Summary of All Sessions |
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31 sessions, 116 papers, and 0 presentations with no associated papers |
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23rd Symposium of the Society for Nonlinear Dynamics and Econometrics (SNDE) |
Detailed List of Sessions |
Session 1: Empirical Macro: Monetary Policy and Uncertainty March 19, 2015 8:30 to 10:10 A2-035 |
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Session Chair: Tatevik Sekhposyan, Texas A&M University |
Uncertainty and Monetary Policy near the Zero Lower Bound |
By Giovanni Caggiano; University of Padua Efrem Castelnuovo; University of Melbourne Giovanni Pellegrino; University of Verona |
Presented by: Giovanni Caggiano, University of Padua |
Monetary policy propagation and uncertainty |
By Norbert Metiu; Deutsche Bundesbank Sandra Eickmeier; Deutsche Bundesbank Esteban Prieto; Deutsche Bundesbank |
Presented by: Norbert Metiu, Deutsche Bundesbank |
Delayed Overshooting Puzzle in Structural Vector Autoregression Models |
By Klodiana Istrefi; Banque de France Balázs Vonnák; Magyar Nemzeti Bank |
Presented by: Klodiana Istrefi, Banque de France |
Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions |
By Barbara Rossi; ICREA-Univ. Pompeu Fabra, Barcelona GSE Tatevik Sekhposyan; Texas A&M University |
Presented by: Tatevik Sekhposyan, Texas A&M University |
Session 2: Finance: Asset Pricing March 19, 2015 8:30 to 10:10 A2-060 |
Session Chair: Daniele Bianchi, University of Warwick |
Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks |
By Daniel Tortorice; Brandeis University |
Presented by: Daniel Tortorice, Brandeis University |
Option Pricing via Risk-Neutral Density Forecasting |
By Stanislav Khrapov; New Economic School |
Presented by: Stanislav Khrapov, New Economic School |
Optimal Asset Allocation for Commodity Sovereign Wealth Funds |
By Alfonso Irarrazabal; Norges Bank Lin Ma; Norwegian University of Life Sciences |
Presented by: Lin Ma, Norwegian University of Life Sciences |
A Dynamic Test of Conditional Factor Models |
By Daniele Bianchi; University of Warwick |
Presented by: Daniele Bianchi, University of Warwick |
Session 3: Forecasting: Short Term Forecasting in Central Banks March 19, 2015 8:30 to 10:10 A2-070 |
Session Chair: Aleksandra Hałka, Narodowy Bank Polski |
The effect of non-linearity between credit conditions and economic activity on density forecasts |
By Michal Franta; Czech National Bank |
Presented by: Michal Franta, Czech National Bank |
Combining Nowcasts for Canadian GDP Growth |
By Rodrigo Sekkel; Bank of Canada |
Presented by: Rodrigo Sekkel, Bank of Canada |
Forecasting recessions in real time |
By Knut Are Aastveit; Norges Bank Anne Sofie Jore; Norges Bank Francesco Ravazzolo; Norges Bank |
Presented by: Anne Sofie Jore, Norges Bank |
Forecasting Process in Polish Central Bank |
By Aleksandra Hałka; Narodowy Bank Polski |
Presented by: Aleksandra Hałka, Narodowy Bank Polski |
Session 4: Time Series: Bayesian March 19, 2015 8:30 to 10:10 A2-075 |
Session Chair: Clément Marsilli, Banque de France |
Model Uncertainty in Panel Vector Autoregressive Models |
By Gary Koop; University of Strathclyde Dimitris Korobilis; University of Glasgow |
Presented by: Dimitris Korobilis, University of Glasgow |
Identification and Estimation of Non-Gaussian Structural Vector Autoregressions |
By Markku Lanne; University of Helsinki Mika Meitz; University of Helsinki Pentti Saikkonen; University of Helsinki |
Presented by: Markku Lanne, University of Helsinki |
Large Bayesian VARMAs |
By Joshua Chan; Australian National University Eric Eisenstat; University of Bucharest Gary Koop; University of Strathclyde |
Presented by: Joshua Chan, Australian National University |
A Mixed-Frequency model with Stochastic Volatility |
By Laurent Ferrara; Banque de France Massimiliano Marcellino; Bocconi University Clément Marsilli; Banque de France |
Presented by: Clément Marsilli, Banque de France |
Session 5: CAMP Special Session on Commodities and Macroeconomics I March 19, 2015 10:40 to 12:20 A2-035 |
Session Chair: Hilde Bjørnland, BI Norwegian Business School |
Spend, Baby, Spend: Windfalls, Specialization and Misallocation |
By Radek Stefanski; University of St Andrews |
Presented by: Radek Stefanski, University of St Andrews |
Oil exports and the reallocation effects of terms of trade fluctuations |
By Drago Bergholt; Norges Bank Martin Seneca; Norges Bank |
Presented by: Drago Bergholt, Norges Bank |
Technological Change in Resource Extraction and Endogenous Growth |
By Martin Stuermer; Federal Reserve Bank of Dallas |
Presented by: Martin Stuermer, Federal Reserve Bank of Dallas |
Boom or gloom? Examining the Dutch disease in two-speed economies |
By Hilde Bjørnland; BI Norwegian Business School Leif Thorsrud; BI Norwegian Business School |
Presented by: Hilde Bjørnland, BI Norwegian Business School |
Session 6: Empirical Macro: Labor Markets March 19, 2015 10:40 to 12:20 A2-060 |
Session Chair: Francesco Furlanetto, Norges Bank |
The Macroeconomic Effects of Goods and Labor Markets Deregulation |
By Matteo Cacciatore; HEC Montreal Giuseppe Fiori; North Carolina State University |
Presented by: Giuseppe Fiori, North Carolina State University |
Can Beveridge-Nelson Trend Cycle Decompositions be useful for Policy Analysis? |
By Gunes Kamber; Reserve Bank of New Zealand James Morley; University of New South Wales Benjamin Wong; Reserve Bank of New Zealand |
Presented by: Benjamin Wong, Reserve Bank of New Zealand |
Beveridge Curve Shifts and Time-Varying Parameter VARs |
By Thomas Lubik; Federal Reserve Bank of Richmond Christian Matthes; Richmond Fed Andrew Owens; Federal Reserve Bank of Richmond |
Presented by: Thomas Lubik, Federal Reserve Bank of Richmond |
Labor supply factors and economic fluctuations |
By Claudia Foroni; Norges Bank Francesco Furlanetto; Norges Bank Antoine Lepetit; Paris 1 - Paris School of Economics |
Presented by: Francesco Furlanetto, Norges Bank |
Session 7: Forecasting: Forecasting Exchange Rates and Commodity Prices March 19, 2015 10:40 to 12:20 A2-070 |
Session Chair: Pinho Ribeiro, University of Glasgow |
Forecasting Commodity Prices with Noncausal Autoregressions |
By Matthijs Lof; Aalto University School of Business Henri Nyberg; University of Helsinki |
Presented by: Matthijs Lof, Aalto University School of Business |
Commodity Futures Markets and Forecasting Commodity Currencies |
By Francesco Ravazzolo; Norges Bank Tommy Sveen; BI Norwegian Business School Sepideh Zahiri; BI Norwegian Business School |
Presented by: Tommy Sveen, BI Norwegian Business School |
Assessing the predictive ability of sovereign default risk on exchange rates |
By Claudia Foroni; Norges Bank Francesco Ravazzolo; Norges Bank Barbara Sadaba; Erasmus University - Tinbergen Institute |
Presented by: Barbara Sadaba, Erasmus University - Tinbergen Institute |
Exchange Rate Predictability in the Presence of Instabilities |
By Pinho Ribeiro; University of Glasgow |
Presented by: Pinho Ribeiro, University of Glasgow |
Session 8: Time Series: Testing March 19, 2015 10:40 to 12:20 A2-075 |
Session Chair: Seonhwi Lee, University of Exeter |
Likelihood Ratio Based Tests for Markov Regime Switching |
By Zhongjun Qu; Boston University Fan Zhuo; Boston University |
Presented by: Fan Zhuo, Boston University |
Testing for spurious multivariate long memory |
By Marie Holzhausen; Leibniz University of Hannover Christian Leschinski; Leibniz Universität Hannover Philipp Sibbertsen; Leibniz Universitaet Hannover |
Presented by: Marie Holzhausen, Leibniz University of Hannover |
Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component |
By Pierre Perron; Boston University Mototsugu Shintani; University of Tokyo Tomoyoshi Yabu; Keio University |
Presented by: Mototsugu Shintani, University of Tokyo |
Misspecification tests for Realised GARCH models |
By Seonhwi Lee; University of Exeter Andreea Halunga; University of Exeter |
Presented by: Seonhwi Lee, University of Exeter |
Session 9: Plenary Session: "Core Inflation," James Stock, Harvard University March 19, 2015 13:30 to 14:40 B1-030 |
Session Chair: Francesco Ravazzolo, Norges Bank |
Session 10: Empirical Macro: Monetary Policy and Financial Stability March 19, 2015 15:10 to 16:50 A2-035 |
Session Chair: Fabio Milani, University of California, Irvine |
Monetary Policy during Financial Crises: Is the Transmission Mechanism Impaired? |
By Nils Jannsen; Institute for the World Economy Galina Potjagailo; University of Kiel Maik Wolters; Kiel Institute for the World Economy |
Presented by: Maik Wolters, Kiel Institute for the World Economy |
Monetary Policy with Ambiguity Averse Agents |
By Riccardo Maria Masolo; Bank of England Francesca Monti; Bank of England |
Presented by: Riccardo Maria Masolo, Bank of England |
Signals from the Government:Policy Uncertainty and the Transmission of Fiscal Shocks |
By Giovanni Callegari; ECB |
Presented by: Giovanni Callegari, ECB |
Learning, Unlearning, and Relearning Keynes |
By Fabio Milani; University of California, Irvine |
Presented by: Fabio Milani, University of California, Irvine |
Session 11: Finance: Empirical Asset Pricing March 19, 2015 15:10 to 16:50 A2-060 |
Session Chair: Bruce Mizrach, Rutgers University |
Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market |
By Thomas Nitschka; Swiss National Bank |
Presented by: Thomas Nitschka, Swiss National Bank |
Higher-order effects in the standard portfolio choice model |
By Trino Niguez; University of Westminster Ivan Paya; Lancaster University Management School David Peel; Lancaster University Management School |
Presented by: Ivan Paya, Lancaster University Management School |
Which Macronews Do Euro-Area Bond Markets React To? |
By Michiel De Pooter; Federal Reserve Board of Governors |
Presented by: Michiel De Pooter, Federal Reserve Board of Governors |
Quote Stuffing and Market Quality |
By Cheng Gao; Rutgers University Bruce Mizrach; Rutgers University |
Presented by: Bruce Mizrach, Rutgers University |
Session 12: Macro Theory: Housing Credit and the Business Cycle I March 19, 2015 15:10 to 16:50 A2-070 |
Session Chair: Margarita Rubio, University of Nottingham |
The Macro-Financial Implications of House Price-Indexed Mortgage Contracts |
By Isaiah Hull; Sveriges Riksbank |
Presented by: Isaiah Hull, Sveriges Riksbank |
Leaning against the credit cycle |
By Paolo Gelain; Norges Bank Kevin Lansing; Federal Reserve Bank of San Francisco Gisle Natvik; Norges Bank |
Presented by: Gisle Natvik, BI Norwegian Business School |
Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy? |
By Sami Alpanda; Bank of Canada Sarah Zubairy; Texas A&M University |
Presented by: Sami Alpanda, Bank of Canada |
Rented vs. Owner-Occupied Housing and Monetary Policy |
By Margarita Rubio; University of Nottingham |
Presented by: Margarita Rubio, University of Nottingham |
Session 13: CAMP Special Session on Commodities and Macroeconomics II March 19, 2015 15:10 to 16:50 A2-075 |
Session Chair: Hilde Bjørnland, BI Norwegian Business School |
What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors? |
By Jun Ma; The University of Alabama Andrew Vivian; Loughborough University Mark Wohar; University of Nebraska-Omaha |
Presented by: Jun Ma, The University of Alabama |
Oil news shocks, OPEC response and the macroeconomy |
By Knut Are Aastveit; Norges Bank Rabah Arezki; International Monetary Fund Akito Matsumoto; International Monetary Fund |
Presented by: Knut Are Aastveit, Norges Bank |
Regional Gas Price Dynamics |
By Michael Owyang; Federal Reserve Bank of St Louis Elizabeth Vermann; Federal Reserve Bank of St. Louis |
Presented by: Michael Owyang, Federal Reserve Bank of St Louis |
Oil Price Shocks and the UK Economy, 1990-2005 |
By Marco Lorusso; University of Glasgow Charles Nolan; University of Glasgow |
Presented by: Marco Lorusso, University of Glasgow |
Session 14: Empirical Macro: Spending, Saving and Asset Prices March 19, 2015 17:00 to 18:40 A2-035 |
Session Chair: Dennis Jansen, Texas A&M University |
Did US consumers save for a rainy day before the Great Recession? |
By Andre Anundsen; Norges Bank Ragnar Nymoen; University of Oslo |
Presented by: Andre Anundsen, Norges Bank |
Government spending in a volatile economy at the zero lower bound |
By Harri Turunen; University of Cambridge |
Presented by: Harri Turunen, University of Cambridge |
Asset Price Bubbles and Monetary Policy |
By Michael Bradley; George Washington University Dennis Jansen; Texas A&M University |
Presented by: Dennis Jansen, Texas A&M University |
Session 15: Macro Theory: Housing, Credit and the Business Cycle II March 19, 2015 17:00 to 18:40 A2-060 |
Session Chair: Paolo Gelain, Norges Bank |
Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach |
By Paolo Gelain; Norges Bank Kevin Lansing; Federal Reserve Bank of San Francisco Gisle Natvik; Norges Bank |
Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco |
Changing Credit Limits, Changing Business Cycles |
By Emiliano Santoro; University of Copenhagen Søren Ravn; University of Copenhagen Henrik Jensen; University of Copenhagen |
Presented by: Emiliano Santoro, University of Copenhagen |
Buying First or Selling First in Housing Markets |
By Espen Moen; University of Oslo Plamen Nenov; Norwegian Business School (BI) Florian Sniekers; University of Amsterdam |
Presented by: Plamen Nenov, Norwegian Business School (BI) |
Monetary and macroprudential policy with multi-period loans |
By Michał Brzoza-Brzezina; National Bank of Poland Paolo Gelain; Norges Bank Marcin Kolasa; Narodowy Bank Polski and Warsaw School of Economics |
Presented by: Paolo Gelain, Norges Bank |
Session 16: Time Series: Losses in Structural Models March 19, 2015 17:00 to 18:40 A2-070 |
Session Chair: Tatjana Dahlhaus, Bank of Canada |
Nonlinearities, Smoothing and Countercyclical Monetary Policy |
By Laura Jackson; Bentley University Michael Owyang; Federal Reserve Bank of St Louis Daniel Soques; University of North Carolina at Chapel Hill |
Presented by: Laura Jackson, Bentley University |
Understanding the Deviations of the Taylor Rule: A New Methodology with an Application to Australia |
By Joaquin Vespignani; University of Tasmania |
Presented by: Joaquin Vespignani, University of Tasmania |
Stationarity of Econometric Learning with Bounded Memory |
By Sarunas Girdenas; University of Exeter Keqing Liu; University of Exeter |
Presented by: Keqing Liu, University of Exeter |
Inflation Regimes and Monetary Policy Surprises in the EU |
By Tatjana Dahlhaus; Bank of Canada |
Presented by: Tatjana Dahlhaus, Bank of Canada |
Session 17: Empirical Macro: Macroeconomics, Volatility and Structural Change March 20, 2015 9:00 to 10:40 A2-075 |
Session Chair: Leif Thorsrud, BI Norwegian Business School |
Structural change in an empirical macroeconomic model for the U.S. Economy |
By Tino Berger; University of Goettingen Gerdie Everaert; Ghent University Hauke Vierke; Ghent University |
Presented by: Hauke Vierke, Ghent University |
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures |
By Worapree Maneesoonthorn; University of Melbourne Catherine Forbes; Monash University Gael Martin; Monash University |
Presented by: Worapree Maneesoonthorn, University of Melbourne |
The Asymmetric Effects of Oil Price Shocks on the Canadian Economy |
By Luiggi Donayre; University of Minnesota - Duluth Neil Wilmot; University of Minnesota Duluth |
Presented by: Luiggi Donayre, University of Minnesota - Duluth |
Commodity prices, fiscal policy design and economic activity |
By Leif Thorsrud; BI Norwegian Business School Hilde Bjørnland; BI Norwegian Business School |
Presented by: Leif Thorsrud, BI Norwegian Business School |
Session 18: Finance: Contagion March 20, 2015 9:00 to 10:40 A2-035 |
Session Chair: Francesco Ravazzolo, Norges Bank |
Debt and Financial Market Contagion |
By Cody Yu-Ling Hsiao; The University of New South Wales James Morley; University of New South Wales |
Presented by: Cody Yu-Ling Hsiao, The University of New South Wales |
Modeling Contagion and Systemic Risk |
By Daniele Bianchi; University of Warwick Monica Billio; Università di Venezia Roberto Casarin; University Ca' Foscari of Venice |
Presented by: Roberto Casarin, University Ca' Foscari of Venice |
Nonparametric analysis of connectedness and systemic risk: Worldwide history of the last decade |
By Enrico Foscolo; Free University of Bozen-Bolzano |
Presented by: Enrico Foscolo, Free University of Bozen-Bolzano |
Spillover Effect to Bailout Expectation: An Empirical Study of Denmark |
By Massimiliano Caporin; University of Padova Gisle Natvik; Norges Bank Francesco Ravazzolo; Norges Bank Paolo Santucci de Magistris; Aarhus University and CREATES |
Presented by: Francesco Ravazzolo, Norges Bank |
Session 19: Forecasting: Topics in Forecasting March 20, 2015 9:00 to 10:40 A2-060 |
Session Chair: Eleonora Granziera, Bank of Canada |
Using Low Frequency Information for Predicting High Frequency Variables |
By Claudia Foroni; Norges Bank Pierre Guerin; Bank of Canada Massimiliano Marcellino; Bocconi University |
Presented by: Claudia Foroni, Norges Bank |
Improving Real-Time Employment Estimates: A State-Space Signal Extraction Approach |
By Tara Sinclair; George Washington University Matthew Zahn; The George Washington University |
Presented by: Tara Sinclair, George Washington University |
Evaluating the Efficiency of the FOMC’s New Economic Projections |
By Natsuki Arai; Johns Hopkins University |
Presented by: Natsuki Arai, National Chengchi University |
The Conditional Predictive Ability of Economic Variables |
By Eleonora Granziera; Bank of Canada Tatevik Sekhposyan; Texas A&M University |
Presented by: Eleonora Granziera, Bank of Canada |
Session 20: Macro Theory: Labouor and Monetary Policy March 20, 2015 9:00 to 10:40 A2-070 |
Session Chair: Serdar Kabaca, Bank of Canada |
Persistence and volatility of Beveridge cycles |
By Florian Sniekers; University of Amsterdam |
Presented by: Florian Sniekers, University of Amsterdam |
On GDP-employment decoupling in Germany: A contribution to explaining the productivity puzzle |
By Sabine Klinger; Institute for Employment Research Enzo Weber; Institute for Employment Research |
Presented by: Sabine Klinger, Institute for Employment Research |
Fiscal Activism and the Zero Nominal Interest Rate Bound |
By Sebastian Schmidt; European Central Bank |
Presented by: Sebastian Schmidt, European Central Bank |
Labor Share Fluctuations in Emerging Markets: The Cost of Borrowing |
By Serdar Kabaca; Bank of Canada |
Presented by: Serdar Kabaca, Bank of Canada |
Session 21: Time Series: Econometrics I March 20, 2015 9:00 to 10:40 A2-075 |
Session Chair: Hanno Reuvers, Maastricht University |
Are the shocks obtained from SVAR fundamental? |
By Mehdi Hamidi Sahneh; Carlos III University |
Presented by: Mehdi Hamidi Sahneh, Carlos III University |
Serial Correlation Common Noncausal Features |
By Alain Hecq; Maastricht University Lenard lieb; maastricht university sean telg; maastricht university |
Presented by: Alain Hecq, Maastricht University |
On smooth statistics of ARMAX-residuals |
By Steffen Grønneberg; BI norwegian business school Benjamin Holcblat; BI norwegian business school |
Presented by: Steffen Grønneberg, BI norwegian business school |
A Focused Information Criterion for Locally Misspecified Autoregressive Models |
By Hanno Reuvers; Maastricht University Jan Lohmeyer; Maastricht University |
Presented by: Hanno Reuvers, Maastricht University |
Session 22: Empirical Macro: RAstaNEWS Special Session on the Great Moderation and the Great Recession March 20, 2015 11:10 to 12:50 A2-035 |
Session Chair: Mark Bognanni, Federal Reserve Bank of Cleveland |
Great Moderation and Great Recession: From plain sailing to stormy seas? |
By Lola Gadea; Applied Economics Ana Gómez-Loscos; Banco de España Gabriel Perez-Quiros; Banco de España |
Presented by: Ana Gómez-Loscos, Banco de España |
Oil and macroeconomic (in)stability |
By Hilde Bjørnland; BI Norwegian Business School Vegard Larsen; BI Norwegian Business School |
Presented by: Vegard Larsen, BI Norwegian Business School |
It Ain't Over Till It's Over: Great 4 in The Way it All Began |
By Fabio Bagliano; University of Turin Claudio Morana; Università di Milano Bicocca |
Presented by: Claudio Morana, Università di Milano Bicocca |
A Regime Switching Model for Nonlinear Policy Environments |
By Mark Bognanni; Federal Reserve Bank of Cleveland Edward Herbst; Federal Reserve Board |
Presented by: Mark Bognanni, Federal Reserve Bank of Cleveland |
Session 23: Forecasting: Short Term Forecasting in Central Banks March 20, 2015 11:10 to 12:50 A2-060 |
Session Chair: Anthony Garratt, University of Warwick |
Do central bank forecasts matter for professional forecasters? |
By Jacek Kotłowski; National Bank of Poland |
Presented by: Jacek Kotłowski, National Bank of Poland |
Forecasting Inflation in Europe with Mixed Causal-Noncausal Models |
By Alain Hecq; Maastricht University Lenard lieb; maastricht university sean telg; maastricht university |
Presented by: sean telg, maastricht university |
A financial conditions index using targeted data reduction |
By Simon Price; Bank of England George Kapetanios; Queen Mary, University of London Garry Young; bank of england |
Presented by: Simon Price, Bank of England |
Comparing Computational Methods for Predictive Scores |
By Anthony Garratt; University of Warwick Craig Thamotheram; Warwick University Leif Thorsrud; BI Norwegian Business School Shaun Vahey; Warwick University |
Presented by: Anthony Garratt, University of Warwick |
Session 24: Macro Theory: Financial Integration, Taxes and Pensions March 20, 2015 11:10 to 12:50 A2-070 |
Session Chair: Chris Perks, Australian National University |
Impact of Pension System Structure on International Financial Capital Allocation |
By Olena Mykhaylova; University of Richmond James Staveley-O'Carroll; College of William and Mary |
Presented by: Olena Mykhaylova, University of Richmond |
How important are insurance markets for common shocks? |
By Alfred Duncan; University of Glasgow Charles Nolan; University of Glasgow |
Presented by: Alfred Duncan, University of Glasgow |
OPTIMAL CAPITAL CONTROLS AND REAL EXCHANGE RATE POLICIES: A PECUNIARY EXTERNALITY PERSPECTIVE |
By Gianluca Benigno; London School of Economics Huigang Chen; MarketShare Partners Christopher Otrok; University of Missouri Alessandro Rebucci; The Johns Hopkins Carey Business School Eric Young; University of Virginia |
Presented by: Christopher Otrok, University of Missouri |
Kinked demand and durable goods: Can time varying markups solve the durable good co-movement puzzle? |
By Chris Perks |
Presented by: Chris Perks, Australian National University |
Session 25: RAstaNEWS Special Session on Multivariate Time Series Modeling March 20, 2015 11:10 to 12:50 A2-075 |
Session Chair: Christian Conrad, University of Heidelberg |
Models of Financial Return with Time-Varying Zero-Probability |
By Genaro Sucarrat; BI Norwegian Business School Geir Bjønnes; Norwegian School of Management |
Presented by: Genaro Sucarrat, BI Norwegian Business School |
Fitting Vast Dimensional Time-Varying Covariance Models |
By Robert Engle; New York University Cavit Pakel; Bilkent University Neil Shephard; Harvard University Kevin Sheppard; University of Oxford |
Presented by: Cavit Pakel, Bilkent University |
Long Memory through Cross-section Dependence and Marginalization |
By Guillaume Chevillon; ESSEC Business School Alain Hecq; Maastricht University Sebastien Laurent; Aix-Marseille University |
Presented by: Guillaume Chevillon, ESSEC Business School |
Impulse Response Inference From Multivariate Fractionally Integrated Processes with Application to the Fisher Effect |
By Richard Baillie; QMUL & Michigan State University George Kapetanios; Queen Mary, University of London Fotis Papailias; Queen's University Belfast |
Presented by: Richard Baillie, QMUL & Michigan State University |
Misspecification Testing in GARCH-MIDAS Models |
By Christian Conrad; University of Heidelberg Melanie Schienle; Leibniz University Hannover |
Presented by: Christian Conrad, University of Heidelberg |
Session 26: Plenary Session: "Unemployment and the Business Cycle," Martin Eichenbaum, Northwestern University March 20, 2015 14:00 to 15:10 B1-030 |
Session Chair: Hilde Bjørnland, BI Norwegian Business School |
Session 27: Empirical Macro: Business Cycles and the Labour Market March 20, 2015 15:30 to 17:10 A2-035 |
Session Chair: Joris Wauters, Ghent University |
Business Cycle Asymmetries and Slow Recoveries in Labor Markets |
By Irina Panovska; Lehigh University |
Presented by: Irina Panovska, Lehigh University |
The Unemployment Policies during the Great Recession and over the Business Cycle |
By Ji Zhang; Tsinghua University |
Presented by: Ji Zhang, Tsinghua University |
The European Union and Economic Growth: The average treatment effect of adopting the euro |
By Huseyin Aytug; Central Bank of Turkey |
Presented by: Huseyin Aytug, Central Bank of Turkey |
Wage Indexation and the Monetary Policy Regime |
By Selien De Schryder; Ghent University Gert Peersman; Ghent University Joris Wauters; Ghent University |
Presented by: Joris Wauters, Ghent University |
Session 28: Empirical Macro: Macroeconomic Dynamics March 20, 2015 15:30 to 17:10 A2-060 |
Session Chair: Menelaos Karanasos, Brunel University |
Trilemma, not Dilemma: Financial Globalisation and Monetary Policy Effectiveness |
By Georgios Georgiadis; ECB |
Presented by: Georgios Georgiadis, ECB |
The credibility of Hong Kong's currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities |
By Boris Blagov; University of Hamburg Michael Funke; University of Hamburg |
Presented by: Boris Blagov, University of Hamburg |
Computing Markov-Perfect Optimal Policies in Business-Cycle Models |
By Richard Dennis; University of Glasgow Tatiana Kirsanova; University of Glasgow |
Presented by: Richard Dennis, University of Glasgow |
Modelling Time Varying Volatility Spillovers and Conditional Correlations Across Commodity Metal Future |
By Menelaos Karanasos; Brunel University |
Presented by: Menelaos Karanasos, Brunel University |
Session 29: Finance: Asset Pricing March 20, 2015 15:30 to 17:10 A2-070 |
Session Chair: Sigurd Mølster Galaasen, Norges Bank |
Adverse Selection on Re-sale Markets for Securitized Assets |
By Martin Kuncl; Bank of Canada |
Presented by: Martin Kuncl, Bank of Canada |
Periodic and stochastically deflating rational bubbles in stock markets: Evidence using sequential Monte Carlo methods |
By Benedikt Rotermann; University of Münster Bernd Wilfling; Westfälische Wilhelms-Universität Münster |
Presented by: Benedikt Rotermann, University of Münster |
Learning in International Markets and a Rational Expectation Approach to the Contagion Puzzle |
By Steven Ho; Kenan-Flagler Business School UNC |
Presented by: Steven Ho, Kenan-Flagler Business School UNC |
Stress Testing in a Structural Model of Bank Behavior |
By Dean Corbae; University of Wisconsin Pablo D'Erasmo; University of Maryland / FRB Philadelphia Sigurd Mølster Galaasen; Norges Bank Alfonso Irarrazabal; Norges Bank Thomas Siemsen; Ludwig-Maximilians-University Munich |
Presented by: Sigurd Mølster Galaasen, Norges Bank |
Session 30: Time Series: Nonlinear Models March 20, 2015 15:30 to 17:10 A2-075 |
Session Chair: Sunoong Hwang, KIET (Korea Institute for Industrial Economics and Trade) |
Heads I Win, Tails You Lose: Asymmetry in Aggregate Exchange Rate Pass-Through |
By Raphael Brun; Birkbeck College Ana-Maria Fuertes; Cass Business School, City University London Matthew Greenwood-Nimmo; University of Melbourne |
Presented by: Matthew Greenwood-Nimmo, University of Melbourne |
Nonlinear dynamic interrelationships between real activity and stock returns |
By Markku Lanne; University of Helsinki Henri Nyberg; University of Helsinki |
Presented by: Henri Nyberg, University of Helsinki |
Time-varying excess sensitivity |
By Ruben Schoonackers; National Bank of Belgium Gerdie Everaert; Ghent University Lorenzo Pozzi; Erasmus University Rotterdam |
Presented by: Ruben Schoonackers, National Bank of Belgium |
Are Troughs Sharper than Peaks in Industry Cycles? |
By Sunoong Hwang; KIET (Korea Institute for Industrial Economics and Trade) |
Presented by: Sunoong Hwang, KIET (Korea Institute for Industrial Economics and Trade) |
Session 31: Forecasting: DSGE Estimation and Evaluation March 20, 2015 15:30 to 17:10 A2-059 |
Session Chair: Ana Beatriz Galvao, University of Warwick |
Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US |
By Alessia Paccagnini; Università degli Studi di Milano-Bicocc Roberta Cardani; Università degli Studi Milano-Bicocca Stefania Villa; University of Foggia and KU Leuven |
Presented by: Alessia Paccagnini, Università degli Studi di Milano-Bicocc |
Estimating DSGE Models with Forward Guidance |
By Mariano Kulish; University of New South Wales James Morley; University of New South Wales Tim Robinson; University of Melbourne |
Presented by: James Morley, University of New South Wales |
Consistent Variance of the Laplace Type Estimators: Application to DSGE Models |
By Anna Kormilitsina; Southern Methodist University Denis Nekipelov; University of Virginia |
Presented by: Anna Kormilitsina, Southern Methodist University |
Data Revisions and DSGE models |
By Ana Beatriz Galvao; University of Warwick |
Presented by: Ana Beatriz Galvao, University of Warwick |
This program was last updated on 2015-03-19 10:15:18 EDT