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

Session ID code	Date/Time	Location	Type	Title	Papers
1	March 30, 2017 9:00-10:40	Room 677 / 6th floor	contributed	Empirical Macro: Anticipation, Expectations and Fiscal Policy	3
2	March 30, 2017 9:00-10:40	Room 676 / 6th floor	contributed	Forecasting in Finance	3
3	March 30, 2017 9:00-10:40	Room 674 / 6th floor	contributed	Finance: Market Microstructure	4
4	March 30, 2017 9:00-10:40	Room 611 / 6th floor	contributed	Empirical Macro: Topics in Monetary Policy and Consumer Spending	4
5	March 30, 2017 9:00-10:40	Room 678 / 6th floor	contributed	Empirical Macro: Labor Markets	3
6	March 30, 2017 9:00-10:40	Room 681 / 6th floor	contributed	Time Series: Volatility 1	3
7	March 30, 2017 11:00-12:40	Room 677 / 6th floor	contributed	Time Series: Spillovers and Connectedness	4
8	March 30, 2017 11:00-12:40	Room 676 / 6th floor	contributed	Time Series: Volatility 2	3
9	March 30, 2017 11:00-12:40	Room 674 / 6th floor	contributed	Finance: Financial Market Dynamics	4
10	March 30, 2017 11:00-12:40	Room 611 / 6th floor	contributed	Empirical Macro: Macro-Financial Linkages	3
11	March 30, 2017 11:00-12:40	Room 678 / 6th floor	contributed	Empirical Macro: Growth & Economic Integration	4
12	March 30, 2017 11:00-12:40	Room 681 / 6th floor	contributed	Empirical Macro: Methodology	4
13	March 30, 2017 14:00-15:40	Room 677 / 6th floor	contributed	Time Series: Testing for Nonlinearity	4
14	March 30, 2017 14:00-15:40	Room 676 / 6th floor	contributed	Empirical Macro: Uncertainty	4
15	March 30, 2017 14:00-15:40	Room 674 / 6th floor	contributed	Finance: Behavioral Finance	4
16	March 30, 2017 14:00-15:40	Room 611 / 6th floor	contributed	Empirical Macro: Monetary Policy	4
17	March 30, 2017 14:00-15:40	Room 678 / 6th floor	contributed	Finance: Financial Risk	4
18	March 30, 2017 14:00-15:40	Room 681 / 6th floor	contributed	Macro Theory: Heterogenous Beliefs & Macro Fluctuations	4
19	March 30, 2017 16:00-17:40	Room 677 / 6th floor	contributed	Time Series: Causality & Dependence	4
20	March 30, 2017 16:00-17:40	Room 676 / 6th floor	contributed	Macro Theory: Frictions	4
21	March 30, 2017 16:00-17:40	Room 674 / 6th floor	contributed	Finance: Banking and Derivatives	4
22	March 30, 2017 16:00-17:40	Room 611 / 6th floor	contributed	Empirical Macro: Policy at the Zero Lower Bound	4
23	March 30, 2017 16:00-17:40	Room 678 / 6th floor	contributed	Forecasting with Large Dimensional Datasets	4
24	March 30, 2017 16:00-17:40	Room 681 / 6th floor	contributed	Empirical Macro: Housing & Debt	4
25	March 31, 2017 9:30-10:30	Auditorium J. Coeur / 2nd floor	invited	Plenary I: Long Run Covariability (with Ulrich Müller), presented by Mark W. Watson (Princeton University)	0
26	March 31, 2017 11:00-12:40	Auditorium J. Coeur - 2nd floor	contributed	Macro Theory in the Presence of a Zero Lower Bound	4
27	March 31, 2017 11:00-12:40	Room 677 / 6th floor	contributed	Empirical Macro: Output Volatility	4
28	March 31, 2017 11:00-12:40	Room 676 / 6th floor	contributed	Time Series: Inference	4
29	March 31, 2017 11:00-12:40	Room 674 / 6th floor	contributed	Finance: Financial Econometrics	4
30	March 31, 2017 11:00-12:40	Room 611 / 6th floor	contributed	Forecasting Methodology	3
31	March 31, 2017 14:00-15:40	Room Auditorium J. Coeur - 2nd floor	contributed	Macro Theory: Inflation Persistence	4
32	March 31, 2017 14:00-15:40	Room 677 / 6th floor	contributed	Time Series: Dependence	4
33	March 31, 2017 14:00-15:40	Room 676 / 6th floor	contributed	Empirical Macro: Cyclical Asymmetries	3
34	March 31, 2017 14:00-15:40	Room 674 / 6th floor	contributed	Finance: Volatility Modeling	4
35	March 31, 2017 14:00-15:40	Room 611 / 6th floor	contributed	Macroeconomic Forecasting	4
36	March 31, 2017 16:00-17:00	Auditorium J. Coeur - 2nd floor	invited	Plenary II: Structural Shocks and Impulse Response Functions, presented by Christian Gourieroux (CREST-ENSAE & University of Toronto)	0

 

36 sessions, 128 papers, and 0 presentations with no associated papers

25th Symposium of the Society of Nonlinear Dynamics and Econometrics
Detailed List of Sessions

Session ID 1: Empirical Macro: Anticipation, Expectations and Fiscal Policy March 30, 2017 9:00 to 10:40 Room 677 / 6th floor
Session Chair: Christopher Gibbs, UNSW Australia
Session type: contributed
1. Aggregate Effects of Income and Consumption Tax Changes
By Anh Nguyen; Bank of Lithuania LUISANNA ONNIS; University of Sheffield Raffaele Rossi; University of Manchester
presented by: Anh Nguyen, Bank of Lithuania
2. Government Spending Multipliers under Anticipation -- Evidence from a Noncausal VAR
By Jaakko Nelimarkka; University of Helsinki
presented by: Jaakko Nelimarkka, University of Helsinki
3. Expectations and the Empirical Fit of DSGE Models
By Eric Gaus; Ursinus College Christopher Gibbs; UNSW Australia
presented by: Christopher Gibbs, UNSW Australia
Session ID 2: Forecasting in Finance March 30, 2017 9:00 to 10:40 Room 676 / 6th floor
Session Chair: Cem Cakmakli, Koc University
Session type: contributed
1. Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility
By Arabinda Basistha; West Virginia University Alexander Kurov; West Virginia University
presented by: Arabinda Basistha, West Virginia University
2. Forecasting the Term Structure of Interest Rates with Potentially Misspecified Models
By Yunjong Eo; University of Sydney
presented by: Yunjong Eo, University of Sydney
3. Modeling the Density of US Yield Curve using Bayesian Semiparametric Dynamic Nelson-Siegel
By Cem Cakmakli; Koc University
presented by: Cem Cakmakli, Koc University
Session ID 3: Finance: Market Microstructure March 30, 2017 9:00 to 10:40 Room 674 / 6th floor
Session Chair: Dobrislav Dobrev, Federal Reserve Board of Governors
Session type: contributed
1. Nonlinear Limits to Arbitrage
By Jingzhi Chen; University of York
presented by: Jingzhi Chen, University of York
2. Relative Spread and Price Discovery
By Eric Aldrich; University of California, Santa Cruz Seung Lee; University of California, Santa Cruz
presented by: Eric Aldrich, University of California, Santa Cruz
3. Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets
By Jacob Gyntelberg; Danske Bank Peter Hordahl; Bank for International Settlements Kristyna Ters; University of Basel Joerg Urban; Bank for International Settlements
presented by: Peter Hordahl, Bank for International Settlements
4. High-Frequency Cross-Market Trading: Model Free Measurement and Applications
By Dobrislav Dobrev; Federal Reserve Board of Governors Ernst Schaumburg; AQR Capital Management LLC
presented by: Dobrislav Dobrev, Federal Reserve Board of Governors
Session ID 4: Empirical Macro: Topics in Monetary Policy and Consumer Spending March 30, 2017 9:00 to 10:40 Room 611 / 6th floor
Session Chair: Roberta Cardani, Università degli Studi di Pavia
Session type: contributed
1. Remittance Inflows and State-Dependent Monetary Policy Transmission in Developing Countries
By Immaculate Machasio; Justus-Liebig University-Giessen Peter Tillmann; Justus-Liebig-Universität Gießen
presented by: Peter Tillmann, Justus-Liebig-Universität Gießen
2. The Effects of Monetary Policy Surprises in China
By Gunes Kamber; Bank for International Settlements Madhusudan Mohanty; Bank for International Settlements
presented by: Gunes Kamber, Bank for International Settlements
3. Asymmetries and Nonlinearities in the Relationship between Consumer Spending and Energy Prices
By Edward Knotek II; Federal Reserve Bank of Cleveland Saeed Zaman; Federal Reserve Bank of Cleveland
presented by: Edward Knotek II, Federal Reserve Bank of Cleveland
4. Public Debt Consolidation with Distributional Conflicts
By Roberta Cardani; Università degli Studi di Pavia Lorenzo Menna; University of Milan-Bicocca Patrizio Tirelli; University of Milano-Bicocca
presented by: Roberta Cardani, Università degli Studi di Pavia
Session ID 5: Empirical Macro: Labor Markets March 30, 2017 9:00 to 10:40 Room 678 / 6th floor
Session Chair: Tara Sinclair, George Washington University
Session type: contributed
1. Identifying Asymmetric Effects of Labor Market Reforms
By Britta Gehrke; Friedrich-Alexander Universität Erlangen-Nürnberg (FAU) Enzo Weber; University of Regensburg
presented by: Enzo Weber, University of Regensburg
2. Labour Market Effects of Wage Inequality and Skill Biased Technical Change in Germany
By Christian Hutter; Institute for Employment Research Enzo Weber; University of Regensburg
presented by: Christian Hutter, Institute for Employment Research
3. Improving Real-Time Employment Estimates: A State-Space Approach to Combining Multiple Vintages and Multiple Surveys
By Tara Sinclair; George Washington University Matthew Zahn; The George Washington University
presented by: Tara Sinclair, George Washington University
Session ID 6: Time Series: Volatility 1 March 30, 2017 9:00 to 10:40 Room 681 / 6th floor
Session Chair: Dimitra Kyriakopoulou, Université Catholique de Louvain
Session type: contributed
1. Simple Estimators for ARCH Models
By Todd Prono; Federal Reserve Board
presented by: Todd Prono, Federal Reserve Board
2. A Flexible State-Space Model with Application to Stochastic Volatility
By Christian Gourieroux; university of toronto Yang Lu; Aix-Marseille School of Economics
presented by: Yang Lu, Aix-Marseille School of Economics
3. Estimation Theory for the Exponential GARCH Model with Risk Premium
By Christian Hafner; Université Catholique de Louvain Dimitra Kyriakopoulou; Université Catholique de Louvain
presented by: Dimitra Kyriakopoulou, Université Catholique de Louvain
Session ID 7: Time Series: Spillovers and Connectedness March 30, 2017 11:00 to 12:40 Room 677 / 6th floor
Session Chair: Laurent Ferrara, Banque de France
Session type: contributed
1. Consistency of Averaged Impulse Response Estimators in VAR's
By Jan Lohmeyer; Maastricht University
presented by: Jan Lohmeyer, Maastricht University
2. Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network "Tripod" Model with Thresholds
By Hang Sun; Maastricht University
presented by: Hang Sun, Maastricht University
3. Detecting Granular Time Series in Large Panels
By Geert Mesters; Universitat Pompeu Fabra Christian Brownlees; UPF
presented by: Geert Mesters, Universitat Pompeu Fabra
4. Global Financial Spillovers: A Non-Linear Assessment of the Uncertainty Channel
By Laurent Ferrara; Banque de France
presented by: Laurent Ferrara, Banque de France
Session ID 8: Time Series: Volatility 2 March 30, 2017 11:00 to 12:40 Room 676 / 6th floor
Session Chair: Genaro Sucarrat, BI Norwegian Business School
Session type: contributed
1. Matrix Inequality Constraints for Vector Asymmetric Power (or GARCH) HEAVY (or MEM) Models and some New Mixture Formulation
By Menelaos Karanasos; Brunel University
presented by: Menelaos Karanasos, Brunel University
2. Exogenous Shocks, Financial Volatility and Endogenous Growth - Bayesian DSGE-GARCH-VAR Model with Finite Mixtures of Financial Shocks
By Xin Zheng; School of Economics,the University of Sydney
presented by: Xin Zheng, School of Economics,the University of Sydney
3. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
By Alvaro Escribano; Universidad Carlos III de Madrid Genaro Sucarrat; BI Norwegian Business School
presented by: Genaro Sucarrat, BI Norwegian Business School
Session ID 9: Finance: Financial Market Dynamics March 30, 2017 11:00 to 12:40 Room 674 / 6th floor
Session Chair: Ragnar Juelsrud, BI Norwegian Business School
Session type: contributed
1. Frequency Aspects of Information Transmission in Networks of Equity Markets
By Harald Schmidbauer; BRU-IUL, ISCTE Business Research Unit, ISCTE-IUL Angi Rösch; FOM University of Applied Sciences Erhan Uluceviz; Istanbul Kemerburgaz University
presented by: Erhan Uluceviz, Istanbul Kemerburgaz University
2. Time-Varying Asymmetry and Tail Thickness in Long Series of Daily Financial Returns
By Błażej Mazur; Cracow University of Economics Mateusz Pipień; Cracow University of Economics
presented by: Błażej Mazur, Cracow University of Economics
3. Modelling Sovereign Debt Contagion: A Smooth Transition Approach
By Susana Martins; University of Minho Cristina Amado; University of Minho
presented by: Susana Martins, University of Minho
4. Dividend payouts and rollover crises
By Ragnar Juelsrud; BI Norwegian Business School Plamen Nenov; BI Norwegian Business School
presented by: Ragnar Juelsrud, BI Norwegian Business School
Session ID 10: Empirical Macro: Macro-Financial Linkages March 30, 2017 11:00 to 12:40 Room 611 / 6th floor
Session Chair: Claudio Morana, University Milano Bicocca
Session type: contributed
1. Asymmetric Macro-Financial Spillovers
By Kristina Bluwstein; EUI
presented by: Kristina Bluwstein, EUI
2. Income Inequality and Asset Prices
By Agnieszka Markiewicz; Erasmus University Rotterdam
presented by: Agnieszka Markiewicz, Erasmus University Rotterdam
3. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
By Claudio Morana; University Milano Bicocca
presented by: Claudio Morana, University Milano Bicocca
Session ID 11: Empirical Macro: Growth & Economic Integration March 30, 2017 11:00 to 12:40 Room 678 / 6th floor
Session Chair: Ørjan Robstad, Norges Bank
Session type: contributed
1. Financial Development, Macroeconomic Stability and Growth
By MBOME MARIE Silvere; Università degli studi di milano
presented by: MBOME MARIE Silvere, Università degli studi di milano
2. The Next Hundred Years of Growth: Growth and Convergence
By Richard Startz; UCSB
presented by: Richard Startz, UCSB
3. The Evolution of Regional Economic Interlinkages in Europe
By Lola Gadea; University of Zaragoza Ana Gómez-Loscos; Banco de España Danilo Leiva-Leon; Central Bank of Chile
presented by: Ana Gómez-Loscos, Banco de España
4. Immigration and the Macroeconomy: Some New Empirical Evidence
By Ørjan Robstad; Norges Bank Francesco Furlanetto; Norges Bank
presented by: Ørjan Robstad, Norges Bank
Session ID 12: Empirical Macro: Methodology March 30, 2017 11:00 to 12:40 Room 681 / 6th floor
Session Chair: Junsoo Lee, University of Alabama
Session type: contributed
1. Measuring Inflation Perceptions and Expectations in the UK: Bayesian Analysis of a Normal Mixture Model for Interval Data with an Indifference Limen
By Yasutomo Murasawa; Konan University
presented by: Yasutomo Murasawa, Konan University
2. Estimating and Accounting for the Output Gap Using the Beveridge-Nelson Decomposition with Large Multivariate Models
By James Morley; University of New South Wales Benjamin Wong; Reserve Bank of New Zealand
presented by: Benjamin Wong, Reserve Bank of New Zealand
3. Measuring Productivity and Absorptive Capacity: A Factor-Augmented Panel Data Model with Time-Varying Parameters
By Stef De Visscher; Ghent University Markus Eberhardt; University of Nottingham Gerdie Everaert; Ghent University
presented by: Stef De Visscher, Ghent University
4. Using Fourier Series to Approximate Smooth Breaks in Dynamic Factor Models
By Xiaochun Liu; University of Alabama Junsoo Lee; University of Alabama Jun Ma; The University of Alabama
presented by: Junsoo Lee, University of Alabama
Session ID 13: Time Series: Testing for Nonlinearity March 30, 2017 14:00 to 15:40 Room 677 / 6th floor
Session Chair: Jean-Yves Pitarakis, University of Southampton
Session type: contributed
1. Unit Root Testing with Slowly Varying Trends
By Sven Otto; University of Cologne
presented by: Sven Otto, University of Cologne
2. Cumulated Sum of Squares Statistics for non-linear and non-stationary regressions
By Vanessa Berenguer-Rico; University of Oxford Bent Nielsen; University of Oxford
presented by: Vanessa Berenguer-Rico, University of Oxford
3. A Near Optimal Test for Structural Breaks When Forecasting Under Square Error Loss
By Tom Boot; Erasmus University Rotterdam Andreas Pick; Erasmus University Rotterdam
presented by: Tom Boot, University of Groningen
4. A Simple Approach for Diagnosing Instabilities in Predictive Regressions
By Jean-Yves Pitarakis; University of Southampton
presented by: Jean-Yves Pitarakis, University of Southampton
Session ID 14: Empirical Macro: Uncertainty March 30, 2017 14:00 to 15:40 Room 676 / 6th floor
Session Chair: Danilo Cascaldi-Garcia, University of Warwick
Session type: contributed
1. The Optimal Rate of Inflation: Discouting Matters
By Antoine Lepetit; Banque de France
presented by: Antoine Lepetit, Banque de France
2. The Components of Uncertainty
By Vegard Larsen; Norges Bank
presented by: Vegard Larsen, Norges Bank
3. Uncertainty and the Effectiveness of Fiscal Policy
By Vladimir Arčabić; Faculty of economics & business Zagreb James Cover; University of Alabama
presented by: Vladimir Arčabić, Faculty of economics & business Zagreb
4. News and Uncertainty Shocks
By Danilo Cascaldi-Garcia; University of Warwick Ana Beatriz Galvao; University of Warwick
presented by: Danilo Cascaldi-Garcia, University of Warwick
Session ID 15: Finance: Behavioral Finance March 30, 2017 14:00 to 15:40 Room 674 / 6th floor
Session Chair: Saskia ter Ellen, Norges Bank
Session type: contributed
1. Herding Behaviour in Stock Markets
By David Vidal-Tomas; Universitat Jaume I Simone Alfarano; University Jaume I
presented by: David Vidal-Tomas, Universitat Jaume I
2. Coordinated Trading and Market Efficiency
By Huanhuan Zheng; Chinese University of Hong Kong
presented by: Huanhuan Zheng, Chinese University of Hong Kong
3. Wealth-Driven Asymptotic Survival in a Financial Market with Demand Shocks
By Jacopo Staccioli; Scuola Superiore Sant'Anna Pietro Dindo; Scuola Superiore Sant'Anna
presented by: Jacopo Staccioli, Scuola Superiore Sant'Anna
4. Agreeing on Disagreement: heterogeneity or uncertainty?
By Saskia ter Ellen; Norges Bank Willem Verschoor; VU University Amsterdam Remco Zwinkels; VU University Amsterdam
presented by: Saskia ter Ellen, Norges Bank
Session ID 16: Empirical Macro: Monetary Policy March 30, 2017 14:00 to 15:40 Room 611 / 6th floor
Session Chair: Sarah Zubairy, Texas A&M University
Session type: contributed
1. Does Monetary Policy Generate Asset Price Booms and Busts?
By Christophe Blot; Sciences Po Paul Hubert; OFCE - Sciences Po Fabien Labondance; Université de Franche Comté - CRESE
presented by: Christophe Blot, Sciences Po
2. Evolving Macroeconomic Dynamics: A Time-varying Structural Approach Using the Correct Measure of Money
By Michael Ellington; University of Liverpool Costas Milas; University of Liverpool
presented by: Michael Ellington, University of Liverpool
3. Taylor Rules, (A)symmetric Preferences, and Dual Mandates
By Luiggi Donayre; University of Minnesota - Duluth
presented by: Luiggi Donayre, University of Minnesota - Duluth
4. Household Debt Overhang and Transmission of Monetary Policy
By Sami Alpanda; University of Central Florida Sarah Zubairy; Texas A&M University
presented by: Sarah Zubairy, Texas A&M University
Session ID 17: Finance: Financial Risk March 30, 2017 14:00 to 15:40 Room 678 / 6th floor
Session Chair: Jérémy Leymarie, University of Orléans
Session type: contributed
1. Exponential-Affine Approximations of Macro-Finance Models
By Pierlauro Lopez; Banque de France David Lopez-Salido; Federal Reserve Board Francisco Vazquez-Grande; Federal Reserve Board
presented by: Pierlauro Lopez, Banque de France
2. Idiosyncratic vs. Systematic Risk: A Network Risk Model via Portfolio Risk Decomposition
By Umut Akovali; Koc University Kamil Yilmaz; Koc University
presented by: Umut Akovali, Koc University
3. Level and Volatility Shocks to Fiscal Policy: Term Structure Implications
By Lorenzo Bretscher; London School of Economics Alex Hsu; Georgia Institute of Technology Andrea Tamoni; London School of Economics
presented by: Lorenzo Bretscher, London School of Economics
4. Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
By Georgiana Denisa Banulescu; University of Orléans Christophe Hurlin; Université d’Orléans Jérémy Leymarie; University of Orléans Olivier Scaillet; University of Geneva & Swiss Finance Institute
presented by: Jérémy Leymarie, University of Orléans
Session ID 18: Macro Theory: Heterogenous Beliefs & Macro Fluctuations March 30, 2017 14:00 to 15:40 Room 681 / 6th floor
Session Chair: Thomas Lubik, Federal Reserve Bank of Richmond
Session type: contributed
1. Pseudo-Wealth and Consumption Fluctuations
By Martin Guzman; Columbia University Joseph Stiglitz; Columbia University
presented by: Martin Guzman, Columbia University
2. Discretizing the Infinite-Dimensional Distribution Space to Approximate Markov Equilibria with Ex-Post Heterogeneity and Aggregate Risk
By Elisabeth Pröhl; Univ. of Geneva, Swiss Finance Institute
presented by: Elisabeth Pröhl, Univ. of Geneva, Swiss Finance Institute
3. Sectoral Heterogeneity, the Skill Premium and Productivity Dynamics
By Yishay Maoz; The Open University of Israel Assaf Sarid; University of Haifa
presented by: Yishay Maoz, The Open University of Israel
4. Indeterminacy and Imperfect Information
By Thomas Lubik; Federal Reserve Bank of Richmond Christian Matthes; Federal Reserve Bank of Richmond Elmar Mertens; Federal Reserve Board (until 10/16), BIS as of 1/2017
presented by: Thomas Lubik, Federal Reserve Bank of Richmond
Session ID 19: Time Series: Causality & Dependence March 30, 2017 16:00 to 17:40 Room 677 / 6th floor
Session Chair: Bent Nielsen, University of Oxford
Session type: contributed
1. Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure
By Carlos Rodríguez Caballero; Universidad Carlos III de Madrid
presented by: Carlos Rodríguez Caballero, Universidad Carlos III de Madrid
2. Do Shocks to Income Distribution Permanently Change Consumption Distribution? Time Series of Cross-Sectional Distributions with Common Stochastic Trends
By Yoosoon Chang; Indiana University Chang Sik Kim; Sungkyunkwan University Hwagyun (Hagen) Kim; Texas A&M University Joon Park; Indiana University
presented by: Yoosoon Chang, Indiana University
3. Detecting Granger Causality with a Nonparametric Information-based Statistic
By Cees Diks; University of Amsterdam Hao Fang; University of Amsterdam
presented by: Hao Fang, University of Amsterdam
4. Causal Transmission in Reduced-Form Models
By Vassili Bazinas; University of Oxford Bent Nielsen; University of Oxford
presented by: Bent Nielsen, University of Oxford
Session ID 20: Macro Theory: Frictions March 30, 2017 16:00 to 17:40 Room 676 / 6th floor
Session Chair: Nika Lazaryan, The Federal Reserve Bank of Richmond
Session type: contributed
1. Risk, Uncertainty, and Financial Frictions
By Richard Higgins; Colgate University
presented by: Richard Higgins, Colgate University
2. Aggregate Fluctuations and the Role of Trade Credit
By Lin Shao; Bank of Canada
presented by: Lin Shao, Bank of Canada
3. Corporate Debt Composition and Business Cycles
By Jelena Zivanovic; Humboldt-Universität zu Berlin
presented by: Jelena Zivanovic, Humboldt-Universität zu Berlin
4. Global Dynamics in a Search and Matching Model of the Labor Market
By Thomas Lubik; The Federal Reserve Bank of Richmond Nika Lazaryan; The Federal Reserve Bank of Richmond
presented by: Nika Lazaryan, The Federal Reserve Bank of Richmond
Session ID 21: Finance: Banking and Derivatives March 30, 2017 16:00 to 17:40 Room 674 / 6th floor
Session Chair: Julia Schaumburg, VU University Amsterdam
Session type: contributed
1. Non-Affine GARCH Option Pricing Models, Variance Dependent Kernels, and Diffusion Limits
By Alexandru Badescu; University of Calgary Zhenyu Cui; School of Systems and Enterprises, Stevens Institute of Technology Juan-Pablo Ortega; CNRS
presented by: Alexandru Badescu, University of Calgary
2. Extracting Risk Neutral Distributions Using Option Prices and CDS Spreads
By Sirio Aramonte; Federal Reserve Board Mohammad Jahan-Parvar; Federal Reserve Board Samuel Rosen; University of North Carolina John Schindler; Federal Reserve Board
presented by: Mohammad Jahan-Parvar, Federal Reserve Board
3. Informal One-Sided Target Zone Model and the Swiss Franc
By Yu-Fu Chen; University of Dundee Michael Funke; Hamburg University Richhild Moessner; BIS
presented by: Yu-Fu Chen, University of Dundee
4. Bank Business Models at Zero Interest Rates
By Andre Lucas; Vrije Universiteit Amsterdam Julia Schaumburg; VU University Amsterdam Bernd Schwaab; European Central Bank
presented by: Julia Schaumburg, VU University Amsterdam
Session ID 22: Empirical Macro: Policy at the Zero Lower Bound March 30, 2017 16:00 to 17:40 Room 611 / 6th floor
Session Chair: Barbara Rossi, ICREA-Universitat Pompeu Fabra, Barcelon
Session type: contributed
1. Longer-Term Bond Yields When Policy Rates are at the Effective Lower Bound: International Evidence
By Domenico Lombardi; Nuffield College Oxford Samantha St. Amand; CIGI Pierre Siklos; Wilfrid Laurier University
presented by: Pierre Siklos, Wilfrid Laurier University
2. Are Nonlinear Methods Necessary at the Zero Lower Bound?
By Alexander Richter; Federal Reserve Bank of Dallas Nathaniel Throckmorton; College of William & Mary
presented by: Alexander Richter, Federal Reserve Bank of Dallas
3. Foreign Demand of U.S. Treasury Securities and the Zero-Lower Bound on Monetary Policy
By Enrique Martinez-Garcia; Federal Reserve Bank of Dallas Yixiang Zhang; Southern Methodist University
presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
4. The Time-Varying Effects of Conventional and Unconventional Monetary Policy: Results from a New Identification Procedure
By Atsushi Inoue; Vanderbilt University Barbara Rossi; ICREA-Universitat Pompeu Fabra, Barcelon
presented by: Barbara Rossi, ICREA-Universitat Pompeu Fabra, Barcelon
Session ID 23: Forecasting with Large Dimensional Datasets March 30, 2017 16:00 to 17:40 Room 678 / 6th floor
Session Chair: Rachidi Kotchoni, CNRS-EconomiX, Université Paris Nanterre
Session type: contributed
1. Markov-Switching Three-Pass Regression Filter
By Danilo Leiva-Leon; Central Bank of Chile Pierre Guerin; Bank of Canada Massimiliano Marcellino; Bocconi University
presented by: Danilo Leiva-Leon, Central Bank of Chile
2. Macroeconomic Forecasting Using Penalized Regression Methods
By Etiënne WIjler; Maastricht University
presented by: Etiënne WIjler, Maastricht University
3. Investing through Economic Cycles with Ensemble Machine Learning Algorithms
By Thomas Raffinot
presented by: Thomas Raffinot,
4. Forecasting Economic Activity in Data-Rich Environment
By Rachidi Kotchoni; CNRS-EconomiX, Université Paris Nanterre Maxime Leroux; Finances Canada Dalibor Stevanovic; Université du Québec à Montréal
presented by: Rachidi Kotchoni, CNRS-EconomiX, Université Paris Nanterre
Session ID 24: Empirical Macro: Housing & Debt March 30, 2017 16:00 to 17:40 Room 681 / 6th floor
Session Chair: Francesco Furlanetto, Norges Bank
Session type: contributed
1. Global and Local Factors in Housing Markets: Evidence from OECD Countries
By Shikong (Scott) Luo; University of Alabama Jun Ma; The University of Alabama
presented by: Shikong (Scott) Luo, University of Alabama
2. Housing, Debt, and the Marginal Propensity to Consume
By Andreas Fagereng; Statistics Norway Gisle Natvik; BI Norwegian Business School Jiaxiong Yao; Johns Hopkins University
presented by: Gisle Natvik, BI Norwegian Business School
3. Long Run Expectations, Learning and the U.S. Housing Market
By Daniel Tortorice; Brandeis University
presented by: Daniel Tortorice, Brandeis University
4. Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis
By Knut Are Aastveit; Norges Bank Francesco Furlanetto; Norges Bank Francesca Loria; European University Institute
presented by: Francesco Furlanetto, Norges Bank
Session ID 25: Plenary I: Long Run Covariability (with Ulrich Müller), presented by Mark W. Watson (Princeton University) March 31, 2017 9:30 to 10:30 Auditorium J. Coeur / 2nd floor
Session type: invited
Session ID 26: Macro Theory in the Presence of a Zero Lower Bound March 31, 2017 11:00 to 12:40 Auditorium J. Coeur - 2nd floor
Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco
Session type: contributed
1. A Shadow Rate New Keynesian Model
By Ji Zhang; Tsinghua University
presented by: Ji Zhang, Tsinghua University
2. Durations at the Zero Lower Bound
By Richard Dennis; University of Glasgow
presented by: Richard Dennis, University of Glasgow
3. Risk Shocks Close to the Zero Lower Bound
By Martin Seneca; Bank of England
presented by: Martin Seneca, Bank of England
4. Endogenous Regime Switching Near the Zero Lower Bound
By Kevin Lansing; Federal Reserve Bank of San Francisco
presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
Session ID 27: Empirical Macro: Output Volatility March 31, 2017 11:00 to 12:40 Room 677 / 6th floor
Session Chair: James Morley, University of New South Wales
Session type: contributed
1. An International Comparison of Business Cycles: Stagnations at the Root of Diversity
By Brendan VANNIER; Paris School of Economics - Ecole Normale Superieure - Banque de France
presented by: Brendan VANNIER, Paris School of Economics - Ecole Normale Superieure - Banque de France
2. The Comovement between Carbon Emissions and Output in the United States
By Soojin Jo; Federal Reserve Bank of Dallas Lilia Karnizova; University of Ottawa Francesca Rondina; University of Ottawa
presented by: Soojin Jo, Federal Reserve Bank of Dallas
3. Measuring the International Dimension in the Evolution of Output Volatility
By Gerdie Everaert; Ghent University Martin Iseringhausen; Ghent University
presented by: Martin Iseringhausen, Ghent University
4. Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
By Gunes Kamber; Bank for International Settlements James Morley; University of New South Wales Benjamin Wong; Reserve Bank of New Zealand
presented by: James Morley, University of New South Wales
Session ID 28: Time Series: Inference March 31, 2017 11:00 to 12:40 Room 676 / 6th floor
Session Chair: Richard Baillie, Michigan State University
Session type: contributed
1. Testing the Marginal Normality of Heteroskedastic Time Series
By Matei Demetrescu; University of Kiel Robinson Kruse; CREATES, Aarhus University
presented by: Matei Demetrescu, University of Kiel
2. Weak Identification, The Pile-Up Problem, and Finite-Sample Inference for ARMA Models
By James Morley; University of New South Wales Charles Nelson; University of Washington Irina Panovska; Lehigh University
presented by: Charles Nelson, University of Washington
3. Inference in Time Series Models using Smoothed Clustered Standard Errors
By Seunghwa Rho; Louisiana State University Tim Vogelsang; Michigan State U.
presented by: Seunghwa Rho, Louisiana State University
4. Robust Inference and Issues with Strict and Weak Exogeneity in Time Series Regressions
By Richard Baillie; Michigan State University Kun-Ho Kim; Hanyang University
presented by: Richard Baillie, Michigan State University
Session ID 29: Finance: Financial Econometrics March 31, 2017 11:00 to 12:40 Room 674 / 6th floor
Session Chair: Zied Ftiti, EDC Business School, OCRE-EDC and High I
Session type: contributed
1. Testing for Distributional Features in Varying Coefficient Panel Data Models
By Alexandra Soberon; Universidad de Cantabria Winfried Stute; JLU Gießen Juan Rodriguez-Poo; Universidad de Cantabria
presented by: Alexandra Soberon, Universidad de Cantabria
2. Inference in Additive Nonlinear Predictive Models with Regressors of Uncertain Persistence
By Matei Demetrescu; University of Kiel Benjamin Hillmann; CAU Kiel
presented by: Benjamin Hillmann, CAU Kiel
3. Estimation and Model-Based Combination of Causality Networks
By Massimiliano Caporin; University of Padova
presented by: Massimiliano Caporin, University of Padova
4. Co-Jump Between Crude Oil Market and Exchange Rate Market: An Intraday Analysis
By Hachmi Ben Ameur; INSEEC Business School Zied Ftiti; EDC Business School, OCRE-EDC and High I Fredj Jawadi; University of Evry WAEL LOUHICHI; ESSCA Business School
presented by: Zied Ftiti, EDC Business School, OCRE-EDC and High I
Session ID 30: Forecasting Methodology March 31, 2017 11:00 to 12:40 Room 611 / 6th floor
Session Chair: Robinson Kruse, CREATES, Aarhus University
Session type: contributed
1. Testing Nowcast Monotonicity
By Jack Fosten; University of East Anglia Daniel Gutknecht; University of Mannheim
presented by: Jack Fosten, University of East Anglia
2. Dynamic Vector Mode Regression
By Gordon Kemp; University of Essex Paulo M.D.C. Parente; Instituto Universitário de Lisboa (ISCT Joao Santos Silva; University of Surrey
presented by: Paulo M.D.C. Parente, Instituto Universitário de Lisboa (ISCT
3. Comparing Predictive Accuracy under Long Memory
By Robinson Kruse; CREATES, Aarhus University Christian Leschinski; Leibniz Universität Hannover Michael Will; Leibniz Universität Hannover
presented by: Robinson Kruse, CREATES, Aarhus University
Session ID 31: Macro Theory: Inflation Persistence March 31, 2017 14:00 to 15:40 Room Auditorium J. Coeur - 2nd floor
Session Chair: Willem Van Zandweghe, Federal Reserve Bank of Kansas City
Session type: contributed
1. Exchange Rate Targeting in the Presence of Foreign Debt Obligations
By James Staveley-O'Carroll; Babson College Olena Staveley-O'Carroll; College of the Holy Cross
presented by: James Staveley-O'Carroll, Babson College
2. Uncertainty Shocks and Monetary Policies
By Valentina Colombo; University of Verona Alessia Paccagnini; University College Dublin
presented by: Alessia Paccagnini, University College Dublin
3. The Role of the Inflation Target Adjustment in Stabilization Policy
By Denny Lie; The University of Sydney Yunjong Eo; University of Sydney
presented by: Denny Lie, The University of Sydney
4. Price Dispersion and Inflation Persistence
By Takushi Kurozumi; Bank of Japan Willem Van Zandweghe; Federal Reserve Bank of Kansas City
presented by: Willem Van Zandweghe, Federal Reserve Bank of Kansas City
Session ID 32: Time Series: Dependence March 31, 2017 14:00 to 15:40 Room 677 / 6th floor
Session Chair: Roderick McCrorie, University of St Andrews
Session type: contributed
1. A Robust LM Test for Long Memory
By Matei Demetrescu; University of Kiel Philipp Sibbertsen; Leibniz Universitaet Hannover Michael Will; Leibniz Universität Hannover
presented by: Michael Will, Leibniz Universität Hannover
2. Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors
By Joao Issler; Getulio Vargas Foundation Alain Hecq; Maastricht University Sean Telg; Maastricht University
presented by: Sean Telg, Maastricht University
3. Mixed Causal and Noncausal MAR(p,q) Processes and the Modelling of Explosive Bubbles
By Sebastien Fries; CREST, Paris-Saclay University Jean-Michel Zakoian; Centre de Rocherche en Économie et Statistique (CREST)
presented by: Sebastien Fries, CREST, Paris-Saclay University
4. Mild Explosivity in Recent Crude Oil Prices
By Roderick McCrorie; University of St Andrews
presented by: Roderick McCrorie, University of St Andrews
Session ID 33: Empirical Macro: Cyclical Asymmetries March 31, 2017 14:00 to 15:40 Room 676 / 6th floor
Session Chair: Hilde Bjørnland, BI Norwegian Business School
Session type: contributed
1. Is Business Cycle Asymmetry Intrinsic in Industrialized Economies
By James Morley; University of New South Wales Irina Panovska; Lehigh University
presented by: Irina Panovska, Lehigh University
2. The Macroeconomic Effects of a Carry Trade Unwind
By Renee Fry-McKibbin; Australian National University
presented by: Renee Fry-McKibbin, Australian National University
3. Oil and Macroeconomic (in)Stability
By Hilde Bjornland; BI Norwegian Business School Vegard Larsen; Norges Bank junior Maih; Norges Bank
presented by: Hilde Bjørnland, BI Norwegian Business School
Session ID 34: Finance: Volatility Modeling March 31, 2017 14:00 to 15:40 Room 674 / 6th floor
Session Chair: Yang-Ho Park, Federal Reserve Board
Session type: contributed
1. Non-Linear State-Space Models for Estimating and Forecasting Financial Volatility Evolution: Disentangling Some Knots
By Antonio Santos; University of Coimbra
presented by: Antonio Santos, University of Coimbra
2. Financial Crises and the Dynamic Linkages Between Stock and Bond Returns
By Sercan Eraslan; Deutsche Bundesbank Faek Menla Ali; Brunel University London
presented by: Sercan Eraslan, Deutsche Bundesbank
3. The Smart Vega Factor-Based Investing: Disentangling Risk Premia from Implied Volatility Smirk
By ANMAR AL WAKIL; University of Paris-Dauphine, PSL Research University
presented by: ANMAR AL WAKIL, University of Paris-Dauphine, PSL Research University
4. On the Relation between S&P 500 Options and VIX Derivatives
By Yang-Ho Park; Federal Reserve Board
presented by: Yang-Ho Park, Federal Reserve Board
Session ID 35: Macroeconomic Forecasting March 31, 2017 14:00 to 15:40 Room 611 / 6th floor
Session Chair: Ana Beatriz Galvao, University of Warwick
Session type: contributed
1. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
By Todd Clark; Federal Reserve Bank of Cleveland Michael McCracken; Federal Reserve Bank of St. Louis Elmar Mertens; Federal Reserve Board (until 10/16), BIS as of 1/2017
presented by: Elmar Mertens, Federal Reserve Board (until 10/16), BIS as of 1/2017
2. The Real-Time Properties of the Bank of Canada Staff's Output Gap Estimates
By Julien Champagne; Bank of Canada Guillaume Poulin-Bellisle; Bank of Canada Rodrigo Sekkel; Bank of Canada
presented by: Rodrigo Sekkel, Bank of Canada
3. Do Experts Forecast Rationally? A Theoretical and Empirical Assessment of the Role of Information Observation and Forecast Adjustement Costs
By Frederique Bec; University of Cergy-Pontoise
presented by: Frederique Bec, University of Cergy-Pontoise
4. Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables
By Michael Clements; University of Reading Ana Beatriz Galvao; University of Warwick
presented by: Ana Beatriz Galvao, University of Warwick
Session ID 36: Plenary II: Structural Shocks and Impulse Response Functions, presented by Christian Gourieroux (CREST-ENSAE & University of Toronto) March 31, 2017 16:00 to 17:00 Auditorium J. Coeur - 2nd floor
Session type: invited

 

This program was last updated on 2018-02-19 12:05:26 EDT