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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SI 2016 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 12-15, 2016

Royal Sonesta Hotel
Longfellow Room
40 Edwin Land Boulevard
Cambridge, Massachusetts

PROGRAM

 

Tuesday, July 12

8:00 am

Coffee and Pastries

8:30 am

Daniel Lewis, Harvard University
Eben Lazarus, Harvard University
James H. Stock, Harvard University and NBER
Mark W. Watson, Princeton University and NBER
HAR Inference: Kernel Choice, Size Distortions, and Power Loss

9:15 am

Lawrence DW. Schmidt, University of Chicago
Yinchu Zhu, University of California at San Diego
Quantile Spacings: A Simple Method for the Joint Estimation of Multiple Quantiles Without Crossing

10:00 am

Break

10:30 am

Matteo Barigozzi, London School of Economics and Political Science
Marco Lippi, Universitspan> di Roma, La Sapienza
Matteo Luciani, Federal Reserve Board of Governors
Non-Stationary Dynamic Factor Models for Large Datasets

11:15 am

Davide Pettenuzzo, Brandeis University
Gary Koop, University of Strathclyde
Dimitris Korobilis, University of Glasgow, Adam Smith Business School
Bayesian Compressed Vector Autoregressions

12:00 n

Lunch and Adjourn

Wednesday, July 13

8:00 am

Coffee and Pastries

8:30 am

Sydney C. Ludvigson, New York University and NBER
Sai Ma, New York University
Serena Ng, Columbia University and NBER
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

9:15 am

Andrea Carriero, Queen Mary University of London
Todd Clark, Federal Reserve Bank of Cleveland
Massimiliano Marcellino,
Bocconi University
Measuring Macroeconomic Uncertainty and its Impact on the Economy

10:00 am

Break

10:30 am

Mario Forni, Universita di Modena
Luca Gambetti, Universitat Autonoma de Barcelona
Luca Sala, Bocconi University
VAR Information and the Empirical Validation of DSGE Models

11:15 am

Geert Bekaert, Columbia University and NBER
Eric Engstrom, Federal Reserve Board of Governors
Andrey Ermolov, Fordham University
Macro Risks and the Term Structure of Interest Rates

12:00 n

Lunch and Adjourn

6:00 pm

Clambake

Thursday, July 14

8:00 am

Coffee and Pastries

8:30 am

Harrison Hong, Princeton University and NBER
Weikai Li, Hong Kong University of Science and Technology
Jiangmin Xu, Peking University
Climate Risks and Market Efficiency

9:15 am

Christiane J.S. Baumeister, University of Notre Dame
Lutz Kilian, University of Michigan
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

10:00 am

Break

10:30 am

Martin M. Andreasen, Aarhus University
Jens Christensen, Federal Reserve Bank of San Francisco
Kevin Cook, Federal Reserve Bank of San Francisco
Simon Riddell, Federal Reserve Bank of San Francisco
The TIPS Liquidity Premium

11:15 am

Eric T. Swanson, University of California at Irvine and NBER
Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets

12:00 n

Lunch and Adjourn

Friday, July 15

8:00 am

Coffee and Pastries

8:30 am

Emre Yoldas, Federal Reserve Board
Zeynep Senyuz, Federal Reserve Board
Financial Stress and Equilibrium Dynamics in Money Markets

9:15 am

Torben G. Andersen, Northwestern University and NBER
Nicola Fusari, Johns Hopkins University
Viktor Todorov, Northwestern University
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets

10:00 am

Break

10:30 am

Mathias S. Kruttli, Board of Governors of the Federal Reserve System
From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

11:15 am

Simone Manganelli, European Central Bank
Asset Allocation with Judgment

12:00 n

Lunch and Adjourn