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

University of Zagreb, Faculty of Economics and Business, Croatia

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

#Date/TimeTitlePapers
1March 26, 2020
9:00-10:40
A-1 - Monetary Policy: Theory and Applications4
2March 26, 2020
9:00-10:40
A-2 - Inflation, Interest Rates, and UC Models4
3March 26, 2020
9:00-10:40
A-3 - Housing Prices and Credit Policy4
4March 26, 2020
9:00-10:40
A-4 - Labor Market Over the Business Cycle4
5March 26, 2020
9:00-10:40
A-5 - Nonlinear, Bayesian and Structural VARs4
6March 26, 2020
9:00-10:40
A-6 - Survey of Professional Forecasters, Mediators and Uncertainty4
7March 26, 2020
11:10-12:50
B-1 - Monetary Policy, Expectations, and Forward Guidance4
8March 26, 2020
11:10-12:50
B-2 - Comovements and Global Shocks4
9March 26, 2020
11:10-12:50
B-3 - Time Series I4
10March 26, 2020
11:10-12:50
B-4 - Forecast Evaluation4
11March 26, 2020
11:10-12:50
B-5 - Empirical Applications of VAR Models and Narrative Identification4
12March 26, 2020
11:10-12:50
B-6 - Asset Pricing and Macro Finance4
13March 26, 2020
14:00-15:00
Plenary: "Regression Kink with Multiple Unknown Thresholds," presented by Bruce Hansen, University of Wisconsin0
14March 26, 2020
15:30-17:10
C-1 - International Aspects of Monetary Policy4
15January 26, 2020
15:30-17:10
C-2 - Dynamic Factor Models and Applications4
16March 26, 2020
15:30-17:10
C-3 - Saving, Inequality and Political Risk4
17March 26, 2020
15:30-17:10
C-4 - News Shocks and Forecasting4
18March 26, 2020
15:30-17:10
C-5 - Real Shocks and Consumer Confidence4
19March 26, 2020
15:30-17:10
C-6 - Bubbles, Liquidity, and Stock Markets4
20March 27, 2020
9:00-10:40
D-1 - Monetary Policy, Inflation, and Forecasting4
21March 27, 2020
9:00-10:40
D-2 - Local Projections and Applications4
22March 27, 2020
9:00-10:40
D-3 - Financial and Business Cycles4
23March 27, 2020
9:00-10:40
D-4 - Labor Market4
24March 27, 2020
9:00-10:40
D-5 - Mathematical and Quantitative Methods4
25March 27, 2020
9:00-10:40
D-6 - Expectations4
26March 27, 2020
11:10-12:50
E-1 - Monetary and Fiscal Policy Nonlinearities4
27March 27, 2020
11:10-12:50
E-2 - Fiscal Policy, Climate and Commodities4
28March 27, 2020
11:10-12:50
E-3 - Time Series II4
29March 27, 2020
11:10-12:50
E-4 - Real Time Forecasting4
30March 27, 2020
11:10-12:50
E-5 - Macroprudential Policy4
31March 27, 2020
11:10-12:50
E-6 - Credit Shocks, Collateral Constraints, and Exports4
32March 27, 2020
14:00-15:00
Plenary, featuring Helene Rey, London Business School0
33March 27, 2020
15:30-17:10
F-1 - Monetary Policy Spillovers, Interactions and Natural Interest Rate4
34March 27, 2020
15:30-17:10
F-2 - Risk and Expectations4
35March 27, 2020
15:30-17:10
F-3 - Commodity Prices4
36March 27, 2020
15:30-17:10
F-4 - Structural Breaks and Thresholds4
37March 27, 2020
15:30-17:10
F-5 - Forecasting Methods, GDP and Exchange Rates4
38March 27, 2020
15:30-17:10
F-6 - Public Sector Debt, Risk and Lending4
 

38 sessions, 144 papers, and 0 presentations with no associated papers


 

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

Detailed List of Sessions

 
Session 1: A-1 - Monetary Policy: Theory and Applications
March 26, 2020 9:00 to 10:40
 
 

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
 

Inflation comovements in advanced economies. Facts and drivers
By Luis J. Alvarez; Banco de España
Maria Dolores Gadea; University of Zaragoza
Ana Gómez-Loscos; Banco de España
   presented by: Ana Gómez-Loscos, Banco de España
 

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
 

The Identification Problem for Linear Rational Expectations Models
By Majid Al Sadoon; Durham University Business School
   presented by: Majid Al Sadoon, Durham University Business School
 

(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
 

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, CREI and Barce
 

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
 

Forecasting the Volatility of Asset Returns: The Informational Gains from Option Prices
By Vance Martin; University of Melbourne
Chrismin Tang; University of Melbourne
Wenying Yao; Deakin University
   presented by: Wenying Yao, Deakin University
 

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
 
 

Interest Rate Uncertainty as a Policy Tool
By G. Kemal Ozhan; Bank of Canada
   presented by: G. Kemal Ozhan, Bank of Canada
 

International Spillovers of Forward Guidance Shocks
By Daniel Rees; Bank for International Settlements
   presented by: Daniel Rees, Bank for International Settlements
 

Stock market evidence on the international transmission channels of US monetary policy surprises
By Tim Maurer; Copenhagen Business School
Thomas Nitschka; Swiss National Bank
   presented by: Thomas Nitschka, Swiss National Bank
 

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 Economic News
By Luca Barbaglia; Joint Research Centre, European Commission
Sergio Consoli; JRC, European Commission
Sebastiano Manzan; Baruch College, CUNY
   presented by: Sebastiano Manzan, Baruch College, CUNY
 

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
 

Uncertainty-dependent and sign-dependent effects of oil market shocks
By Bao Nguyen; Australian National University
Tatsuyoshi Okimoto; Australian National University
Trung Duc Tran; University of Sydney, Economics
   presented by: Tatsuyoshi Okimoto, Australian National University
 
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
 

Phillips curves in the euro area
By Laura Moretti; European Central Bank
Luca Onorante; European Central Bank
Shayan Zakipour-Saber; Central Bank of Ireland/ Queen Mary University of London
   presented by: Laura Moretti, European Central Bank
 

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 logit model of repetitive choice with a~range-dependent utility
By Aleksei Chernulich; New York University Abu Dhabi
   presented by: Aleksei Chernulich, New York University Abu Dhabi
 

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
 

Monetary Policy Independence and the Intensity of the Global Financial Cycle
By Danilo Leiva-Leon; Banco de España
   presented by: Danilo Leiva-Leon, Banco de España
 

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 Price and Investor’s Emotions
By David Bourghelle; IAE-LEM
Fredj JAWADI; University of Lille
   presented by: Fredj JAWADI, University of Lille
 

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
 

Detection of Outliers and Structural Breaks in Time Series Data: Indicator Saturation or BMA?
By Adam Check; University of St. Thomas
Jeremy Piger; University of Oregon
Peter Sullivan; University of Puget Sound
   presented by: Adam Check, University of St. Thomas
 

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
 

Can Risk Premium Explain the Uncovered Interest Parity Puzzle? A Nonparametric Approach
By Jing Li; Miami University
   presented by: Jing Li, Miami University
 
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
 

38 sessions, 144 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Aastveit, Knut AreP3
2Akhmetov, RenatP22
3Al Sadoon, MajidP9
4Albuquerque, BrunoP3
5Allayioti, AnastasiaP35
6Anufriev, MikhailP12
7Arčabić, VladimirP8
8Arce-Alfaro, GabrielP20
9Arigoni, FilippoP8
10Baillie, RichardP9
11Basistha, ArabindaP15
12Bergholt, DragoP1
13Bjørnland, HildeP26
14Breitung, JoergP21
15Bruns, MartinP5
16Buncic, DanielP33
17Cakmakli, CemP29
18Canizares, CarlosP3
19Cascaldi-Garcia, DaniloP17, P23
20Chauvet, MarcelleP29
21Check, AdamP36
22Chernulich, AlekseiP24
23Cross, JamieP25
24Czudaj, RobertP7
25De Polis, AndreaP34
26Demetrescu, MateiP34
27Deskar-Škrbić, MilanP25
28Di Casola, PaolaP38
29DiCecio, RiccardoP1
30Donayre, LuiggiP4
31Ellingsen, JonP17
32Ellington, MikeP12
33Ferreira, ThiagoP2
34Furlanetto, FrancescoP23
35Gabriel, VascoP33
36Galaasen, Sigurd MølsterP34
37Galvao, Ana BeatrizP25
38Ganics, GergelyP6
39Gatt, WilliamP30
40Gaudio, Francesco SaverioP12
41Gómez-Loscos, AnaP8
42Gelain, PaoloP1
43Globan, TomislavP19
44Granziera, EleonoraP10
45Gross, IsaacP24
46Gundersen, Thomas StørdalP35
47Hacioglu Hoke, SinemP16
48Hartl, TobiasP28
49Hartwig, BennyP5
50Heinrich, MarkusP29
51Hinterlang, NataschaP26
52Hipp, RubenP10
53Hochmuth, BrigitteP23
54Hutter, ChristianP23
55Ingholt, MarcusP30
56JAWADI, FredjP35
57Juvenal, LucianaP11
58Kapoor, SupriyaP19
59Karamysheva, MadinaP27
60Karau, SörenP11
61Kharazi, AichaP31
62Klepacz, MatthewP18
63Knotek II, EdwardP29
64Koca, Yakup KutsalP31
65Kruse, RobinsonP6
66Kwak, Jun HeeP38
67Lansing, KevinP1
68Larsen, VegardP11
69Leiva-Leon, DaniloP33
70Less, VivienP36
71Li, JingP37
72Liao, WentingP20
73Liu, YuzeP28
74Lof, MatthijsP21
75Lorusso, MarcoP27
76Maffei Faccioli, NicolòP22
77Mahadeo, ScottP37
78Mamonov, MikhailP30
79Mantoan, GiuliaP37
80Manzan, SebastianoP17
81Martinez-Garcia, EnriqueP7
82Mayer, AlexanderP9
83McClung, NigelP7
84Mckinnon, KateP8
85Mendieta-Munoz, IvanP2
86Milani, FabioP26
87Mineyama, TomohideP33
88Moldovan, IoanaP38
89Morana, ClaudioP27
90Moretti, LauraP20
91Morley, JamesP2
92Nadoveza Jelić, OzanaP4
93Natvik, GisleP16
94Nitschka, ThomasP14
95Nocciola, LucaP36
96Nogueira Ferreira, LeonardoP7
97Occhino, FilippoP27
98Okimoto, TatsuyoshiP18
99Olson, EricP19
100Otto, SvenP15
101Owyang, MichaelP20
102Ozhan, G. KemalP14
103Paccagnini, AlessiaP31
104Panovska, IrinaP25
105Parra-Alva, Juan CarlosP24
106Pidkuyko, MyroslavP3
107Potjagailo, GalinaP15
108Pozzi, LorenzoP16
109Pretnar, NickP24
110Ravazzolo, FrancescoP35
111Rechard, KyleP5
112Rees, DanielP14
113Rholes, RyanP4
114Robstad, ØrjanP16
115Rossi, BarbaraP10
116Rottner, MatthiasP34
117Ruisi, GermanoP21
118Rujin, SvetlanaP11
119Schaffer, MatthewP14
120Sekhposyan, TatevikP6
121Seoane, HernánP18
122Serpieri, CarolinaP26
123Sibbertsen, PhilippP36
124Sorić, PetarP18
125Srakar, AndrejP6
126Startz, RichardP9
127Tancioni, MassimilianoP31
128Terasvirta, TimoP28
129Tica, JosipP22
130Uzeda, LuisP2
131van der Wel, MichelP17
132van Os, BramP15
133Vlah Jerić, SilvijaP10
134Wada, TatsumaP37
135Weber, EnzoP4
136Wegener, ChristophP19
137Werner, LauraP28
138Wong, BenjaminP22
139Yao, WenyingP12
140Zakipour-Saber, ShayanP5
141Zhang, DonghaiP21
142Zhang, ShuonanP38
143Zilberman, RoyP30

 

This program was last updated on 2020-03-23 16:09:03 EDT