection Or Harm? Impact Of Technical Barriers To Trade(TBTs) On Importing Firms
By Lena Sheveleva; Cardiff Business School
presented by: Jianyang Wang, Cardiff Business School
4. Investment in Infrastructure and Trade: The Case of Ports
By Giulia Brancaccio; NYU Stern Myrto Kalouptsidi; Harvard Theodore Papageorgiou; Boston College
presented by: Theodore Papageorgiou, Boston College
Session 107: Covid and politics June 27, 2024 15:45 to 17:30 Location: Semifloor office
Session Chair: Fabio Monteforte, Università di Messina
Session type: contributed
1. Cross-national Comparisons of Covid19 Lockdown Effectiveness: The Spatial Functional Data Analysis Approach
By Pipat Wongsa-art; City, University of London
presented by: Pipat Wongsa-art, City, University of London
2. Loans vs Subsidies: Lithuania’s State Support Policies During the COVID-19 Pandemic
By Mustapha Douch; University of Edinburgh Egle Jakucionyte; Bank of Lithuania Swapnil Singh; Bank of Lithuania
presented by: Egle Jakucionyte, Bank of Lithuania
3. A two-way epi-macro model with endogenous compliance and ICU constraint
By Alexander Dück; Institute for Monetary and Financial Sta
presented by: Alexander Dück, Institute for Monetary and Financial Sta
4. Have autocrats governed for the long term?
By Emanuele Millemaci; Università di Messina Fabio Monteforte; Università di Messina Jonathan Temple; Independent researcher
presented by: Fabio Monteforte, Università di Messina
Session 108: Drivers of the Business Cycle June 27, 2024 15:45 to 17:30 Location: Garden Hall A
Session Chair: Danilo Cascaldi-Garcia, Federal Reserve Board
Session type: contributed
1. Split Personalities: The Changing Nature of Technology Shocks
By Christoph Gortz; University of Birmingham Christopher Gunn; Carleton University Thomas Lubik; Federal Reserve Bank of Richmond
presented by: Christoph Gortz, University of Birmingham
2. Patents, News, and Business Cycles
By Kristina Bluwstein; Bank of England Sinem Hacioglu Hoke; Federal Reserve Board Silvia Miranda Agrippino; Bank of England
presented by: Sinem Hacioglu Hoke, Federal Reserve Board
3. Global and Local Uncertainties in Small Open Economies
By Sihao Chen; Fudan University Haiqin Liu; Fudan University Shi Qiu; Fudan University
presented by: Haiqin Liu, Fudan University
4. Innovation During Challenging Times
By Danilo Cascaldi-Garcia; Federal Reserve Board Marija Vukotic; University of Warwick Sarah Zubairy; Texas A&M University
presented by: Danilo Cascaldi-Garcia, Federal Reserve Board
Session 109: Economic Applications of Machine Learning Methods June 27, 2024 15:45 to 17:30 Location: Grace D
Session Chair: Fulvio Corsi, University of Pisa
Session type: contributed
1. DEEP LEARNING FOR PRICING TIME CONTEXTUAL DATA
By Eike Brinkop; University of Reading Emese Lazar; University of Reading Marcel Prokopczuk; Leibniz University Hannover
presented by: Eike Brinkop, University of Reading
2. Artificial intelligence and relationship lending
By Fabiana Sabatini; Bank of Italy Stefano Schiaffi; Bank of Italy
presented by: Fabiana Sabatini, Bank of Italy
3. The Value Added of Machine Learning to Causal Inference: Evidence from Revisited Studies
By Anna Baiardi; Erasmus School of Economics Andrea Naghi; Queen Mary University of London
presented by: Andrea Naghi, Queen Mary University of London
4. Model Identification in Nonlinear Regression using Realized 2-Variation
By Giuseppe Buccheri; University of Verona Fulvio Corsi; University of Pisa
presented by: Fulvio Corsi, University of Pisa
Session 110: Education and health 6: The economics effects of disruptions June 27, 2024 15:45 to 17:30 Location: Garden Hall B
Session Chair: Michele Ubaldi, Università Politecnica delle Marche
Session type: contributed
1. Migrant Exposure and Voting for the Far-Right: Polish Attitudes in the Aftermath of the Russia-Ukraine War
By Ines Homburg; University of Antwerp
presented by: Ines Homburg, University of Antwerp
2. Economic Disruption, Life Satisfaction, and Political Attitudes
By Christoph Koenig; University of Rome Tor Vergata Andreas Menzel; CERGE-EI Ekaterina Travova; CEBI, Copenhagen University
presented by: Ekaterina Travova, CEBI, Copenhagen University
3. Breaking Silence: How Intimate Partner Violence And Reporting Shape Later Life Outcomes
By Harrison Chang; University of Toronto Shiau-Fang Chao; National Taiwan University Kuan-Ming Chen; National Taiwan University Ming-Jen Lin; National Taiwan University
presented by: Kuan-Ming Chen, National Taiwan University
4. In the wrong place at the wrong time: Mass shootings and human capital
By Michele Ubaldi; Università Politecnica delle Marche
presented by: Michele Ubaldi, Università Politecnica delle Marche
Session 111: Empirical Macroeconomics 5 June 27, 2024 15:45 to 17:30 Location: Grace BC
Session Chair: Alessia Paccagnini, University College Dublin
Session type: invited
1. The Cash-Flow Channel of Monetary Policy - Evidence from Billions of Transactions
By SeHyoun Ahn; Norges Bank Sigurd Mølster Galaasen; Norges Bank Mathis Mæhlum; Norgesbank
presented by: Sigurd Mølster Galaasen, Norges Bank
2. Endogenous labor supply in an estimated New-Keynesian model: nominal versus real rigidities
By Isabel Cairo; Federal Reserve Board Hess Chung; Federal Reserve Board Francesco Ferrante; Federal Reserve Board Cristina Fuentes-Albero; Board of Governors of the Federal Reserv Camilo Morales-Jimenez; Federal Reserve Board Damjan Pfajfar; Board of Governors of the Federal Reserv
presented by: Cristina Fuentes-Albero, Board of Governors of the Federal Reserv
3. Recovering Stars in Macroeconomics
By Daniel Buncic; Stockholm University adrian pagan; university of sydney Tim Robinson; University of Melbourne
presented by: Daniel Buncic, Stockholm University
4. Identifying Financial Shocks in the US: A Tale of Aggregate Supply and Demand Shocks
By Alessia Paccagnini; University College Dublin Fabio Parla; University of Palermo
presented by: Alessia Paccagnini, University College Dublin
Session 112: Exchange Rates and International Reserves June 27, 2024 15:45 to 17:30 Location: Celeste
Session Chair: Jamel Saadaoui, University of Strasbourg
Session type: contributed
1. Lock, Stock and (Oil) Barrel: Real Exchange Rate Fundamentals and Dynamics in Resource-rich Economies
By Nicolò Maffei Faccioli; Norges Bank
presented by: Nicolò Maffei-Faccioli, Norges Bank
2. Real Exchange Rate and International Reserves in the Era of Financial Integration
By Jamel Saadaoui; University of Strasbourg
presented by: Jamel Saadaoui, University of Strasbourg
Session 113: Inflation Components and Targets June 27, 2024 15:45 to 17:30 Location: Grace A
Session Chair: Saeed Zaman, Federal Reserve Bank of Cleveland
Session type: contributed
1. Asymmetric Inflation Target Credibility
By Winnie Coleman; Freie Universität Berlin Dieter Nautz; Free University Berlin
presented by: Winnie Coleman, Freie Universität Berlin
2. Common and idiosyncratic inflation
By Hie Joo Ahn; Federal Reserve Board Matteo Luciani; Amazon.com
presented by: Matteo Luciani, Federal Reserve Board
3. Underlying Core Inflation with Multiple Regimes
[slides]
By Gabriel Rodriguez Rondon; McGill University
presented by: Gabriel Rodriguez Rondon, McGill University
4. Forecasting Core Inflation and Its Goods, Housing, and Supercore Components
By Todd Clark; Federal Reserve Bank of Cleveland Matthew Gordon; Federal Reserve Bank of Cleveland Saeed Zaman; Federal Reserve Bank of Cleveland
presented by: Saeed Zaman, Federal Reserve Bank of Cleveland
Session 114: Networks and spatial June 27, 2024 15:45 to 17:30 Location: Orion
Session Chair: Tim Kovalenko, Institute for Employment Research
Session type: contributed
1. Generalized Optimization Algorithms for Complex Models
By Mario Martinoli; Sant'Anna School of Advanced Studies Raffaello Seri; Università dell'Insubria Fulvio Corsi; University of Pisa
presented by: Mario Martinoli, Sant'Anna School of Advanced Studies
2. Unveiling spatial patterns of population in Italian municipalities
By Davide Fiaschi; Università di Pisa Angela Parenti; University of Pisa Cristiano Ricci; Università di Pisa
presented by: Cristiano Ricci, Università di Pisa
3. The time-space evolution of economic density: theory and estimation
By Davide Fiaschi; Università di Pisa Angela Parenti; University of Pisa Cristiano Ricci; Università di Pisa
presented by: Davide Fiaschi, Università di Pisa
4. Patterns of regional firm mobility in Germany
By Tim Kovalenko; Institute for Employment Research Benedikt Schröpf; Deutsche Bundesbank e Friedrich-Alexander-Universit ̈at Erlangen-Nurnberg
presented by: Tim Kovalenko, Institute for Employment Research
Session 115: Nonlinear Time Series June 27, 2024 15:45 to 17:30 Location: Theta
Session Chair: Don Harding, Victoria University
Session type: contributed
1. Mitigating the choice of the duration in DDMS models through a parametric link
By Fernando Mendes; UFRGS Guilherme Pumi; Federal University of Rio Grande do Sul Douglas Eduardo Turatti; Aalborg University
presented by: Fernando Mendes, UFRGS
2. Breaking Bad. Bridging Time Series Models with Composite Likelihood Methods
By Malin Engel Jensen; BI Norwegian Business School
presented by: Malin Engel Jensen, BI Norwegian Business School
3. The underdamped oscillation MIDAS model
By Jonathan Dark; University of Melbourne
presented by: Jonathan Dark, University of Melbourne
4. Econometric Foundations of the Great Ratios of Economics
By Don Harding; Victoria University
presented by: Don Harding, Victoria University