23rd Symposium of the Society for Nonlinear Dynamics and Econometrics (SNDE)

BI Norwegian Business School, Oslo, Norway

 

Program Notes and Index of Sessions

 

Summary of All Sessions

#Date/TimeLocationTitlePapers
1March 19, 2015
8:30-10:10
A2-035 Empirical Macro: Monetary Policy and Uncertainty4
2March 19, 2015
8:30-10:10
A2-060 Finance: Asset Pricing4
3March 19, 2015
8:30-10:10
A2-070 Forecasting: Short Term Forecasting in Central Banks4
4March 19, 2015
8:30-10:10
A2-075 Time Series: Bayesian4
5March 19, 2015
10:40-12:20
A2-035 CAMP Special Session on Commodities and Macroeconomics I4
6March 19, 2015
10:40-12:20
A2-060 Empirical Macro: Labor Markets4
7March 19, 2015
10:40-12:20
A2-070 Forecasting: Forecasting Exchange Rates and Commodity Prices4
8March 19, 2015
10:40-12:20
A2-075 Time Series: Testing4
9March 19, 2015
13:30-14:40
B1-030 Plenary Session: "Core Inflation," James Stock, Harvard University0
10March 19, 2015
15:10-16:50
A2-035 Empirical Macro: Monetary Policy and Financial Stability4
11March 19, 2015
15:10-16:50
A2-060 Finance: Empirical Asset Pricing4
12March 19, 2015
15:10-16:50
A2-070 Macro Theory: Housing Credit and the Business Cycle I4
13March 19, 2015
15:10-16:50
A2-075 CAMP Special Session on Commodities and Macroeconomics II4
14March 19, 2015
17:00-18:40
A2-035 Empirical Macro: Spending, Saving and Asset Prices3
15March 19, 2015
17:00-18:40
A2-060 Macro Theory: Housing, Credit and the Business Cycle II4
16March 19, 2015
17:00-18:40
A2-070 Time Series: Losses in Structural Models4
17March 20, 2015
9:00-10:40
A2-075 Empirical Macro: Macroeconomics, Volatility and Structural Change4
18March 20, 2015
9:00-10:40
A2-035 Finance: Contagion4
19March 20, 2015
9:00-10:40
A2-060 Forecasting: Topics in Forecasting4
20March 20, 2015
9:00-10:40
A2-070 Macro Theory: Labouor and Monetary Policy4
21March 20, 2015
9:00-10:40
A2-075 Time Series: Econometrics I4
22March 20, 2015
11:10-12:50
A2-035 Empirical Macro: RAstaNEWS Special Session on the Great Moderation and the Great Recession4
23March 20, 2015
11:10-12:50
A2-060 Forecasting: Short Term Forecasting in Central Banks4
24March 20, 2015
11:10-12:50
A2-070 Macro Theory: Financial Integration, Taxes and Pensions4
25March 20, 2015
11:10-12:50
A2-075 RAstaNEWS Special Session on Multivariate Time Series Modeling5
26March 20, 2015
14:00-15:10
B1-030 Plenary Session: "Unemployment and the Business Cycle," Martin Eichenbaum, Northwestern University0
27March 20, 2015
15:30-17:10
A2-035 Empirical Macro: Business Cycles and the Labour Market4
28March 20, 2015
15:30-17:10
A2-060 Empirical Macro: Macroeconomic Dynamics4
29March 20, 2015
15:30-17:10
A2-070 Finance: Asset Pricing4
30March 20, 2015
15:30-17:10
A2-075 Time Series: Nonlinear Models4
31March 20, 2015
15:30-17:10
A2-059 Forecasting: DSGE Estimation and Evaluation4
 

31 sessions, 116 papers, and 0 presentations with no associated papers


 

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
 
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