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Tuesday, July 12
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8:30 am
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HAR Inference: Kernel Choice, Size Distortions, and Power Loss
Eben Lazarus, University of California, Berkeley
Daniel Lewis, University College London
James H. Stock, Harvard University and NBER
Mark W. Watson, Princeton University and NBER
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9:15 am
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Quantile Spacings: A Simple Method for the Joint Estimation of Multiple Quantiles Without Crossing
Lawrence DW. Schmidt, Massachusetts Institute of Technology
Yinchu Zhu, Brandeis University
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10:30 am
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Non-Stationary Dynamic Factor Models for Large Datasets
Matteo Barigozzi, University of Bologna
Marco Lippi, Università di Roma, La Sapienza
Matteo Luciani, Federal Reserve Board
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11:15 am
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Bayesian Compressed Vector Autoregressions
Davide Pettenuzzo, Brandeis University
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Wednesday, July 13
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8:30 am
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Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
Sydney C. Ludvigson, New York University and NBER
Sai Ma, Federal Reserve Board of Governors
Serena Ng, Columbia University and NBER
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9:15 am
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Measuring Macroeconomic Uncertainty and its Impact on the Economy
Andrea Carriero, Queen Mary University of London
Todd Clark, Federal Reserve Bank of Cleveland
Massimiliano Marcellino, Bocconi University
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10:30 am
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VAR Information and the Empirical Validation of DSGE Models
Mario Forni, Universita di Modena
Luca Gambetti, Universitat Autonoma de Barcelona
Luca Sala, Bocconi University
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11:15 am
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Macro Risks and Term Structure of Interest Rates
Geert Bekaert, Columbia University
Eric Engstrom, Federal Reserve Board of Governors
Andrey Ermolov, Fordham University
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Thursday, July 14
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8:30 am
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Climate Risks and Market Efficiency
Harrison Hong, Columbia University and NBER
Weikai Li, Singapore Management University
Jiangmin Xu, Peking University
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9:15 am
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Christiane J.S. Baumeister, University of Notre Dame and NBER
Lutz Kilian, Federal Reserve Bank of Dallas
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10:30 am
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The TIPS Liquidity Premium
Martin M. Andreasen, Aarhus University
Jens Christensen, Federal Reserve Bank of San Francisco
Kevin Cook, Federal Reserve Bank of San Francisco
Simon Riddell
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11:15 am
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Asset Allocation with Judgment
Simone Manganelli, European Central Bank
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11:15 am
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Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets
Eric T. Swanson, University of California, Irvine and NBER
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Friday, July 15
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8:30 am
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Financial Stress and Equilibrium Dynamics in Money Markets
Emre Yoldas, Federal Reserve Board of Governors
Zeynep Senyuz, Federal Reserve Board of Governors
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9:15 am
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The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets
Torben G. Andersen, Northwestern University and NBER
Nicola Fusari, Johns Hopkins University
Viktor Todorov, Northwestern University
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10:30 am
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From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors
Mathias S. Kruttli, Indiana University
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