Summary of All Sessions |
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31 sessions, 115 papers, and 0 presentations with no associated papers |
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24th Symposium of the Society of Nonlinear Dynamics and Econometrics |
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Detailed List of Sessions |
| Session ID 1: Special Session in honor of Walter Enders: Monetary Policy March 10, 2016 8:30 to 10:10 Room: Birmingham |
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| Session Chair: Eric Olson, West Virginia University |
| (Taylor) Rules versus Discretion in U.S. Monetary Policy |
| By Alex Nikolsko-Rzhevskyy; Lehigh University David Papell; University of Houston Ruxandra Prodan; University of Houston |
| presented by: Ruxandra Prodan, University of Houston |
| The Time Varying Effect of Monetary Policy Surprise on Stock Returns: Bursting Bubble Beating Forward Guidance |
| By Anastasia Zervou; Texas A&M University |
| presented by: Anastasia Zervou, Texas A&M University |
| Public Debt and Economic Growth: Are There any Thresholds After All? |
| By Vladimir Arčabić; Faculty of economics & business Zagreb Josip Tica; University of Zagreb, Faculty of Economi Junsoo Lee; University of Alabama Robert Sonora; Fort Lewis College |
| presented by: Vladimir Arčabić, Faculty of economics & business Zagreb |
| Is the Federal Reserve “Opportunistic” with Inflation Forecasts? |
| By Jun Ma; The University of Alabama Eric Olson; West Virginia University Mark Wohar; University of Nebraska-Omaha |
| presented by: Eric Olson, West Virginia University |
| Session ID 2: Organized Session: Growth Dynamics and Nonparametric Approaches March 10, 2016 8:30 to 10:10 Room: Smith |
| Session Chair: Thanasis Stengos, University of Guelph |
| Praying for Rain |
| By Kim Huynh; Bank of Canada David Jacho-Chavez; Emory University Alexander Lundberg; Emory University |
| presented by: Alexander Lundberg, Emory University |
| The Bias of Technological Change: A Nonparametric Analysis. |
| By Marijn Verschelde; IESEG School of Management Michel Dumont; Federal Planning Bureau Bruno Merlevede; Ghent University Glenn Rayp; Ghent University Ruben Dewitte; Ghent University |
| presented by: Ruben Dewitte, Ghent University |
| Non-Geometric Discrete Kernel Functions for Panel Data |
| By Chi-Yang Chu; University of Alabama Daniel Henderson; University of Alabama Christopher Parmeter; University of Miami |
| presented by: Chi-Yang Chu, University of Alabama |
| Detecting Convergence Clubs |
| By Fuat Beylunioğlu; Istanbul Bilgi University Thanasis Stengos; University of Guelph M. Ege Yazgan; Istanbul Bilgi University |
| presented by: Fuat Beylunioğlu, Istanbul Bilgi University |
| Session ID 3: Organized Session: Nowcasting and Forecasting at Central Banks March 10, 2016 8:30 to 10:10 Room: Central Bank |
| Session Chair: Knut Are Aastveit, Norges Bank |
| Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models |
| By Domenico Giannone; Federal Reserve Bank of New York Michele Lenza; European Central Bank Michele Modugno; Federal Reserve Board of Governors |
| presented by: Michele Modugno, Federal Reserve Board of Governors |
| Time-Varying Mixed-Frequency Vector Autoregressive Models |
| By Thomas Götz; Deutsche Bundesbank Klemens Hauzenberger; Deutsche Bundesbank |
| presented by: Thomas Götz, Deutsche Bundesbank |
| Density nowcasts of euro area real GDP growth: does pooling matter? |
| By Marta Banbura; European Central Bank Lorena Saiz; European Central Bank |
| presented by: Marta Banbura, European Central Bank |
| Is Housing REALLY the Business Cycle? |
| By Knut Are Aastveit; Norges Bank Andre Anundsen; Norges Bank |
| presented by: Knut Are Aastveit, Norges Bank |
| Session ID 4: Special Session in honor of Charles R. Nelson: Weak Identification and Yields Dynamics March 10, 2016 8:30 to 10:10 Room: Wilson |
| Session Chair: James Morley, University of New South Wales |
| Spanned and Unspanned Macro-Factor Augmented Affine Term Structure Models and Investor's Optimal Portfolio Decision |
| By Thomas Cosimano; University of Notre Dame Jun Ma; The University of Alabama |
| presented by: Jun Ma, The University of Alabama |
| Regression with Weak Instruments and Time-Varying Volatility |
| By Shih-Tang Hwu; University of Washington |
| presented by: Shih-Tang Hwu, University of Washington |
| Do Estimated Taylor Rules Suffer from Weak Identification? |
| By Chris Murray; Department of Economics Juan Urquiza; Pontificia Universidad Catolica de Chile |
| presented by: Chris Murray, Department of Economics |
| Weak Identification and the Pile-up Problem in ARMA models |
| By James Morley; University of New South Wales Charles Nelson; University of Washington Irina Panovska; Lehigh University |
| presented by: James Morley, University of New South Wales |
| Session ID 5: Time Series Analysis I March 10, 2016 8:30 to 10:10 Room: Logan |
| Session Chair: J. Isaac Miller, University of Missouri |
| A Multivariate Invariance Principle for Modified Wild Bootstrap Methods with an Application to Unit Root Testing |
| By Stephan Smeekes; Maastricht University Jean-Pierre Urbain; Maastricht University |
| presented by: Jean-Pierre Urbain, Maastricht University |
| Asymptotic Inference for Common Factor Models in the Presence of Jumps |
| By Yohei Yamamoto; Hitotsubashi University |
| presented by: Yohei Yamamoto, Hitotsubashi University |
| Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices |
| By Jin Seo Cho; Yonsei University Peter Phillips; Yale University |
| presented by: Jin Seo Cho, Yonsei University |
| Time Series Analysis of Global Temperature Distributions: Identifying and Estimating Persistent Features in Temperature Anomalies |
| By Yoosoon Chang; Indiana University Chang Sik Kim; Sungkyunkwan University J. Isaac Miller; University of Missouri Joon Park; Indiana University Sungkeun Park; Korea Institute for Industrial Economics and Trade |
| presented by: J. Isaac Miller, University of Missouri |
| Session ID 6: Business Cycles and Policy Interactions March 10, 2016 10:40 to 12:10 Wilson Room: Wilson |
| Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco |
| A Test of Identification for Government Spending Shocks |
| By Anna Kormilitsina; Southern Methodist University |
| presented by: Anna Kormilitsina, Southern Methodist University |
| Monetary-Fiscal Interactions and the Euro Area's Malaise |
| By Marek Jarocinski; European Central Bank Bartosz Mackowiak; European Central Bank |
| presented by: Marek Jarocinski, European Central Bank |
| Business Cycles, Working Capital, and On the Job Search |
| By Marek Antosiewicz; Warsaw School of Economics and Institute for Structural Research Jacek Suda; National Bank of Poland |
| presented by: Marek Antosiewicz, Warsaw School of Economics and Institute for Structural Research |
| The Zero Lower Bound with Temporary and Permanent Shocks to the Natural Rate of Interest |
| By Kevin Lansing; Federal Reserve Bank of San Francisco |
| presented by: Kevin Lansing, Federal Reserve Bank of San Francisco |
| Session ID 7: Special Session in honor of Walter Enders: Monetary and Government Policy March 10, 2016 10:40 to 12:10 Room: Smith |
| Session Chair: Robert Reed, University of Alabama |
| Monetary Policy and Housing Market Activity |
| By Ejindu Ume; Miami University |
| presented by: Ejindu Ume, Miami University |
| Why Concessions Should Not Be Made to Terrorist Kidnappers |
| By Patrick Brandt; University of Texas at Dallas Justin George; University of Texas at Dallas Todd Sandler; University of Texas at Dallas |
| presented by: Todd Sandler, University of Texas at Dallas |
| Monetary Policy Surprieses and the Shadow Bank Lending Channel: Evidence from the Fed Funds Futures Market |
| By Karl Boulware; Wesleyan University Kota Uno; Wesleyan University |
| presented by: Karl Boulware, Wesleyan University |
| Banking Concentration, Capital Accumulation, and Monetary Policy |
| By Robert Reed; University of Alabama Edgar Ghossoub; University of Texas at San Antonio |
| presented by: Robert Reed, University of Alabama |
| Session ID 8: Financial Markets and Monetary Policy March 10, 2016 10:40 to 12:10 Room: Logan |
| Session Chair: Philip Rothman, East Carolina University |
| Financial Integration in the Eurozone Post Debt Crisis |
| By Renee McKibbin; Australian National University Cody Yu-Ling Hsiao; The University of New South Wales Vance Martin; University of Melbourne |
| presented by: Renee McKibbin, Australian National University |
| Time-varying Integration of the Sovereign Bond Markets In European Post-transition Economies |
| By Petra Posedel; Zagreb School of Economics and Management Marina Tkalec; Institute of Economics, Zagreb Maruska Vizek; Institute of Economics, Zagreb Junsoo Lee; University of Alabama |
| presented by: Maruska Vizek, Institute of Economics, Zagreb |
| What Drives International Equity Portfolio Rebalancing? |
| By Kyungkeun Kim; University of Washington Dongwon Lee; University of California, Riverside |
| presented by: Dongwon Lee, University of California, Riverside |
| Housing Starts and the Federal Funds Rate |
| By Fredj Jawadi; University of Evry Val d’Essone & Amiens School of Management Philip Rothman; East Carolina University |
| presented by: Philip Rothman, East Carolina University |
| Session ID 9: Special Session in honor of Charles R. Nelson: Empirical Macro March 10, 2016 10:40 to 12:10 Room: Birmingham |
| Session Chair: Richard Startz, UCSB |
| The Role of Inflation Expectations, Core Inflation, and Slack in Real-Time Inflation Forecasting |
| By N. Kundan Kishor; University of Wisconsin-Milwaukee |
| presented by: N. Kundan Kishor, University of Wisconsin-Milwaukee |
| Household Income Process with Correlated Risk |
| By Arpita Chatterjee; University of New South Wales James Morley; University of New South Wales Aarti Singh; University of Sydney |
| presented by: Aarti Singh, University of Sydney |
| Testing for State-Dependent Predictive Ability |
| By Sebastian Fossati; University of Alberta |
| presented by: Sebastian Fossati, University of Alberta |
| Are Recoveries All the Same? |
| By Yu-Fan Huang; Capital University of Economics and Business Sui Luo; Capital University of Economics and Business Richard Startz; UCSB |
| presented by: Richard Startz, UCSB |
| Session ID 10: Structural Model and Estimations March 10, 2016 10:40 to 12:10 Room: Central Bank |
| Session Chair: Christopher Otrok, University of Missouri |
| Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound |
| By Valerio Scalone; HEC Montréal |
| presented by: Valerio Scalone, HEC Montréal |
| Business Cycles with Long Run Uncertainty |
| By Daniel Tortorice; Brandeis University |
| presented by: Daniel Tortorice, Brandeis University |
| Time-Varying Inflation Target and Price Indexation in the New Keynesian DSGE Model |
| By Yunjong Eo; University of Sydney |
| presented by: Yunjong Eo, University of Sydney |
| Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime Switching Approach |
| By Gianluca Benigno; London School of Economics Andrew Foerster; Federal Reserve Bank of Kansas City Christopher Otrok; University of Missouri Alessandro Rebucci; The Johns Hopkins Carey Business School |
| presented by: Christopher Otrok, University of Missouri |
| Session ID 11: Plenary I: "A Downside Risk Puzzle," with Craig Burnside (Duke University) March 10, 2016 13:20 to 14:30 Room: Hotel Capstone - Ballroom |
| Session ID 12: Organized Session: Financial Econometrics March 10, 2016 14:40 to 16:20 Room: Birmingham |
| Session Chair: Christian Conrad, University of Heidelberg |
| Time-Varying Volatility Persistence in a GARCH-MIDAS Framework |
| By Karin Loch; University of Heidelberg |
| presented by: Karin Loch, University of Heidelberg |
| The Value of News |
| By Vegard Larsen; BI Norwegian Business School Leif Anders Thorsrud; BI Norwegian Business School |
| presented by: Vegard Larsen, BI Norwegian Business School |
| The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited |
| By Jerome Lahaye; Fordham University Christopher Neely; Federal Reserve Bank of St. Louis |
| presented by: Jerome Lahaye, Fordham University |
| Statistical Properties of the GARCH-MIDAS Model |
| By Christian Conrad; University of Heidelberg |
| presented by: Christian Conrad, University of Heidelberg |
| Session ID 13: Global Business Cycles and Monetary Policy March 10, 2016 14:40 to 16:20 Room: Logan |
| Session Chair: Hilde Bjornland, BI Norwegian Business School |
| The Global Business Cycle: Testing the Decoupling Hypothesis |
| By Tino Berger; University of Goettingen Julia Richter; University of Goettingen |
| presented by: Julia Richter, University of Goettingen |
| Business Cycles in Commodity Economies |
| By Drago Bergholt; Norges Bank Vegard Larsen; BI Norwegian Business School |
| presented by: Drago Bergholt, Norges Bank |
| Business Cycle Comovements in Industrial Subsectors |
| By 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 |
| Global Shocks, Economic Fluctuations and Timeliness of Monetary Policy. |
| By Hilde Bjornland; BI Norwegian Business School Leif Anders Thorsrud; BI Norwegian Business School Sepideh Zahiri; BI Norwegian Business School |
| presented by: Hilde Bjornland, BI Norwegian Business School |
| Session ID 14: Inflation Dynamics and Monetary Policy March 10, 2016 14:40 to 16:20 Room: Smith |
| Session Chair: Yamin Ahmad, University of Wisconsin - Whitewater |
| Inflation Uncertainty, Disagreement and Monetary Policy: Evidence from the ECB Survey of Professional Forecasters |
| By Matthias Hartmann; Heidelberg University |
| presented by: Matthias Hartmann, Heidelberg University |
| Measuring Inflation Persistence: A Time-Varying GARCH-in-mean Approach |
| By Panagiotis Koutroumpis; Brunel University |
| presented by: Panagiotis Koutroumpis, Brunel University |
| Inflation Convergence in the EMU and the Link Between Inflation Differentials and their Uncertainty |
| By Veni Arakelian; university of crete Menelaos Karanasos; Brunel University Yiannis Karavias; University of Nottingham Panagiotis Koutroumpis; Brunel University |
| presented by: Menelaos Karanasos, Brunel University |
| Exploring International Differences in Inflation Dynamics |
| By Yamin Ahmad; University of Wisconsin - Whitewater Olena Mykhaylova; College of the Holy Cross |
| presented by: Yamin Ahmad, University of Wisconsin - Whitewater |
| Session ID 15: Organized Session: Regional Analysis and Distribution Dynamics March 10, 2016 14:40 to 16:20 Room: Central Bank |
| Session Chair: Laura Jackson, Bentley University |
| On the Determinants of Distribution Dynamics |
| By Davide Fiaschi; University of Pisa Andrea Mario Lavezzi; Università di Palermo Angela Parenti; IMT Lucca |
| presented by: Davide Fiaschi, University of Pisa |
| Spatial Distribution Dynamics |
| By Stefano Magrini; Ca' Foscari University Venice Margherita Gerolimetto; Ca' Foscari University Venice |
| presented by: Stefano Magrini, Ca' Foscari University Venice |
| An Estimate of the Degree of Interconnectedness between European Regions: A Bayesian Model Averaging Approach |
| By Davide Fiaschi; University of Pisa Angela Parenti; IMT Lucca |
| presented by: Angela Parenti, IMT Lucca |
| A Factor-Augmented VAR for Regional Analysis |
| By Laura Jackson; Bentley University Michael Owyang; Federal Reserve Bank of St Louis Sarah Zubairy; Texas A&M University |
| presented by: Laura Jackson, Bentley University |
| Session ID 16: Organized Session: Uncertainty March 10, 2016 14:40 to 16:20 Room: Wilson |
| Session Chair: Tatevik Sekhposyan, Texas A&M University |
| What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks? |
| By Laurent Ferrara; Banque de France Pierre Guerin; Bank of Canada |
| presented by: Pierre Guerin, Bank of Canada |
| A New Approach to Identifying the Real Effects of Uncertainty Shocks |
| By Minchul Shin; University of Illinois |
| presented by: Minchul Shin, University of Illinois |
| Measuring Global and Country-Specific Macroeconomic Uncertainty |
| By Ezgi O. Ozturk; International Monetary Fund Xuguang Sheng; American University |
| presented by: Ezgi O. Ozturk, International Monetary Fund |
| Understanding the Sources of Macroeconomic Uncertainty |
| By Barbara Rossi; ICREA Universitat Pompeu Fabra Barcelona Tatevik Sekhposyan; Texas A&M University |
| presented by: Tatevik Sekhposyan, Texas A&M University |
| Session ID 17: Financial and Commodity Markets March 10, 2016 16:50 to 18:30 Room: Smith |
| Session Chair: Bruce Mizrach, Rutgers University |
| Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil |
| By Sung Je Byun; Federal Reserve Bank of Dallas |
| presented by: Sung Je Byun, Federal Reserve Bank of Dallas |
| Comparing Behavioural Heterogeneity across Asset Classes |
| By Saskia ter Ellen; Norges Bank Cars Hommes; University of Amsterdam Remco Zwinkels; VU University Amsterdam |
| presented by: Saskia ter Ellen, Norges Bank |
| Market Quality Breakdowns in Equities |
| By Cheng Gao; Rutgers University Bruce Mizrach; Rutgers University |
| presented by: Bruce Mizrach, Rutgers University |
| Session ID 18: Macro Theory: Monetary Policy March 10, 2016 16:50 to 18:30 Room: Logan |
| Session Chair: Gregory Givens, University of Alabama |
| Should Monetary Policy Lean Against Housing Market Booms? |
| By Sami Alpanda; University of Central Florida Alexander Ueberfeldt; Bank of Canada |
| presented by: Sami Alpanda, University of Central Florida |
| Optimal Monetary Policy Regime Switches |
| By Andrew Foerster; Federal Reserve Bank of Kansas City |
| presented by: Andrew Foerster, Federal Reserve Bank of Kansas City |
| Forward Guidance and the State of the Economy |
| By Benjamin Keen; University of Oklahoma Alexander Richter; Auburn University Nathaniel Throckmorton; College of William & Mary |
| presented by: Benjamin Keen, University of Oklahoma |
| On the Gains from Monetary Policy Commitment under Deep Habits |
| By Gregory Givens; University of Alabama |
| presented by: Gregory Givens, University of Alabama |
| Session ID 19: Monetary Policy Impacts and Spillovers March 10, 2016 16:50 to 18:30 Room: Central Bank |
| Session Chair: Ji Zhang, Tsinghua University |
| The Effects of Monetary Policy on Industry-Level Stock Returns in a Changing World |
| By Danilo Leiva-Leon; Central Bank of Chile |
| presented by: Danilo Leiva-Leon, Central Bank of Chile |
| The Effects of Monetary Policy Announcements at the Zero Lower Bound |
| By Natsuki Arai; National Chengchi University |
| presented by: Natsuki Arai, National Chengchi University |
| Monetary Policy Private debt and Financial Stability Risks |
| By Eleonora Granziera; Bank of Canada |
| presented by: Eleonora Granziera, Bank of Canada |
| Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on the Chinese Economy |
| By Ji Zhang; Tsinghua University |
| presented by: Ji Zhang, Tsinghua University |
| Session ID 20: Special Session in honor of Charles R. Nelson: Nonlinear Time Series March 10, 2016 16:50 to 18:30 Room: Birmingham |
| Session Chair: Jeremy Piger, University of Oregon |
| Regime Shifts in Price-dividend Ratios and Expected Stock Returns: A Present-value Approach |
| By Kwanghoon Choi; Korea Institute for Industrial Economics and Trade Chang-Jin Kim; University of Washington Cheolbeom Park; Korea University |
| presented by: Chang-Jin Kim, University of Washington |
| Does Economic Growth Affect the Female Labor Force Participation Rate? A Study of the U.S. Time Series Data |
| By Mana Komai; St. Cloud State University Ming Lo; Metropolitan State University |
| presented by: Ming Lo, Metropolitan State University |
| Efficient Bayesian Inference in Non-linear Switching State Space Models using Particle Gibbs Sampling Approaches |
| By Jaeho Kim; University of Oklahoma |
| presented by: Jaeho Kim, University of Oklahoma |
| N-State Endogenous Markov Switching Models |
| By Shih-Tang Hwu; University of Washington Chang-Jin Kim; University of Washington Jeremy Piger; University of Oregon |
| presented by: Jeremy Piger, University of Oregon |
| Session ID 21: New Approaches to Forecasting March 10, 2016 16:50 to 18:30 Room: Wilson |
| Session Chair: Riccardo Maria Masolo, Bank of England |
| Model Selection with Factors and Variables |
| By Jack Fosten; University of East Anglia |
| presented by: Jack Fosten, University of East Anglia |
| Macroeconomic Stress-Testing with Nonlinear BVARs |
| By Ching Wai Chiu; Bank of England |
| presented by: Ching Wai Chiu, Bank of England |
| Deflation Probability in the UK and the Slope of the Yield Curve |
| By Alex Haberis; Bank of England Riccardo Maria Masolo; Bank of England Kate Reinold; Bank of England |
| presented by: Kate Reinold, Bank of England |
| A Time-Varying COMPASS Model |
| By George Kapetanios; Queen Mary, University of London Riccardo Maria Masolo; Bank of England Katerina Petrova; Queen Mary University London Matthew Waldron; Bank of England |
| presented by: Riccardo Maria Masolo, Bank of England |
| Session ID 22: Business Cycles and Policy Asymmetries March 11, 2016 8:30 to 10:10 Room: Central Bank |
| Session Chair: Irina Panovska, Lehigh University |
| The Asymmetric Effects of Monetary Policy on Stock Marke |
| By Cheng Jiang; Temple University |
| presented by: Cheng Jiang, Temple University |
| U.S. Wage Growth in the Aftermath of Deep Recessions: The Roles of Unemployment and Inflation |
| By Luiggi Donayre; University of Minnesota - Duluth Irina Panovska; Lehigh University |
| presented by: Luiggi Donayre, University of Minnesota - Duluth |
| Asymmetric Impact of Uncertainty in Recessions -: Are Emerging Countries More Vulnerable? |
| By Pratiti Chatterjee; University of California, Irvine |
| presented by: Pratiti Chatterjee, University of California, Irvine |
| The Asymmetric Effects of Fiscal Stimulus and Austerity Across the Business Cycle |
| By Steven Fazzari; Washington University in St. Louis James Morley; University of New South Wales Irina Panovska; Lehigh University |
| presented by: Irina Panovska, Lehigh University |
| Session ID 23: Special Session in honor of Walter Enders: Time Series Models March 11, 2016 8:30 to 10:10 Room: Birmingham |
| Session Chair: Jing Li, Miami University |
| Unit Root Testing Against a Non-Linear Stationary Alternative with Uncertainty Over the Presence of a Linear Trend |
| By David Harvey; University of Nottingham Stephen Leybourne; University of Nottingham Emily Whitehouse; University of Nottingham |
| presented by: Emily Whitehouse, University of Nottingham |
| Cointegration Tests Using Fourier series to Approximate Smooth Breaks |
| By Piyali Banerjee; University of Alabama Junsoo Lee; University of Alabama Vladimir Arčabić; Faculty of economics & business Zagreb |
| presented by: Piyali Banerjee, University of Alabama |
| The Comparative Performance of Alternative Out-of-sample Predictability Tests with Non-linear Models |
| By Yu Liu; University of Texas / El Paso Alex Nikolsko-Rzhevskyy; Lehigh University Ruxandra Prodan; University of Houston |
| presented by: Yu Liu, University of Texas / El Paso |
| Effects of Filtering Data on Testing Asymmetry in Threshold Autoregressive Models |
| By Jing Li; Miami University |
| presented by: Jing Li, Miami University |
| Session ID 24: Nonlinear Time Series March 11, 2016 8:30 to 10:10 Room: Logan |
| Session Chair: Philip Bertram, University of Hanover |
| Structural Volatility Impulse Response Functions and Asymptotic Distributions |
| By Xiaochun Liu; University of Central Arkansas |
| presented by: Xiaochun Liu, University of Central Arkansas |
| Co-Jumps Between Crude Oil Market and Euro/Dollar Exchange Rate |
| By Fredj Jawadi; University of Evry Val d’Essone & Amiens School of Management |
| presented by: Fredj Jawadi, University of Evry Val d’Essone & Amiens School of Management |
| Housing Prices and Bubbles |
| By Michael Bradley; George Washington University Dennis Jansen; Texas A&M University |
| presented by: Dennis Jansen, Texas A&M University |
| Real Exchange Rates and Economic Fundamentals: An Investigation Based on a Markov-STAR Model |
| By Philip Bertram; University of Hanover Jun Ma; The University of Alabama Philipp Sibbertsen; Leibniz Universitaet Hannover |
| presented by: Philip Bertram, University of Hanover |
| Session ID 25: Yields Dynamics and Portfolio Choice March 11, 2016 8:30 to 10:10 Room: Wilson |
| Session Chair: Thomas Cosimano, University of Notre Dame |
| UK Term Structure Decompositions at the Zero Lower Bound |
| By Andrea Carriero; Queen Mary Univerity of London Sarah Mouabbi; Banque de France Elisabetta Vangelista; UK Debt Management Office, HM Treasury |
| presented by: Sarah Mouabbi, Banque de France |
| Federal Reserve Credibility and the Term Structure of Interest Rates |
| By Aeimit Lakdawala; Michigan State University Shu Wu; University of Kansas |
| presented by: Aeimit Lakdawala, Michigan State University |
| Modelling the Short-Term Interest Rate with Stochastic Differential Equation in Continuous Time: Linear and Nonlinear Models |
| By Josine Uwilingiye; University of Johannesburg |
| presented by: Josine Uwilingiye, University of Johannesburg |
| Optimal Portfolio Choice in a Banking Model under Regulatory Constraints |
| By Ralph Chami; IMF Thomas Cosimano; University of Notre Dame Jun Ma; The University of Alabama Celine Rochon; International Monetary Fund |
| presented by: Thomas Cosimano, University of Notre Dame |
| Session ID 26: Special Session in honor of Walter Enders: Finance and Financial Economics March 11, 2016 10:40 to 12:10 Room: Birmingham |
| Session Chair: Stan Hurn, Queensland University of Technology |
| Searching High and Low: Extremal Dependence of International Sovereign Bond Markets |
| By Bojan Basrak; Faculty of Science, Department of Mathematics Petra Posedel; Zagreb School of Economics and Management Marina Tkalec; Institute of Economics, Zagreb Maruska Vizek; Institute of Economics, Zagreb |
| presented by: Marina Tkalec, Institute of Economics, Zagreb |
| A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Dataset |
| By Paul Jones; Pepperdine University Eric Olson; West Virginia University Mark Wohar; University of Nebraska-Omaha |
| presented by: Paul Jones, Pepperdine University |
| Stock Market Quality and the Securities and Exchange Commission |
| By Kristin Scheyer; Simple Meetings |
| presented by: Razvan Pascalau, SUNY Plattsburgh |
| Testing for Speculative Bubbles: Revisiting the Rolling Window |
| By Stan Hurn; Queensland University of Technology Jieyang Chong; Queensland University of Technology |
| presented by: Stan Hurn, Queensland University of Technology |
| Session ID 27: Forecasting: Applications March 11, 2016 10:40 to 12:10 Room: Logan |
| Session Chair: Pao-Lin Tien, Wesleyan University |
| The Term Structure of Exchange Rate Predictability: Commonality, Scapegoat and Disagreement |
| By Huichou Huang; University of Glasgow Ronald MacDonald; Adam Smith Business School, University of Glasgow |
| presented by: Huichou Huang, DIW Berlin (German Institute for Economic Research) |
| Forecasting Inflation: Phillips Curve Effects on Services Price Measures |
| By Ellis Tallman; Federal Reserve Bank of Cleveland Saeed Zaman; Federal Reserve Bank of Cleveland |
| presented by: Saeed Zaman, Federal Reserve Bank of Cleveland |
| Evaluating the Impact of the Labor Market Conditions Index on Labor Market Forecasts |
| By Laura Connolly; The University of Alabama Alice Sheehan; The University of Alabama Walter Enders; University of Alabama |
| presented by: Alice Sheehan, The University of Alabama |
| Do Fed Forecast Errors Matter? |
| By Pao-Lin Tien; Wesleyan University Tara Sinclair; George Washington University Edward Gamber; Congressional Budget Office |
| presented by: Pao-Lin Tien, Wesleyan University |
| Session ID 28: Macro Theory March 11, 2016 10:40 to 12:10 Room: Smith |
| Session Chair: Philip Brock, University of Washington |
| Ambiguous Information, Permanent Income, and Consumption Fluctuations |
| By Donghoon Yoo; University of Lausanne |
| presented by: Donghoon Yoo, University of Lausanne |
| The (Ir)relevance of Alternative Savings Mechanisms: Borrowing constraints and the Durable Goods Co-Movement Puzzle |
| By Chris Perks; Australian National University |
| presented by: Chris Perks, Australian National University |
| Risk and the Income-pollution Path |
| By Roberto Pasten; Universidad de Talca |
| presented by: Roberto Pasten, Universidad de Talca |
| Growth Rate Accelerations and the Welfare Gain from International Financial Integration |
| By Philip Brock; University of Washington |
| presented by: Philip Brock, University of Washington |
| Session ID 29: Time Series Analysis II March 11, 2016 10:40 to 12:10 Room: Central Bank |
| Session Chair: Guillaume Chevillon, ESSEC Business School |
| Identifying Structural VARs with a Proxy Variable and a Test for a Weak Proxy |
| By Kurt Lunsford; Federal Reserve Bank of Cleveland |
| presented by: Kurt Lunsford, Federal Reserve Bank of Cleveland |
| Multivariate Spurious Long Memory And A Robust Local Whittle Estimator |
| By Christian Leschinski; Leibniz Universität Hannover Philipp Sibbertsen; Leibniz Universitaet Hannover |
| presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover |
| Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade off with Alternative GLS and Full System, VAR Approaches |
| By Richard Baillie; Michigan State University Kun-Ho Kim; Hanyang University |
| presented by: Richard Baillie, Michigan State University |
| Robust Inference in Structural VARs with Long-Run Restrictions |
| By Guillaume Chevillon; ESSEC Business School Sophocles Mavroeidis; Oxford University Zhaoguo Zhan; Tsinghua University |
| presented by: Guillaume Chevillon, ESSEC Business School |
| Session ID 30: Trend and Cycle Decomposition March 11, 2016 10:40 to 12:10 Room: Wilson |
| Session Chair: Tino Berger, University of Goettingen |
| Detecting Unemployment Hysteresis: A Simultaneous Un-Observed Components Model with Markov Switching |
| By Enzo Weber; University of Regensburg |
| presented by: Enzo Weber, University of Regensburg |
| Digitization and Productivity: Where is the Growth? Measuring Cycles of Technological Progress |
| By Shushanik Papanyan; BBVA Compass |
| presented by: Shushanik Papanyan, BBVA Compass |
| The Effects of Seasonal Heteroskedasticity in Time Series on Trend Estimation and Seasonal Adjustment |
| By Thomas Trimbur; Census Bureau William Bell; US Census Bureau |
| presented by: Thomas Trimbur, Census Bureau |
| Is Potential Output Growth Time-Varying? |
| By Tino Berger; University of Goettingen |
| presented by: Tino Berger, University of Goettingen |
| Session ID 31: Plenary II: "Testing and Modelling the Unconditional Variance Component in Multiplicative Time-varying GARCH Models," with Timo Terasvirta (Aarhus University) March 11, 2016 13:20 to 14:30 Room: Hotel Capstone - Ballroom |
This program was last updated on 2016-03-07 23:02:28 EDT