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

Date/Time	Location	Title	Papers
March 19, 2018 9:00-10:40	Room 471	Session 1: Empirical Macro and Finance	4
March 19, 2018 9:00-10:40	Room 472	Session 2: Exchange Rate and Global Integration	4
March 19, 2018 9:00-10:40	Room 473	Session 3: Learning and Indeterminacy	4
March 19, 2018 9:00-10:40	Room 475	Session 4: Labor Market I	4
March 19, 2018 9:00-10:40	Room 476	Session 5: Inflation	4
March 19, 2018 9:00-10:40	Room 477	Session 6: Macroeconomic Effects of Higher-order Moments	4
March 19, 2018 11:10-12:10	Room 475	Session 7: Plenary I - John Stachurski, Australian National University	0
March 19, 2018 13:40-15:20	Room 473	Session 10: Risk and Financial Frictions	4
March 19, 2018 13:40-15:20	Room 475	Session 11: Open Economy	4
March 19, 2018 13:40-15:20	Room 476	Session 12: Macro Volatility	4
March 19, 2018 13:40-15:20	Room 477	Session 13: Fiscal Policy	4
March 19, 2018 13:40-15:20	Room 471	Session 8: Estimation and Inference	4
March 19, 2018 13:40-15:20	Room 472	Session 9: Time Series Forecasting	4
March 19, 2018 15:50-17:30	Room 472	Session 14: Bond Market	3
March 19, 2018 15:50-17:30	room 473	Session 15: Markov Switching	4
March 19, 2018 15:50-17:30	Room 475	Session 16: Special Session in Honor of Kazuo Nishimura	3
March 19, 2018 15:50-17:30	Room 476	Session 17: Uncertainty	4
March 19, 2018 15:50-17:30	Room 477	Session 18: Econometric Methods	4
March 20, 2018 9:00-10:40	Room 471	Session 19: Nonlinear Models I	4
March 20, 2018 9:00-10:40	Room 472	Session 20: Financial Econometrics I	4
March 20, 2018 9:00-10:40	Room 473	Session 21: Forecasting and Finance	4
March 20, 2018 9:00-10:40	Room 475	Session 22: Macroeconomic Theory	4
March 20, 2018 9:00-10:40	Room 476	Session 23: Unconventional Monetary Policy	4
March 20, 2018 9:00-10:40	Room 477	Session 24: Liquidity Trap	4
March 20, 2018 11:10-12:10	Room 475	Session 25: Plenary II - Chang-Jin Kim, University of Washington	1
March 20, 2018 13:40-15:20	Room 471	Session 26: Econometric Methods	4
March 20, 2018 13:40-15:20	Room 472	Session 27: Forecasting Macro Fluctuations	4
March 20, 2018 13:40-15:20	Room 473	Session 28: Macro-Prudential Policy	4
March 20, 2018 13:40-15:20	Room 475	Session 29: Aging and Fiscal Policy	4
March 20, 2018 13:40-15:20	Room 476	Session 30: Financial Econometrics II	4
March 20, 2018 13:40-15:20	Room 477	Session 31: Household: Consumption and Labor Supply	4
March 20, 2018 15:50-17:30	Room 471	Session 32: Market Frictions and Volatility	4
March 20, 2018 15:50-17:30	Room 472	Session 33: Nonlinear Models II	3
March 20, 2018 15:50-17:30	Room 473	Session 34: Forecasting Energy and Macro	4
March 20, 2018 15:50-17:30	Room 475	Session 35: Monetary Policy Regime Change	4
March 20, 2018 15:50-17:30	Room 476	Session 36: Monetary Policy	4
March 20, 2018 15:50-17:30	Room 477	Session 37: Labor Market II	4

 

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 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 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 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 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 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; Monash University
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; Monash University
presented by: Luis Uzeda, Bank of Canada
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 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 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 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 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 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 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 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 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 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 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 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 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; Monash University
presented by: Benjamin Wong, Monash University
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 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 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 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 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 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 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 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 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 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 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: T 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 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 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 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 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
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 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 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 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 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

 

This program was last updated on 2020-02-24 13:50:19 EDT