SI 2019 Forecasting & Empirical Methods
Organized by Allan Timmermann and Jonathan H. Wright
Supported by the National Science Foundation
July 9-12, 2019
Royal Sonesta Hotel, Edwin H. Land Blvd., Cambridge, MA
Tuesday, July 9
8:00 am
Coffee and Pastries
8:30 am

Inference in Bayesian Proxy-SVARs

Jonas E. Arias, Federal Reserve Bank of Philadelphia
Juan Rubio Ramírez, Emory University
Daniel F. Waggoner, Federal Reserve Bank of Atlanta
9:15 am

Local Projections and VARs Estimate the Same Impulse Responses (slides)

Mikkel Plagborg-Møller, Princeton University
Christian Wolf, Massachusetts Institute of Technology and NBER
10:00 am
Break
10:30 am

Forecasting and Stress Testing with Quantile Vector Autoregression

Simone Manganelli, European Central Bank
Sulkhan Chavleishvili, European Central Bank
11:15 am

Flighty Liquidity

Nina Boyarchenko, Federal Reserve Bank of New York
Domenico Giannone, International Monetary Fund
Or Shachar, Federal Reserve Bank of New York
12:00 n
Adjourn and Lunch
Wednesday, July 10
8:00 am
Coffee and Pastries
8:30 am

Deconstructing the Yield Curve

Richard Crump, Federal Reserve Bank of New York
Nikolay Gospondinov, Federal Reserve Bank of Altanta
9:15 am

Interest Rater Under Falling Stars (slides)

Michael D. Bauer, Federal Reserve Bank of San Francisco
Glenn Rudebusch, The Brookings Institution
10:00 am
Break
10:30 am

Heterogeneity and Aggregate Fluctuations

Minsu Chang, Seoul National University
Xiaohong Chen, Yale University
Frank Schorfheide, University of Pennsylvania and NBER
11:15 am

Market-wide Events and Time Fixed Effects

Elvira Sojli, University of New South Wales
Wing Wah Tham, University of New South Wales
Wendun Wang, Erasmus University Rotterdam
12:00 n
Adjourn and Lunch
6:00 pm
Clambake at the Royal Sonesta Hotel
Thursday, July 11
8:00 am
Coffee and Pastries
8:30 am

Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime Switching Approach

Gianluca Benigno, Federal Reserve Bank of New York
Andrew Foerster, Federal Reserve Bank of San Francisco
Christopher Otrok, University of Missouri
Alessandro Rebucci, Johns Hopkins University and NBER
9:15 am

Machine Learning for Financial Crisis Prediction and the Construction of a Coherent Narrative

Kristina Bluwstein, Bank of England
Marcus Buckmann, Bank of England
Andreas Joseph, Bank of England
Miao Kang, Bank of England
Sujit Kapadia, European Central Bank
Ozgur Simsek, University of Bath
10:00 am
Break
10:30 am

The Origins and Effects of Macroeconomic Uncertainty

Francesco Bianchi, Johns Hopkins University and NBER
Howard Kung, London Business School
Mikhail Tirskikh, London Business School
11:15 am

Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks & Their Macroeconomic Effects

Daniel Lewis, University College London
12:00 n
Adjourn and Lunch
Friday, July 12
8:00 am
Coffee and Pastries
8:30 am

Consumption in Asset Returns

Svetlana Bryzgalova, London Business School
Christian Julliard, London School of Economics and Political Science (LSE)
9:15 am

Identifying Beliefs from Asset Prices

Anisha Ghosh, McGill University
Guillaume Roussellet, McGill University
10:00 am
Break
10:30 am

Estimating the Anomaly Baserate

Alexander M. Chinco, Michigan State University
Andreas Neuhierl, Washington University in St. Louis
Michael Weber, Purdue University and NBER
11:15 am

Risk Price Variation: The Missing Half of Empirical Asset Pricing (slides)

Andrew Patton, Duke University
Brian Weller, REMOVED BY HIS REQUEST
12:00 n
Adjourn and Lunch