Keynote speakers
Zhongjun Qu (Boston University)
Eric Renault (Brown University)
Workshop organizers
Majid Al-Sadoon (UPF and Barcelona GSE)
Christian Brownlees (UPF and Barcelona GSE)
Geert Mesters (UPF and Barcelona GSE)
Barbara Rossi (ICREA-UPF and Barcelona GSE)
Workshop program
Tuesday, June 6
09:00 – 10:00
Zhongjun Qu (Boston University)
Likelihood Ratio Based Tests for Markov Regime Switching
(with F. Zhuo)
10:00 – 10:30
Ambrogio Cesa-Bianchi (Bank of England)
Uncertainty and Economic Activity: Identification Through Cross-country Correlations
(with M. Hasehm Pesaran and Alessandro Rebucci)
10:30 – 11:00
Ana Galvao (University of Warwick)
Endogenous Regime-switching in Large VAR Models: What Drives Asymmetries in Responses to Structural
(with A. Carriero and M. Marcellino)
11:30 – 12:00
Joao Issler (EPGE, Getulio Vargas Foundation)
Survey Design and Forecast Accuracy
(with Wagner Gaglianone, Raffaella Giacomini, and Vasiliki Skreta)
12:00 – 12:30
Laura Coroneo (University of York)
Comparing Predictive Accuracy in Small Samples Using Fixed-Smoothing Asymptotics
(with Fabrizio Iacone)
12:30 – 13:00
Andreas Pick (Erasmus School of Economics)
A near optimal test for structural breaks when forecasting under square error loss
13:00 – 13:30
Barbara Rossi (ICREA-Univ. Pompeu Fabra, Barcelona GSE and CREI)
Alternative Tests for the Correct Specification of Conditional Predictive Densities
(with T. Sekhposyan)
14:30 – 15:30
Chen Qiu (London School of Economics)
Nonparametric stochastic discount factor for high-dimensional financial returns
(with Taisuke Otsu)
14:30 – 15:30
Christian Höynck (UPF and Barcelona GSE)
Inflation in the Great Recession: Evidence from a Data-Rich Environment
14:30 – 15:30
Florens Odendahl (UPF and Barcelona GSE)
Comparing Model Forecast Performances under Markov Switching
(with Barbara Rossi)
14:30 – 15:30
Gergely Ganics (UPF and Barcelona GSE)
Confidence Intervals for the Strength of Identification
14:30 – 15:30
Shengliang Ou (UPF and Barcelona GSE)
The Time Varying Effect of Unconventional Monetary Policy
(with Francesca Loria, Carlos Montes-Galdón, Shengliang Ou, Donghai Zhang)
14:30 – 15:30
Tatjana Dahllhaus (Bank of Canada)
Asymmetries in Monetary Policy Uncertainty: New Evidence from Financial Forecasts
(with Tatevik Sekphosyan)
15:30 – 16:00
Daniele Bianchi (University of Warwick)
Expected Spot Prices and the Dynamics of Commodity Risk Premia
(with Jacopo Piana)
16:00 – 16:30
Sarah Zubairy (Texas A&M University)
Household Debt Overhang and the Transmission of Monetary Policy
(with Sami Alpanda)
17:00 – 17:30
Michel van der Wel (Erasmus School of Economics)
What Drives the Yield Curve?
(with Dennis Kristensen and Oliver Linton)
17:30 – 18:00
Natalia Sizova (Rice University)
A Perturbation Approach to Nonlinear Filtering: The Case of Stochastic Volatility
(with Ivana Komunjer)
18:00 – 18:30
Geert Mesters (UPF and Barcelona GSE)
Detecting Granular Time Series in Large Panels
(with Christian Brownlees)
Wednesday, June 7
09:00 – 10:00
Eric Renault (Brown University)
Indirect Inference with(out) Constraints
(with D. Frazier)
10:00 – 10:30
Timothy Christensen (New York University)
Identification and estimation of dynamic models with robust decision makers
(with Timothy M. Christensen)
10:30 – 11:00
Christian Matthes (Federal Reserve Bank of Richmond)
A Composite Likelihood Approach for Dynamic Structural Models
(with Fabio Canova)
11:30 – 12:00
Simon van Norden (HEC Montréal and CIRANO)
Basel III and the Predication of Financial Crises
(with Marc Wildi)
12:00 – 12:30
Fan Dora Xia (Bank of International Settlements)
Time-Varying Lower Bound of Interest Rates in Europe
(with Jing Cynthia Wu)
12:30 – 13:00
Bernd Schwaab (European Central Bank)
Bank Business Models at Zero Interest Rates
(with Andre Lucas and Julia Schaumburg)
13:00 – 13:30
Michele Lenza (European Central Bank and ECARES – ULB)
An Inflation-predicting Measure of the Output Gap in the Euro Area
(with Marek Jarocinski)
14:30 – 15:30
Alessandra Luati (University of Bologna, Department of Statistics)
The predictive density of a GARCH(1,1) process
(with Karim Abadir, Alessandra Luati, Paolo Paruolo)
14:30 – 15:30
Annika Schnücker (DIW Berlin Graduate Center and Free University Berlin)
Penalized Estimation of Panel VARs: A Lasso Approach
14:30 – 15:30
Hang Sun (Maastricht University)
Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds
14:30 – 15:30
Luca Rossi (UPF and Barcelona GSE)
Volatility Forecasting ad Network Dynamics in a Data Rich Environment with Time-Varying Parameters
14:30 – 15:30
Matthieu Soupre (UPF and Barcelona GSE)
Understanding the Sources of Macroeconomic Uncertainty
(with Barbara Rossi and Tatevik Sekhposyan)
14:30 – 15:30
Yiru Wang (UPF and Barcelona GSE)
Identification and Estimation of Parameter Instability in Factor Models
15:30 – 16:00
Marc Giannoni (Federal Reserve Bank of New York)
Safety, Liquidity, and the Natural Rate of Interest
(with Marco Del Negro, Domenico Giannone, Andrea Tambalotti)
16:00 – 16:30
Alessia Paccagnini (University College Dublin)
Uncertainty Shocks and Monetary Policies
(with Valentina Colombo)
16:30 – 17:00
Josep Lluís Carrion-i-Silvestre (Universitat de Barcelona)
Structural Breaks and Instabilities at the End of Sample
(with Dukpa Kim)
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).