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

#	Date/Time	Title	Papers
1	September 23, 2020 15:00-16:40	A-1 - Monetary Policy: Theory and Applications	4
2	September 23, 2020 15:00-16:40	A-2 - Inflation, Interest Rates and UC Models	4
3	September 23, 2020 15:00-16:40	A-3 - Housing Prices and Credit Policy	4
4	September 23, 2020 15:00-16:40	A-4 - Expectations	4
5	September 23, 2020 15:00-16:40	A-5 - Nonlinear, Bayesian and Structural VARs	3
6	September 23, 2020 15:00-16:40	A-6 - Survey of Professional Forecasters, Mediators and Uncertainty	4
7	September 23, 2020 16:50-18:30	B-1 - Comovements and Global Shocks	4
8	September 23, 2020 16:50-18:30	B-2 - Time Series I	4
9	September 23, 2020 16:50-18:30	B-3 - Forecast Evaluation and Methods	4
10	September 23, 2020 16:50-18:30	B-4 - Empirical Applications of VAR Models and Narrative Identification	4
11	September 23, 2020 16:50-18:30	B-5 - Topics in Macro Finance	4
12	September 24, 2020 14:00-15:40	C-1 - Monetary Policy, Expectations, and Forward Guidance	4
13	September 24, 2020 14:00-15:40	C-2 - Dynamic Factor Models and Applications	4
14	September 24, 2020 14:00-15:40	C-3 - Saving, Inequality and Political Risk	3
15	September 24, 2020 14:00-15:40	C-4 - Commodity Prices	3
16	September 24, 2020 14:00-15:40	C-5 - Bubbles, Liquidity, and Stock Markets	3
17	September 24, 2020 15:45-15:55	Welcome Remarks by SNDE President Hilde C. Bjornland	0
18	September 24, 2020 15:55-17:00	Plenary I, "Answering the Queen: Machine Learning and Financial Crises," featuring Helene Rey, London Business School, and Introduction of Keynote by Program Co-Chair Josip Tica	0
19	September 24, 2020 17:05-18:45	D-1 - Local Projections and Applications	4
20	September 24, 2020 17:05-18:45	D-2 - Financial and Business Cycles	4
21	September 24, 2020 17:05-18:45	D-3 - Labor Market	4
22	September 24, 2020 17:05-18:45	D-4 - Macro Theory and Quantitative Methods	4
23	September 24, 2020 17:05-18:45	D-5 - Risk and Expectations	4
24	September 25, 2020 14:00-15:40	E-1 - Monetary Policy Spillovers, Interactions and Natural Interest Rate	4
25	September 25, 2020 14:00-15:40	E-2 - Public Sector Debt, Risk and Lending	4
26	September 25, 2020 14:00-15:40	E-3 - Time Series II	4
27	September 25, 2020 14:00-15:40	E-4 - Real Time Forecasting	4
28	September 25, 2020 14:00-15:40	E-5 - Macroprudential Policy and Credit Risk	4
29	September 25, 2020 15:45-15:55	Announcements and Awards by SNDE President Hilde C. Bjørnland	0
30	September 25, 2020 15:55-17:00	Plenary II, "Regression Kink with Multiple Unknown Thresholds," presented by Bruce Hansen, University of Wisconsin, and Introduction of Keynote by Program Co-Chair Vladimir Arčabić	0
31	September 25, 2020 17:05-18:45	F-1 - Monetary Policy, Credit Shocks and Forecasting	4
32	September 25, 2020 17:05-18:45	F-2 - News Shocks, Contagions and Forecasting	4
33	September 25, 2020 17:05-18:45	F-3 - Structural Breaks and Thresholds	4
34	September 25, 2020 17:05-19:10	F-4 - Monetary and Fiscal Policy Nonlinearities	0
35	September 25, 2020 17:05-18:45	F-5 - Fiscal Policy, Climate and Commodities	4

 

35 sessions, 116 papers, and 0 presentations with no associated papers

28th Annual VIRTUAL Symposium of the Society for Nonlinear Dynamics and Econometrics
Detailed List of Sessions

Session 1: A-1 - Monetary Policy: Theory and Applications September 23, 2020 15:00 to 16:40
Session Chair: Yoosoon Chang, Indiana University
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
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
Anchored Inflation Expectations and the Flatter Phillips Curve
By Peter Lihn Jorgensen; Copenhagen Business School Kevin Lansing; Federal Reserve Bank of San Francisco
presented by: Peter Lihn Jorgensen, Copenhagen Business School
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
Session 2: A-2 - Inflation, Interest Rates and UC Models September 23, 2020 15:00 to 16:40
Session Chair: James Morley, University of Sydney
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
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
Trend Inflation and Monetary Policy
By Luis Uzeda; Bank of Canada
presented by: Luis Uzeda, Bank of Canada
Scarcity of Safe Assets And Global Neutral Interest Rates
By Samer Shousha; Federal Reserve Board Thiago Ferreira; Federal Reserve Board
presented by: Samer Shousha, Federal Reserve Board
Session 3: A-3 - Housing Prices and Credit Policy September 23, 2020 15:00 to 16:40
Session Chair: Knut Are Aastveit, Norges Bank
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
Heterogeneous Spillovers of Housing Credit Policy
By Myroslav Pidkuyko; Banco de España
presented by: Myroslav Pidkuyko, Banco de España
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
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 - Expectations September 23, 2020 15:00 to 16:40
Session Chair: 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
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
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 5: A-5 - Nonlinear, Bayesian and Structural VARs September 23, 2020 15:00 to 16:40
Session Chair: Kyle Rechard, Clemson University
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
Learning, Unlearning, and Relearning Keynes
By Fabio Milani; University of California, Irvine
presented by: Fabio Milani, University of California, Irvine
Session 6: A-6 - Survey of Professional Forecasters, Mediators and Uncertainty September 23, 2020 15:00 to 16:40
Session Chair: Tatevik Sekhposyan, Texas A&M University
Heterogeneity of Beliefs and Information Rigidity in the Crude Oil Market: Evidence from Survey Data
By Robert Czudaj; Chemnitz University of Technology
presented by: Robert Czudaj, Chemnitz University of Technology
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
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 - Comovements and Global Shocks September 23, 2020 16:50 to 18:30
Session Chair: Vladimir Arčabić, Faculty of economics & business Zagreb
World shocks and commodity price fluctuations: evidence from resource-rich economies
By Filippo Arigoni; Bank of Slovenia
presented by: Filippo Arigoni, Bank of Slovenia
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
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 8: B-2 - Time Series I September 23, 2020 16:50 to 18:30
Session Chair: Irina Panovska, University of Texas at Dallas
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
(Consistently) testing strict exogeneity against the alternative of predeterminedness
By Alexander Mayer; WHU -- Otto von Beisheim School of Management
presented by: Alexander Mayer, Universität zu Köln
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
Discount Rates and Cash Flows: A Local Projection Approach
By Matthijs Lof; Aalto University
presented by: Matthijs Lof, Aalto University
Session 9: B-3 - Forecast Evaluation and Methods September 23, 2020 16:50 to 18:30
Session Chair: Hilde Bjørnland, BI Norwegian Business School
Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them
By Barbara Rossi; ICREA-Univ. Pompeu Fabra, CREI and Barcelona GSE
presented by: Barbara Rossi, ICREA-Univ. Pompeu Fabra, Barcelona GSE
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
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 10: B-4 - Empirical Applications of VAR Models and Narrative Identification September 23, 2020 16:50 to 18:30
Session Chair: Luciana Juvenal, International Monetary Fund
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
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
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
Session 11: B-5 - Topics in Macro Finance September 23, 2020 16:50 to 18:30
Session Chair: Luiggi Donayre, University of Minnesota - Duluth
Dynamic Network Risk
By Mike Ellington; University of Liverpool Jozef Barunik; Institute of Economic Studies, Charles U
presented by: Mike Ellington, University of Liverpool
EU Consumer Confidence and the New Modesty Hypothesis
By Marina Matošec; University of Zagreb, Faculty of Economic & Business Petar Sorić; Faculty of economics and business Zagreb Mirjana Čižmešija; University of Zagreb, Faculty of Economic & Business
presented by: Marina Matošec, University of Zagreb, Faculty of Economic & Business
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
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
Session 12: C-1 - Monetary Policy, Expectations, and Forward Guidance September 24, 2020 14:00 to 15:40
Session Chair: Tatevik Sekhposyan, Texas A&M University
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
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
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
Session 13: C-2 - Dynamic Factor Models and Applications September 24, 2020 14:00 to 15:40
Session Chair: Bram van Os, Erasmus School of Economics, Erasmus University Rotterdam
Global Financial Cycles since 1880
By Galina Potjagailo; Bank of England Maik Wolters; Friedrich-Schiller-Universität Jena
presented by: Galina Potjagailo, Bank of England
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
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 14: C-3 - Saving, Inequality and Political Risk September 24, 2020 14:00 to 15:40
Session Chair: Gisle Natvik, BI Norwegian Business School
Macroeconomic Effects of Political Risk Shocks
By Sinem Hacioglu Hoke; Bank of England
presented by: Sinem Hacioglu Hoke, Bank of England
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
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
Session 15: C-4 - Commodity Prices September 24, 2020 14:00 to 15:40
Session Chair: Francesco Ravazzolo, Free University of Bozen/Bolzano
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
Forecasting commodity prices in a data-rich unstable environment
By Anastasia Allayioti; University of Warwick
presented by: Anastasia Allayioti, University of Warwick
OPEC’s Crude Game: Evidence Pro- and Counter-cyclical Regimes in OPEC Behavior
By Thomas Størdal Gundersen; BI Norwegian Business School Even Hvinden; BI Norwegian Business School
presented by: Thomas Størdal Gundersen, BI Norwegian Business School
Session 16: C-5 - Bubbles, Liquidity, and Stock Markets September 24, 2020 14:00 to 15:40
Session Chair: 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
When Does the Fed Care About Stock Prices?
By Eric Olson; University of Tulsa
presented by: Eric Olson, University of Tulsa
Session 17: Welcome Remarks by SNDE President Hilde C. Bjornland September 24, 2020 15:45 to 15:55
Session 18: Plenary I, "Answering the Queen: Machine Learning and Financial Crises," featuring Helene Rey, London Business School, and Introduction of Keynote by Program Co-Chair Josip Tica September 24, 2020 15:55 to 17:00
Session 19: D-1 - Local Projections and Applications September 24, 2020 17:05 to 18:45
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Time-Varying Local Projections
By Germano Ruisi; Central Bank of Malta
presented by: Germano Ruisi, Central Bank of Malta
Projection estimators for structural impulse responses
By Joerg Breitung; University of Cologne
presented by: Joerg Breitung, University of Cologne
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
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
Session 20: D-2 - Financial and Business Cycles September 24, 2020 17:05 to 18:45
Session Chair: Josip Tica, Faculty of Economics and Business Zagreb, University of Zagreb
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
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)
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 21: D-3 - Labor Market September 24, 2020 17:05 to 18:45
Session Chair: Christian Hutter, Institute for Employment Research (IAB)
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)
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)
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
Estimating Hysteresis Effects
By Francesco Furlanetto; Norges Bank Ørjan Robstad; Norges Bank Pål Ulvedal; Norges Bank
presented by: Pål Ulvedal, Norges Bank
Session 22: D-4 - Macro Theory and Quantitative Methods September 24, 2020 17:05 to 18:45
Session Chair: Nick Pretnar, University of California, Santa Barbara
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
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
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
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, University of California, Santa Barbara
Session 23: D-5 - Risk and Expectations September 24, 2020 17:05 to 18:45
Session Chair: Yoosoon Chang, Indiana University
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
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
Modeling and Forecasting Macroeconomic Downside Risk
By Andrea De Polis; University of Warwick
presented by: Andrea De Polis, University of Warwick
Session 24: E-1 - Monetary Policy Spillovers, Interactions and Natural Interest Rate September 25, 2020 14:00 to 15:40
Session Chair: Wenting Liao, NORTHEASTERN 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 Kenji Nishizaki; 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
Econometric issues with Laubach and Williams’ estimates of the natural rate of interest
By Daniel Buncic; Stockholm University
presented by: Daniel Buncic, Stockholm University
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
Session 25: E-2 - Public Sector Debt, Risk and Lending September 25, 2020 14:00 to 15:40
Session Chair: 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
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
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
Optimal Fiscal Spending and Reserve Accumulation Policies Under Volatile Aid
By Ioana Moldovan; University of Glasgow
presented by: Ioana Moldovan, University of Glasgow
Session 26: E-3 - Time Series II September 25, 2020 14:00 to 15:40
Session Chair: Francesco Ravazzolo, Free University of Bozen/Bolzano
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
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
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
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
Session 27: E-4 - Real Time Forecasting September 25, 2020 14:00 to 15:40
Session Chair: Hilde Bjørnland, BI Norwegian Business School
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
Improving the Density Nowcasting of the US-GDP using Survey Information
By Cem Cakmakli; Koc University
presented by: Cem Cakmakli, Koc University
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
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
Session 28: E-5 - Macroprudential Policy and Credit Risk September 25, 2020 14:00 to 15:40
Session Chair: Mikhail Mamonov, CERGE-EI
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
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
Housing boom-bust cycles and asymmetric macroprudential policy
By William Gatt; Central Bank of Malta
presented by: William Gatt, Central Bank of Malta
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 29: Announcements and Awards by SNDE President Hilde C. Bjørnland September 25, 2020 15:45 to 15:55
Session 30: Plenary II, "Regression Kink with Multiple Unknown Thresholds," presented by Bruce Hansen, University of Wisconsin, and Introduction of Keynote by Program Co-Chair Vladimir Arčabić September 25, 2020 15:55 to 17:00
Session 31: F-1 - Monetary Policy, Credit Shocks and Forecasting September 25, 2020 17:05 to 18:45
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
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
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
The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments
By Matthew Klepacz; Federal Reserve Board Gee Hee Hong; International Monetary Fund Ernesto Pasten; Central Bank of Chile Raphael Schoenle; Brandeis University and Federal Reserve
presented by: Matthew Klepacz, Federal Reserve Board
Session 32: F-2 - News Shocks, Contagions and Forecasting September 25, 2020 17:05 to 18:45
Session Chair: Danilo Cascaldi-Garcia, Federal Reserve Board
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
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
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 33: F-3 - Structural Breaks and Thresholds September 25, 2020 17:05 to 18:45
Session Chair: Guillaume Chevillon, ESSEC Business School
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
Finite sample forecast properties and window length under breaks in cointegrated systems
By Luca Nocciola; Deutsche Bundesbank
presented by: Luca Nocciola, Deutsche Bundesbank
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
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
Session 34: F-4 - Monetary and Fiscal Policy Nonlinearities September 25, 2020 17:05 to 19:10
Session 35: F-5 - Fiscal Policy, Climate and Commodities September 25, 2020 17:05 to 18:45
Session Chair: Francesco Ravazzolo, Free University of Bozen/Bolzano
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

 

This program was last updated on 2020-09-25 07:39:58 EDT