26th Symposium of the Society of Nonlinear Dynamics and Econometrics

Keio University / Tokyo, Japan

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

Date/TimeLocationTitlePapers
March 19, 2018
9:00-10:40
Room 471 Session 1: Empirical Macro and Finance4
March 19, 2018
9:00-10:40
Room 472 Session 2: Exchange Rate and Global Integration4
March 19, 2018
9:00-10:40
Room 473 Session 3: Learning and Indeterminacy4
March 19, 2018
9:00-10:40
Room 475 Session 4: Labor Market I4
March 19, 2018
9:00-10:40
Room 476 Session 5: Inflation4
March 19, 2018
9:00-10:40
Room 477 Session 6: Macroeconomic Effects of Higher-order Moments4
March 19, 2018
11:10-12:10
Room 475 Session 7: Plenary I - John Stachurski, Australian National University0
March 19, 2018
13:40-15:20
Room 473 Session 10: Risk and Financial Frictions4
March 19, 2018
13:40-15:20
Room 475 Session 11: Open Economy4
March 19, 2018
13:40-15:20
Room 476 Session 12: Macro Volatility4
March 19, 2018
13:40-15:20
Room 477 Session 13: Fiscal Policy4
March 19, 2018
13:40-15:20
Room 471 Session 8: Estimation and Inference4
March 19, 2018
13:40-15:20
Room 472 Session 9: Time Series Forecasting4
March 19, 2018
15:50-17:30
Room 472 Session 14: Bond Market3
March 19, 2018
15:50-17:30
room 473 Session 15: Markov Switching4
March 19, 2018
15:50-17:30
Room 475 Session 16: Special Session in Honor of Kazuo Nishimura3
March 19, 2018
15:50-17:30
Room 476 Session 17: Uncertainty4
March 19, 2018
15:50-17:30
Room 477 Session 18: Econometric Methods4
March 20, 2018
9:00-10:40
Room 471 Session 19: Nonlinear Models I4
March 20, 2018
9:00-10:40
Room 472 Session 20: Financial Econometrics I4
March 20, 2018
9:00-10:40
Room 473 Session 21: Forecasting and Finance4
March 20, 2018
9:00-10:40
Room 475 Session 22: Macroeconomic Theory4
March 20, 2018
9:00-10:40
Room 476 Session 23: Unconventional Monetary Policy4
March 20, 2018
9:00-10:40
Room 477 Session 24: Liquidity Trap4
March 20, 2018
11:10-12:10
Room 475 Session 25: Plenary II - Chang-Jin Kim, University of Washington1
March 20, 2018
13:40-15:20
Room 471 Session 26: Econometric Methods4
March 20, 2018
13:40-15:20
Room 472 Session 27: Forecasting Macro Fluctuations4
March 20, 2018
13:40-15:20
Room 473 Session 28: Macro-Prudential Policy4
March 20, 2018
13:40-15:20
Room 475 Session 29: Aging and Fiscal Policy4
March 20, 2018
13:40-15:20
Room 476 Session 30: Financial Econometrics II4
March 20, 2018
13:40-15:20
Room 477 Session 31: Household: Consumption and Labor Supply4
March 20, 2018
15:50-17:30
Room 471 Session 32: Market Frictions and Volatility4
March 20, 2018
15:50-17:30
Room 472 Session 33: Nonlinear Models II3
March 20, 2018
15:50-17:30
Room 473 Session 34: Forecasting Energy and Macro4
March 20, 2018
15:50-17:30
Room 475 Session 35: Monetary Policy Regime Change4
March 20, 2018
15:50-17:30
Room 476 Session 36: Monetary Policy4
March 20, 2018
15:50-17:30
Room 477 Session 37: Labor Market II4
 

37 sessions, 138 papers, and 0 presentations with no associated papers


 

26th Symposium of the Society of Nonlinear Dynamics and Econometrics

Detailed List of Sessions

 
Session: Session 6: Macroeconomic Effects of Higher-order Moments
March 19, 2018 9:00 to 10:40
Room 477
 
Session Chair: Thiago Ferreira, Federal Reserve Board
 

A New Way to Quantify the Effect of Uncertainty
By Alexander Richter; Federal Reserve Bank of Dallas
Nathaniel Throckmorton; College of William & Mary
   presented by: Nathaniel Throckmorton, College of William & Mary
 

The Finance-Uncertainty Multiplier
By Ivan Alfaro; BI Norwegian Business School
Nicholas Bloom; Stanford University
Xiaoji Lin; Ohio State University
   presented by: Ivan Alfaro, BI Norwegian Business School
 

News-Driven Uncertainty Fluctuations
By Dongho Song; Boston College
Jenny Tang; Federal Reserve Bank of Boston
   presented by: Jenny Tang, Federal Reserve Bank of Boston
 

Stock Market Cross-Section Skewness and Business Cycle Fluctuations
By Thiago Ferreira; Federal Reserve Board
   presented by: Thiago Ferreira, Federal Reserve Board
 
Session: Session 5: Inflation
March 19, 2018 9:00 to 10:40
Room 476
 
Session Chair: Luis Uzeda, Bank of Canada
 

Global Factors and Trend Inflation
By Gunes Kamber; Bank for International Settlements
Benjamin Wong; Reserve Bank of New Zealand
   presented by: Gunes Kamber, Bank for International Settlements
 

Measuring Inflation Expectations Uncertainty Using High-Frequency Data
By Joshua Chan
Yong Song; University of Melbourne
   presented by: Joshua Chan,
 

Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve
By Yasufumi Gemma; Bank of Japan
Takushi Kurozumi; Bank of Japan
Mototsugu Shintani; University of Tokyo
   presented by: Mototsugu Shintani, University of Tokyo
 

Understanding Trend Inflation Through the Lens of the Goods and Services Sector
By Yunjong Eo; University of Sydney
Luis Uzeda; Bank of Canada
Benjamin Wong; Reserve Bank of New Zealand
   presented by: Luis Uzeda, Bank of Canada
 
Session: Session 4: Labor Market I
March 19, 2018 9:00 to 10:40
Room 475
 
Session Chair: Ioana Moldovan, University of Glasgow
 

Counteracting Unemployment in Crises: Non-Linear Effects of Short-Time Work Policy
By Britta Gehrke; Friedrich-Alexander Universität Erlangen-Nürnberg
Brigitte Hochmuth; Friedrich-Alexander University Erlangen-Nuremberg (FAU)
   presented by: Britta Gehrke, Friedrich-Alexander Universität Erlangen-Nürnberg
 

Intra-industry Trade, Involuntary Unemployment and Indeterminacy
By Antoine Le Riche; Sichuan University
   presented by: Antoine Le Riche, Sichuan University
 

Employment, Wages and Optimal Monetary Policy
By Junzhu Zhao; Nanjing Audit University
Martin Bodenstein; Federal Reserve Board
   presented by: Junzhu Zhao, Nanjing Audit University
 

Stabilisation Policy in a New Keynesian Model with Job Search, Skills Erosion and Growth Effects
By Ioana Moldovan; University of Glasgow
   presented by: Ioana Moldovan, University of Glasgow
 
Session: Session 3: Learning and Indeterminacy
March 19, 2018 9:00 to 10:40
Room 473
 
Session Chair: Fabio Milani, University of California, Irvine
 

A Unified Theory of Learning to Forecast
By George Evans; University of Oregon
Christopher Gibbs; UNSW Australia
Bruce McGough; University of Oregon
   presented by: Christopher Gibbs, UNSW Australia
 

Indeterminacy in Search Theory of Money: Bilateral vs. Multilateral Trades
By So Kubota; University of Tokyo
   presented by: So Kubota, University of Tokyo
 

Sunspot Fluctuations in Infinite-Horizon Models: A General Analysis
By Frederic Dufourt; Aix-Marseille University
Kazuo Nishimura; Kobe University
Alain Venditti; AMSE-AMU-CNRS
   presented by: Frederic Dufourt, Aix-Marseille University
 

Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle
By Pratiti Chatterjee; University of California, Irvine
Fabio Milani; University of California, Irvine
   presented by: Fabio Milani, University of California, Irvine
 
Session: Session 2: Exchange Rate and Global Integration
March 19, 2018 9:00 to 10:40
Room 472
 
Session Chair: Everett Grant, Federal Reserve Bank of Dallas
 

Signed Spillover Effects Building on Historical Decompositions
By Pierre Siklos; Wilfrid Laurier University
Mardi Dungey; University of Tasmania
John Harvey; University of Tasmania
Vladimir Volkov; University of Tasmania
   presented by: Pierre Siklos, Wilfrid Laurier University
 

Global Financial Interconnectedness: A Non-Linear Assessment of the Uncertainty Channel
By Laurent Ferrara; Banque de France
Bertrand Candelon; University Maastricht
Marc Joets; Banque de France
   presented by: Laurent Ferrara, Banque de France
 

The Winner Takes it All: Predicting Exchange Rates with Google Trends
By Agnieszka Markiewicz; Erasmus University Rotterdam
Ralph Verhoeks; Erasmus University Rotterdam
Willem Verschoor; VU University Amsterdam
Remco Zwinkels; Vrije Universiteit Amsterdam
   presented by: Remco Zwinkels, Vrije Universiteit Amsterdam
 

The Double-Edge Sword of Global Integration: Robustness, Fragility & Contagion in the International Firm Network
By Julieta Yung; Bates College
Everett Grant; Federal Reserve Bank of Dallas
   presented by: Everett Grant, Federal Reserve Bank of Dallas
 
Session: Session 1: Empirical Macro and Finance
March 19, 2018 9:00 to 10:40
Room 471
 
Session Chair: Renee Fry-McKibbin, Australian National University
 

Estimating Finance-Neutral Output Gaps
By Tino Berger; University of Goettingen
Julia Richter; University of Goettingen
   presented by: Julia Richter, University of Goettingen
 

Testing for Time Variation in the Natural Rate of Interest
By Tino Berger; University of Goettingen
Bernd Kempa; University of Muenster
   presented by: Tino Berger, University of Goettingen
 

Integration and Disintegration of EMU Government Bond Markets
By Christian Leschinski; Leibniz Universität Hannover
Michelle Voges; Leibniz University Hannover
Philipp Sibbertsen; Leibniz Universitaet Hannover
   presented by: Michelle Voges, Leibniz University Hannover
 

Measuring Financial Interdependence in Asset Returns With an Application to Euro Zone Equities
By Renee Fry-McKibbin; Australian National University
Cody Yu-Ling Hsiao; The University of New South Wales
Vance Martin; University of Melbourne
   presented by: Renee Fry-McKibbin, Australian National University
 
Session: Session 7: Plenary I - John Stachurski, Australian National University
March 19, 2018 11:10 to 12:10
Room 475
 
Session Chair: Ippei Fujiwara, Australian National University
 
Session: Session 13: Fiscal Policy
March 19, 2018 13:40 to 15:20
Room 477
 
Session Chair: Etsuro Shioji, Hitotsubashi University
 

Non-Linear Effects of the Financial Cycle on Fiscal Multipliers
By André Casalis; University of York
   presented by: André Casalis, University of York
 

Dynamic Fiscal Limits and Monetary-Fiscal Policy Interactions
By Giovanni Callegari; ECB
Niccolò Battistini; European Central Bank
Luca Zavalloni; U. Warwick
   presented by: Giovanni Callegari, ECB
 

The Asymmetric Effects of U.S. and U.K. Taxes on Revenue: Two Points on the Laffer Curve?
By Paul Jones; Pepperdine University
Eric Olson; West Virginia University
   presented by: Paul Jones, Pepperdine University
 

Fiscal Confidence Shocks and the Market for the Japanese Government Bonds
By Etsuro Shioji; Hitotsubashi University
   presented by: Etsuro Shioji, Hitotsubashi University
 
Session: Session 12: Macro Volatility
March 19, 2018 13:40 to 15:20
Room 476
 
Session Chair: Hilde Bjørnland, BI Norwegian Business School
 

Measuring U.S. Time Series Volatility During the Great Moderation: A Big Data Approach
By Isaiah Hull; Sveriges Riksbank
   presented by: Isaiah Hull, Sveriges Riksbank
 

Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity
By Bao Nguyen; Australian National University
Tatsuyoshi Okimoto; Australian National University
   presented by: Tatsuyoshi Okimoto, Australian National University
 

Time-Varying Fiscal Multipliers Identified with Sign and Zero Restrictions: A Bayesian Approach to TVP-VAR-SV model
By Hirokuni Iiboshi; Tokyo Metropolitan University
Yasuharu Iwata; Permanent Delegation of Japan to the OECD
   presented by: Hirokuni Iiboshi, Tokyo Metropolitan University
 

The Shale Oil Boom and the U.S. Economy
By Hilde Bjørnland; BI Norwegian Business School
Julia Zhulanova; BI Norwegian Business School
   presented by: Hilde Bjørnland, BI Norwegian Business School
 
Session: Session 11: Open Economy
March 19, 2018 13:40 to 15:20
Room 475
 
Session Chair: Anthony Savagar, University of Kent
 

International Bond Risk Premia, Currency of Denomination, and Macroeconomic (In)stability
By Shu-Hua Chen; National Taipei University
   presented by: Shu-Hua Chen, National Taipei University
 

On the Sustainability of the International Monetary Policy Cooperation
By Thang Doan; National Graduate Institute for Policy Studies
   presented by: Thang Doan, National Graduate Institute for Policy Studies
 

The Extensive Margin of Trade and Monetary Policy
By Yuko Imura; Bank of Canada
Malik Shukayev; University of Alberta
   presented by: Yuko Imura, Bank of Canada
 

Firm Entry Regulation, Scale Economies and Labor Responses in a Small Open Economy
By Anthony Savagar; University of Kent
   presented by: Anthony Savagar, University of Kent
 
Session: Session 9: Time Series Forecasting
March 19, 2018 13:40 to 15:20
Room 472
 
Session Chair: Edward Sun, KEDGE Business School
 

Testing for Linearity of Factors: Empirical Evidence from US Data
By Marian Vavra; National Bank of Slovakia
   presented by: Marian Vavra, National Bank of Slovakia
 

Dynamic Scenario Analysis via Bridge Sampling
By Jin-Chuan Duan; National University of Singapore
Yanqi Zhu; National University of Singapore
   presented by: Yanqi Zhu, National University of Singapore
 

An Agnostic Approach to Time Series Forecasting
By Ming Lo; Metropolitan State University
Kwok Ping Tsang; Virginia Tech
   presented by: Ming Lo, Metropolitan State University
 

Jump Detection and Noise Separation by Singular Wavelet Method for Forecasting with High-Frequency Data
By Edward Sun; KEDGE Business School
   presented by: Edward Sun, KEDGE Business School
 
Session: Session 10: Risk and Financial Frictions
March 19, 2018 13:40 to 15:20
Room 473
 
Session Chair: Alexander Meyer-Gohde, University of Hamburg
 

Shocking the Borrowing Constraint over the Financial Cycle: Evidence of Non-linearities
By Cyril Couaillier; Banque de France
Valerio Scalone; Banque de France
   presented by: Cyril Couaillier, Banque de France
 

Risk Matters: Breaking Certainty Equivalence
By Juan Carlos Parra Alvarez; University of Aarhus
Hamza Polattimur; Universität Hamburg
Olaf Posch; Universität Hamburg
   presented by: Hamza Polattimur, Universität Hamburg
 

Credit Conditions and the Effects of Economic Shocks: Amplification and Asymmetries
By Andrea Carriero; Queen Mary Univerity of London
Ana Beatriz Galvao; Warwick Business School
Massimiliano Marcellino; Bocconi University
   presented by: Ana Beatriz Galvao, University of Warwick
 

Risk-Sensitive Linear Approximations
By Alexander Meyer-Gohde; University of Hamburg
   presented by: Alexander Meyer-Gohde, University of Hamburg
 
Session: Session 8: Estimation and Inference
March 19, 2018 13:40 to 15:20
Room 471
 
Session Chair: Dong Hwan Oh, Federal Reserve Board
 

Perpetual Learning and Apparent Long Memory
By Guillaume Chevillon; ESSEC Business School
Sophocles Mavroeidis; Oxford University
   presented by: Guillaume Chevillon, ESSEC Business School
 

Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models
By Daniel Buncic; Sveriges Riksbank
   presented by: Daniel Buncic, Sveriges Riksbank
 

Asymptotic Validity of Bootstrap Methods for a Structural Break in Trend
By Seong Yeon Chang; Soongsil University
   presented by: Seong Yeon Chang, Soongsil University
 

Estimation and Inference for Large Panel Copula Models
By Dong Hwan Oh; Federal Reserve Board
Cavit Pakel; Bilkent University
Andrew Patton; Duke University
   presented by: Dong Hwan Oh, Federal Reserve Board
 
Session: Session 18: Econometric Methods
March 19, 2018 15:50 to 17:30
Room 477
 
Session Chair: Menelaos Karanasos, Brunel University
 

Historical Decompositions for Nonlinear Vector Autoregression Models
By Benjamin Wong; Reserve Bank of New Zealand
   presented by: Benjamin Wong, Reserve Bank of New Zealand
 

Independent and Conditionally Independent Counterfactual Distributions
By Marcin Wolski; European Investment Bank
   presented by: Marcin Wolski, European Investment Bank
 

DSGE-VAR for a Model Evaluation Revisited
By Jae-Yoon Kim; Virginia Tech
   presented by: Jae-Yoon Kim, Virginia Tech
 

A Uni…fied Theory for the Family of Time Varying Models with ARMA Representations: One Solution Fi…ts All
By Alessandra Canepa; Brunel University
Menelaos Karanasos; Brunel University
Alexandros Paraskevopoulos; University of Piraeus
   presented by: Menelaos Karanasos, Brunel University
 
Session: Session 17: Uncertainty
March 19, 2018 15:50 to 17:30
Room 476
 
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
 

Amplification Effects of News Shocks Through Uncertainty
By Danilo Cascaldi-Garcia; University of Warwick
   presented by: Danilo Cascaldi-Garcia, University of Warwick
 

Empirical Evidence on the Dynamics of Investment Under Uncertainty in the US
By Leandro M. Magnusson; University Western Australia
Kazuki Tomioka; University of Western Australia
Rodney Tyers; The University of Western Australia
   presented by: Kazuki Tomioka, University of Western Australia
 

Competition, Uncertainty, and Productivity Dispersion
By Kaoru Hosono; Gakushuin University
Miho Takizawa; Toyo University
Kenta Yamanouchi; Keio University
   presented by: Kenta Yamanouchi, Keio University
 

The Nonlinear Effects of Uncertainty Shocks
By Laura Jackson Young; Bentley University
Kevin Kliesen; Federal Reserve Bank of St. Louis
Michael Owyang; Federal Reserve Bank of St Louis
   presented by: Michael Owyang, Federal Reserve Bank of St Louis
 
Session: Session 16: Special Session in Honor of Kazuo Nishimura
March 19, 2018 15:50 to 17:30
Room 475
 
Session Chair: Ippei Fujiwara, Australian National University
 

The Nishimura-Yano Example of Optimal Chaos and the Leontief-Shinkai Model of Economic Growth
By Liuchun Deng; Halle Institute for Economic Research
Minako Fujio; Yokohama National University
M Ali Khan; The Johns Hopkins University
   presented by: Liuchun Deng, Halle Institute for Economic Research
 

A Nonlinear Approach to Growth and Structural Change: Towards a Theory of the Fall of the Labor Share
By Harutaka Takahshi; Meiji Gakuin University
   presented by: Harutaka Takahshi, Meiji Gakuin University
 

Two-Sided Altruism and Time Inconsistency
By Kazuo Nishimura; Kobe University
   presented by: Kazuo Nishimura, Kobe University
 
Session: Session 15: Markov Switching
March 19, 2018 15:50 to 17:30
room 473
 
Session Chair: Douglas Steigerwald, University of California, Santa Barbara
 

Markov-Switching Models with Unknown Error Distributions
By Shih-Tang Hwu; University of Washington
Chang-Jin Kim; University of Washington
   presented by: Shih-Tang Hwu, University of Washington
 

Likelihood Inference for Dynamic Linear Models with Markov Switching Parameters: On the Efficiency of the Kim Filter
By Young Min Kim; Korea University
Kyu Ho Kang; Korea university
   presented by: Young Min Kim, Korea University
 

Building Multiplicative Time-Varying Smooth Transition Conditional Correlation GARCH Models
By Anthony Hall; University of Technology Sydney
Annastiina Silvennoinen; Queensland University of Technology
Timo Terasvirta; Aarhus University
   presented by: Annastiina Silvennoinen, Queensland University of Technology
 

Detecting Regime Switching: Analytic Power
By Douglas Steigerwald; University of California, Santa Barbara
   presented by: Douglas Steigerwald, University of California, Santa Barbara
 
Session: Session 14: Bond Market
March 19, 2018 15:50 to 17:30
Room 472
 
Session Chair: Kyu Ho Kang, Korea university
 

Mildly Explosive Dynamics in U.S. Fixed Income Markets
By Silvio Contessi; Monash Business School
Pierangelo De Pace; Pomona College
   presented by: Pierangelo De Pace, Pomona College
 

Some Financial Implications of Global Warming: An Empirical Assessment
By Claudio Morana; University Milano Bicocca
   presented by: Claudio Morana, University Milano Bicocca
 

Stochastic Volatility Dynamic Nelson-Siegel Model with Time-Varying Factor Loadings and Correlated Factor Shock
By Ahjin Choi; Korea university, Economics
Kyu Ho Kang; Korea university
   presented by: Kyu Ho Kang, Korea university
 
Session: Session 24: Liquidity Trap
March 20, 2018 9:00 to 10:40
Room 477
 
Session Chair: Nicholas Johnson, Queensland University of Technology
 

Taxation, Credit Spreads and Liquidity Traps
By William Tayler; Lancaster University
Roy Zilberman; Lancaster University
   presented by: Roy Zilberman, Lancaster University
 

Modelling Occasionally Binding Constraints Using Regime-Switching
By Andrew Binning; Norges Bank
Junior Maih; Norges Bank
   presented by: Junior Maih, Norges Bank
 

Estimating the Nonlinear New Keynesian Model with the Zero Lower Bound for Japan
By Hirokuni Iiboshi; Tokyo Metropolitan University
Mototsugu Shintani; University of Tokyo
Kozo Ueda; Waseda University
   presented by: Kozo Ueda, Waseda University
 

The Taylor Rule and the Zero Lower Bound
By Stan Hurn; Queensland University of Technology
Nicholas Johnson; Queensland University of Technology
Annastiina Silvennoinen; Queensland University of Technology
Timo Terasvirta; Aarhus University
   presented by: Nicholas Johnson, Queensland University of Technology
 
Session: Session 23: Unconventional Monetary Policy
March 20, 2018 9:00 to 10:40
Room 476
 
Session Chair: Kyle Rechard, Clemson University
 

Myths and Observations on Unconventional Monetary Policy -- Takeaways from Post-Bubble Japan --
By Nao Sudo; Bank of Japan
   presented by: Nao Sudo, Bank of Japan
 

International Spillovers of Quantitative Easing
By Marcin Kolasa; Narodowy Bank Polski
   presented by: Marcin Kolasa, Narodowy Bank Polski
 

Asymmetries in Monetary Policy Uncertainty: New Evidence from Financial Forecasts
By Tatjana Dahlhaus; Bank of Canada
Tatevik Sekhposyan; Texas A&M University
   presented by: Tatevik Sekhposyan, Texas A&M University
 

Reverse Quantitative Easing: The Asymmetric Consequences of Shrinking the Federal Reserve Balance Sheet
By Kyle Rechard; Clemson University
   presented by: Kyle Rechard, Clemson University
 
Session: Session 22: Macroeconomic Theory
March 20, 2018 9:00 to 10:40
Room 475
 
Session Chair: Toan Phan, Federal Reserve Bank of Richmond
 

On Financial Risk, Growth, and Long-Run Risk
By Jesus Fernandez-Villaverde; University of Pennsylvania
Pablo Guerron-Quintana; Boston College
Ryo Jinnai; Hitotsubashi University
Munechika Katayama; Waseda University
   presented by: Munechika Katayama, Waseda University
 

Real Business Cycles, Animal Spirits, and Stock Market Valuation
By Kevin Lansing; Federal Reserve Bank of San Francisco
   presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
 

Monetary-Fiscal Policy Mix and Risks of Nominal Bonds
By Erica Li; Cheung Kong Graduate School of Business
Ji Zhang; Tsinghua University
Hao Zhou; Tsinghua University
   presented by: Ji Zhang, Tsinghua University
 

Bubbly Recessions
By Toan Phan; Federal Reserve Bank of Richmond
Andrew Hanson; University of North Carolina Chapel Hill
Siddhartha Biswas; University of North Carolina, Chapel Hill
   presented by: Toan Phan, Federal Reserve Bank of Richmond
 
Session: Session 21: Forecasting and Finance
March 20, 2018 9:00 to 10:40
Room 473
 
Session Chair: Yfanti Stavroula, Lancaster University
 

Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals
By Lorenzo Pozzi; Erasmus University Rotterdam
   presented by: Lorenzo Pozzi, Erasmus University Rotterdam
 

Time-varying Uncertainty and Exchange Rate Predictability
By Knut Are Aastveit; Norges Bank
Francesco Ravazzolo; Free University of Bozen/Bolzano
Herman van Dijk; Erasmus University Rotterdam
   presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano
 

Forecasting Stock Market Movements using Google Trend Searches
By Melody Huang; UCLA
Patrick Convery; UCLA
Randall Rojas; UCLA
   presented by: Melody Huang, UCLA
 

Stylized Facts for Extended HEAVY/GARCH Models and MEM: The Importance of Asymmetries, Power Transformations, Long Memory, Structural Breaks and Spillovers
By Menelaos Karanasos; Brunel University
YONGDENG XU; Cardiff Business School,Cardiff University
Yfanti Stavroula; Lancaster University
   presented by: Yfanti Stavroula, Lancaster University
 
Session: Session 20: Financial Econometrics I
March 20, 2018 9:00 to 10:40
Room 472
 
Session Chair: Zheng NAN, International Christian University
 

Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
By Ivan Paya; Lancaster University Management School
   presented by: Ivan Paya, Lancaster University Management School
 

Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement
By Xiangjin Shen; Bank of Canada
Elena Goldman; Pace University
   presented by: Xiangjin Shen, Bank of Canada
 

Real Risk or Paper Risk? Mis-Measured Factors, Granular Measurement Errors, and Empirical Aset Pricing Tests
By Sung Je Byun; Federal Reserve Bank of Dallas
Lawrence Schmidt; University of Chicago
   presented by: Sung Je Byun, Federal Reserve Bank of Dallas
 

Market Efficiency of the Bitcoin Exchange Rate: Applications to U.S. Dollar and Euro
By Zheng NAN; International Christian University
Taisei Kaizoji; International Christian University
   presented by: Zheng NAN, International Christian University
 
Session: Session 19: Nonlinear Models I
March 20, 2018 9:00 to 10:40
Room 471
 
Session Chair: Sebastien Fries, CREST, Paris-Saclay University
 

Detecting Time Irreversibility Using Quantile Autoregressive Models
By Alain Hecq; Maastricht University
Li Sun; Maastricht University, School of Business and Economics
   presented by: Alain Hecq, Maastricht University
 

A Fixed-b CUSUM Test for Change-in-Mean under Long Memory
By Kai Wenger; Leibniz University Hannover
Christian Leschinski; Leibniz Universität Hannover
Tristan Hirsch; Leibniz University Hanover
   presented by: Kai Wenger, Leibniz University Hannover
 

A Misspecification Test for Nonlinearity in Conditional Covariances
By Thomas Chuffart; Aix-Marseille University (Aix-Marseille
Bilel Sanhaji; Université Paris 8, LED
   presented by: Bilel Sanhaji, Université Paris 8, LED
 

On Anticipative Alpha-Stable Markov Processes and their Conditional Moments
By Sebastien Fries; CREST, Paris-Saclay University
   presented by: Sebastien Fries, CREST, Paris-Saclay University
 
Session: Session 25: Plenary II - Chang-Jin Kim, University of Washington
March 20, 2018 11:10 to 12:10
Room 475
 
Session Chair: Ippei Fujiwara, Australian National University
 

Non-Markovian Regime-Switching Models
By Chang-Jin Kim; University of Washington
Jaeho Kim; University of Oklahoma
   presented by: Chang-Jin Kim, University of Washington
 
Session: Session 31: Household: Consumption and Labor Supply
March 20, 2018 13:40 to 15:20
Room 477
 
Session Chair: Gisle Natvik, BI Norwegian Business School
 

New Dynamics of Consumption and Output
By Chang-Jin Kim; University of Washington
Dong Heon Kim; Korea University
CHUNJI XUAN; Jilin University
   presented by: CHUNJI XUAN, Jilin University
 

Likelihood-Based Estimates of Household Income Risk and Consumption Insurance
By Arpita Chatterjee; University of New South Wales
James Morley; University of Sydney
Aarti Singh; University of Sydney
   presented by: Aarti Singh, University of Sydney
 

Do Mincerian Wage Equations Inform How Schooling Influences Productivity?
By Christian Groth; University of Copenhagen
Jakub Growiec; Warsaw School of Economics & Narodowy Bank Polski
   presented by: Jakub Growiec, Warsaw School of Economics & Narodowy Bank Polski
 

MPC Heterogeneity and Household Balance Sheets
By Andreas Fagereng; Statistics Norway
Martin Holm; BI Norwegian Business School
Gisle Natvik; BI Norwegian Business School
   presented by: Gisle Natvik, BI Norwegian Business School
 
Session: Session 30: Financial Econometrics II
March 20, 2018 13:40 to 15:20
Room 476
 
Session Chair: Max Ole Liemen, Universität Hamburg
 

Finite Mixture of Regression Modeling for Exchange Market Pressures During the Financial Crisis: A Robust Bayesian Approach to Variable S
By Kuo-Jung Lee; National Cheng Kung University
   presented by: Kuo-Jung Lee, National Cheng Kung University
 

Measuring Market Expectations in the Presence of Unobserved Fundamentals: A Predictive System for Exchange Rates
By Yu-chin Chen; University of Washington
Chang-Jin Kim; University of Washington
Seojin Lee; Shanghai Lixin University of Accounting and Finance
   presented by: Seojin Lee, Shanghai Lixin University of Accounting and Finance
 

Linking Net Foreign Portfolio Debt and Equity to Exchange Rate Movements
By Malin Gardberg; Erasmus University Rotterdam
   presented by: Malin Gardberg, Erasmus University Rotterdam
 

Structural Estimation of Dynamic Macroeconomic Models Using Higher-Frequency Financial Data
By Max Ole Liemen; Universität Hamburg
Olaf Posch; Universität Hamburg
Michel van der Wel; Erasmus University Rotterdam
   presented by: Max Ole Liemen, Universität Hamburg
 
Session: Session 29: Aging and Fiscal Policy
March 20, 2018 13:40 to 15:20
Room 475
 
Session Chair: Keisuke Otsu, Keio University
 

Population Aging and the Real Interest Rate in the Last and Next 50 Years - A tale told by an Overlapping Generations Model
By Nao Sudo; Bank of Japan
Yasutaka Takizuka; Bank of Japan
   presented by: Yasutaka Takizuka, Bank of Japan
 

Natural Rate of Interest in Japan -- Measuring its Size and Identifying Drivers Based on a DSGE Model --
By Yosuke Okazaki
Nao Sudo; Bank of Japan
   presented by: Yosuke Okazaki,
 

Revisiting the Fiscal Theory of Sovereign Risk from a DSGE Viewpoint
By Eiji Okano; Nagoya City University
Kazuyuki Inagaki; Nagoya City University
   presented by: Eiji Okano, Nagoya City University
 

Population Aging, Government Policy and the Postwar Japanese Economy
By Keisuke Otsu; Keio University
Katsuyuki Shibayama; University of Kent
   presented by: Keisuke Otsu, Keio University
 
Session: Session 28: Macro-Prudential Policy
March 20, 2018 13:40 to 15:20
Room 473
 
Session Chair: Jelena Zivanovic, Bank of Canada
 

Welfare and Optimal Bank Capital Structure: A Macro-finance Approach
By Paul Luk; Hong Kong Baptist University
   presented by: Paul Luk, Hong Kong Baptist University
 

Coordinating Monetary and Financial Regulatory Policies
By Alejandro Van der Ghote; European Central Bank
   presented by: Alejandro Van der Ghote, European Central Bank
 

How Does the Housing Market Respond to Macroprudential Policies? The Case of Singapore
By Taojun Xie; Singapore Management University
   presented by: Taojun Xie, Singapore Management University
 

An Optimal Policy Mix for Segmented Credit Market
By Jelena Zivanovic; Bank of Canada
   presented by: Jelena Zivanovic, Bank of Canada
 
Session: Session 27: Forecasting Macro Fluctuations
March 20, 2018 13:40 to 15:20
Room 472
 
Session Chair: Sebastian Fossati, University of Alberta
 

Why has the U.S. Economy Stagnated Since the Great Recession?
By Yunjong Eo; University of Sydney
James Morley; University of Sydney
   presented by: James Morley, University of Sydney
 

Do Forecast Errors Matter for Inflation Targeters?
By Tara Sinclair; George Washington University
Pao-Lin Tien; George Washington University
   presented by: Pao-Lin Tien, George Washington University
 

Investigating the Inefficiency of the CBO's Budgetary Projections
By Natsuki Arai; National Chengchi University
   presented by: Natsuki Arai, National Chengchi University
 

Forecasting Recessions in Canada
By Sebastian Fossati; University of Alberta
Rodrigo Sekkel; Bank of Canada
Max Sties; University of Alberta
   presented by: Sebastian Fossati, University of Alberta
 
Session: Session 26: Econometric Methods
March 20, 2018 13:40 to 15:20
Room 471
 
Session Chair: Trino Niguez, Westminster Business School
 

An Alternative Explicit Formula for the Hodrick-Prescott Filter in Finite Sample
By Fatima Jahra; Hiroshima University
Hiroshi Yamada; Hiroshima University
   presented by: Fatima Jahra, Hiroshima University
 

Variable Selection Methods in High-dimensional Linear Regression: With Application to Determinants of the Financial Crisis
By Yi-Chi Chen; National Cheng Kung University
   presented by: Yi-Chi Chen, National Cheng Kung University
 

Nonparametric Quantile Regression for Double Censored Data with Application to Stock Markets with Price Limits
By Chi-Yang Chu; National Taipei University
   presented by: Chi-Yang Chu, National Taipei University
 

Semi-Nonparametric Distributions with Time-Varying Skewness and Kurtosis: Properties, Estimation and Applications to Portfolio Choice
By Angel Leon; Universidad de Alicante
Trino Niguez; Westminster Business School
   presented by: Trino Niguez, Westminster Business School
 
Session: Session 37: Labor Market II
March 20, 2018 15:50 to 17:30
Room 477
 
Session Chair: Sigurd Mølster Galaasen, Norges Bank
 

Zooming the Ins and Outs of the U.S. Unemployment with a Wavelet Lens
By Antonio Rua; Banco de Portugal
   presented by: Antonio Rua, Banco de Portugal
 

Jobless Recoveries and Time Variation in Labor Markets
By Irina Panovska; Lehigh University
   presented by: Irina Panovska, Lehigh University
 

Gender Composition and Changing Unemployment Dynamics
By Amy Guisinger; Lafayette College
Tara Sinclair; George Washington University
   presented by: Tara Sinclair, George Washington University
 

Mismatch and the Consequence of Job Loss
By Sigurd Mølster Galaasen; Norges Bank
Andreas Kostøl; Norges Bank
   presented by: Sigurd Mølster Galaasen, Norges Bank
 
Session: Session 36: Monetary Policy
March 20, 2018 15:50 to 17:30
Room 476
 
Session Chair: Drago Bergholt, Norges Bank Research
 

Central Bank Credibility and Inflation Expectations: A Microfounded Forecasting Approach
By Joao Issler; Getulio Vargas Foundation
Ana Flavia Santos; FGV
   presented by: Ana Flavia Santos, FGV
 

Measuring the Inflation-Unemployment Trade-Off
By Regis Barnichon; Federal Reserve Bank of San Francisco
Oscar Jorda; Federal Reserve Bank of San Francisco an
   presented by: Regis Barnichon, Federal Reserve Bank of San Francisco
 

Raising the Inflation Target in a Low Interest Rate Environment
By Yunjong Eo; University of Sydney
Denny Lie; The University of Sydney
   presented by: Yunjong Eo, University of Sydney
 

Optimal Price Stability for Commodity Producers
By Drago Bergholt; Norges Bank Research
   presented by: Drago Bergholt, Norges Bank Research
 
Session: Session 35: Monetary Policy Regime Change
March 20, 2018 15:50 to 17:30
Room 475
 
Session Chair: Daniel Soques, University of North Carolina at Wilmington
 

Identifying monetary Policy Shocks Through Different Regimes Under Burns, Volcker and Greenspan
By Srecko Zimic; European Central Bank
   presented by: Srecko Zimic, European Central Bank
 

Same Spain, Less Pain?
By Patricia Gomez-Gonzalez; Fordham University
Daniel Rees; Reserve Bank of Australia
   presented by: Daniel Rees, Reserve Bank of Australia
 

A Structural Investigation of Monetary Policy Shifts
By Yoosoon Chang; Indiana University
   presented by: Yoosoon Chang, Indiana University
 

Interest Rate Rules Across The Business Cycle
By Daniel Soques; University of North Carolina at Wilmington
   presented by: Daniel Soques, University of North Carolina at Wilmington
 
Session: Session 34: Forecasting Energy and Macro
March 20, 2018 15:50 to 17:30
Room 473
 
Session Chair: Valentin Pachenko,
 

Forecasting Energy Futures Volatility with Threshold Augmented Heterogeneous Autoregressive Jump Models
By Zied Ftiti; EDC Paris Business School, OCRE-Lab
Fredj Jawadi; University of Evry
   presented by: Fredj Jawadi, University of Evry
 

High Dimensionality Models and Forecasting
By Alessia Paccagnini; University College Dublin
   presented by: Alessia Paccagnini, University College Dublin
 

Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
By Angelica Gianfreda; Free University of Bozen-Bolzano
Francesco Ravazzolo; Free University of Bozen/Bolzano
Luca Rossini; Free University of Bozen
   presented by: Luca Rossini, Free University of Bozen
 

Bayesian Estimation of the Heuristic Switching Model
By Mikhail Anufriev; University of Technology Sydney
Cars Hommes; University of Amsterdam
Valentyn Panchenko; University of New South Wales
   presented by: Valentin Pachenko,
 
Session: Session 33: Nonlinear Models II
March 20, 2018 15:50 to 17:30
Room 472
 
Session Chair: Geert Mesters, Universitat Pompeu Fabra
 

The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772---2016
By Changli He; Tianjin University of Finance and Economics
Timo Terasvirta; Aarhus University
   presented by: Timo Terasvirta, Aarhus University
 

Nonlinear Vector Autoregression using Radial Basis Function Neural Network
By Nobuyuki Kanazawa; Hitotsubashi University
   presented by: Nobuyuki Kanazawa, Hitotsubashi University
 

Nonlinear Dynamic Factor Models with Interacting Level and Volatility
By Siem Jan Koopman; Vrije Universiteit Amsterdam
Geert Mesters; Universitat Pompeu Fabra
Bernd Schwaab; European Central Bank
   presented by: Geert Mesters, Universitat Pompeu Fabra
 
Session: Session 32: Market Frictions and Volatility
March 20, 2018 15:50 to 17:30
Room 471
 
Session Chair: Yang-Ho Park, Federal Reserve Board
 

Toxic Arbitrage and Price Discovery
By Kolja Johannsen; University of Warwick
   presented by: Kolja Johannsen, University of Warwick
 

Endogenous Participation, Risk, and Learning in the Stock Market
By Michael Shin; University of California, Irvine
   presented by: Michael Shin, University of California, Irvine
 

Trade Frictions in Decentralized Markets: An Experimental Study
By Burcu Kapar; American University in Dubai
Giulia Iori; City University London
Eva Camacho; Autonomous University of Madrid
Simone Alfarano; University Jaume I
   presented by: Burcu Kapar, American University in Dubai
 

The VIX in the Spotlight: Attention Formation and Volatility Forecasting
By Yang-Ho Park; Federal Reserve Board
   presented by: Yang-Ho Park, Federal Reserve Board
 

37 sessions, 138 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Alfaro, IvanP1
2Arai, NatsukiP30
3Barnichon, RegisP33
4Berger, TinoP6
5Bergholt, DragoP33, C33
6Bjørnland, HildeP9, C9
7Buncic, DanielP13
8Byun, Sung JeP23
9Callegari, GiovanniP8
10Casalis, AndréP8
11Cascaldi-Garcia, DaniloP15
12Chan, JoshuaP2
13Chang, Seong YeonP13
14Chang, YoosoonP34
15Chen, Shu-HuaP10
16Chen, Yi-ChiP31
17Chevillon, GuillaumeP13
18Chu, Chi-YangP31
19Couaillier, CyrilP12
20De Pace, PierangeloP18
21Deng, LiuchunP16
22Doan, ThangP10
23Dufourt, FredericP4
24Eo, YunjongP33
25Ferrara, LaurentP5
26Ferreira, ThiagoP1, C1
27Fossati, SebastianP30, C30
28Fries, SebastienP24, C24
29Fry-McKibbin, ReneeP6, C6
30Fujiwara, IppeiC7, C16, C25
31Galaasen, Sigurd MølsterP32, C32
32Galvao, Ana BeatrizP12
33Gardberg, MalinP27
34Gehrke, BrittaP3
35Gibbs, ChristopherP4
36Grant, EverettP5, C5
37Growiec, JakubP26
38Hecq, AlainP24
39Huang, MelodyP22
40Hull, IsaiahP9
41Hwu, Shih-TangP17
42Iiboshi, HirokuniP9
43Imura, YukoP10
44Jahra, FatimaP31
45Jawadi, FredjP35
46Johannsen, KoljaP37
47Johnson, NicholasP19, C19
48Jones, PaulP8
49Kamber, GunesP2
50Kanazawa, NobuyukiP36
51Kang, Kyu HoP18, C18
52Kapar, BurcuP37
53Karanasos, MenelaosP14, C14
54Katayama, MunechikaP21
55Kim, Chang-JinP25
56Kim, Young MinP17
57Kim, Jae-YoonP14
58Kolasa, MarcinP20
59Kubota, SoP4
60Lansing, KevinP21
61Le Riche, AntoineP3
62Lee, SeojinP27
63Lee, Kuo-JungP27
64Liemen, Max OleP27, C27
65Lo, MingP11
66Luk, PaulP29
67Maih, JuniorP19
68Mesters, GeertP36, C36
69Meyer-Gohde, AlexanderP12, C12
70Milani, FabioP4, C4
71Moldovan, IoanaP3, C3
72Morana, ClaudioP18
73Morley, JamesP30
74NAN, ZhengP23, C23
75Natvik, GisleP26, C26
76Niguez, TrinoP31, C31
77Nishimura, KazuoP16
78Oh, Dong HwanP13, C13
79Okano, EijiP28
80Okazaki, YosukeP28
81Okimoto, TatsuyoshiP9
82Otsu, KeisukeP28, C28
83Owyang, MichaelP15, C15
84Paccagnini, AlessiaP35
85Pachenko, ValentinP35, C35
86Panovska, IrinaP32
87Park, Yang-HoP37, C37
88Paya, IvanP23
89Phan, ToanP21, C21
90Polattimur, HamzaP12
91Pozzi, LorenzoP22
92Ravazzolo, FrancescoP22
93Rechard, KyleP20, C20
94Rees, DanielP34
95Richter, JuliaP6
96Rossini, LucaP35
97Rua, AntonioP32
98Sanhaji, BilelP24
99Santos, Ana FlaviaP33
100Savagar, AnthonyP10, C10
101Sekhposyan, TatevikP20
102Shen, XiangjinP23
103Shin, MichaelP37
104Shintani, MototsuguP2
105Shioji, EtsuroP8, C8
106Siklos, PierreP5
107Silvennoinen, AnnastiinaP17
108Sinclair, TaraP32
109Singh, AartiP26
110Soques, DanielP34, C34
111Stavroula, YfantiP22, C22
112Steigerwald, DouglasP17, C17
113Sudo, NaoP20
114Sun, EdwardP11, C11
115Takahshi, HarutakaP16
116Takizuka, YasutakaP28
117Tang, JennyP1
118Terasvirta, TimoP36
119Throckmorton, NathanielP1
120Tien, Pao-LinP30
121Tomioka, KazukiP15
122Ueda, KozoP19
123Uzeda, LuisP2, C2
124Van der Ghote, AlejandroP29
125Vavra, MarianP11
126Voges, MichelleP6
127Wenger, KaiP24
128Wolski, MarcinP14
129Wong, BenjaminP14
130Xie, TaojunP29
131XUAN, CHUNJIP26
132Yamanouchi, KentaP15
133Zhang, JiP21
134Zhao, JunzhuP3
135Zhu, YanqiP11
136Zilberman, RoyP19
137Zimic, SreckoP34
138Zivanovic, JelenaP29, C29
139Zwinkels, RemcoP5

 

This program was last updated on 2018-03-18 21:23:05 EDT