Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium

Baruch College CUNY, New York, New York

 

Summary of All Sessions

#Date/TimeLocationTitlePapers
1April 17, 2014
8:30-10:10
14-266 Finance I4
2April 17, 2014
8:30-10:10
14-269 Trends and Cycles4
3April 17, 2014
8:30-10:10
14-270 Energy Economics I (Special Session in Honor of James B. Ramsey)4
4April 17, 2014
8:30-10:10
14-280 Macro Theory I4
5April 17, 2014
8:30-10:10
14-285 Forecasting Methods3
6April 17, 2014
10:30-12:10
14-285 Applied Time Series I4
7April 17, 2014
10:30-12:10
14-266 Finance II4
8April 17, 2014
10:30-12:10
14-269 Monetary Policy I4
9April 17, 2014
10:30-12:10
14-270 Energy Economics II (Special Session in Honor of James B. Ramsey)4
10April 17, 2014
10:30-12:10
14-280 New Keynesian Models4
11April 17, 2014
13:30-14:40
14-220 News and Uncertainty with Serena Ng, Columbia University0
12April 17, 2014
15:00-16:40
14-266 Exchange Rates I (RAstaNEWS Special Session)4
13April 17, 2014
15:00-16:40
14-269 Modeling Macroeconomic Uncertainty4
14April 17, 2014
15:00-16:40
14-270 Forecasting with Mixed Frequency Data4
15April 17, 2014
15:00-16:40
14-280 Macro Theory II4
16April 17, 2014
15:00-16:40
14-285 Nonlinear Time Series I (Special Session in Honor of James B. Ramsey)4
17April 17, 2014
17:00-18:15
14-266 Interest Rates3
18April 17, 2014
17:00-18:15
14-270 Financial Variables and Macroeconomic Forecasting3
19April 17, 2014
17:00-18:15
14-280 Applied Time Series II3
20April 17, 2014
17:00-18:15
14-285 Nonlinear Time Series II (Special Session in Honor of James B. Ramsey)3
21April 18, 2014
8:30-10:10
14-267 Exchange Rates II4
22April 18, 2014
8:30-10:10
14-266 Finance III (Special Session in Honor of James B. Ramsey)4
23April 18, 2014
8:30-10:10
14-269 Output Gap, Unemployment, and Okun's Law3
24April 18, 2014
8:30-10:10
14-270 Case Studies in Forecasting4
25April 18, 2014
8:30-10:10
14-280 Macro Theory III4
26April 18, 2014
8:30-10:10
14-285 Granger Causality and Predictive Analysis4
27April 18, 2014
10:30-12:10
14-267 Asset Prices and the Macroeconomy4
28April 18, 2014
10:30-12:10
14-266 Sovereign Debt, Private Currency, and Social Order4
29April 18, 2014
10:30-12:10
14-269 Inflation and Monetary Policy4
30April 18, 2014
10:30-12:10
14-270 Advances in Forecasting4
31April 18, 2014
10:30-12:10
14-280 DSGE Models (RAstaNEWS Special Session)4
32April 18, 2014
10:30-12:10
14-285 Time Series I (Special Session in Honor of James B. Ramsey)4
33April 18, 2014
13:30-15:10
14-267 Applied Time Series III4
34April 18, 2014
13:30-15:10
14-266 Macro-finance Interface and Early Warning Indicators (RAstaNEWS Special Session)4
35April 18, 2014
13:30-15:10
14-269 Monetary Policy II4
36April 18, 2014
13:30-15:10
14-270 High Frequency Data and Methods4
37April 18, 2014
13:30-15:10
14-280 Fiscal Policy, Investment, and Leverage4
38April 18, 2014
13:30-15:10
14-285 Time Series II (Special Session in Honor of James B. Ramsey)4
39April 18, 2014
15:30-17:10
14-220 Booms, Busts and Behavioural Heterogeneity in Stock Prices, with Cars Hommes0
 

39 sessions, 142 papers, and 0 presentations with no associated papers


 

Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium

Detailed List of Sessions

 
Session 1: Finance I
April 17, 2014 8:30 to 10:10
14-266
 
Session Chair: Emre Yoldas, Federal Reserve Board
 

Time Variation in Asset Return Dependence: Strength or Structure?
By Thijs Markwat
Erik Kole; Erasmus University Rotterdam
Dick van Dijk; Erasmus University Rotterdam
   Presented by: Erik Kole, Erasmus University Rotterdam
 

Asset Pricing, Local Information Aggregation and Network Formation
By Mikhail Anufriev; University of Technology, Sydney
Valentyn Panchenko; UNSW
   Presented by: Valentyn Panchenko, UNSW
 

Higher-Order Moments in the Theory of Diversifi…cation and Portfolio Composition
By Ivan Paya; Lancaster University Management School
Trino-Manuel Ñíguez; University of Westminster
David Peel; Lancaster University Management School
Javier Perote; University of Salamanca
   Presented by: Ivan Paya, Lancaster University Management School
 

Intraday Price Discovery in Fragmented Markets
By Sait Ozturk; Erasmus University Rotterdam
Michel van der Wel; Erasmus University Rotterdam
Dick van Dijk; Erasmus University Rotterdam
   Presented by: Sait Ozturk, Erasmus University Rotterdam
 
Session 2: Trends and Cycles
April 17, 2014 8:30 to 10:10
14-269
 
Session Chair: Tara Sinclair, George Washington University
 

Trends and Cycles in the U.S. Labor Market
By Amy Guisinger; The George Washington University
Tara Sinclair; George Washington University
   Presented by: Amy Guisinger, The George Washington University
 

Business Cycles Across Space and Time
By Neville Francis; University of North Carolina at Chapel Hill
Michael Owyang; Federal Reserve Bank of St Louis
Daniel Soques; University of North Carolina at Chapel Hill
   Presented by: Daniel Soques, University of North Carolina at Chapel Hill
 

Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?
By Varang Wiriyawit; Australian National University
Benjamin Wong; Reserve Bank of New Zealand
   Presented by: Benjamin Wong, Reserve Bank of New Zealand
 

Extended Yule-Walker Identification of VARMA Models with Single- or Mixed-Frequency Data
By Peter Zadrozny; Bureau of Labor Statistics
   Presented by: Peter Zadrozny, Bureau of Labor Statistics
 
Session 3: Energy Economics I (Special Session in Honor of James B. Ramsey)
April 17, 2014 8:30 to 10:10
14-270
 
Session Chair: Bruce Mizrach, Rutgers University
 

Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
By Christiane Baumeister; Bank of Canada
Lutz Kilian; University of Michigan
Xiaoqing Zhou; University of Michigan
   Presented by: Christiane Baumeister, Bank of Canada
 

Has Asian Emerging Market Monetary Policy Been Too Pro-Cyclical When Responding to Swings in Commodity Prices?
By Andrew Filardo; Bank for International Settlements
Marco Lombardi; Bank for International Settlements
   Presented by: Marco Lombardi, Bank for International Settlements
 

Regime-Switching Lévy Jump Modelling for Financial and Commodity Markets
By Julien Chevallier; University Paris 8
stephane goutte; CNRS
   Presented by: Julien Chevallier, University Paris 8
 

Oil-Price Density Forecasts of U.S. GDP
By Francesco Ravazzolo; Norges Bank
Philip Rothman; East Carolina University
   Presented by: Philip Rothman, East Carolina University
 
Session 4: Macro Theory I
April 17, 2014 8:30 to 10:10
14-280
 
Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco
 

Sectoral Composition of Government Spending and Macroeconomic (In)stability
By Juin-jen Chang; Academia Sinica
Jang-Ting Guo; University of California, Riverside
Jhy-yuan Shieh; Soochow University
Wei-neng Wang; Feng Chia University
   Presented by: Jang-Ting Guo, University of California, Riverside
 

The Shadow of a Doubt: the Dynamic Impact of Expectational Uncertainty
By Guillaume Chevillon; ESSEC Business School & CREST-INSEE, Paris
Sophocles Mavroeidis; Oxford University
   Presented by: Guillaume Chevillon, ESSEC Business School & CREST-INSEE, Paris
 

Lumpy Investment in Sticky Information General Equilibrium
By Fabio Verona; Bank of Finland
   Presented by: Fabio Verona, Bank of Finland
 

Model Uncertainty and Exchange Rate Forecasting
By Agnieszka Markiewicz; Erasmus University Rotterdam
   Presented by: Agnieszka Markiewicz, Erasmus University Rotterdam
 
Session 5: Forecasting Methods
April 17, 2014 8:30 to 10:10
14-285
 
Session Chair: Peter Fuleky, University of Hawaii
 

Robust Forecasting via Regularization
By Dobrislav Dobrev; Federal Reserve Board of Governors
Ernst Schaumburg; Federal Reserve Bank of New York
   Presented by: Dobrislav Dobrev, Federal Reserve Board of Governors
 

Machine Learning and Forecast Combination in Incomplete Panels
By Kajal Lahiri; University at Albany: SUNY
Huaming Peng; University at Albany:SUNY
Yongchen Zhao; University at Albany, SUNY
   Presented by: Yongchen Zhao, University at Albany, SUNY
 

Probability Forecasting for Infaltion Warnings from the Federal Reserve
By Anthony Garratt; University of Warwick
James Mitchell; University of Warwick
Shaun Vahey; Warwick University
   Presented by: Anthony Garratt, University of Warwick
 
Session 6: Applied Time Series I
April 17, 2014 10:30 to 12:10
14-285
 
Session Chair: Jun Ma, The University of Alabama
 

Assessing the Importance of Learning in an Empirical Monetary Model for the US
By Eleonora Granziera; Bank of Canada
   Presented by: Eleonora Granziera, Bank of Canada
 

Output Growth and Commodity Prices in Latin America: What Has Changed?
By Sebastian Fossati; University of Alberta
   Presented by: Sebastian Fossati, University of Alberta
 

Testing for Factor Loading Structural Change Under Common Breaks
By Yohei Yamamoto; Hitotsubashi University
   Presented by: Yohei Yamamoto, Hitotsubashi University
 

Outliers and Persistence in Threshold Autoregressive Processes: A Puzzle?
By Yamin Ahmad; University of Wisconsin - Whitewater
Luiggi Donayre; University of Minnesota - Duluth
   Presented by: Luiggi Donayre, University of Minnesota - Duluth
 
Session 7: Finance II
April 17, 2014 10:30 to 12:10
14-266
 
Session Chair: Valentyn Panchenko, UNSW
 

Bank Characteristics and the Interbank Money Market: A Distributional Approach
By Giulia Iori; City University
Burcu Kapar; City University London
Jose Olmo; University of Southampton
   Presented by: Jose Olmo, University of Southampton
 

The Dynamics of International Financial Market Integration: Estimates for European Countries
By Gerdie Everaert; Ghent University
Lorenzo Pozzi; Erasmus University Rotterdam
   Presented by: Lorenzo Pozzi, Erasmus University Rotterdam
 

The Pricing of G7 Sovereign Bond Spreads – The Times, They Are A‐Changin
By Antonello d'Agostino; European Central Bank
Michael Ehrmann; Bank of Canada
   Presented by: Michael Ehrmann, Bank of Canada
 

Time-varying Risk in Bank Earnings and Macroeconomic Implications
By Francisco Covas; Federal Reserve Board
Emre Yoldas; Federal Reserve Board
Egon Zakrajsek; Federal Reserve Board
   Presented by: Emre Yoldas, Federal Reserve Board
 
Session 8: Monetary Policy I
April 17, 2014 10:30 to 12:10
14-269
 
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
 

Macroeconomic News, Monetary Policy and the Real Interest Rate at the Zero Lower Bound
By JI ZHANG; Tsinghua Unviersity
   Presented by: JI ZHANG, Tsinghua Unviersity
 

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
By Jing Cynthia Wu; University of Chicago
Fan Dora Xia; University of California, San Diego
   Presented by: Fan Dora Xia, University of California, San Diego
 

The Transmission of Euro Area Monetary Policy: Evidence from a Mixed Cross-Section Global VAR Model
By Georgios Georgiadis; ECB
   Presented by: Georgios Georgiadis, ECB
 

How Optimal is US Monetary Policy?∗
By Xiaoshan Chen; University of Stirling
Tatiana Kirsanova; University of Glasgow
Campbell Leith; University of Glasgow
   Presented by: Xiaoshan Chen, University of Stirling
 
Session 9: Energy Economics II (Special Session in Honor of James B. Ramsey)
April 17, 2014 10:30 to 12:10
14-270
 
Session Chair: Philip Rothman, East Carolina University
 

Location Basis Differentials in Crude Oil Prices
By Yang Li; Rutgers University
Bruce Mizrach; Rutgers University
YOICHI OTSUBO; University of Luxembourg
   Presented by: Bruce Mizrach, Rutgers University
 

Forecasting the Brent Oil Price: Addressing Time-variation in Forecast Performance
By Cristiana Manescu; European Central Bank
Ine Van Robays; European Central Bank
   Presented by: Cristiana Manescu, European Central Bank
 

Oil Price Forecasting: The Long (and the Short) of It
By Maral Kichian; University of Ottawa
Jean-Thomas Bernard; University of Ottawa
Lynda Khalaf; Carleton University
Clement Yelou; Statistics Canada
   Presented by: Maral Kichian, University of Ottawa
 

Time Varying SVARs, Parameter Histories, and the Changing Impact of Oil Prices on the US Economy
By Francesca Rondina; University of Ottawa
   Presented by: Francesca Rondina, University of Ottawa
 
Session 10: New Keynesian Models
April 17, 2014 10:30 to 12:10
14-280
 
Session Chair: Jacek Suda, Banque de France - Paris School of Economics
 

Asset Prices, Business Cycles, and Markov-Perfect Fiscal Policy when Agents are Risk-Sensitive
By Richard Dennis; University of Glasgow
   Presented by: Richard Dennis, University of Glasgow
 

Monetary Policy Trade-offs and Financial Frictions
By Francesco Furlanetto; Norges Bank
Paolo Gelain; Norges Bank and Centre for International
   Presented by: Paolo Gelain, Norges Bank
 

Large Scale Asset Purchases with Segmented Mortgage and Corporate Loan Markets
By Frédéric Dufourt; Aix-Marseille University
   Presented by: Frédéric Dufourt, Aix-Marseille University
 

The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model
By Yasuo Hirose; Keio University
Atsushi Inoue; Southern Methodist University
   Presented by: Yasuo Hirose, Keio University
 
Session 11: News and Uncertainty with Serena Ng, Columbia University
April 17, 2014 13:30 to 14:40
14-220
 
Session Chair: James Morley, University of New South Wales
 
Session 12: Exchange Rates I (RAstaNEWS Special Session)
April 17, 2014 15:00 to 16:40
14-266
 
Session Chair: Claudio Morana, Department of Economics
 

Do Exchange Rates Really Help Forecasting Commodity Prices?
By Lasse Bork; Aalborg University
Pablo Rovira Kaltwasser; Katholieke Universiteit Leuven
Piet Sercu; KU Leuven
   Presented by: Pablo Rovira Kaltwasser, Katholieke Universiteit Leuven
 

Time Variation in the Standard Forward Premium Regression: Some New Models and Tests
By Richard Baillie; Michigan State University
Dooyeon Cho; Kookmin University
   Presented by: Dooyeon Cho, Kookmin University
 

Local Deviations from Uncovered Interest Parity: Kernel Smoothing Functions and the Role of Fundamentals
By Richard Baillie; Michigan State University
   Presented by: Richard Baillie, Michigan State University
 

Asymmetric Pass-Through Behavior over the Business Cycle
By Luiggi Donayre; University of Minnesota - Duluth
Irina Panovska; Lehigh University
   Presented by: Irina Panovska, Lehigh University
 
Session 13: Modeling Macroeconomic Uncertainty
April 17, 2014 15:00 to 16:40
14-269
 
Session Chair: Christian Conrad, University of Heidelberg
 

Measuring Uncertainty of a Combined Forecast and a New Test for Forecaster Homogeneity
By Kajal Lahiri; University at Albany: SUNY
Huaming Peng; University at Albany:SUNY
Xuguang Sheng; American University
   Presented by: Kajal Lahiri, University at Albany: SUNY
 

Combination of “Combinations of P-values” with Applications to Testing Purchasing Power Parity and Imperfect Information Models
By Lan Cheng; SUNY Fredonia
Xuguang Sheng; American University
   Presented by: Xuguang Sheng, American University
 

Global Inflation and Output Uncertainty
By Bernd Kempa; University of Muenster
Tino Berger; University of Cologne
   Presented by: Bernd Kempa, University of Muenster
 

Cross Sectional Evidence on the Relation Between Monetary Policy, Macroeconomic Conditions and Low-Frequency Inflation Uncertainty
By Christian Conrad; University of Heidelberg
Matthias Hartmann; University of Heidelberg
   Presented by: Matthias Hartmann, University of Heidelberg
 
Session 14: Forecasting with Mixed Frequency Data
April 17, 2014 15:00 to 16:40
14-270
 
Session Chair: Francesco Ravazzolo, Norges Bank
 

Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
By Christiane Baumeister; Bank of Canada
Pierre Guerin; Bank of Canada
Lutz Kilian; University of Michigan
   Presented by: Pierre Guerin, Bank of Canada
 

Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR
By Michael McCracken; Federal Reserve Bank of St Louis
Michael Owyang; Federal Reserve Bank of St Louis
Tatevik Sekhposyan; Bank of Canada
   Presented by: Tatevik Sekhposyan, Bank of Canada
 

Density Forecasts with MIDAS Models
By Knut Are Aastveit; Norges Bank
Claudia Foroni; Norges Bank
Francesco Ravazzolo; Norges Bank
   Presented by: Knut Are Aastveit, Norges Bank
 

Realized Volatility and Business Cycle Fluctuations: A Mixed-Frequency VAR Approach
By Alain Hecq; Maastricht University
   Presented by: Alain Hecq, Maastricht University
 
Session 15: Macro Theory II
April 17, 2014 15:00 to 16:40
14-280
 
Session Chair: Carl Chiarella, University of Technology Sydney
 

House Price Dynamics with Long-term Mortgage Debt
By Paolo Gelain; Norges Bank
Kevin Lansing; Federal Reserve Bank of San Francisco
Mathis Mælum; Princeton University and Norges Bank
Gisle Natvik; Norges Bank
   Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
 

Endogenous Stock Price Cycles with Dynamic Self-Control Preferences
By Marco Airaudo; Drexel University, LeBow Business School
   Presented by: Marco Airaudo, Drexel University, LeBow Business School
 

Asset Prices, Monetary Policy and Determinacy
By Aarti Singh; University of Sydney
Sophie Stone
Jacek Suda; Banque de France - Paris School of Economics
   Presented by: Jacek Suda, Banque de France - Paris School of Economics
 

Booms and Busts in House Prices under Heterogeneous Expectations
By Wilko Bolt; De Nederlandsche Bank N.V.
Maria Demertzis; De Nederlandsche Bank
Cees Diks; University of Amsterdam
Cars Hommes; University of Amsterdam
Marco van der Leij; University of Amsterdam
   Presented by: Cees Diks, University of Amsterdam
 
Session 16: Nonlinear Time Series I (Special Session in Honor of James B. Ramsey)
April 17, 2014 15:00 to 16:40
14-285
 
Session Chair: Marco Gallegati, Polytechnic University of Marche
 

Making Leading Indicators More Leading: A "Wavelet-Based" Method for the Construction of CLI
By Marco Gallegati; Università Politecnica delle Marche
Mauro Gallegati; Polytechnic University of Marche
   Presented by: Mauro Gallegati, Polytechnic University of Marche
 

Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatilty
By Mark Jensen; Atlanta Federal Reserve Bank
   Presented by: Mark Jensen, Atlanta Federal Reserve Bank
 

Nonlinearity and Time-varying Dependence in Money Markets
By Emre Yoldas; Federal Reserve Board
Zeynep Senyuz; Federal Reserve Board
Bernd Schlusche; Federal Reserve Board
Selva Demiralp; Koc University
   Presented by: Zeynep Senyuz, Federal Reserve Board
 

A Comovement Test for State-Dependent Stock Returns
By Kaihua Deng; University of Washington
   Presented by: Kaihua Deng, University of Washington
 
Session 17: Interest Rates
April 17, 2014 17:00 to 18:15
14-266
 
Session Chair: Lorenzo Pozzi, Erasmus University Rotterdam
 

Forecasting the Term Structure of Interest Rates with Potentially Misspecified Models
By Yunjong Eo; University of Sydney
Kyu Ho Kang; Korea University
   Presented by: Yunjong Eo, University of Sydney
 

Changes in Persistence, Spurious Regressions and the Fisher Hypothesis
By Robinson Kruse; Leibniz University Hannover
Daniel Ventosa-Santaulària; Centro de Investigación y Docencia Econ
Antonio Noriega; Banco de México
   Presented by: Daniel Ventosa-Santaulària, Centro de Investigación y Docencia Econ
 

A Dynamic Nelson-Siegel Yield Curve Model with Markov Switching
By Jared Levant; University of Alabama
Jun Ma; The University of Alabama
   Presented by: Jared Levant, University of Alabama
 
Session 18: Financial Variables and Macroeconomic Forecasting
April 17, 2014 17:00 to 18:15
14-270
 
Session Chair: Ivan Paya, Lancaster University Management School
 

Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
By Marco Del Negro; Federal Reserve Bank of New York
Raiden Hasegawa; FRBNY
Frank Schorfheide (Inactive); University of Pennsylvania
   Presented by: Marco Del Negro, Federal Reserve Bank of New York
 

Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?
By Rodrigo Sekkel; Bank of Canada
   Presented by: Rodrigo Sekkel, Bank of Canada
 

Bond Market and Macroeconomic News
By Michele Modugno; Board of Governors of the Federal Reserve System
   Presented by: Michele Modugno, Board of Governors of the Federal Reserve System
 
Session 19: Applied Time Series II
April 17, 2014 17:00 to 18:15
14-280
 
Session Chair: Zeynep Senyuz, Federal Reserve Board
 

Dynamic Synchronization of Cycles: A Markov-Switching Network Approach
By Danilo Leiva-Leon; Bank of Canada
   Presented by: Danilo Leiva-Leon, Bank of Canada
 

How Did the Financial Crisis Alter the Correlations of U.S. Yield Spreads?
By Silvio Contessi; Federal Reserve Bank of St. Louis
Pierangelo De Pace; Pomona College
Massimo Guidolin; Bocconi University
   Presented by: Pierangelo De Pace, Pomona College
 

Understanding the Accumulation of Bank and Thrift Reserves During the U.S. Financial Crisis
By Su-Hsin Chang; Washington University in St. Louis
Silvio Contessi; Federal Reserve Bank of St. Louis
Johanna Francis; Fordham University
   Presented by: Silvio Contessi, Federal Reserve Bank of St. Louis
 
Session 20: Nonlinear Time Series II (Special Session in Honor of James B. Ramsey)
April 17, 2014 17:00 to 18:15
14-285
 
Session Chair: M. Ege Yazgan, Istanbul Bilgi University
 

A Non-linear Forecast Combination Method with Dynamic Misspecification: A Bayesian Approach
By Kajal Lahiri; University at Albany: SUNY
Yang Liu; University at Albany: SUNY
   Presented by: Yang Liu, University at Albany: SUNY
 

Testing for Nonlinear GARCH Models
By Thomas Chuffart; Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS
Emmanuel FLACHAIRE; Aix Marseille University
Anne Péguin-Feissolle; Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS
   Presented by: Thomas Chuffart, Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS
 

Improving Model Performance with Wavelet Decomposition for High-Frequency Financial Data
By Edward Sun
   Presented by: Edward Sun,
 
Session 21: Exchange Rates II
April 18, 2014 8:30 to 10:10
14-267
 
Session Chair: Etsuro Shioji, Hitotsubashi University
 

Nonlinearities in the Real Exchange Rates: New Evidence
By Yamin Ahmad; University of Wisconsin - Whitewater
Ming Lo; St. Cloud State University
Olena Mykhaylova; University of Richmond
   Presented by: Olena Mykhaylova, University of Richmond
 

FX Options and Excess Returns: A Multi Moment Term Structure of Exchange Rate Dynamics
By Yu-chin Chen; University of Washington
Ranganai Gwati; University of Washington
   Presented by: Ranganai Gwati, University of Washington
 

Noisy News and Exchange Rate Bubbles: A SVAR Approach
By Chris Redl; Queen Mary, University of London
   Presented by: Chris Redl, Queen Mary, University of London
 

What Makes a Commodity Currency?
By Yu-chin Chen; University of Washington
Dongwon Lee; University of California, Riverside
   Presented by: Dongwon Lee, University of California, Riverside
 
Session 22: Finance III (Special Session in Honor of James B. Ramsey)
April 18, 2014 8:30 to 10:10
14-266
 
Session Chair: Junsoo Lee, University of Alabama
 

Exploring Nonlinearities in Financial Systemic Risk
By Marcin Wolski; University of Amsterdam
   Presented by: Marcin Wolski, University of Amsterdam
 

"Fear and Loathing in the Housing Market: Evidence from Search Query Data"
By Marcelle Chauvet; University of California RIverside
Chandler Lutz; Copenhagen Business School
Stuart Gabriel; UCLA Anderson School of Management
   Presented by: Marcelle Chauvet, University of California Riverside
 

Interpreting Financial Market Crashes as Earth Quakes: A New Early Warning System for Medium-Term Crashes
By Francine Gresnigt; Erasmus University Rotterdam
   Presented by: Francine Gresnigt, Erasmus University Rotterdam
 

Modelling the “Animal Spirits” of Bank’s Lending Behaviour
By Carl Chiarella; University of Technology Sydney
Corrado Di Guilmi
Tianhao Zhi; University of Technology, Sydney
   Presented by: Carl Chiarella, University of Technology Sydney
 
Session 23: Output Gap, Unemployment, and Okun's Law
April 18, 2014 8:30 to 10:10
14-269
 
Session Chair: Hauke Vierke, University of Muenster
 

On the Reliability of Output-Gap Estimates in Realtime
By Elmar Mertens; Federal Reserve Board
   Presented by: Elmar Mertens, Federal Reserve Board
 

A State-Level Analysis of Okun’s Law
By Amy Guisinger; The George Washington University
Ruben Hernandez-Murillo; Federal Reserve Bank of St. Louis
Michael Owyang; Federal Reserve Bank of St Louis
Tara Sinclair; George Washington University
   Presented by: Tara Sinclair, George Washington University
 

Asymmetric Labor Force Dynamics, Friedman's Plucking Model, and Jobless Recoveries
By Michael Bradley; George Washington University
Dennis Jansen; Texas A&M University
   Presented by: Dennis Jansen, Texas A&M University
 
Session 24: Case Studies in Forecasting
April 18, 2014 8:30 to 10:10
14-270
 
Session Chair: Yunjong Eo, University of Sydney
 

Probability and Severity of Recessions
By Rachidi Kotchoni; ThEMA
Dalibor Stevanovic; Université du Québec à Montréal
   Presented by: Dalibor Stevanovic, Université du Québec à Montréal
 

The Real Advantage of the Inflation Gap for Forecasting U.S. Inflation
By Christopher Gibbs
   Presented by: Christopher Gibbs,
 

Forecasting Output and Inflation with Global Components
By Hilde Bjørnland; BI Norwegian Business School
Francesco Ravazzolo; Norges Bank
Leif Thorsrud; BI Norwegian Business School
   Presented by: Francesco Ravazzolo, Norges Bank
 

Forecasting Fed Funds Target Changes with Large Datasets
By Travis Berge; Federal Reserve Bank of Kansas City
Michael Owyang; Federal Reserve Bank of St Louis
   Presented by: Michael Owyang, Federal Reserve Bank of St Louis
 
Session 25: Macro Theory III
April 18, 2014 8:30 to 10:10
14-280
 
Session Chair: Richard Dennis, University of Glasgow
 

Trickle-Down Consumption, Monetary Policy and Inequality
By Marco Airaudo; Drexel University, LeBow Business School
Luca Bossi; University of Pennsylvania
   Presented by: Luca Bossi, University of Pennsylvania
 

Research Policy and U.S. Economic Growth
By Richard M. H. Suen; University of Connecticut
   Presented by: Richard M. H. Suen, University of Connecticut
 

Efficiency of the Pension Reform: The Welfare Effects of Various Fiscal Closures
By Joanna Tyrowicz; National Bank of Poland
Krzysztof Makarski; National Bank of Poland
   Presented by: Joanna Tyrowicz, National Bank of Poland
 

Endogenous Growth, Inequality and the Composition of Government Expenditures
By Constantine Angyridis; Ryerson University
   Presented by: Constantine Angyridis, Ryerson University
 
Session 26: Granger Causality and Predictive Analysis
April 18, 2014 8:30 to 10:10
14-285
 
Session Chair: Sebastian Fossati, University of Alberta
 

Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach
By Richard Ashley; Virginia Tech
Kwok Ping Tsang; Virginia Tech
   Presented by: Richard Ashley, Virginia Tech
 

Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
By Matthieu Droumaguet; European University Institute
Anders Warne; European Central Bank
Tomasz Wozniak; University of Melbourne
   Presented by: Tomasz Wozniak, University of Melbourne
 

Robust Inference in Smooth Transition Predictive Regressions
By Rehim Kilic; Koc University
   Presented by: Rehim Kilic, Federal Reserve Bank of Atlanta
 

Government Debt and Macroeconomic Activity: A Predictive Analysis for Advanced Economies
By Deniz Baglan; Howard University
Emre Yoldas; Federal Reserve Board
   Presented by: Deniz Baglan, Howard University
 
Session 27: Asset Prices and the Macroeconomy
April 18, 2014 10:30 to 12:10
14-267
 
Session Chair: Silvio Contessi, Federal Reserve Bank of St. Louis
 

Identification of Financial Factors in Economic Fluctuations
By Francesco Furlanetto; Norges Bank
   Presented by: Francesco Furlanetto, Norges Bank
 

Macroeconomic Determinants of Time-Varying Persistence in the S&P500 Price-Dividend Ratio
By Hendrik Kaufmann; Leibniz Universität Hannover
Robinson Kruse; Leibniz University Hannover
   Presented by: Robinson Kruse, Leibniz University Hannover
 

Understanding Housing Market Volatility
By Joseph Fairchild; Bank of America
Jun Ma; The University of Alabama
Shu Wu; University of Kansas
   Presented by: Jun Ma, The University of Alabama
 

Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered
By Frauke Schleer; ZEW Mannheim
Willi Semmler; New School for Social Research
   Presented by: Frauke Schleer, ZEW Mannheim
 
Session 28: Sovereign Debt, Private Currency, and Social Order
April 18, 2014 10:30 to 12:10
14-266
 
Session Chair: Willi Semmler, New School for Social Research
 

Macro Factors and Sovereign Bond Spreads: A Quadratic No-Arbitrage Model
By Peter Hoerdahl; Bank for International Settlements
Oreste Tristani; ECB
   Presented by: Peter Hoerdahl, Bank for International Settlements
 

Limitations to Sovereign Debt Speculation
By Remco Zwinkels; Erasmus School of Economics
   Presented by: Remco Zwinkels, Erasmus School of Economics
 

The Economics of Private Digital Currency
By Gerald Dwyer; Clemson University
   Presented by: Gerald Dwyer, Clemson University
 

Cooperation and Competition in the Emergence of a Social Order
By AJ Bostian; University of Virginia
David Goldbaum; University of Technology Sydney
   Presented by: David Goldbaum, University of Technology Sydney
 
Session 29: Inflation and Monetary Policy
April 18, 2014 10:30 to 12:10
14-269
 
Session Chair: Maral Kichian, University of Ottawa
 

Perceived Inflation Persistence
By Monica Jain; Bank of Canada
   Presented by: Monica Jain, Bank of Canada
 

On the Correlation Between Inflation Persistence and The Implicit Inflation Target
By Yamin Ahmad; University of Wisconsin - Whitewater
Stuart Glosser; University of Wisconsin at Whitewater
   Presented by: Stuart Glosser, University of Wisconsin at Whitewater
 

Central Bank Credibility and Reputation: An Historical and Quantitative Exploration
By Pierre Siklos; Wilfrid Laurier University
Michael Bordo; Rutgers University
   Presented by: Pierre Siklos, Wilfrid Laurier University
 

Monetary Policy Shocks and the Taylor Rule
By Edward Gamber; Lafayette College
Tara Sinclair; George Washington University
Pao-Lin Tien; Wesleyan University
   Presented by: Pao-Lin Tien, Wesleyan University
 
Session 30: Advances in Forecasting
April 18, 2014 10:30 to 12:10
14-270
 
Session Chair: Tatevik Sekhposyan, Bank of Canada
 

Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts
By James Nason; North Carolina State University
Gregor Smith; Queen's University
   Presented by: James Nason, North Carolina State University
 

The Effect of FOMC Forecast Disagreement on U.S. Treasuries
By Michael McCracken; Federal Reserve Bank of St Louis
   Presented by: Michael McCracken, Federal Reserve Bank of St Louis
 

How Biased Are U.S. Government Forecasts of the Federal Debt?
By Neil Ericsson; Federal Reserve Board
   Presented by: Neil Ericsson, Federal Reserve Board
 

Macroprudential Policy and Forecasting Using Hybrid DSGE Models with Financial Frictions and State Space Markov-Switching TVP-VARs
By Stelios Bekiros; European University Institute (EUI)
Alessia Paccagnini; Bicocca University
   Presented by: Stelios Bekiros, European University Institute (EUI)
 
Session 31: DSGE Models (RAstaNEWS Special Session)
April 18, 2014 10:30 to 12:10
14-280
 
Session Chair: Sarah Zubairy, Texas A&M University
 

Forecasting in a DSGE Model with Banking Intermediation: Evidence from US
By Alessia Paccagnini; Bicocca University
Roberta Cardani; Università degli Studi Milano-Bicocca
Stefania Villa; University of Foggia and K.U. Leuven
   Presented by: Alessia Paccagnini, Bicocca University
 

Fiscal Consolidation and Rule of Thumb Consumers: Gain with or without Pain?
By Maria Ferrara; University of Milano-Bicocca
Patrizio Tirelli; University of Milano-Bicocca
   Presented by: Maria Ferrara, University of Milano-Bicocca
 

Heterogenous Agents and the Optimal Rate of Inflation
By Lorenzo Menna; University of Milan-Bicocca
Patrizio Tirelli; University of Milano-Bicocca
   Presented by: Lorenzo Menna, University of Milan-Bicocca
 

Estimating a DSGE with Limited Asset Market Participation and Fiscal Policy in the Euro Area
By Alice Albonico; University of Pavia
Alessia Paccagnini; Bicocca University
Patrizio Tirelli; University of Milano-Bicocca
   Presented by: Alessia Paccagnini, Bicocca University
 
Session 32: Time Series I (Special Session in Honor of James B. Ramsey)
April 18, 2014 10:30 to 12:10
14-285
 
Session Chair: Richard Baillie, Michigan State University
 

Heteroskedasticity Autocorrelation Robust Inference in Time Series Regressions with Missing Data
By Seunghwa Rho; Louisiana State University
Tim Vogelsang; Michigan State U.
   Presented by: Seunghwa Rho, Louisiana State University
 

Oil Prices, World Output and U.S. Grain Prices: A Nonlinear Cointegration Analysis
By Walter Enders; University of Alabama
Junsoo Lee; University of Alabama
   Presented by: Walter Enders, University of Alabama
 

Unfolding GARCH models
By Richard Luger; Georgia State University
   Presented by: Richard Luger, Georgia State University
 

CCE Estimation of Factor-Augmented Regression Models with More Factors than Observables
By Hande Karabiyik; Maastricht University
Jean-Pierre Urbain; Maastricht University
Joakim Westerlund; Deakin University
   Presented by: Jean-Pierre Urbain, Maastricht University
 
Session 33: Applied Time Series III
April 18, 2014 13:30 to 15:10
14-267
 
Session Chair: Benjamin Wong, Reserve Bank of New Zealand
 

Global Slack as a Determinant of Domestic Inflation Rates: Cross-Country Evidence from an Unobserved Components Model Approach
By Pym Manopimoke; University of Kansas
   Presented by: Pym Manopimoke, University of Kansas
 

Time Varying Pass-Through: Will the Yen Depreciation Help Japan Hit the Inflation Target?
By Etsuro Shioji; Hitotsubashi University
   Presented by: Etsuro Shioji, Hitotsubashi University
 

How much Time-Variation in Fundamental Marcoeconomic Relationships? An Unobserved Components Approach with Time-Varying Parameters and Stochastic Volatility
By Tino Berger; University of Cologne
Gerdie Everaert; Ghent University
Hauke Vierke; University of Muenster
   Presented by: Hauke Vierke, University of Muenster
 

Global Stochastic Trends in Growth, Interest and Inflation. Is the Post-Bretton-Woods Era Driven by the Volcker Disinflation?
By Reinhold Heinlein; Keele University
Hans-Martin Krolzig; The University of Kent
   Presented by: Reinhold Heinlein, Keele University
 
Session 34: Macro-finance Interface and Early Warning Indicators (RAstaNEWS Special Session)
April 18, 2014 13:30 to 15:10
14-266
 
Session Chair: Rehim Kilic, Federal Reserve Bank of Atlanta
 

Insights on the Global Macro-Finance Interface: Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns
By Claudio Morana; Department of Economics
   Presented by: Claudio Morana, Department of Economics
 

Wavelet-Based Early Warning Composite Indicators: An Application to the US
By Marco Gallegati; Università Politecnica delle Marche
   Presented by: Marco Gallegati, Polytechnic University of Marche
 

Measuring Persistence in Volatility Spillovers
By Christian Conrad; University of Heidelberg
Enzo Weber; University of Regensburg
   Presented by: Christian Conrad, University of Heidelberg
 

Modelling Returns and Volatilities During Financial Crises: A Time Varying Coefficient Approach
By Menelaos Karanasos; Brunel University
Michail Karoglou; University of Newcastle
Faek Menla Ali
Alexandros Paraskevopoulos
   Presented by: Menelaos Karanasos, Brunel University
 
Session 35: Monetary Policy II
April 18, 2014 13:30 to 15:10
14-269
 
Session Chair: Pao-Lin Tien, Wesleyan University
 

Monetary Policy, Macro Factors, and the Term Structure at the Zero Lower Bound
By Laura Jackson; University of North Carolina at Chapel Hill
   Presented by: Laura Jackson, University of North Carolina at Chapel Hill
 

Monetary Policy Transmission during Financial Crises: An Empirical Analysis
By Tatjana Dahlhaus; Bank of Canada
   Presented by: Tatjana Dahlhaus, Bank of Canada
 

Corporate Bond Yields in the Transmission Mechanism of Monetary Policy
By Isaac Sserwanja; University of Kent
Hans-Martin Krolzig; The University of Kent
   Presented by: Isaac Sserwanja, University of Kent
 

Credit Spreads, Asset Prices and Monetary Policy
By Marcelle Chauvet; University of California RIverside
Venoo Kakar; San Francisco State University
   Presented by: Venoo Kakar, San Francisco State University
 
Session 36: High Frequency Data and Methods
April 18, 2014 13:30 to 15:10
14-270
 
Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
 

Volatility and Liquidity Costs
By Selma Chaker; Bank of Canada
   Presented by: Selma Chaker, Bank of Canada
 

Forecasting Intraday Volatility Using Limit Order Book Information
By Magdalena Sokalska; Queens College
   Presented by: Magdalena Sokalska, Queens College
 

Downside Variance Risk Premium
By BRUNO FEUNOU; Bank of Canada
Mohammad Jahan-Parvar; Federal Reserve Board
Cedric Okou; HEC Montreal
   Presented by: Mohammad Jahan-Parvar, Federal Reserve Board
 

Combining Density Forecasts for Improving Value-at-Risk Estimates
By Anne Opschoor; VU University Amsterdam
Dick van Dijk; Erasmus University Rotterdam
Michel van der Wel; Erasmus University Rotterdam
   Presented by: Dick van Dijk, Erasmus University Rotterdam
 
Session 37: Fiscal Policy, Investment, and Leverage
April 18, 2014 13:30 to 15:10
14-280
 
Session Chair: Irina Panovska, Lehigh University
 

Estimating Fiscal Multipliers: News from a Nonlinear World
By Giovanni Caggiano; University of Padua
Efrem Castelnuovo; University of Padova
Valentina Colombo; University of Padova
Gabriela Nodari; University of Verona
   Presented by: Giovanni Caggiano, University of Padua
 

Government Spending Multipliers in Good Times and in Bad: Evidence from U.S Historical Data
By Valerie Ramey; University of California, San Diego
Sarah Zubairy; Texas A&M University
   Presented by: Sarah Zubairy, Texas A&M University
 

Heterogeneity in the Dynamic Effects of Uncertainty on Investment
By SUNG JE BYUN; University of California, San Diego
Soojin Jo; Bank of Canada
   Presented by: SUNG JE BYUN, University of California, San Diego
 

Overleveraging and Regime Change in the Banking-Macro Link -- Evaluated by a Multi--Regime VAR
By Willi Semmler; New School for Social Research
Stefan Mittnik; Universität München
   Presented by: Willi Semmler, New School for Social Research
 
Session 38: Time Series II (Special Session in Honor of James B. Ramsey)
April 18, 2014 13:30 to 15:10
14-285
 
Session Chair: Cees Diks, University of Amsterdam
 

Quasi-Bayesian Model Selection
By Atsushi Inoue; Southern Methodist University
Mototsugu Shintani; Vanderbilt University
   Presented by: Atsushi Inoue, Southern Methodist University
 

Robust and Powerful Tests for Nonlinear Deterministic Components
By Sam Astill; University of Warwick
David Harvey; University of Nottingham
Stephen Leybourne; University of Nottingham
Robert Taylor; University of Essex
   Presented by: Sam Astill, University of Warwick
 

Indirect Inference Based on the Score
By Peter Fuleky; University of Hawaii
Eric Zivot; University of Washington
   Presented by: Peter Fuleky, University of Hawaii
 

Persistence in Convergence: Some Further Results
By Thanasis Stengos; University of Guelph
M. Ege Yazgan; Istanbul Bilgi University
   Presented by: M. Ege Yazgan, Istanbul Bilgi University
 
Session 39: Booms, Busts and Behavioural Heterogeneity in Stock Prices, with Cars Hommes
April 18, 2014 15:30 to 17:10
14-220
 
Session Chair: James Morley, University of New South Wales

This program was last updated on 2015-03-10 22:6:34 EDT