27th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics

Federal Reserve Bank of Dallas

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

Date/TimeLocationTitlePapers
March 28, 2019
9:00-10:40
Tejas Session 1: Unconventional Monetary Policy4
March 28, 2019
9:00-10:40
Navarro Session 2: Assessing Effects of Uncertainty I4
March 28, 2019
9:00-10:40
LaSalle Session 3: Labor Markets4
March 28, 2019
9:00-10:40
Dona Ana Session 4: Stock Markets4
March 28, 2019
9:00-10:40
Bexar Session 5: Time-Varying Parameters4
March 28, 2019
9:00-10:40
Goliad Session 6: Macroeconomic Forecasting4
March 28, 2019
11:10-12:50
Tejas Session 7: Oil Prices and Macro4
March 28, 2019
11:10-12:50
Navarro Session 8: Forecasting4
March 28, 2019
11:10-12:50
LaSalle Session 9: Transmission through Economic Networks4
March 28, 2019
11:10-12:50
Dona Ana Session 10: Sovereign Debt/Exchange Rates4
March 28, 2019
11:10-12:50
Bexar Session 11: Financial Frictions4
March 28, 2019
11:10-12:50
Goliad Session 12: Monetary Policy in Uncertain Environments4
March 28, 2019
14:00-15:00
Auditorium Plenary I: Barbara Rossi, "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It And What Have We Learned?"0
March 28, 2019
15:30-17:10
Tejas Session 13: Zero Lower Bound4
March 28, 2019
15:30-17:10
Navarro Session 14: Output Gaps, Natural Unemployment and Interest Rates4
March 28, 2019
15:30-17:10
LaSalle Session 15: Financial Frictions and the Macroeconomy4
March 28, 2019
15:30-17:10
Dona Ana Session 16: Nonlinear Models I4
March 28, 2019
15:30-17:10
Bexar Session 17: Inflation Dynamics and Forecasts4
March 28, 2019
15:30-17:10
Goliad Session 18: Social Security and Macro4
March 29, 2019
9:00-10:40
Tejas Session 19: Monetary Policy and Financial Markets4
March 29, 2019
9:00-10:40
Navarro Session 20: Assessing the Effects of Uncertainty II4
March 29, 2019
9:00-10:40
LaSalle Session 21: Regime Switches/Policy Reforms4
March 29, 2019
9:00-10:40
Dona Ana Session 22: Business Cycle and News4
March 29, 2019
9:00-10:40
Bexar Session 23: Econometric Studies of Housing4
March 29, 2019
9:00-10:40
Goliad Session 24: Machine Learning4
March 29, 2019
11:10-12:50
Tejas Session 25: Nonstationarity, Cointegration and Long Memory4
March 29, 2019
11:10-12:50
Navarro Session 26: Empirical Macro and Finance4
March 29, 2019
11:10-12:50
Lasalle Session 27: Inflation and Financial Linkages4
March 29, 2019
11:10-12:50
Dona Ana Session 28: Nonlinear Models II4
March 29, 2019
11:10-12:50
Bexar Session 29: Cryptocurrencies and Macro Models3
March 29, 2019
11:10-12:50
Goliad Session 30: Labor Markets/Investment/Consumption Expenditures4
March 29, 2019
14:00-15:00
Auditorium Plenary II: Frank Schorfheide, "Piecewise Linear DSGE Models"0
March 29, 2019
15:30-17:10
Tejas Session 31: Econometrics Techniques4
March 29, 2019
15:30-17:10
Navarro Session 32: Fiscal Policies4
March 29, 2019
15:30-17:10
Lasalle Session 33: Cointegration4
March 29, 2019
15:30-17:10
Dona Ana Session 34: Monetary Policy4
March 29, 2019
15:30-17:10
Bexar Session 35: International Finance and Trade4
 

37 sessions, 139 papers, and 0 presentations with no associated papers


 

27th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics

Detailed List of Sessions

 
Session: Session 1: Unconventional Monetary Policy
March 28, 2019 9:00 to 10:40
Tejas
 
Session Chair: Garo Garabedian, Central Bank of Ireland, Ghent University
 

Understanding the Aspects of Federal Reserve Forward Guidance
By Kurt Lunsford; Federal Reserve Bank of Cleveland
   presented by: Kurt Lunsford, Federal Reserve Bank of Cleveland
 

The Macroeconomic Effects of Forward Communication
By Ørjan Robstad; Norges Bank
Leif Brubakk; Norges Bank
Saskia ter Ellen; Norges Bank
Hong Xu; Norges Bank
   presented by: Ørjan Robstad, Norges Bank
 

Reverse Quantitative Easing: What are the macroeconomic consequences of shrinking the Federal Reserve's balance sheet?
By Kyle Rechard; Clemson University
   presented by: Kyle Rechard, Clemson University
 

Could a Large Scale Asset Purchase Programme Have Mitigated the Great Depression?
By Garo Garabedian; Central Bank of Ireland, Ghent University
Rebecca Stuart; Central Bank of Ireland
   presented by: Garo Garabedian, Central Bank of Ireland, Ghent University
 
Session: Session 2: Assessing Effects of Uncertainty I
March 28, 2019 9:00 to 10:40
Navarro
 
Session Chair: Pratiti Chatterjee, University of New South Wales
 

Uncertainty Matters: Evidence from Close Election
By Christopher Redl; Bank of England
   presented by: Christopher Redl, Bank of England
 

Monetary Policy Uncertainty: A Tale of Two Tails
By Tatjana Dahlhaus; Bank of Canada
Tatevik Sekhposyan; Texas A&M University
   presented by: Tatevik Sekhposyan, Texas A&M University
 

Model Uncertainty and the Direction of Fit of the Postwar U.S. Phillips Curve(s)
By Francesca Rondina; University of Ottawa
   presented by: Francesca Rondina, University of Ottawa
 

Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle
By Fabio Milani; University of California, Irvine
Pratiti Chatterjee; University of New South Wales
   presented by: Pratiti Chatterjee, University of New South Wales
 
Session: Session 3: Labor Markets
March 28, 2019 9:00 to 10:40
LaSalle
 
Session Chair: Daniela Hauser, Bank of Canada
 

The Cyclical Behavior of Labor Force Participation
By Didem Tuzemen; Federal Reserve Bank of Kansas City
Willem Van Zandweghe; Federal Reserve Bank of Kansas City
   presented by: Willem Van Zandweghe, Federal Reserve Bank of Kansas City
 

Uncertainty and Labor Market Fluctuations
By Soojin Jo; Federal Reserve Bank of Dallas
   presented by: Soojin Jo, Federal Reserve Bank of Dallas
 

A Look at Jobless Recoveries in G-7 Countries
By Ahmed Elroukh; Lehigh University
Alex Nikolsko-Rzhevskyy; Lehigh University
Irina Panovska; Lehigh University
   presented by: Irina Panovska, Lehigh University
 

Labor Mobility in a Monetary Union
By Daniela Hauser; Bank of Canada
Martin Seneca; Bank of England
   presented by: Daniela Hauser, Bank of Canada
 
Session: Session 4: Stock Markets
March 28, 2019 9:00 to 10:40
Dona Ana
 
Session Chair: Laura Jackson Young, Bentley University
 

Monetary Shock Measurement and Stock Markets
By Arabinda Basistha; West Virginia University
Richard Startz; University of California, Santa Barbara
   presented by: Arabinda Basistha, West Virginia University
 

The Effects of Upside, Downside, Small and Large Jumps on Stock Return Predictability
By Bruce Mizrach; Rutgers University
   presented by: Bruce Mizrach, Rutgers University
 

Speculative Dynamics in the Chinese Stock Market: Evidence from Cross-Listed Stocks
By Efthymios Pavlidis; Lancaster University Management School
Kostas Vasilopoulos; Lancaster University Management School
   presented by: Efthymios Pavlidis, Lancaster University Management School
 

International Stock Comovements with Endogenous Clusters
By Laura Coroneo; University of York
Laura Jackson Young; Bentley University
Michael Owyang; Federal Reserve Bank of St Louis
   presented by: Laura Jackson Young, Bentley University
 
Session: Session 5: Time-Varying Parameters
March 28, 2019 9:00 to 10:40
Bexar
 
Session Chair: Philippe Goulet Coulombe, University of Pennsylvania
 

A New Unified Theory for the Large Family of Time Series Models with ARMA Representations and Varying Coefficients: One Solution Fits All
By Menelaos Karanasos; Brunel University
alexandros paraskevopoulos; University of Piraeus
Alessandra Canepa; university of torino
   presented by: Menelaos Karanasos, Brunel University
 

Large Hybrid Time-Varying Parameter VARs
By Joshua Chan; Purdue University
   presented by: Joshua Chan, Purdue University
 

Endogenous Time-Variation in Vector Autoregressions
By Luis Uzeda; Bank of Canada
Danilo Leiva Leon; Bank of Spain
   presented by: Luis Uzeda, Bank of Canada
 

Sparse and Dense Time-varying Parameters Models using Ridge Regressions
By Philippe Goulet Coulombe; University of Pennsylvania
   presented by: Philippe Goulet Coulombe, University of Pennsylvania
 
Session: Session 6: Macroeconomic Forecasting
March 28, 2019 9:00 to 10:40
Goliad
 
Session Chair: Laurent Ferrara, Banque de France
 

Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts
By Julien Champagne; Bank of Canada
Guillaume Poulin-Bellisle; Bank of Canada
Rodrigo Sekkel; Bank of Canada
   presented by: Rodrigo Sekkel, Bank of Canada
 

Construction of Leading Economic Index for Recession Prediction using Vine Copulas
By Kajal Lahiri; State University New York Albany
Liu Yang; Nanjing University
   presented by: Kajal Lahiri, State University New York Albany
 

Measuring GDP Growth Data Uncertainty
By Ana Beatriz Galvao; University of Warwick
James Mitchell; University of Warwick
   presented by: Ana Beatriz Galvao, University of Warwick
 

Short-Term Macroeconomic Forecasting and Turning Point Detection after the Great Recession
By Laurent Ferrara; Banque de France
Catherine Doz; Université Paris 1
Pierre-Alain PIONNIER; OECD
   presented by: Pierre-Alain PIONNIER, OECD
 
Session: Session 7: Oil Prices and Macro
March 28, 2019 11:10 to 12:50
Tejas
 
Session Chair: Laura Moretti, European Central Bank
 

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
By Christiane Baumeister; University of Notre Dame
James Hamilton; University of California, San Diego
   presented by: Christiane Baumeister, University of Notre Dame
 

The Macroeconomic Effects of Oil Supply Shocks: New Evidence from OPEC Announcements
By Diego Känzig; London Business School
   presented by: Diego Känzig, London Business School
 

Closer to One Great Pool? Evidence from Structural Breaks in Oil Price Differentials
By Michael Plante; Federal Reserve Bank of Dallas
Grant Strickler
   presented by: Michael Plante, Federal Reserve Bank of Dallas
 

News, Noise and Oil Price Swings
By Luca Gambetti; Collegio Carlo Alberto
Laura Moretti; European Central Bank
   presented by: Laura Moretti, European Central Bank
 
Session: Session 8: Forecasting
March 28, 2019 11:10 to 12:50
Navarro
 
Session Chair: Michael McCracken, Federal Reserve Bank of St. Louis
 

The Bias-Variance Trade-off in Multistep Forecasting and Predictive Regressions at Intermediate and Long Horizons
By Guillaume Chevillon; ESSEC Business School
   presented by: Guillaume Chevillon, ESSEC Business School
 

Sequential Bayesian Estimation of Vector Autoregressions with Stochastic Volatility
By Mark Bognanni; Federal Reserve Bank of Cleveland
   presented by: Mark Bognanni, Federal Reserve Bank of Cleveland
 

Censoring and Fat Tails on the Bank of England's Monetary Policy Committee
By James Mitchell; University of Warwick
Martin Weale; Kings College London
   presented by: James Mitchell, University of Warwick
 

Binary Conditional Forecasts
By Michael McCracken; Federal Reserve Bank of St. Louis
Michael Owyang; Federal Reserve Bank of St Louis
   presented by: Michael McCracken, Federal Reserve Bank of St. Louis
 
Session: Session 9: Transmission through Economic Networks
March 28, 2019 11:10 to 12:50
LaSalle
 
Session Chair: Pierre Siklos, Wilfrid Laurier University
 

Upstream, Downstream & Common Firm Shocks
By Everett Grant; Federal Reserve Bank of Dallas
Julieta Yung; Bates College
   presented by: Everett Grant, Federal Reserve Bank of Dallas
 

Sectoral Heterogeneity, Production Networks, and the Effects of Government Spending
By Omar Rachedi; Banco de España
   presented by: Omar Rachedi, Banco de España
 

Propagation of Micro and Macro Shocks
By Sinem Hacioglu Hoke; Bank of England
   presented by: Sinem Hacioglu Hoke, Bank of England
 

Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach
By Christian Gross; European Systemic Risk Board, European Central Bank
Pierre Siklos; Wilfrid Laurier University
   presented by: Pierre Siklos, Wilfrid Laurier University
 
Session: Session 10: Sovereign Debt/Exchange Rates
March 28, 2019 11:10 to 12:50
Dona Ana
 
Session Chair: Renee Fry-McKibbin, Australian National University
 

Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO
By Tatsuma Wada; Keio University
   presented by: Tatsuma Wada, Keio University
 

The Pricing of Sovereign Risk Under Costly Information
By Grace GU; UC Santa Cruz
Zachary Stangebye; University of Notre Dame
   presented by: Grace GU, UC Santa Cruz
 

Sovereign Debt, Collateral Policy, and Default Risk
By Matthias Kaldorf; University of Cologne
Joost Roettger; University of Cologne
   presented by: Matthias Kaldorf, University of Cologne
 

An Analysis of Comoment Relations in Currency Markets
By Renee Fry-McKibbin; Australian National University
Matthew Greenwood-Nimmo; University of Melbourne
Cody Yu-Ling Hsiao; Macau University of Science and Technology
   presented by: Renee Fry-McKibbin, Australian National University
 
Session: Session 11: Financial Frictions
March 28, 2019 11:10 to 12:50
Bexar
 
Session Chair: Kristine Koponen, University of Helsinki
 

Measuring Financial Cycle Time
By Andrew Filardo; Bank for International Settlements
Marco Lombardi; Bank for International Settlements
Marek Raczko; Barclays Bank PLC
   presented by: Andrew Filardo, Bank for International Settlements
 

A Sparse Measure of Liquidity, and the Impact of Monetary Policy
By Garo Garabedian; Central Bank of Ireland, Ghent University
   presented by: Garo Garabedian, Central Bank of Ireland, Ghent University
 

Fueling the Credit Crisis
By Tingting Zhu; Unversity of California, Davis
   presented by: Tingting Zhu, Unversity of California, Davis
 

Financial Dependence and Endogenous Entry of Firms in Emerging Economies
By Kristine Koponen; University of Helsinki
   presented by: Kristine Koponen, University of Helsinki
 
Session: Session 12: Monetary Policy in Uncertain Environments
March 28, 2019 11:10 to 12:50
Goliad
 
Session Chair: Craig Fratrik, Duke University
 

A New Measure of Monetary Policy Shocks
By Xu Zhang; University of California, San Diego
   presented by: Xu Zhang, University of California, San Diego
 

Robust Optimal Monetary Policy Under Heterogeneous Beliefs
By David Finck; Justus-Liebig University Giessen
   presented by: David Finck, Justus-Liebig University Giessen
 

Performance of Simple Interest Rate Rules Subject to Fiscal Policy
By Nigel McClung
   presented by: Nigel McClung,
 

Intermediate Commitment, Temptation, and Central Banks
By Craig Fratrik; Duke University
   presented by: Craig Fratrik, Duke University
 
Session: Plenary I: Barbara Rossi, "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It And What Have We Learned?"
March 28, 2019 14:00 to 15:00
Auditorium
 
Session Chair: Carlos Zarazaga, Federal Reserve Bank of Dallas
 
Session: Session 13: Zero Lower Bound
March 28, 2019 15:30 to 17:10
Tejas
 
Session Chair: Ragnar Juelsrud, Norges Bank
 

Monetary Policy Options in a `Low for Long' Era
By Richard Harrison; Bank of England
Martin Seneca; Bank of England
Matthew Waldron; Bank of England
   presented by: Martin Seneca, Bank of England
 

Variance Decomposition Analysis for Nonlinear DSGE Models: An Application with ZLB
By Maksim Isakin; Cleveland State University, Economics
Phuong Ngo; Cleveland State University
   presented by: Phuong Ngo, Cleveland State University
 

What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices
By Thomas Mertens; Federal Reserve Bank of San Francisco
   presented by: Thomas Mertens, Federal Reserve Bank of San Francisco
 

Negative Nominal Interest Rates and the Bank Lending Channel
By Gauti Eggertsson; Brown University
Ragnar Juelsrud; Norges Bank
Ella Wold; Brown University
   presented by: Ragnar Juelsrud, Norges Bank
 
Session: Session 14: Output Gaps, Natural Unemployment and Interest Rates
March 28, 2019 15:30 to 17:10
Navarro
 
Session Chair: Ivan Mendieta-Munoz, University of Utah
 

Norges Banks Output Gap Estimates: Cyclical Sensitivity, Real-Time Evaluation and Forecasting Properties
By Francesco Furlanetto; Norges Bank
Ørjan Robstad; Norges Bank
   presented by: Francesco Furlanetto, Norges Bank
 

The Duration Structure of Unemployment Hazards and the Natural Rate of Unemployment
By Hie Joo Ahn; Federal Reserve Board
   presented by: Hie Joo Ahn, Federal Reserve Board
 

Estimating the Natural Interest Rate of the Euro Area with Reduced Uncertainty
By Tino Berger; University of Goettingen
Bernd Kempa; University of Muenster
   presented by: Tino Berger, University of Goettingen
 

Are Long-Run Output Growth Rates Falling?
By Ivan Mendieta-M; University of Utah
   presented by: Ivan Mendieta-Munoz, University of Utah
 
Session: Session 15: Financial Frictions and the Macroeconomy
March 28, 2019 15:30 to 17:10
LaSalle
 
Session Chair: Junior Maih, Norges Bank
 

Estimating Financial Frictions under Learning
By Patrick Pintus; CNRS-InSHS and Aix-Marseille University
Jacek Suda; Narodowy Bank Polski
Mehmet Turgut; Bocconi University
   presented by: Jacek Suda, Narodowy Bank Polski
 

DSGE Models with Financial Frictions: Does Frequency Matter?
By Claudia Foroni; European Central Bank
Paolo Gelain; Federal Reserve Bank of Cleveland
Massimiliano Marcellino; Bocconi University
   presented by: Paolo Gelain, Federal Reserve Bank of Cleveland
 

Trade Liberalization, Local Credit Supply, and Amplified Impacts in the Presence of Financial Frictions in U.S. Banking Industry
By Sung Je Byun; Federal Reserve Bank of Dallas
Seung Hoon Lee; Georgia Institute of Technology
   presented by: Sung Je Byun, Federal Reserve Bank of Dallas
 

When Do Financial Frictions Really Matter for the Macroeconomy?: A Structural Regime-Switching Investigation
By Hilde Bjørnland; BI Norwegian Business School
Junior Maih; Norges Bank
Yasin Mimir; Norges Bank
   presented by: Junior Maih, Norges Bank
 
Session: Session 16: Nonlinear Models I
March 28, 2019 15:30 to 17:10
Dona Ana
 
Session Chair: Zehao Li, University of Wisconsin-Madison
 

Adaptive Learning in Nonlinear Models
By Richard Higgins; Colgate University
   presented by: Richard Higgins, Colgate University
 

A New Approach to Multivariate Beveridge-Nelson Decomposition
By Chang-Jin Kim; University of Washington
Jun Ma; Northeastern University
   presented by: Jun Ma, Northeastern University
 

Improved Methods for Combining Point Forecasts for an Asymmetrically Distributed Variable
By Ozer Karagedikli; The South East Asian Central Banks Research and Training (SEACEN) Centre
Shaun Vahey; Warwick University
Liz Wakerly; CAMA
   presented by: Ozer Karagedikli, The South East Asian Central Banks Research and Training (SEACEN) Centre
 

Leverage of the Intermediary and the Transmission of Monetary Policy
By Zehao Li; University of Wisconsin-Madison
   presented by: Zehao Li, University of Wisconsin-Madison
 
Session: Session 17: Inflation Dynamics and Forecasts
March 28, 2019 15:30 to 17:10
Bexar
 
Session Chair: Yunjong Eo, University of Sydney
 

Is Euro Area Lowflation Here to Stay? Insights from a Time-Varying Parameter Model with Survey Data.
By Arnoud Stevens; National Bank Belgium
Joris Wauters; National Bank of Belgium and Ghent University
   presented by: Arnoud Stevens, National Bank Belgium
 

Global Factors and Trend Inflation
By Gunes Kamber; Bank for International Settlements
Benjamin Wong; Monash University
   presented by: Benjamin Wong, Monash University
 

News-Driven Inflation Expectations and Information Rigidities
By Vegard Larsen; Norges Bank
Leif Anders Thorsrud; Norges Bank
Julia Zhulanova; BI Norwegian Business School
   presented by: Julia Zhulanova, BI Norwegian Business School
 

Changes in the Inflation Target and the Comovement between Inflation and the Nominal Interest Rate
By Yunjong Eo; University of Sydney
Denny Lie; The University of Sydney
   presented by: Yunjong Eo, University of Sydney
 
Session: Session 18: Social Security and Macro
March 28, 2019 15:30 to 17:10
Goliad
 
Session Chair: Nick Pretnar, Carnegie Mellon University, Tepper School of Business
 

Earnings Inequality And Income Redistribution Through Social Security
By Pavel Brendler; University of Bonn
   presented by: Pavel Brendler, University of Bonn
 

Efficiency Versus Insurance: The Role for Fiscal Policy in Social Security Privatization
By Joanna Tyrowicz; FAME|GRAPE
Krzysztof Makarski; Warsaw School of Economics and Narodowy Bank Polski
Oliwia Komada; Warsaw School of Economics, GRAPE|FAME
   presented by: Joanna Tyrowicz, FAME|GRAPE
 

Political (In)Stability of Social Security
By Oliwia Komada
Krzysztof Makarski; Warsaw School of Economics and Narodowy Bank Polski
Joanna Tyrowicz; FAME|GRAPE
   presented by: Oliwia Komada,
 

The Costs and Benefits of Caring: Aggregate Burdens of an Aging Population
By Finn Kydland; University of California, Santa Barbara
Nicholas Pretnar; Carnegie Mellon University
   presented by: Nick Pretnar, Carnegie Mellon University, Tepper School of Business
 
Session: Session 19: Monetary Policy and Financial Markets
March 29, 2019 9:00 to 10:40
Tejas
 
Session Chair: Hilde Bjørnland, BI Norwegian Business School
 

Macroeconomic Effects of Collateral Price Fluctuations and Financial Shocks
By Aicha Kharazi; University of Rome II Tor Vergata
   presented by: Aicha Kharazi, University of Rome II Tor Vergata
 

Measuring the Cost of U.S. Housing Policy
By Richard Condor Castillo; Banco de Mexico
   presented by: Richard Condor Castillo, Banco de Mexico
 

Anticipated House Purchases and Household Consumption
By Isaac Gross; Monash University
   presented by: Isaac Gross, Monash University
 

Is Monetary Policy Always Effective? Incomplete Interest Rate Pass-through in a DSGE Model
By Hilde Bjørnland; BI Norwegian Business School
Andrew Binning; Norges Bank
Junior Maih; Norges Bank
   presented by: Hilde Bjørnland, BI Norwegian Business School
 
Session: Session 20: Assessing the Effects of Uncertainty II
March 29, 2019 9:00 to 10:40
Navarro
 
Session Chair: Christopher Gibbs, The University of Sydney
 

Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates
By Magnus Reif; ifo Institute
   presented by: Magnus Reif, ifo Institute
 

International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach
By Jamie Cross; BI Norwegian Business School
Chenghan Hou; Hunan University
Aubrey Poon; University of Strathclyde
   presented by: Jamie Cross, BI Norwegian Business School
 

The Term Structure of Uncertainty: New Evidence from Survey Expectations
By Carola Binder; Haverford College
Tucker McElroy; U.S. Census Bureau
Xuguang Simon Sheng; American University
   presented by: Carola Binder, Haverford College
 

Optimal Monetary Policy at the ZLB with Imperfect Knowledge
By Christopher Gibbs; The University of Sydney
Bruce Preston; The University of Melbourne
   presented by: Christopher Gibbs, The University of Sydney
 
Session: Session 21: Regime Switches/Policy Reforms
March 29, 2019 9:00 to 10:40
LaSalle
 
Session Chair: Sarah Zubairy, Texas A&M University
 

Contagious Switching
By Michael Owyang; Federal Reserve Bank of St Louis
Jeremy Piger; University of Oregon
Daniel Soques; University of North Carolina Wilmington
   presented by: Daniel Soques, University of North Carolina Wilmington
 

Non-Markovian Regime-Switching Models
By Jaeho Kim; University of Oklahoma
   presented by: Jaeho Kim, University of Oklahoma
 

Do They Hurt? Macroeconomic Effects of Reforms on Three Diverse Oil Exporters: Russia, Saudi Arabia and the UK
By Marco Lorusso; Northumbria University
Samya Beidas-Strom; International Monetary Fund,
   presented by: Marco Lorusso, Northumbria University
 

Pension Reforms in OECD Countries: Narrative Evidence
By Huixin Bi; Federal Reserve Bank of Kansas City
Sarah Zubairy; Texas A&M University
   presented by: Sarah Zubairy, Texas A&M University
 
Session: Session 22: Business Cycle and News
March 29, 2019 9:00 to 10:40
Dona Ana
 
Session Chair: Danilo Cascaldi-Garcia, Federal Reserve Board
 

Distributional Imbalances and the U.S. Business Cycle
By Nikolaos Charalampidis; University of California, Irvine
   presented by: Nikolaos Charalampidis, University of California, Irvine
 

Business Cycle Narratives
By Vegard Larsen; Norges Bank
Leif Anders Thorsrud; Norges Bank
   presented by: Vegard Larsen, Norges Bank
 

Forecasting Japanese Inflation with News-Based Business Cycle Indexes
By Keiichi Goshima; Bank of Japan
Hiroshi Ishijima; Chuo University
Mototsugu Shintani; University of Tokyo
Hiroki Yamamoto; Bank of Japan
   presented by: Mototsugu Shintani, University of Tokyo
 

Forecast Revisions as Instruments for News Shocks
By Danilo Cascaldi-Garcia; Federal Reserve Board
   presented by: Danilo Cascaldi-Garcia, Federal Reserve Board
 
Session: Session 23: Econometric Studies of Housing
March 29, 2019 9:00 to 10:40
Bexar
 
Session Chair: Knut Are Aastveit, Norges Bank
 

Understanding Comovements of House Prices: Evidence from U.S. Cities
By Chi-Young Choi; University of Texas Arlington
   presented by: Chi-Young Choi, University of Texas Arlington
 

Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World
By Enrique Martinez-Garcia; Federal Reserve Bank of Dallas
Valerie Grossman; Federal Reserve Bank of Dallas
   presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
 

Housing (Un)affordability and Systemic Risk
By Efthymios Pavlidis; Lancaster University Management School
Ivan Paya; Lancaster University Management School
Alex Skouralis; Lancaster University
   presented by: Ivan Paya, Lancaster University Management School
 

Changing Supply Elasticities and Regional Housing Booms
By Knut Are Aastveit; Norges Bank
Bruno Albuquerque; Ghent University
Andre Anundsen; Norges Bank
   presented by: Knut Are Aastveit, Norges Bank
 
Session: Session 24: Machine Learning
March 29, 2019 9:00 to 10:40
Goliad
 
Session Chair: Dalibor Stevanovic, Université du Québec à Montréal
 

Unit Root Tests and Machine Learning
By Yamin Ahmad; University of Wisconsin - Whitewater
Adam Check; University of St. Thomas
Ming Lo; Metropolitan State University
   presented by: Adam Check, University of St. Thomas
 

Predicting the Distribution of Inflation Expectations: A Machine Learning Perspective
By Yamin Ahmad; University of Wisconsin - Whitewater
Yanif Ahmad; Google
   presented by: Yamin Ahmad, University of Wisconsin - Whitewater
 

Break or No Break? Identifying Structural Breaks using Classical, Bayesian and Machine Learning Approaches
By Yamin Ahmad; University of Wisconsin - Whitewater
Adam Check; University of St. Thomas
Ming Lo; Metropolitan State University
   presented by: Ming Lo, Metropolitan State University
 

How is Machine Learning Useful for Macroeconomic Forecasting?
By Philippe Goulet Coulombe; University of Pennsylvania
Maxime Leroux; Université du Québec à Montréal
Stephane Surprenant; Université du Québec à Montréal
Dalibor Stevanovic; Université du Québec à Montréal
   presented by: Dalibor Stevanovic, Université du Québec à Montréal
 
Session: Session 25: Nonstationarity, Cointegration and Long Memory
March 29, 2019 11:10 to 12:50
Tejas
 
Session Chair: Richard Baillie, Michigan State University
 

How Important is Modeling Long Memory in Realized Volatility?
By Richard Baillie; Michigan State University
   presented by: Richard Baillie, Michigan State University
 

Econometric Analysis of Functional Dynamics in the Presence of Persistence
By Yoosoon Chang; Indiana University
Bo Hu; Peking University
Joon Park; Indiana University
   presented by: Yoosoon Chang, Indiana University
 

Panel Unit Root Tests with Smooth Structural Changes and A Factor Structure
By Margie Tieslau; University of North Texas
Junsoo Lee; University of Alabama
   presented by: Margie Tieslau, University of North Texas
 

Testing Frequency Domain Causality for Cointegrated Tme Series
By Yanfeng Wei; Jiangxi University of Finance and Economics
   presented by: Yanfeng Wei, Jiangxi University of Finance and Economics
 
Session: Session 26: Empirical Macro and Finance
March 29, 2019 11:10 to 12:50
Navarro
 
Session Chair: Nathaniel Throckmorton, William & Mary
 

New Tests of Expectation Formation with Applications to Asset Pricing Models
By Pei Kuang; University of Birmingham
Renbin Zhang; Universitat Autonoma de Barcelona and Barcelona GSE
Tongbin Zhang; Shanghai University of Finance and Economics
   presented by: Pei Kuang, University of Birmingham
 

Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?
By Kevin Lansing; Federal Reserve Bank of San Francisco
Stephen LeRoy; UC Santa Barbara
Jun Ma; Northeastern University
   presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
 

How Learning from Macroeconomic Experiences Shapes the Yield Curve
By Kasper Jørgensen; Federal Reserve Board
   presented by: Kasper Jørgensen, Federal Reserve Board
 

Valuation Risk Revalued
By Oliver de Groot; University of St Andrews
Alexander Richter; Federal Reserve Bank of Dallas
Nathaniel Throckmorton; William & Mary
   presented by: Nathaniel Throckmorton, William & Mary
 
Session: Session 27: Inflation and Financial Linkages
March 29, 2019 11:10 to 12:50
Lasalle
 
Session Chair: Peter Lihn Jorgensen, UC Berkeley
 

International Macro-Financial Linkages Matter: Estimating Finance-Neutral Output Gaps in G7 Countries
By Tino Berger; University of Goettingen
Julia Richter; University of Goettingen
   presented by: Julia Richter, University of Goettingen
 

Fiscal Multipliers and Financial Crises
By Miguel Faria-e-Castro; Federal Reserve Bank of St. Louis
   presented by: Miguel Faria-e-Castro, Federal Reserve Bank of St. Louis
 

Effects of Unconventional Monetary Policy on Disaggregate Euro Area Consumer Inflation Expectations.
By Vlad Skovorodov; Queen Mary University of London
   presented by: Vlad Skovorodov, Queen Mary University of London
 

Inflation Puzzles in the New Keynesian Model: The Implications of Anchored Expectations
By Peter Lihn Jorgensen; UC Berkeley
Kevin Lansing; Federal Reserve Bank of San Francisco
   presented by: Peter Lihn Jorgensen, UC Berkeley
 
Session: Session 28: Nonlinear Models II
March 29, 2019 11:10 to 12:50
Dona Ana
 
Session Chair: Matthew Klepacz, College of William and Mary
 

Modeling the Asymmetric Effects of Oil Price Shocks
By Benjamin Keen; University of Oklahoma
   presented by: Benjamin Keen, University of Oklahoma
 

State Space Models with Endogenous Regime Switching
By Yoosoon Chang; Indiana University
Junior Maih; Norges Bank
Fei Tan; Saint Louis University
   presented by: Fei Tan, Saint Louis University
 

Non-Linear Approach for Inflation Forecasting: The Case of Russia
By Mariam Mamedli; Bank of Russia, National Research University Higher School of Economics
Zigfrid Zvezdin; Moscow Institute of Physics and Technology and Ecole polytechnique
   presented by: Mariam Mamedli, Bank of Russia, National Research University Higher School of Economics
 

Price Setting and Volatility: Evidence from Oil Price Volatility Shocks
By Matthew Klepacz; College of William and Mary
   presented by: Matthew Klepacz, College of William and Mary
 
Session: Session 29: Cryptocurrencies and Macro Models
March 29, 2019 11:10 to 12:50
Bexar
 
Session Chair: Sergei Seleznev, Bank of Russia
 

A New Economic Framework: A DSGE with Cryptocurrency
By Stylianos Asimakopoulos; University of Bath
Marco Lorusso; Northumbria University
Francesco Ravazzolo; Free University of Bozen/Bolzano
   presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano
 

Co-Movements & Bubbles in Cryptocurrency Markets
By Pierangelo De Pace; Pomona College
   presented by: Pierangelo De Pace, Pomona College
 

Stochastic Gradient Variational Bayes and Normalizing Flows for Estimating Macroeconomic Models
By Ramis Khabibullin; Bank of Russia
Sergei Seleznev; Bank of Russia
   presented by: Sergei Seleznev, Bank of Russia
 
Session: Session 30: Labor Markets/Investment/Consumption Expenditures
March 29, 2019 11:10 to 12:50
Goliad
 
Session Chair: Anna Sokolova, University of Nevada, Reno
 

Business Cycles with Oligopsonistic Competition in Labor Markets
By Sami Alpanda; University of Central Florida
   presented by: Sami Alpanda, University of Central Florida
 

The Decline of the Labor Income Share: New Empirical Evidence
By Drago Bergholt; Norges Bank Research
Francesco Furlanetto; Norges Bank
   presented by: Drago Bergholt, Norges Bank Research
 

Investment, Vintage Capital and Productivity: Theory and Evidence
By Giuseppe Fiori; North Carolina State University
Filippo Scoccianti; Bank of Italy
   presented by: Giuseppe Fiori, North Carolina State University
 

How Does Consumption Respond to Expected Income Changes? Evidence from 144 Studies
By Tomas Havranek; Czech National Bank
Anna Sokolova; University of Nevada, Reno
   presented by: Anna Sokolova, University of Nevada, Reno
 
Session: Plenary II: Frank Schorfheide, "Piecewise Linear DSGE Models"
March 29, 2019 14:00 to 15:00
Auditorium
 
Session Chair: Alexander Richter, Federal Reserve Bank of Dallas
 
Session: Session 31: Econometrics Techniques
March 29, 2019 15:30 to 17:10
Tejas
 
Session Chair: Alessia Paccagnini, University College Dublin
 

Regularized Semiparametric Estimation of High Dimensional Dynamic Conditional Covariance Matrices
By Claudio Morana; University Milano Bicocca
   presented by: Claudio Morana, University Milano Bicocca
 

Bootstrap Procedures for Detecting Multiple Persistence Shifts in a Heteroskedastic Time Series
By Mohitosh Kejriwal; Purdue University
   presented by: Mohitosh Kejriwal, Purdue University
 

Nonparanormal Structural VAR for Non-Gaussian Data
By Aramayis Dallakyan; Texas A&M University
   presented by: Aramayis Dallakyan, Texas A&M University
 

Extracting Factors from Large Datasets
By Alessia Paccagnini; University College Dublin
   presented by: Alessia Paccagnini, University College Dublin
 
Session: Session 32: Fiscal Policies
March 29, 2019 15:30 to 17:10
Navarro
 
Session Chair: Cristiano Cantore, Bank of England
 

Policy Effects of International Taxation on Firm Dynamics and Capital Structure
By Adam Spencer; The University of Nottingham
   presented by: Adam Spencer, The University of Nottingham
 

Tax Progressivity Shocks
By Laura Jackson Young; Bentley University
Christopher Otrok; University of Missouri
Michael Owyang; Federal Reserve Bank of St Louis
   presented by: Michael Owyang, Federal Reserve Bank of St Louis
 

Fiscal Policy in Monetary Unions: State Partisanship and its Macroeconomic Effects
By Gerald Carlino; Federal Reseve Bank of Philadelphia
Thorsten Drautzburg; Federal Reserve Bank of Philadelphia
Robert Inman; University of Pennsylvania
Nicholas Zarra; New York University
   presented by: Thorsten Drautzburg, Federal Reserve Bank of Philadelphia
 

Workers, Capitalists, and the Government: The Labor Share Response to Fiscal Spending Shocks
By Cristiano Cantore; Bank of England
Lukas Freund; University of Cambridge
Giovanni Melina; International Monetary Fund
   presented by: Cristiano Cantore, Bank of England
 
Session: Session 33: Cointegration
March 29, 2019 15:30 to 17:10
Lasalle
 
Session Chair: J. Isaac Miller, University of Missouri
 

Granger Causality Testing in Mixed-Frequency VARs with Possibly (Co)Integrated Processes
By Thomas Götz; Deutsche Bundesbank
Alain Hecq; Maastricht University
   presented by: Thomas Götz, Deutsche Bundesbank
 

Spurious Fractional Cointegration
By Christian Leschinski; Leibniz Universität Hannover
Philipp Sibbertsen; Leibniz Universitaet Hannover
   presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover
 

Bayesian Multivariate Beveridge--Nelson Decomposition of I(1) and I(2) Series with Cointegration
By Yasutomo Murasawa; Konan University
   presented by: Yasutomo Murasawa, Konan University
 

Testing Cointegrating Relationships Using Irregular and Non-Contemporaneous Series with an Application to Paleoclimate Data
By J. Isaac Miller; University of Missouri
   presented by: J. Isaac Miller, University of Missouri
 
Session: Session 34: Monetary Policy
March 29, 2019 15:30 to 17:10
Dona Ana
 
Session Chair: Eunseong Ma, Texas A&M University
 

Yield Curve Rotations, Monetary Shocks, and Greenspan's Conundrum
By Victor Valcarcel; University of Texas at Dallas
   presented by: Victor Valcarcel, University of Texas at Dallas
 

Debt Overhang and Monetary Policy Transmission: An International Perspective
By Sami Alpanda; University of Central Florida
Eleonora Granziera; Bank of Finland
Sarah Zubairy; Texas A&M University
   presented by: Eleonora Granziera, Bank of Finland
 

Monetary Policy Rules and the Equity Premium
By Anastasia Zervou; UT Austin
   presented by: Anastasia Zervou, UT Austin
 

Monetary Policy and Inequality: How Does One Affect the Other?
By Eunseong Ma; Texas A&M University
   presented by: Eunseong Ma, Texas A&M University
 
Session: Session 35: International Finance and Trade
March 29, 2019 15:30 to 17:10
Bexar
 
Session Chair: Mohammad Farhad, The University of Western Australia
 

Time Varying Effects of External Imbalances when Forecasting Exchange Rates
By Leslie Djuranovik; University of Warwick
   presented by: Leslie Djuranovik, University of Warwick
 

European Spreads at the Interest Rate Lower Bound
By Laura Coroneo; University of York
sergio pastorello; Bologna University
   presented by: Laura Coroneo, University of York
 

The Great Trade Collapse: An Evaluation of Competing Stories
By Hakan Yilmazkuday; Florida International University
   presented by: Hakan Yilmazkuday, Florida International University
 

Misreported Trade
By Mohammad Farhad; The University of Western Australia
   presented by: Mohammad Farhad, The University of Western Australia
 

37 sessions, 139 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
2Aastveit, Knut AreP24, C24
3Ahmad, YaminP25
4Ahn, Hie JooP15
5Alpanda, SamiP31
6Baillie, RichardP26, C26
7Basistha, ArabindaP4
8Baumeister, ChristianeP7
9Berger, TinoP15
10Bergholt, DragoP31
11Binder, CarolaP21
12Bjørnland, HildeP20, C20
13Bognanni, MarkP8
14Brendler, PavelP19
15Byun, Sung JeP16
16Cantore, CristianoP34, C34
17Cascaldi-Garcia, DaniloP23, C23
18Chan, JoshuaP5
19Chang, YoosoonP26
20Charalampidis, NikolaosP23
21Chatterjee, PratitiP2, C2
22Check, AdamP25
23Chevillon, GuillaumeP8
24Choi, Chi-YoungP24
25Condor Castillo, RichardP20
26Coroneo, LauraP37
27Cross, JamieP21
28Dallakyan, AramayisP33
29De Pace, PierangeloP30
30Djuranovik, LeslieP37
31Drautzburg, ThorstenP34
32Eo, YunjongP18, C18
33Farhad, MohammadP37, C37
34Faria-e-Castro, MiguelP28
35Ferrara, LaurentC6
36Filardo, AndrewP11
37Finck, DavidP12
38Fiori, GiuseppeP31
39Fratrik, CraigP12, C12
40Fry-McKibbin, ReneeP10, C10
41Furlanetto, FrancescoP15
42Galvao, Ana BeatrizP6
43Garabedian, GaroP1, C1, P11
44Götz, ThomasP35
45Gelain, PaoloP16
46Gibbs, ChristopherP21, C21
47Goulet Coulombe, PhilippeP5, C5
48Grant, EverettP9
49Granziera, EleonoraP36
50Gross, IsaacP20
51GU, GraceP10
52Hacioglu Hoke, SinemP9
53Hauser, DanielaP3, C3
54Higgins, RichardP17
55Jackson Young, LauraP4, C4
56Jørgensen, KasperP27
57Jo, SoojinP3
58Juelsrud, RagnarP14, C14
59Kaldorf, MatthiasP10
60Karagedikli, OzerP17
61Karanasos, MenelaosP5
62Känzig, DiegoP7
63Keen, BenjaminP29
64Kejriwal, MohitoshP33
65Kharazi, AichaP20
66Kim, JaehoP22
67Klepacz, MatthewP29, C29
68Komada, OliwiaP19
69Koponen, KristineP11, C11
70Kuang, PeiP27
71Lahiri, KajalP6
72Lansing, KevinP27
73Larsen, VegardP23
74Li, ZehaoP17, C17
75Lihn Jorgensen, PeterP28, C28
76Lo, MingP25
77Lorusso, MarcoP22
78Lunsford, KurtP1
79Ma, EunseongP36, C36
80Ma, JunP17
81Maih, JuniorP16, C16
82Mamedli, MariamP29
83Martinez-Garcia, EnriqueP24
84McClung, NigelP12
85McCracken, MichaelP8, C8
86Mendieta-Munoz, IvanP15, C15
87Mertens, ThomasP14
88Miller, J. IsaacP35, C35
89Mitchell, JamesP8
90Mizrach, BruceP4
91Morana, ClaudioP33
92Moretti, LauraP7, C7
93Murasawa, YasutomoP35
94Ngo, PhuongP14
95Owyang, MichaelP34
96Paccagnini, AlessiaP33, C33
97Panovska, IrinaP3
98Pavlidis, EfthymiosP4
99Paya, IvanP24
100PIONNIER, Pierre-AlainP6
101Plante, MichaelP7
102Pretnar, NickP19, C19
103Rachedi, OmarP9
104Ravazzolo, FrancescoP30
105Rechard, KyleP1
106Redl, ChristopherP2
107Reif, MagnusP21
108Richter, JuliaP28
109Richter, AlexanderC32
110Robstad, ØrjanP1
111Rondina, FrancescaP2
112Sekhposyan, TatevikP2
113Sekkel, RodrigoP6
114Seleznev, SergeiP30, C30
115Seneca, MartinP14
116Shintani, MototsuguP23
117Sibbertsen, PhilippP35
118Siklos, PierreP9, C9
119Skovorodov, VladP28
120Sokolova, AnnaP31, C31
121Soques, DanielP22
122Spencer, AdamP34
123Stevanovic, DaliborP25, C25
124Stevens, ArnoudP18
125Suda, JacekP16
126Tan, FeiP29
127Throckmorton, NathanielP27, C27
128Tieslau, MargieP26
129Tyrowicz, JoannaP19
130Uzeda, LuisP5
131Valcarcel, VictorP36
132Van Zandweghe, WillemP3
133Wada, TatsumaP10
134Wei, YanfengP26
135Wong, BenjaminP18
136Yilmazkuday, HakanP37
137Zarazaga, CarlosC13
138Zervou, AnastasiaP36
139Zhang, XuP12
140Zhu, TingtingP11
141Zhulanova, JuliaP18
142Zubairy, SarahP22, C22

 

This program was last updated on 2019-03-26 13:21:22 EDT