Barcelona GSE Summer Forum
Balmes Building (UPF) – Balmes 132, Barcelona
TIME SERIES ANALYSIS IN MACRO AND FINANCE
Invited Speakers: Ronald Gallant (Penn State), Lars Hansen (Chicago) and Mark Watson (Princeton)
June 10-11, 2013
June 10 9:00am Barbara will pick up speakers at the hotel lobby
9:15am Registration 9:30am Greetings and Welcome
Session 1 Macroeconomic Applications. Chair: Kris Nimark (UPF, CREI and BGSE)
09:40-11:00 JOSHUA ANGRIST (MIT), GUIDO KUERSTEINER (Georgetown) and OSCAR JORDA* (FRB of San Francisco and U.C. Davis) – “Semiparametric Estimation of Monetary Policy Effects: Stimulus Before and Since the Great Recession”.
MICHAEL OWYANG* (St. Louis Fed), VALERIE RAMEY (UCSD) and SARAH ZUBAIRY (Texas A&M) – “Are Government Spending Multipliers State Dependent? Evidence from U.S. and Canadian Historical Data”
11:00-11:30 Coffee Break
Session 2 Theoretical Contributions to Time Series Econometrics. Chair: Majid Al-Sadoon (UPF and BGSE)
11:30-13:30 JESÚS GONZALO* (Universidad Carlos III) and VANESSA BERENGUER RICO (Oxford) – “Co-summability (From Linear to Non-linear Co-integration)”.
DENIS KRISTENSEN* (UCL) and MICHAEL CREEL (UAB) – “Indirect Likelihood Inference”.
JAROSLAV BOROVICKA* (NYU) and LARS PETER HANSEN (Chicago) – “Robust Preference Expansions”.
13:30-14:30 Lunch
Session 3 Forecasting. Chair: Barbara Rossi (ICREA-UPF, BGSE and CREI)
14:30-16:30 RAFFAELLA GIACOMINI* (UCL) and GIUSEPPE RAGUSA (LUISS) – “Forecasting with Judgement”.
DOMENICO GIANNONE*, CRISTINA CONFLITTI and CHRISTINE DE MOL (Université Libre de Bruxelles – ECARES) – “Optimal Combination of Survey Forecasts”.
MICHAEL MCCRACKEN* (St. Louis Fed) and GIORGIO VALENTE (Essex) – “Testing the Economic Value of Asset Return Predictability”.
16:30-17:00 Coffee Break
17:00-18:00 INVITED SPEAKER: MARK WATSON (Princeton University) – “”Nearly Optimal Tests When a Nuissance Parameter is Present Under the Null Hypothesis” (with Graham Elliott and Ulrich Müller)”. Chair: Barbara Rossi
June 11
Session 1 Empirical Applications 2. Chair: Alessia Paccagnini (Milano-Bicocca, visiting UPF)
09:40-11:00 CARLO FAVERO (Bocconi University and CEPR) – “Modelling and Forecasting Government Bond Spreads in the Euro Area: a GVAR Model”.
MENZIE CHINN and KAVAN KUCKO* (University of Wisconsin) – “The Predictive Power of the Yield Curve across Countries and Time”
11:00-11:30 Coffee Break
Session 2 Empirical Applications (continued). Chair: Vasco Carvalho (UPF, CREI and BGSE)
11:40-12:20 JORDI GALI’ (CREI-UPF) and LUCA GAMBETTI* (UAB and Barcelona GSE) – “The Effects of Monetary Policy Shocks on Asset Price Bubbles: Some Evidence”.
12:20-13:20
13:30-14:30 INVITED SPEAKER: LARS HANSEN (University of Chicago) – “Uncertainty and Valuation”. Chair: Vasco Carvalho (UPF and CREI)
Lunch
Session 3 Financial Econometrics. Chair: Christian Brownlees (UPF and BGSE)
14:30-16:30 GABRIELE FIORENTINI* (Università degli Studi di Firenze) and ENRIQUE SENTANA (Cemfi) – “Dynamic Specification Tests for Dynamic Factor Models”.
ELENA ANDREOU* (University of Cyprus) and ERIC GHYSELS (UNC Chapel Hill) – “What Drives the Volatility Risk Premium?”.
MATTEO BARIGOZZI (LSE) and CHRISTIAN BROWNLEES* (UPF and Barcelona GSE) – “NETS: Network Estimation for Time Series”.
16:30-17:00 Coffee Break
17:00-18:00 INVITED SPEAKER: RONALD GALLANT (Duke University) – “GMM with Latent Variables”.
The organizers gratefully acknowledge the financial support of the Marie Curie CIG grant (#303434) and the Spanish Ministry of Economy and Competitiveness, through the “Severo Ochoa” Programme for Centres of Excellence in R&D” (SEV-2011-0075).