Summary of All Sessions |
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Click here for an index of all participants |
38 sessions, 129 papers, and 0 presentations with no associated papers |
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28th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics |
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Detailed List of Sessions |
| Session 1: A-1 - Monetary Policy: Theory and Applications March 26, 2020 9:00 to 10:40 |
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| The Death and Resurrection of the US Price Phillips Curve |
| By Drago Bergholt; Norges Bank Research Francesco Furlanetto; Norges Bank Etienne Vaccaro-Grange |
| presented by: Drago Bergholt, Norges Bank Research |
| Anchored Inflation Expectations and the Flatter Phillips Curve |
| By Peter Lihn Jorgensen; UC Berkeley Kevin Lansing; Federal Reserve Bank of San Francisco |
| presented by: Kevin Lansing, Federal Reserve Bank of San Francisco |
| Monetary policy with judgment |
| By Paolo Gelain; Federal Reserve Bank of Cleveland Simone Manganelli; European Central Bank |
| presented by: Paolo Gelain, Federal Reserve Bank of Cleveland |
| Optimal Monetary Policy for the Masses |
| By James Bullard; Federal Reserve Bank of St. Louis Riccardo DiCecio; Federal Reserve Bank of St. Louis |
| presented by: Riccardo DiCecio, Federal Reserve Bank of St. Louis |
| Session 2: A-2 - Inflation, Interest Rates, and UC Models March 26, 2020 9:00 to 10:40 |
| Have the Driving Forces of Inflation Changed in Advanced and Emerging Market Economies? |
| By Gunes Kamber; International Monetary Fund Madhusudan Mohanty; Bank for International Settlements James Morley; University of Sydney |
| presented by: James Morley, University of Sydney |
| Scarcity of Safe Assets And Global Neutral Interest Rates |
| By Thiago Ferreira; Federal Reserve Board |
| presented by: Thiago Ferreira, Federal Reserve Board |
| Bayesian Analysis of Structural Correlated Unobserved Components and Identification via Heteroskedasticity |
| By Ivan Mendieta-Munoz; University of Utah Mengheng Li |
| presented by: Ivan Mendieta-Munoz, University of Utah |
| Trend Inflation and Monetary Policy |
| By Luis Uzeda; Bank of Canada |
| presented by: Luis Uzeda, Bank of Canada |
| Session 3: A-3 - Housing Prices and Credit Policy March 26, 2020 9:00 to 10:40 |
| Changing supply elasticities and regional housing booms |
| By Knut Are Aastveit; Norges Bank Bruno Albuquerque; Bank of England Andre Anundsen; Oslo Metropolitan University |
| presented by: Bruno Albuquerque, Bank of England |
| Experienced Returns and Housing Decision |
| By Knut Are Aastveit; Norges Bank Andre Anundsen; Oslo Metropolitan University Patrick Moran; University of Oxford |
| presented by: Knut Are Aastveit, Norges Bank |
| Heterogeneous Spillovers of Housing Credit Policy |
| By Myroslav Pidkuyko; Banco de España |
| presented by: Myroslav Pidkuyko, Banco de España |
| Housing booms fueled by credit |
| By Carlos Canizares; PhD Student at University of Milano-Bicocca |
| presented by: Carlos Canizares, PhD Student at University of Milano-Bicocca |
| Session 4: A-4 - Labor Market Over the Business Cycle March 26, 2020 9:00 to 10:40 |
| Combining Labor Market Reforms and Fiscal Policy in Recessions |
| By Britta Gehrke; Friedrich-Alexander Universität Erlange Enzo Weber; University of Regensburg |
| presented by: Enzo Weber, University of Regensburg |
| On the Behavior of Okun's Law across Business Cycles |
| By Luiggi Donayre; University of Minnesota - Duluth |
| presented by: Luiggi Donayre, University of Minnesota - Duluth |
| The Effects of Labor Market Policy Expenditures: Does it Matter Where We Are in the Business Cycle? |
| By Ozana Nadoveza Jelić; Faculty of Economics and Business, University of Zagreb |
| presented by: Ozana Nadoveza Jelić, Faculty of Economics and Business, University of Zagreb |
| Central Bank Density Forecasts and Asset Prices: Do Revisions to Higher-order Moments Matter? |
| By Ryan Rholes; Texas A&M University tatevik sekhposyan |
| presented by: Ryan Rholes, Texas A&M University |
| Session 5: A-5 - Nonlinear, Bayesian and Structural VARs March 26, 2020 9:00 to 10:40 |
| Markov-switching Proxy BVARs |
| By Shayan Zakipour-Saber; Queen Mary University of London |
| presented by: Shayan Zakipour-Saber, Queen Mary University of London |
| Moving beyond the recursive identification in Smooth Transition Structural VAR models |
| By Martin Bruns; University of East Anglia Michele Piffer; King's Business School, London |
| presented by: Martin Bruns, University of East Anglia |
| Robust Inference in Time-Varying Structural VAR Models: The DC-Cholesky Multivariate Stochastic Volatility Model |
| By Benny Hartwig; Goethe University Frankfurt and Deutsche Bundesbank |
| presented by: Benny Hartwig, Goethe University Frankfurt and Deutsche Bundesbank |
| Unconventional Monetary Policy and Dynamic Macroeconomic Volatility |
| By Kyle Rechard; Clemson University |
| presented by: Kyle Rechard, Clemson University |
| Session 6: A-6 - Survey of Professional Forecasters, Mediators and Uncertainty March 26, 2020 9:00 to 10:40 |
| Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area |
| By Gergely Ganics; Bank of Spain Florens Odendahl; Banque de France |
| presented by: Gergely Ganics, Central Bank of Hungary |
| From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts |
| By Gergely Ganics; Bank of Spain Barbara Rossi; ICREA-Univ. Pompeu Fabra, CREI and Barce Tatevik Sekhposyan; Texas A&M University |
| presented by: Tatevik Sekhposyan, Texas A&M University |
| Regime-specific exchange rate predictability and the role of uncertainty |
| By Joscha Beckmann; University of Greifswald Robinson Kruse; University of Cologne |
| presented by: Robinson Kruse, CREATES, Aarhus University |
| Granger Mediation Analysis of Multiple Time Series for Multiple, Multilevel and Functional Mediators |
| By Andrej Srakar; Institute for Economic Research, Ljubljana & Faculty of Economics, University of Ljubljana, Slovenia Miroslav Verbic; University of Ljubljana |
| presented by: Andrej Srakar, Institute for Economic Research, Ljubljana & Faculty of Economics, University of Ljubljana, Slovenia |
| Session 7: B-1 - Monetary Policy, Expectations, and Forward Guidance March 26, 2020 11:10 to 12:50 |
| Does my model predict a forward guidance puzzle? |
| By Nigel McClung; Bank of Finland |
| presented by: Nigel McClung, Bank of Finland |
| Forward Guidance Matters: Disentangling Monetary Policy Shocks |
| By Leonardo Nogueira Ferreira; QMUL and Central Bank of Brazil |
| presented by: Leonardo Nogueira Ferreira, QMUL and Central Bank of Brazil |
| The Effect of Central Bank Credibility on Forward Guidance in an Estimated New Keynesian Model |
| By Enrique Martinez-Garcia; Federal Reserve Bank of Dallas Stephen Cole; Marquette University |
| presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas |
| Is the negative interest rate policy effective? |
| By Robert Czudaj; Chemnitz University of Technology |
| presented by: Robert Czudaj, Chemnitz University of Technology |
| Session 8: B-2 - Comovements and Global Shocks March 26, 2020 11:10 to 12:50 |
| Global Co-movements in Sovereign Credit Risk |
| By Hasan Isomitdinov; The University of Alabama Junsoo Lee; University of Alabama Vladimir Arčabić; Faculty of economics & business Zagreb |
| presented by: Vladimir Arčabić, Faculty of economics & business Zagreb |
| Investigating the Drivers of International Comovement in Real Financial Asset Returns |
| By Kate Mckinnon; Australian National Universtiy |
| presented by: Kate Mckinnon, Australian National Universtiy |
| World shocks and commodity price fluctuations: evidence from resource-rich economies |
| By Filippo Arigoni; Bank of Slovenia |
| presented by: Filippo Arigoni, Bank of Slovenia |
| Session 9: B-3 - Time Series I March 26, 2020 11:10 to 12:50 |
| Inference and Extrapolation in Finite Populations with Special Attention to Clustering |
| By Richard Startz; UCSB Douglas Steigerwald; University of California, Santa Barbara |
| presented by: Richard Startz, UCSB |
| Modified GLS and Efficient Estimation of Dynamic Regressions |
| By Richard Baillie; Michigan State University George Kapetanios; King's College London Kun-Ho KIm; Yeshiva University |
| presented by: Richard Baillie, Michigan State University |
| (Consistently) testing strict exogeneity against the alternative of predeterminedness |
| By Alexander Mayer; WHU -- Otto von Beisheim School of Management |
| presented by: Alexander Mayer, WHU -- Otto von Beisheim School of Management |
| Session 10: B-4 - Forecast Evaluation March 26, 2020 11:10 to 12:50 |
| Evaluation of Classification Algorithms for Prediction of Stock Market Index in Day Trading |
| By Silvija Vlah Jerić; Faculty of Economics and Business Zagreb |
| presented by: Silvija Vlah Jerić, Faculty of Economics and Business Zagreb |
| The Efficiency of the Eurosystem/ECB Staff Inflation Projections: a State Dependent Analysis |
| By Eleonora Granziera; Bank of Finland |
| presented by: Eleonora Granziera, Norges Bank |
| On Time Variation of Financial Connectedness and its Statistical Significance |
| By Ruben Hipp; Bank of Canada Carsten Jentsch; TU Dortmund University |
| presented by: Ruben Hipp, Bank of Canada |
| Session 11: B-5 - Empirical Applications of VAR Models and Narrative Identification March 26, 2020 11:10 to 12:50 |
| Buried in the Vaults of Central Banks - Monetary Gold Hoarding and the Slide into the Great Depression |
| By Sören Karau |
| presented by: Sören Karau, |
| Growth Prospects and the Trade Balance in Advanced Economies |
| By Ansgar H. Belke; University of Duisburg-Essen and CEPS Br Steffen Elstner Svetlana Rujin; RWI - Leibniz Institute for Economic Research |
| presented by: Svetlana Rujin, RWI - Leibniz Institute for Economic Research |
| Narrative monetary policy surprises and the media |
| By Vegard Larsen; Norges Bank Saskia ter Ellen; Norges Bank Leif Anders Thorsrud; BI Norwegian Business School |
| presented by: Vegard Larsen, Norges Bank |
| Not all Terms of Trade Shocks are Alike |
| By Luciana Juvenal; International Monetary Fund Ivan Petrella; University of Warwick |
| presented by: Luciana Juvenal, International Monetary Fund |
| Session 12: B-6 - Asset Pricing and Macro Finance March 26, 2020 11:10 to 12:50 |
| Asset Pricing using Time-Frequency Dependent Network Centrality |
| By Mike Ellington; University of Liverpool Jozef Barunik; Institute of Economic Studies, Charles U |
| presented by: Mike Ellington, University of Liverpool |
| Local Interactions in a Market with Heterogeneous Expectations |
| By Mikhail Anufriev; University of Technology Sydney Andrea Giovannetti; University of Technology Sydney Valentyn Panchenko; University of New South Wales |
| presented by: Mikhail Anufriev, University of Technology Sydney |
| Macro-Financial Trends in a Model with Concentrated Ownership of Capital |
| By Francesco Saverio Gaudio; University of Warwick |
| presented by: Francesco Saverio Gaudio, University of Warwick |
| Session 13: Plenary: "Regression Kink with Multiple Unknown Thresholds," presented by Bruce Hansen, University of Wisconsin March 26, 2020 14:00 to 15:00 |
| Session 14: C-1 - International Aspects of Monetary Policy March 26, 2020 15:30 to 17:10 |
| The International Spillover Effects of U.S. Monetary Policy Uncertainty |
| By Aeimit Lakdawala; Michigan State University Timothy Moreland; Michigan State University Matthew Schaffer; University of North Carolina - Greensboro |
| presented by: Matthew Schaffer, University of North Carolina - Greensboro |
| Session 15: C-2 - Dynamic Factor Models and Applications January 26, 2020 15:30 to 17:10 |
| A Dynamic Functional Factor Model for Yield Curves: Identification, Estimation, and Prediction |
| By Sven Otto; University of Bonn Nazarii Salish; Universidad Carlos III de Madrid |
| presented by: Sven Otto, University of Bonn |
| Estimation of Short-run Predictive Factor for US Growth using State Employment Data |
| By Arabinda Basistha; West Virginia University |
| presented by: Arabinda Basistha, West Virginia University |
| Global Financial Cycles since 1880 |
| By Galina Potjagailo; Bank of England Maik Wolters; Friedrich-Schiller-Universität Jena |
| presented by: Galina Potjagailo, Bank of England |
| Score-driven Time-varying Transition Probabilities in a Dynamic Factor Markov-Switching Model |
| By Bram van Os; Erasmus School of Economics, Erasmus University Rotterdam Dick van Dijk; Erasmus University Rotterdam |
| presented by: Bram van Os, Erasmus School of Economics, Erasmus University Rotterdam |
| Session 16: C-3 - Saving, Inequality and Political Risk March 26, 2020 15:30 to 17:10 |
| Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains |
| By Gisle Natvik; BI Norwegian Business School |
| presented by: Gisle Natvik, BI Norwegian Business School |
| Does the consumption-income ratio predict returns on wealth? Long-run evidence for industrial economies |
| By Lorenzo Pozzi; Erasmus University Rotterdam |
| presented by: Lorenzo Pozzi, Erasmus University Rotterdam |
| Immigration and Inequality: New Macroeconomic Evidence |
| By Ørjan Robstad; Norges Bank Francesco Furlanetto; Norges Bank Samad Sarferaz; ETH Zurich |
| presented by: Ørjan Robstad, Norges Bank |
| Macroeconomic Effects of Political Risk Shocks |
| By Sinem Hacioglu Hoke; Bank of England |
| presented by: Sinem Hacioglu Hoke, Bank of England |
| Session 17: C-4 - News Shocks and Forecasting March 26, 2020 15:30 to 17:10 |
| Expectations or surprises: What really moves the U.S. Treasury market? |
| By Deniz Erdemlioglu; IESEG School of Management Michel van der Wel; Erasmus University Rotterdam |
| presented by: Michel van der Wel, Erasmus University Rotterdam |
| Forecasting with news |
| By Jon Ellingsen; BI Norwegian Business School Vegard Larsen; Norges Bank Leif Anders Thorsrud; BI Norwegian Business School |
| presented by: Jon Ellingsen, BI Norwegian Business School |
| Patent-based News Shocks |
| By Danilo Cascaldi-Garcia; Federal Reserve Board Marija Vukotic; University of Warwick |
| presented by: Danilo Cascaldi-Garcia, Federal Reserve Board |
| Session 18: C-5 - Real Shocks and Consumer Confidence March 26, 2020 15:30 to 17:10 |
| Business cycle in emerging countries: revisiting the role of real shocks |
| By Florencia Airaudo; UC3M Hernán Seoane; Universidad Carlos III de Madrid |
| presented by: Hernán Seoane, Universidad Carlos III de Madrid |
| EU Consumer Confidence and the New Modesty Hypothesis |
| By Petar Sorić; Faculty of economics and business Zagreb Mirjana Čižmešija; University of Zagreb, Faculty of Economic & Business Marina Matošec; University of Zagreb, Faculty of Economic & Business |
| presented by: Petar Sorić, Faculty of economics and business Zagreb |
| The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments |
| By Matthew Klepacz; College of William and Mary |
| presented by: Matthew Klepacz, College of William and Mary |
| Session 19: C-6 - Bubbles, Liquidity, and Stock Markets March 26, 2020 15:30 to 17:10 |
| Investigating bubbles in commodity prices by market expectations and determinants of dynamic persistence |
| By Robinson Kruse; University of Cologne Tam Nguyen-Huu; Leuphana University Lüneburg Christoph Wegener; Leuphana University Lüneburg |
| presented by: Christoph Wegener, Leuphana University Lüneburg |
| When Does the Fed Care About Stock Prices? |
| By Eric Olson; University of Tulsa |
| presented by: Eric Olson, University of Tulsa |
| Whistling Past the Graveyard: Effects of Introducing a Capital Gains Tax on Underdeveloped Stock Markets |
| By Tomislav Globan; Faculty of Economics & Business, University of Zagreb Tihana Škrinjarić; Faculty of Economics & Business, University of Zagreb |
| presented by: Tomislav Globan, Faculty of Economics & Business, University of Zagreb |
| The Impact of Quantitative Easing on Liquidity Creation |
| By Supriya Kapoor; Technological University Dublin |
| presented by: Supriya Kapoor, Technological University Dublin |
| Session 20: D-1 - Monetary Policy, Inflation, and Forecasting March 27, 2020 9:00 to 10:40 |
| Exchange Rate Dynamics and Global Monetary Policy Spillovers: Time-Varying Dynamic Causal Effects |
| By Wenting Liao; NORTHEASTERN UNIVERSITY Jun Ma; Northeastern University chengsi zhang; renmin university of China |
| presented by: Wenting Liao, NORTHEASTERN UNIVERSITY |
| Monetary Policy Uncertainty and Inflation Expectations |
| By Gabriel Arce-Alfaro; Ruhr Graduate School in Economics Boris Blagov; RWI - Leibnitz Institute for Economics Research |
| presented by: Gabriel Arce-Alfaro, Ruhr Graduate School in Economics |
| Reconsidering the Fed's Forecasting Advantage |
| By Amy Guisinger; Lafayette College Michael McCracken; federal reserve bank of saint louis Michael Owyang; Federal Reserve Bank of St Louis |
| presented by: Michael Owyang, Federal Reserve Bank of St Louis |
| Session 21: D-2 - Local Projections and Applications March 27, 2020 9:00 to 10:40 |
| Assessing Macroeconomic Tail Risk |
| By Francesca Loria; Board of Governors of the Federal Reserv Christian Matthes; Indiana University Donghai Zhang; University of Bonn |
| presented by: Donghai Zhang, University of Bonn |
| Discount Rates and Cash Flows: A Local Projection Approach |
| By Matthijs Lof; Aalto University |
| presented by: Matthijs Lof, Aalto University |
| Projection estimators for structural impulse responses |
| By Joerg Breitung; University of Cologne |
| presented by: Joerg Breitung, University of Cologne |
| Time-Varying Local Projections |
| By Germano Ruisi; Central Bank of Malta |
| presented by: Germano Ruisi, Central Bank of Malta |
| Session 22: D-3 - Financial and Business Cycles March 27, 2020 9:00 to 10:40 |
| Business Cycle Synchronization and Asymmetry in the European Union |
| By Vladimir Arčabić; Faculty of economics & business Zagreb Irina Panovska; University of Texas at Dallas Josip Tica; University of Zagreb, Faculty of Economi |
| presented by: Josip Tica, University of Zagreb, Faculty of Economi |
| Do Business and Credit Cycles Interact? Bivariate vs. Univariate Forecasting of Turning Points |
| By Mikhail Mamonov; CERGE-EI Anna Pestova; CERGE-EI Vera Pankova; Center for Macroeconomic Analysis and Short-term Forecasting (CMASF) Renat Akhmetov; Center for Macroeconomic Analysis and Short-term Forecasting (CMASF) |
| presented by: Renat Akhmetov, Center for Macroeconomic Analysis and Short-term Forecasting (CMASF) |
| Financial Factors and the Business Cycle |
| By Tino Berger; University of Goettingen Julia Richter; University of Goettingen Benjamin Wong; Monash University |
| presented by: Benjamin Wong, Monash University |
| Identifying the sources of the economic slowdown: a structural approach |
| By Nicolò Maffei Faccioli; UAB & Barcelona GSE |
| presented by: Nicolò Maffei Faccioli, UAB & Barcelona GSE |
| Session 23: D-4 - Labor Market March 27, 2020 9:00 to 10:40 |
| Back to the Present: Learning about the Euro Area through a Now-casting Model |
| By Danilo Cascaldi-Garcia; Federal Reserve Board Domenico Giannone; Amazon.com Michele Modugno; Federal Reserve Board Thiago Ferreira; Federal Reserve Board |
| presented by: Danilo Cascaldi-Garcia, Federal Reserve Board |
| Financial Constraints, Firm Age, and the Labor Market |
| By Brigitte Hochmuth; Friedrich-Alexander University Erlangen-Nuremberg (FAU) |
| presented by: Brigitte Hochmuth, Friedrich-Alexander University Erlangen-Nuremberg (FAU) |
| Job to job switching and wage growth: some new empirical evidence |
| By Francesco Furlanetto; Norges Bank Antoine Lepetit; Board of Governors of the Federal Reserve System |
| presented by: Francesco Furlanetto, Norges Bank |
| Which Factors are behind Germany’s Labour Market Upswing? |
| By Christian Hutter; Institute for Employment Research (IAB) Sabine Klinger; Institute for Employment Research Carsten Trenkler; University of Mannheim Enzo Weber; University of Regensburg |
| presented by: Christian Hutter, Institute for Employment Research (IAB) |
| Session 24: D-5 - Mathematical and Quantitative Methods March 27, 2020 9:00 to 10:40 |
| A Quadratic Cubic Approximation of Optimal Policy: Moving Beyond LQ |
| By Isaac Gross; Monash University James Hansen; University of Melbourne |
| presented by: Isaac Gross, Monash University |
| Home Production with Time to Consume |
| By William Bednar; Tepper School of Business Nick Pretnar; Carnegie Mellon University, Tepper School of Business |
| presented by: Nick Pretnar, Carnegie Mellon University, Tepper School of Business |
| Solution of Disaster Risk Equilibrium Models: A Taylor-Projection Approach |
| By Juan Carlos Parra-Alva; University of Aarhus Oskar Arnt Juul; Aarhus University |
| presented by: Juan Carlos Parra-Alva, University of Aarhus |
| Session 25: D-6 - Expectations March 27, 2020 9:00 to 10:40 |
| Inflation expectations and the pass-through of oil prices: Does the type of shock matter? |
| By Knut Are Aastveit; Norges Bank Hilde Bjørnland; BI Norwegian Business School Jamie Cross; BI Norwegian Business School |
| presented by: Jamie Cross, BI Norwegian Business School |
| Learning-Based Inflation Expectations in an Unobserved Components Model |
| By Irina Panovska; University of Texas at Dallas Srikanth Ramamurthy; Loyola University Maryland |
| presented by: Irina Panovska, University of Texas at Dallas |
| Measuring the Effects of Expectations Shocks |
| By Michael Clements; University of Reading Ana Beatriz Galvao; University of Warwick |
| presented by: Ana Beatriz Galvao, University of Warwick |
| Twentieth Anniversary of the Euro: Why are Some Countries Still Not Wling to Join? |
| By Milan Deskar-Škrbić; Croatian National Bank Davor Kunovac; Croatian National Bank |
| presented by: Milan Deskar-Škrbić, Croatian National Bank |
| Session 26: E-1 - Monetary and Fiscal Policy Nonlinearities March 27, 2020 11:10 to 12:50 |
| Climate Change and Business Cycles - A Role for Monetary Policy |
| By Hilde Bjørnland; BI Norwegian Business School Junior Maih; Norges Bank Martin Seneca; Bank of England |
| presented by: Hilde Bjørnland, BI Norwegian Business School |
| Classification of Monetary and Fiscal Dominance Regimes Using Machine Learning Tools |
| By Natascha Hinterlang; Deutsche Bundesbank Josef Hollmayr; Deutsche Bundesbank |
| presented by: Natascha Hinterlang, Deutsche Bundesbank |
| Learning, Unlearning, and Relearning Keynes |
| By Fabio Milani; University of California, Irvine |
| presented by: Fabio Milani, University of California, Irvine |
| Heterogeneous Learning and Policy Interactions |
| By Valeria Patella; Sapienza University Rome Carolina Serpieri; Sapienza University of Rome |
| presented by: Carolina Serpieri, Sapienza University of Rome |
| Session 27: E-2 - Fiscal Policy, Climate and Commodities March 27, 2020 11:10 to 12:50 |
| The Macroeconomic Effects of the Tax Cuts and Jobs Act |
| By Filippo Occhino; Federal Reserve Bank of Cleveland |
| presented by: Filippo Occhino, Federal Reserve Bank of Cleveland |
| Fiscal Multiplier and the Size of Government Spending Shock |
| By Madina Karamysheva; National Research University Higher School of Economics |
| presented by: Madina Karamysheva, National Research University Higher School of Economics |
| Oil and fiscal policy: regime-switching panel country analysis |
| By Hilde Bjørnland; BI Norwegian Business School Roberto Casarin; University Ca' Foscari of Venice Marco Lorusso; Newcastle University Business School Francesco Ravazzolo; Free University of Bolzano-Bozen |
| presented by: Marco Lorusso, Newcastle University Business School |
| Climate Change Awareness: Empirical evidence for the European Union |
| By Donatella Baiardi; Università Milano Bicocca Claudio Morana; University Milano Bicocca |
| presented by: Claudio Morana, University Milano Bicocca |
| Session 28: E-3 - Time Series II March 27, 2020 11:10 to 12:50 |
| A stochastic volatility model with two macro-financial components |
| By Bastian Gribisch; University of Cologne Yuze Liu; University of Cologne |
| presented by: Yuze Liu, University of Cologne |
| Building multiplicative time-varying smooth transition correlation GARCH models |
| By Anthony Hall; retired Annastiina Silvennoinen; Queensland University of Technology Timo Terasvirta; Aarhus University |
| presented by: Timo Terasvirta, Aarhus University |
| Fractional trends in unobserved components models |
| By Tobias Hartl; University of Regensburg Rolf Tschernig; Universität Regensburg Enzo Weber; University of Regensburg |
| presented by: Tobias Hartl, University of Regensburg |
| Sunk Costs and Exporting Behavior: A Sectoral Analysis |
| By Kurmas Akdogan; Central Bank of the Republic of Turkey Laura Werner; FernUniversität in Hagen |
| presented by: Laura Werner, FernUniversität in Hagen |
| Session 29: E-4 - Real Time Forecasting March 27, 2020 11:10 to 12:50 |
| Improving the Density Nowcasting of the US-GDP using Survey Information |
| By Cem Cakmakli; Koc University |
| presented by: Cem Cakmakli, Koc University |
| Real-Time Density Nowcasts of U.S. Inflation: A Model-Combination Approach |
| By Edward Knotek II; Federal Reserve Bank of Cleveland Saeed Zaman; Federal Reserve Bank of Cleveland |
| presented by: Edward Knotek II, Federal Reserve Bank of Cleveland |
| Real-Time Forecasting Using Mixed-Frequency VARs with Time-Varying Parameters |
| By Markus Heinrich; University of Kiel Magnus Reif; ifo Institute |
| presented by: Markus Heinrich, University of Kiel |
| Real-Time Indicator of Weekly Inflation with a Mixed-Frequency Unobserved Component Model with Stochastic Volatility |
| By Marcelle Chauvet; University of California Riverside Mingyuan Jia; South China Normal University |
| presented by: Marcelle Chauvet, University of California Riverside |
| Session 30: E-5 - Macroprudential Policy March 27, 2020 11:10 to 12:50 |
| Housing boom-bust cycles and asymmetric macroprudential policy |
| By William Gatt; Central Bank of Malta |
| presented by: William Gatt, Central Bank of Malta |
| Mortgage Defaults, Bank Runs, and Regulation in a Housing Economy |
| By Marcus Ingholt; Norges Bank Johannes Poeschl; Danmarks Nationalbank |
| presented by: Marcus Ingholt, Norges Bank |
| Optimal Loan Loss Provisions and Welfare |
| By William Tayler; Lancaster University Roy Zilberman; Lancaster University |
| presented by: Roy Zilberman, Lancaster University |
| The Formation of Hidden Negative Capital in Banking: A Product Mismatch Hypothesis |
| By Alexander Kostrov; University of St. Gallen Mikhail Mamonov; CERGE-EI |
| presented by: Mikhail Mamonov, CERGE-EI |
| Session 31: E-6 - Credit Shocks, Collateral Constraints, and Exports March 27, 2020 11:10 to 12:50 |
| Collateral Constrained Agents and Macroeconomic Fluctuations |
| By Aicha Kharazi; University of Rome II Tor Vergata |
| presented by: Aicha Kharazi, University of Rome II Tor Vergata |
| Has the credit supply shock asymmetric eects on macroeconomic variables? |
| By Valentina Colombo; University of Bologna Alessia Paccagnini; University College Dublin |
| presented by: Alessia Paccagnini, University College Dublin |
| Regime-switches in the Rollover of Sovereign Risk |
| By Elton Beqiraj; Sapienza Università di Roma Valeria Patella; Sapienza University Rome Massimiliano Tancioni; Sapienza University Rome |
| presented by: Massimiliano Tancioni, Sapienza University Rome |
| State Dependent Pricing and Monetary Non-Neutrality in a Small Open Economy |
| By Yakup Kutsal Koca; Central Bank of the Republic of Turkey |
| presented by: Yakup Kutsal Koca, Central Bank of the Republic of Turkey |
| Session 32: Plenary, featuring Helene Rey, London Business School March 27, 2020 14:00 to 15:00 |
| Session 33: F-1 - Monetary Policy Spillovers, Interactions and Natural Interest Rate March 27, 2020 15:30 to 17:10 |
| Econometric issues with Laubach and Williams’ estimates of the natural rate of interest |
| By Daniel Buncic; Stockholm University |
| presented by: Daniel Buncic, Stockholm University |
| Inflation and Social Welfare in a New Keynesian Model: The Case of Japan and the U.S. |
| By Tomohide Mineyama; Bank of Japan Wataru Hirata; Bank of Japan |
| presented by: Tomohide Mineyama, Bank of Japan |
| The effects of US monetary policy on Canada and Mexico: A tale of two worlds? |
| By Vasco Gabriel; University of Surrey |
| presented by: Vasco Gabriel, University of Surrey |
| Session 34: F-2 - Risk and Expectations March 27, 2020 15:30 to 17:10 |
| Granular Credit Risk |
| By Sigurd Mølster Galaasen; Norges Bank Rustam Jamilov; London School of Economics and Political Science Ragnar Juelsrud; Norges Bank Helene Rey; London Business School |
| presented by: Sigurd Mølster Galaasen, Norges Bank |
| Is Stability Destabilizing? A Model of Shadow Bank's Leverage Choice and Financial Panics |
| By Matthias Rottner; European University Institute |
| presented by: Matthias Rottner, European University Institute |
| Modeling and Forecasting Macroeconomic Downside Risk |
| By Andrea De Polis; University of Warwick |
| presented by: Andrea De Polis, University of Warwick |
| Monitoring Value-at-Risk and Expected Shortfall Forecasts |
| By Yannick Hoga; University of Duisburg-Essen Matei Demetrescu; University of Kiel |
| presented by: Matei Demetrescu, University of Kiel |
| Session 35: F-3 - Commodity Prices March 27, 2020 15:30 to 17:10 |
| Forecasting commodity prices in a data-rich unstable environment |
| By Anastasia Allayioti; University of Warwick |
| presented by: Anastasia Allayioti, University of Warwick |
| Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach |
| By Davide Ferrari Francesco Ravazzolo; Free University of Bozen/Bolzano Joaquin Vespignani; University of Tasmania |
| presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano |
| Oil Supply Elasticities Across the U.S.: Micro Evidence and Macro Implications |
| By Knut Are Aastveit; Norges Bank Hilde Bjørnland; BI Norwegian Business School Thomas Størdal Gundersen; BI Norwegian Business School |
| presented by: Thomas Størdal Gundersen, BI Norwegian Business School |
| Session 36: F-4 - Structural Breaks and Thresholds March 27, 2020 15:30 to 17:10 |
| A Modified Wilcoxon Test for Change-Points in Long-Range Dependent Time Series |
| By Vivien Less; Leibniz Universitaet Hannover Kai Wenger; Leibniz University Hannover |
| presented by: Vivien Less, Leibniz Universitaet Hannover |
| Finite sample forecast properties and window length under breaks in cointegrated systems |
| By Luca Nocciola; Deutsche Bundesbank |
| presented by: Luca Nocciola, Deutsche Bundesbank |
| Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series |
| By Philipp Sibbertsen; Leibniz Universitaet Hannover Kai Wenger; Leibniz University Hannover Simon Wingert; Leibniz University Hannover |
| presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover |
| Session 37: F-5 - Forecasting Methods, GDP and Exchange Rates March 27, 2020 15:30 to 17:10 |
| Contagion testing in embryonic markets under alternative stressful US market scenarios |
| By Scott Mahadeo; Keele University Reinhold Heinlein; University of the West of England Gabriella Legrenzi; Keele University |
| presented by: Scott Mahadeo, Keele 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 |
| Quantile Density Combination: An application to US GDP forecast |
| By Knut Are Aastveit; Norges Bank Giulia Mantoan; University of Warwick Saskia ter Ellen; Norges Bank |
| presented by: Giulia Mantoan, University of Warwick |
| Session 38: F-6 - Public Sector Debt, Risk and Lending March 27, 2020 15:30 to 17:10 |
| Composition of Sovereign Debt and Financial Development: A Dynamic Heterogeneous Panel Approach |
| By Paola Di Casola; Sveriges Riksbank Spyridon Sichlimiris; Sveriges Riksbank |
| presented by: Paola Di Casola, Sveriges Riksbank |
| Optimal Fiscal Spending and Reserve Accumulation Policies Under Volatile Aid |
| By Ioana Moldovan; University of Glasgow |
| presented by: Ioana Moldovan, University of Glasgow |
| State-owned enterprises and entrusted lending: A DSGE analysis for growth and business cycles in China |
| By Shuonan Zhang; The University of Portsmouth |
| presented by: Shuonan Zhang, The University of Portsmouth |
| The Granular Origins of Sovereign Risk |
| By Jun Hee Kwak; University of Maryland, College Park |
| presented by: Jun Hee Kwak, University of Maryland, College Park |
| # | Participant | Roles in Conference |
|---|---|---|
| 1 | Aastveit, Knut Are | P3 |
| 2 | Akhmetov, Renat | P22 |
| 3 | Albuquerque, Bruno | P3 |
| 4 | Allayioti, Anastasia | P35 |
| 5 | Anufriev, Mikhail | P12 |
| 6 | Arčabić, Vladimir | P8 |
| 7 | Arce-Alfaro, Gabriel | P20 |
| 8 | Arigoni, Filippo | P8 |
| 9 | Baillie, Richard | P9 |
| 10 | Basistha, Arabinda | P15 |
| 11 | Bergholt, Drago | P1 |
| 12 | Bjørnland, Hilde | P26 |
| 13 | Breitung, Joerg | P21 |
| 14 | Bruns, Martin | P5 |
| 15 | Buncic, Daniel | P33 |
| 16 | Cakmakli, Cem | P29 |
| 17 | Canizares, Carlos | P3 |
| 18 | Cascaldi-Garcia, Danilo | P17, P23 |
| 19 | Chauvet, Marcelle | P29 |
| 20 | Cross, Jamie | P25 |
| 21 | Czudaj, Robert | P7 |
| 22 | De Polis, Andrea | P34 |
| 23 | Demetrescu, Matei | P34 |
| 24 | Deskar-Škrbić, Milan | P25 |
| 25 | Di Casola, Paola | P38 |
| 26 | DiCecio, Riccardo | P1 |
| 27 | Donayre, Luiggi | P4 |
| 28 | Ellingsen, Jon | P17 |
| 29 | Ellington, Mike | P12 |
| 30 | Ferreira, Thiago | P2 |
| 31 | Furlanetto, Francesco | P23 |
| 32 | Gabriel, Vasco | P33 |
| 33 | Galaasen, Sigurd Mølster | P34 |
| 34 | Galvao, Ana Beatriz | P25 |
| 35 | Ganics, Gergely | P6 |
| 36 | Gatt, William | P30 |
| 37 | Gaudio, Francesco Saverio | P12 |
| 38 | Gelain, Paolo | P1 |
| 39 | Globan, Tomislav | P19 |
| 40 | Granziera, Eleonora | P10 |
| 41 | Gross, Isaac | P24 |
| 42 | Gundersen, Thomas Størdal | P35 |
| 43 | Hacioglu Hoke, Sinem | P16 |
| 44 | Hartl, Tobias | P28 |
| 45 | Hartwig, Benny | P5 |
| 46 | Heinrich, Markus | P29 |
| 47 | Hinterlang, Natascha | P26 |
| 48 | Hipp, Ruben | P10 |
| 49 | Hochmuth, Brigitte | P23 |
| 50 | Hutter, Christian | P23 |
| 51 | Ingholt, Marcus | P30 |
| 52 | Juvenal, Luciana | P11 |
| 53 | Kapoor, Supriya | P19 |
| 54 | Karamysheva, Madina | P27 |
| 55 | Karau, Sören | P11 |
| 56 | Kharazi, Aicha | P31 |
| 57 | Klepacz, Matthew | P18 |
| 58 | Knotek II, Edward | P29 |
| 59 | Koca, Yakup Kutsal | P31 |
| 60 | Kruse, Robinson | P6 |
| 61 | Kwak, Jun Hee | P38 |
| 62 | Lansing, Kevin | P1 |
| 63 | Larsen, Vegard | P11 |
| 64 | Less, Vivien | P36 |
| 65 | Liao, Wenting | P20 |
| 66 | Liu, Yuze | P28 |
| 67 | Lof, Matthijs | P21 |
| 68 | Lorusso, Marco | P27 |
| 69 | Maffei Faccioli, Nicolò | P22 |
| 70 | Mahadeo, Scott | P37 |
| 71 | Mamonov, Mikhail | P30 |
| 72 | Mantoan, Giulia | P37 |
| 73 | Martinez-Garcia, Enrique | P7 |
| 74 | Mayer, Alexander | P9 |
| 75 | McClung, Nigel | P7 |
| 76 | Mckinnon, Kate | P8 |
| 77 | Mendieta-Munoz, Ivan | P2 |
| 78 | Milani, Fabio | P26 |
| 79 | Mineyama, Tomohide | P33 |
| 80 | Moldovan, Ioana | P38 |
| 81 | Morana, Claudio | P27 |
| 82 | Morley, James | P2 |
| 83 | Nadoveza Jelić, Ozana | P4 |
| 84 | Natvik, Gisle | P16 |
| 85 | Nocciola, Luca | P36 |
| 86 | Nogueira Ferreira, Leonardo | P7 |
| 87 | Occhino, Filippo | P27 |
| 88 | Olson, Eric | P19 |
| 89 | Otto, Sven | P15 |
| 90 | Owyang, Michael | P20 |
| 91 | Paccagnini, Alessia | P31 |
| 92 | Panovska, Irina | P25 |
| 93 | Parra-Alva, Juan Carlos | P24 |
| 94 | Pidkuyko, Myroslav | P3 |
| 95 | Potjagailo, Galina | P15 |
| 96 | Pozzi, Lorenzo | P16 |
| 97 | Pretnar, Nick | P24 |
| 98 | Ravazzolo, Francesco | P35 |
| 99 | Rechard, Kyle | P5 |
| 100 | Rholes, Ryan | P4 |
| 101 | Robstad, Ørjan | P16 |
| 102 | Rottner, Matthias | P34 |
| 103 | Ruisi, Germano | P21 |
| 104 | Rujin, Svetlana | P11 |
| 105 | Schaffer, Matthew | P14 |
| 106 | Sekhposyan, Tatevik | P6 |
| 107 | Seoane, Hernán | P18 |
| 108 | Serpieri, Carolina | P26 |
| 109 | Sibbertsen, Philipp | P36 |
| 110 | Sorić, Petar | P18 |
| 111 | Srakar, Andrej | P6 |
| 112 | Startz, Richard | P9 |
| 113 | Tancioni, Massimiliano | P31 |
| 114 | Terasvirta, Timo | P28 |
| 115 | Tica, Josip | P22 |
| 116 | Uzeda, Luis | P2 |
| 117 | van der Wel, Michel | P17 |
| 118 | van Os, Bram | P15 |
| 119 | Vlah Jerić, Silvija | P10 |
| 120 | Wada, Tatsuma | P37 |
| 121 | Weber, Enzo | P4 |
| 122 | Wegener, Christoph | P19 |
| 123 | Werner, Laura | P28 |
| 124 | Wong, Benjamin | P22 |
| 125 | Zakipour-Saber, Shayan | P5 |
| 126 | Zhang, Donghai | P21 |
| 127 | Zhang, Shuonan | P38 |
| 128 | Zilberman, Roy | P30 |
This program was last updated on 2020-04-09 15:55:49 EDT