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

VIRTUAL - All session times are listed in Central European Summer Time (CEST)

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

#Date/TimeTitlePapers
1September 23, 2020
15:00-16:40
A-1 - Monetary Policy: Theory and Applications4
2September 23, 2020
15:00-16:40
A-2 - Inflation, Interest Rates and UC Models4
3September 23, 2020
15:00-16:40
A-3 - Housing Prices and Credit Policy4
4September 23, 2020
15:00-16:40
A-4 - Expectations4
5September 23, 2020
15:00-16:40
A-5 - Nonlinear, Bayesian and Structural VARs3
6September 23, 2020
15:00-16:40
A-6 - Survey of Professional Forecasters, Mediators and Uncertainty4
7September 23, 2020
16:50-18:30
B-1 - Comovements and Global Shocks4
8September 23, 2020
16:50-18:30
B-2 - Time Series I4
9September 23, 2020
16:50-18:30
B-3 - Forecast Evaluation and Methods4
10September 23, 2020
16:50-18:30
B-4 - Empirical Applications of VAR Models and Narrative Identification4
11September 23, 2020
16:50-18:30
B-5 - Topics in Macro Finance4
12September 24, 2020
14:00-15:40
C-1 - Monetary Policy, Expectations, and Forward Guidance4
13September 24, 2020
14:00-15:40
C-2 - Dynamic Factor Models and Applications4
14September 24, 2020
14:00-15:40
C-3 - Saving, Inequality and Political Risk3
15September 24, 2020
14:00-15:40
C-4 - Commodity Prices3
16September 24, 2020
14:00-15:40
C-5 - Bubbles, Liquidity, and Stock Markets3
17September 24, 2020
15:45-15:55
Welcome Remarks by SNDE President Hilde C. Bjornland 0
18September 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
19September 24, 2020
17:05-18:45
D-1 - Local Projections and Applications4
20September 24, 2020
17:05-18:45
D-2 - Financial and Business Cycles4
21September 24, 2020
17:05-18:45
D-3 - Labor Market4
22September 24, 2020
17:05-18:45
D-4 - Macro Theory and Quantitative Methods4
23September 24, 2020
17:05-18:45
D-5 - Risk and Expectations4
24September 25, 2020
14:00-15:40
E-1 - Monetary Policy Spillovers, Interactions and Natural Interest Rate4
25September 25, 2020
14:00-15:40
E-2 - Public Sector Debt, Risk and Lending4
26September 25, 2020
14:00-15:40
E-3 - Time Series II4
27September 25, 2020
14:00-15:40
E-4 - Real Time Forecasting4
28September 25, 2020
14:00-15:40
E-5 - Macroprudential Policy and Credit Risk4
29September 25, 2020
15:45-15:55
Announcements and Awards by SNDE President Hilde C. Bjørnland 0
30September 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
31September 25, 2020
17:05-18:45
F-1 - Monetary Policy, Credit Shocks and Forecasting4
32September 25, 2020
17:05-18:45
F-2 - News Shocks, Contagions and Forecasting4
33September 25, 2020
17:05-18:45
F-3 - Structural Breaks and Thresholds4
34September 25, 2020
17:05-19:10
F-4 - Monetary and Fiscal Policy Nonlinearities0
35September 25, 2020
17:05-18:45
F-5 - Fiscal Policy, Climate and Commodities4
 

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
 

35 sessions, 116 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Aastveit, Knut AreP3, C3
2Akhmetov, RenatP20
3Albuquerque, BrunoP3
4Allayioti, AnastasiaP15
5Arčabić, VladimirP7, C7
6Arce-Alfaro, GabrielP31
7Arigoni, FilippoP7
8Baillie, RichardP8
9Basistha, ArabindaP13
10Bergholt, DragoP1
11Bjørnland, HildeC9, C27
12Breitung, JoergP19
13Buncic, DanielP24
14Cakmakli, CemP27
15Canizares, CarlosP3
16Cascaldi-Garcia, DaniloP32, C32
17Chang, YoosoonC1, C23
18Chauvet, MarcelleP27
19Chevillon, GuillaumeC33
20Cross, JamieP4
21Czudaj, RobertP6
22De Polis, AndreaP23
23Demetrescu, MateiP23
24Deskar-Škrbić, MilanP4
25Di Casola, PaolaP25
26DiCecio, RiccardoP1
27Donayre, LuiggiP11, C11
28Ellingsen, JonP32
29Ellington, MikeP11
30Gabriel, VascoP24
31Galaasen, Sigurd MølsterP23
32Galvao, Ana BeatrizP4
33Ganics, GergelyP6
34Gatt, WilliamP28
35Gaudio, Francesco SaverioP11
36Gelain, PaoloP1
37Globan, TomislavP16
38Granziera, EleonoraP9
39Gross, IsaacP22
40Gundersen, Thomas StørdalP15
41Hacioglu Hoke, SinemP14
42Hartl, TobiasP26
43Hartwig, BennyP5
44Hinterlang, NataschaP33
45Hochmuth, BrigitteP21
46Hutter, ChristianP21, C21
47Ingholt, MarcusP28
48Juvenal, LucianaP10, C10
49Kapoor, SupriyaP16
50Karamysheva, MadinaP35
51Karau, SörenP10
52Kharazi, AichaP22
53Klepacz, MatthewP31
54Knotek II, EdwardP27
55Kruse, RobinsonP12
56Kwak, Jun HeeP25
57Larsen, VegardP10
58Less, VivienP33
59Liao, WentingP24, C24
60Lihn Jorgensen, PeterP1
61Liu, YuzeP26
62Lof, MatthijsP8
63Lorusso, MarcoP35
64Maffei Faccioli, NicolòP20
65Mahadeo, ScottP32
66Mamonov, MikhailP28, C28
67Mantoan, GiuliaP9
68Martinez-Garcia, EnriqueP12
69Matošec, MarinaP11
70Mayer, AlexanderP8
71McClung, NigelP12
72Mckinnon, KateP7
73Mendieta-Munoz, IvanP2
74Milani, FabioP5
75Mineyama, TomohideP24
76Moldovan, IoanaP25, C25
77Morana, ClaudioP35
78Morley, JamesP2, C2
79Nadoveza Jelić, OzanaP19
80Natvik, GisleP14, C14
81Nocciola, LucaP33
82Nogueira Ferreira, LeonardoP12
83Occhino, FilippoP35
84Olson, EricP16
85Olson, EricC16
86Otto, SvenP13
87Owyang, MichaelC19, P31, C31
88Paccagnini, AlessiaP31
89Panovska, IrinaP4, C4, C8
90Parra-Alva, Juan CarlosP22
91Pidkuyko, MyroslavP3
92Potjagailo, GalinaP13
93Pozzi, LorenzoP14
94Pretnar, NickP22, C22
95Ravazzolo, FrancescoP15, C15, C26, C35
96Rechard, KyleP5, C5
97Rossi, BarbaraP9
98Rottner, MatthiasP23
99Ruisi, GermanoP19
100Rujin, SvetlanaP10
101Schaffer, MatthewP7
102Sekhposyan, TatevikP6, C6, C12
103Shousha, SamerP2
104Sibbertsen, PhilippP33
105Srakar, AndrejP6
106Startz, RichardP8
107Tancioni, MassimilianoP28
108Terasvirta, TimoP26
109Tica, JosipP20
110Tica, JosipC20
111Ulvedal, PålP21
112Uzeda, LuisP2
113van der Wel, MichelP32
114van Os, BramP13, C13
115Vlah Jerić, SilvijaP9
116Wada, TatsumaP27
117Weber, EnzoP21
118Werner, LauraP26
119Wong, BenjaminP20
120Zhang, DonghaiP19
121Zhang, ShuonanP25

 

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