Barcelona GSE Summer Forum
Balmes Building (UPF) – Balmes 132, Barcelona
TIME SERIES ANALYSIS IN MACRO AND FINANCE
June 8-9, 2015
Invited Speakers: MANFRED DEISTLER, OLIVER LINTON and LUCREZIA REICHLIN
JUNE 8
Session 1: Theoretical Approaches in Time Series
09:20-10:20 Invited speaker: MANFRED DEISTLER (Technische Universität Wien)
“Regular and singular AR and ARMA models: The single and the mixed frequency case” (with Brian D.O. Anderson, Alexander Braumann, Elisabeth Felsenstein and Lukas Koelbl)
10:20-11:00 MARCELO C. MEDEIROS (Pontificia Universidade Católica Rio de Janeiro)
“l1-regularization of high dimensional time series models with flexible innovations” (with Eduardo F. Mendes)
11:00-11:30 Coffee-break*
Session 2: Macro-Economic Methods
11:30-13:30 KIRSTEN HUBRICH (European Central Bank)
“Monetary and financial stability policy: Unconventional monetary policy, leverage and financial stress” (with Dan Waggoner)
LAURA CORONEO (University of York)
“Testing for optimal monetary policy via moment inequalities” (with Valentina Corradi and Paulo Santos Monteiro)
SOPHOCLES MAVROEIDIS (University of Oxford)
“Robust inference in structural VARs with long-run restrictions” (with Guillaume Chevillon and Zhaoguo Zhan)
13:30-14:30 Lunch*
Session 3: DSGE Econometrics
14:30-16:30 ATSUSHI INOUE (Vanderbilt University)
“Impulse response matching estimators for DSGE models” (with Pablo A. Guerrón-Quintana and Lutz Kilian)
FILIPPO FERRONI (Banque de France)
“Are the DSGE model shocks fundamental or redundant?”(with Stefano Grassi and Miguel León-Ledesma)
ABEER REZA (Bank of Canada)
“Exact inference in DSGE models”(with Lynda Khalaf and Zhenjiang Lin)
16:30-17:00 Coffee-break*
17:00-18:00 Invited speaker: OLIVER LINTON (University of Cambridge)
“TBA”
20:00 Workshop dinner*
JUNE 9
Session 4: Applied Macroeconomics I
09:15-10:15 Invited speaker: LUCREZIA REICHLIN (London Business School)
“TBA”
10:15-11:00 ANA GALVAO (University of Warwick)
“Data revisions and DSGE models”
11:00-11:30 Coffee-break*
Session 5: Factor Models
11:30-13:30 JESÚS GONZALO (Universidad Carlos III Madrid)
“Quantile factor models” (with Juan J. Dolado)
DALIBOR STEVANOVIC (UQAM)
“Factor augmented autoregressive distributed lag model with macroeconomic applications” (with Serena Ng)
AMBROGIO CESA-BIANCHI (Bank of England)
“Uncertainty and economic activity: A global perspective” (with M. Hashem Pesaran and Alessandro Rebucci)
13:30-14:30 Lunch*
Session 6: Forecasting
14:30-16:30 CLAUDIA FORONI (Norges Bank)
“Using low frequency information for predicting high frequency variable” (with Pierre Guerin and Massimiliano Marcellino)
MICHAEL WOLF (University of Zurich)
“Bootstrap joint prediction regions” (with Dan Wunderli)
GEERT MESTERS (UPF and Barcelona GSE)
“Empirical Bayes methods for forecasting” (with Siem Jan Koopman)
16:30-17:00 Coffee-break*
Session 7: Applied Macroeconomics II
17:00-18:30 CHRISTIANE BAUMEISTER (University of Notre Dame)
“A general approach to recovering market expectations from futures prices with an application to crude oil” (with Lutz Kilian)
JONÁS ARIAS (Federal Reserve Board)
“The systematic component of monetary policy in SVARs: An agnostic identification procedure” (with Dario Caldara and Juan F. Rubio-Ramírez)
Organizers: Majid Al-Sadoon (UPF and Barcelona GSE), Christian Brownlees (UPF and Barcelona GSE), Geert Mesters (UPF and Barcelona GSE) and Barbara Rossi (ICREA-UPF, Barcelona GSE and CREI).
The organizers gratefully acknowledge the financial support of Universitat Pompeu Fabra, through the Marie Curie CIG grant (#303434) and Barcelona GSE, through the Spanish Ministry of Economy and Competitiveness “Severo Ochoa” Programme for Centres of Excellence in R&D” (SEV-2011-0075).