25th Symposium of the Society of Nonlinear Dynamics and Econometrics

Paris, France

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

Session
ID code
Date/TimeLocationTypeTitlePapers
1March 30, 2017
9:00-10:40
Room 677 / 6th floor contributed Empirical Macro: Anticipation, Expectations and Fiscal Policy3
2March 30, 2017
9:00-10:40
Room 676 / 6th floor contributed Forecasting in Finance3
3March 30, 2017
9:00-10:40
Room 674 / 6th floor contributed Finance: Market Microstructure4
4March 30, 2017
9:00-10:40
Room 611 / 6th floor contributed Empirical Macro: Topics in Monetary Policy and Consumer Spending4
5March 30, 2017
9:00-10:40
Room 678 / 6th floor contributed Empirical Macro: Labor Markets3
6March 30, 2017
9:00-10:40
Room 681 / 6th floor contributed Time Series: Volatility 13
7March 30, 2017
11:00-12:40
Room 677 / 6th floor contributed Time Series: Spillovers and Connectedness4
8March 30, 2017
11:00-12:40
Room 676 / 6th floor contributed Time Series: Volatility 23
9March 30, 2017
11:00-12:40
Room 674 / 6th floor contributed Finance: Financial Market Dynamics4
10March 30, 2017
11:00-12:40
Room 611 / 6th floor contributed Empirical Macro: Macro-Financial Linkages3
11March 30, 2017
11:00-12:40
Room 678 / 6th floor contributed Empirical Macro: Growth & Economic Integration4
12March 30, 2017
11:00-12:40
Room 681 / 6th floor contributed Empirical Macro: Methodology4
13March 30, 2017
14:00-15:40
Room 677 / 6th floor contributed Time Series: Testing for Nonlinearity4
14March 30, 2017
14:00-15:40
Room 676 / 6th floor contributed Empirical Macro: Uncertainty4
15March 30, 2017
14:00-15:40
Room 674 / 6th floor contributed Finance: Behavioral Finance4
16March 30, 2017
14:00-15:40
Room 611 / 6th floor contributed Empirical Macro: Monetary Policy4
17March 30, 2017
14:00-15:40
Room 678 / 6th floor contributed Finance: Financial Risk4
18March 30, 2017
14:00-15:40
Room 681 / 6th floor contributed Macro Theory: Heterogenous Beliefs & Macro Fluctuations4
19March 30, 2017
16:00-17:40
Room 677 / 6th floor contributed Time Series: Causality & Dependence4
20March 30, 2017
16:00-17:40
Room 676 / 6th floor contributed Macro Theory: Frictions4
21March 30, 2017
16:00-17:40
Room 674 / 6th floor contributed Finance: Banking and Derivatives4
22March 30, 2017
16:00-17:40
Room 611 / 6th floor contributed Empirical Macro: Policy at the Zero Lower Bound4
23March 30, 2017
16:00-17:40
Room 678 / 6th floor contributed Forecasting with Large Dimensional Datasets4
24March 30, 2017
16:00-17:40
Room 681 / 6th floor contributed Empirical Macro: Housing & Debt4
25March 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
26March 31, 2017
11:00-12:40
Auditorium J. Coeur - 2nd floor contributed Macro Theory in the Presence of a Zero Lower Bound4
27March 31, 2017
11:00-12:40
Room 677 / 6th floor contributed Empirical Macro: Output Volatility4
28March 31, 2017
11:00-12:40
Room 676 / 6th floor contributed Time Series: Inference4
29March 31, 2017
11:00-12:40
Room 674 / 6th floor contributed Finance: Financial Econometrics4
30March 31, 2017
11:00-12:40
Room 611 / 6th floor contributed Forecasting Methodology3
31March 31, 2017
14:00-15:40
Room Auditorium J. Coeur - 2nd floor contributed Macro Theory: Inflation Persistence4
32March 31, 2017
14:00-15:40
Room 677 / 6th floor contributed Time Series: Dependence4
33March 31, 2017
14:00-15:40
Room 676 / 6th floor contributed Empirical Macro: Cyclical Asymmetries3
34March 31, 2017
14:00-15:40
Room 674 / 6th floor contributed Finance: Volatility Modeling4
35March 31, 2017
14:00-15:40
Room 611 / 6th floor contributed Macroeconomic Forecasting4
36March 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 Shifts in a New Keynesian Model with a Time-varying 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 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
 

36 sessions, 128 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Akovali, UmutP17
2AL WAKIL, ANMARP34
3Aldrich, EricP3
4Arčabić, VladimirP14
5Badescu, AlexandruP21
6Baillie, RichardP28, C28
7Basistha, ArabindaP2
8Bec, FrederiqueP35
9Berenguer-Rico, VanessaP13
10Bjørnland, HildeP33, C33
11Blot, ChristopheP16
12Bluwstein, KristinaP10
13Boot, TomP13
14Bretscher, LorenzoP17
15Cakmakli, CemP2, C2
16Caporin, MassimilianoP29
17Cardani, RobertaP4, C4
18Cascaldi-Garcia, DaniloP14, C14
19Chang, YoosoonP19
20Chen, JingzhiP3
21Chen, Yu-FuP21
22De Visscher, StefP12
23Demetrescu, MateiP28
24Dennis, RichardP26
25Dobrev, DobrislavP3, C3
26Donayre, LuiggiP16
27Ellington, MichaelP16
28Eo, YunjongP2
29Eraslan, SercanP34
30Fang, HaoP19
31Ferrara, LaurentP7, C7
32Fosten, JackP30
33Fries, SebastienP32
34Fry-McKibbin, ReneeP33
35Ftiti, ZiedP29, C29
36Furlanetto, FrancescoP24, C24
37Galvao, Ana BeatrizP35, C35
38Gómez-Loscos, AnaP11
39Gibbs, ChristopherP1, C1
40Guzman, MartinP18
41Higgins, RichardP20
42Hillmann, BenjaminP29
43Hordahl, PeterP3
44Hutter, ChristianP5
45Iseringhausen, MartinP27
46Jahan-Parvar, MohammadP21
47Jo, SoojinP27
48Juelsrud, RagnarP9, C9
49Kamber, GunesP4
50Karanasos, MenelaosP8
51Knotek II, EdwardP4
52Kotchoni, RachidiP23, C23
53Kruse, RobinsonP30, C30
54Kyriakopoulou, DimitraP6, C6
55Lansing, KevinP26, C26
56Larsen, VegardP14
57Lazaryan, NikaP20, C20
58Lee, JunsooP12, C12
59Leiva-Leon, DaniloP23
60Lepetit, AntoineP14
61Leymarie, JérémyP17, C17
62Lie, DennyP31
63Lohmeyer, JanP7
64Lopez, PierlauroP17
65Lu, YangP6
66Lubik, ThomasP18, C18
67Luo, Shikong (Scott)P24
68Maoz, YishayP18
69MARIE Silvere, MBOMEP11
70Markiewicz, AgnieszkaP10
71Martinez-Garcia, EnriqueP22
72Martins, SusanaP9
73Mazur, BłażejP9
74McCrorie, RoderickP32, C32
75Mertens, ElmarP35
76Mesters, GeertP7
77Morana, ClaudioP10, C10
78Morley, JamesP27, C27
79Murasawa, YasutomoP12
80Natvik, GisleP24
81Nelimarkka, JaakkoP1
82Nelson, CharlesP28
83Nguyen, AnhP1
84Nielsen, BentP19, C19
85Otto, SvenP13
86Paccagnini, AlessiaP31
87Panovska, IrinaP33
88Parente, Paulo M.D.C.P30
89Park, Yang-HoP34, C34
90Pitarakis, Jean-YvesP13, C13
91Pröhl, ElisabethP18
92Prono, ToddP6
93Raffinot, ThomasP23
94Rho, SeunghwaP28
95Richter, AlexanderP22
96Robstad, ØrjanP11, C11
97Rodríguez Caballero, CarlosP19
98Rossi, BarbaraP22, C22
99Santos, AntonioP34
100Schaumburg, JuliaP21, C21
101Sekkel, RodrigoP35
102Seneca, MartinP26
103Shao, LinP20
104Siklos, PierreP22
105Sinclair, TaraP5, C5
106Soberon, AlexandraP29
107Staccioli, JacopoP15
108Startz, RichardP11
109Staveley-O'Carroll, JamesP31
110Sucarrat, GenaroP8, C8
111Sun, HangP7
112Telg, SeanP32
113ter Ellen, SaskiaP15, C15
114Tillmann, PeterP4
115Tortorice, DanielP24
116Uluceviz, ErhanP9
117Van Zandweghe, WillemP31, C31
118VANNIER, BrendanP27
119Vidal-Tomas, DavidP15
120Weber, EnzoP5
121WIjler, EtiënneP23
122Will, MichaelP32
123Wong, BenjaminP12
124Zhang, JiP26
125Zheng, HuanhuanP15
126Zheng, XinP8
127Zivanovic, JelenaP20
128Zubairy, SarahP16, C16

 

This program was last updated on 2017-03-30 09:44:47 EDT