Summary of All Sessions |
---|
Click here for an index of all participants |
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 |
# | Participant | Roles in Conference |
---|---|---|
1 | Aastveit, Knut Are | P3, C3 |
2 | Akhmetov, Renat | P20 |
3 | Albuquerque, Bruno | P3 |
4 | Allayioti, Anastasia | P15 |
5 | Arčabić, Vladimir | P7, C7 |
6 | Arce-Alfaro, Gabriel | P31 |
7 | Arigoni, Filippo | P7 |
8 | Baillie, Richard | P8 |
9 | Basistha, Arabinda | P13 |
10 | Bergholt, Drago | P1 |
11 | Bjørnland, Hilde | C9, C27 |
12 | Breitung, Joerg | P19 |
13 | Buncic, Daniel | P24 |
14 | Cakmakli, Cem | P27 |
15 | Canizares, Carlos | P3 |
16 | Cascaldi-Garcia, Danilo | P32, C32 |
17 | Chang, Yoosoon | C1, C23 |
18 | Chauvet, Marcelle | P27 |
19 | Chevillon, Guillaume | C33 |
20 | Cross, Jamie | P4 |
21 | Czudaj, Robert | P6 |
22 | De Polis, Andrea | P23 |
23 | Demetrescu, Matei | P23 |
24 | Deskar-Škrbić, Milan | P4 |
25 | Di Casola, Paola | P25 |
26 | DiCecio, Riccardo | P1 |
27 | Donayre, Luiggi | P11, C11 |
28 | Ellingsen, Jon | P32 |
29 | Ellington, Mike | P11 |
30 | Gabriel, Vasco | P24 |
31 | Galaasen, Sigurd Mølster | P23 |
32 | Galvao, Ana Beatriz | P4 |
33 | Ganics, Gergely | P6 |
34 | Gatt, William | P28 |
35 | Gaudio, Francesco Saverio | P11 |
36 | Gelain, Paolo | P1 |
37 | Globan, Tomislav | P16 |
38 | Granziera, Eleonora | P9 |
39 | Gross, Isaac | P22 |
40 | Gundersen, Thomas Størdal | P15 |
41 | Hacioglu Hoke, Sinem | P14 |
42 | Hartl, Tobias | P26 |
43 | Hartwig, Benny | P5 |
44 | Hinterlang, Natascha | P33 |
45 | Hochmuth, Brigitte | P21 |
46 | Hutter, Christian | P21, C21 |
47 | Ingholt, Marcus | P28 |
48 | Juvenal, Luciana | P10, C10 |
49 | Kapoor, Supriya | P16 |
50 | Karamysheva, Madina | P35 |
51 | Karau, Sören | P10 |
52 | Kharazi, Aicha | P22 |
53 | Klepacz, Matthew | P31 |
54 | Knotek II, Edward | P27 |
55 | Kruse, Robinson | P12 |
56 | Kwak, Jun Hee | P25 |
57 | Larsen, Vegard | P10 |
58 | Less, Vivien | P33 |
59 | Liao, Wenting | P24, C24 |
60 | Lihn Jorgensen, Peter | P1 |
61 | Liu, Yuze | P26 |
62 | Lof, Matthijs | P8 |
63 | Lorusso, Marco | P35 |
64 | Maffei Faccioli, Nicolò | P20 |
65 | Mahadeo, Scott | P32 |
66 | Mamonov, Mikhail | P28, C28 |
67 | Mantoan, Giulia | P9 |
68 | Martinez-Garcia, Enrique | P12 |
69 | Matošec, Marina | P11 |
70 | Mayer, Alexander | P8 |
71 | McClung, Nigel | P12 |
72 | Mckinnon, Kate | P7 |
73 | Mendieta-Munoz, Ivan | P2 |
74 | Milani, Fabio | P5 |
75 | Mineyama, Tomohide | P24 |
76 | Moldovan, Ioana | P25, C25 |
77 | Morana, Claudio | P35 |
78 | Morley, James | P2, C2 |
79 | Nadoveza Jelić, Ozana | P19 |
80 | Natvik, Gisle | P14, C14 |
81 | Nocciola, Luca | P33 |
82 | Nogueira Ferreira, Leonardo | P12 |
83 | Occhino, Filippo | P35 |
84 | Olson, Eric | P16 |
85 | Olson, Eric | C16 |
86 | Otto, Sven | P13 |
87 | Owyang, Michael | C19, P31, C31 |
88 | Paccagnini, Alessia | P31 |
89 | Panovska, Irina | P4, C4, C8 |
90 | Parra-Alva, Juan Carlos | P22 |
91 | Pidkuyko, Myroslav | P3 |
92 | Potjagailo, Galina | P13 |
93 | Pozzi, Lorenzo | P14 |
94 | Pretnar, Nick | P22, C22 |
95 | Ravazzolo, Francesco | P15, C15, C26, C35 |
96 | Rechard, Kyle | P5, C5 |
97 | Rossi, Barbara | P9 |
98 | Rottner, Matthias | P23 |
99 | Ruisi, Germano | P19 |
100 | Rujin, Svetlana | P10 |
101 | Schaffer, Matthew | P7 |
102 | Sekhposyan, Tatevik | P6, C6, C12 |
103 | Shousha, Samer | P2 |
104 | Sibbertsen, Philipp | P33 |
105 | Srakar, Andrej | P6 |
106 | Startz, Richard | P8 |
107 | Tancioni, Massimiliano | P28 |
108 | Terasvirta, Timo | P26 |
109 | Tica, Josip | P20 |
110 | Tica, Josip | C20 |
111 | Ulvedal, Pål | P21 |
112 | Uzeda, Luis | P2 |
113 | van der Wel, Michel | P32 |
114 | van Os, Bram | P13, C13 |
115 | Vlah Jerić, Silvija | P9 |
116 | Wada, Tatsuma | P27 |
117 | Weber, Enzo | P21 |
118 | Werner, Laura | P26 |
119 | Wong, Benjamin | P20 |
120 | Zhang, Donghai | P19 |
121 | Zhang, Shuonan | P25 |
This program was last updated on 2020-09-25 07:39:58 EDT