SI 2022 Forecasting & Empirical Methods
Organized by Allan Timmermann and Jonathan H. Wright
Supported by the National Science Foundation
July 12-15, 2022
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA and zoom.us
Tuesday, July 12
8:00 am
Coffee and Pastries
8:30 am

A Local Projections Approach to Difference-in-Differences Event Studies (slides)

Arindrajit Dube, University of Massachusetts, Amherst and NBER
Daniele Girardi, King's College London
Òscar Jordà, Federal Reserve Bank of San Francisco
Alan M. Taylor, Columbia University and NBER
9:15 am

When do State Dependent Local Projections work?

Silvia Goncalves, McGill University
Ana Maria Herrera, University of Kentucky
Lutz Kilian, Federal Reserve Bank of Dallas
Elena Pesavento, Emory University
10:00 am
Break
10:30 am

Local Projections vs. VARs: Lessons From Thousands of DGPs

Dake Li, Two Sigma
Mikkel Plagborg-Møller, Princeton University
Christian K. Wolf, Massachusetts Institute of Technology and NBER
11:15 am

What Information Do Proxy-VARs Use? A Study of High Frequency Identification in Macroeconomics

Pooyan Amir-Ahmadi, University of Illinois Urbana-Champaign
Christian Matthes, University of Notre Dame
Mu-Chun Wang, Deutsche Bundesbank
12:00 pm
Adjourn
Wednesday, July 13
8:00 am
Coffee and Pastries
8:30 am

Imputing Weekly Values of Monthly Economic Indicators: A Matrix Completion Approach (slides)

Serena Ng, Columbia University and NBER
Susannah Scanlan, Capital Fund Management
9:15 am

Missing Financial Data (slides)

Svetlana Bryzgalova, London Business School
Sven Lerner, Stanford University
Martin Lettau, University of California, Berkeley and NBER
Markus Pelger, Stanford University and NBER
10:00 am
Break
10:30 am

Learning About the Long Run

Leland Farmer, University of Virginia
Emi Nakamura, University of California, Berkeley and NBER
Jón Steinsson, University of California, Berkeley and NBER
11:15 am

Anchoring Long-Run Inflation Expectations in a Panel of Professional Forecasters

Jonas Fisher, Federal Reserve Bank of Chicago
Leonardo Melosi, European University Institute
Sebastian Rast, De Nederlandsche Bank
12:00 pm
Adjourn
Thursday, July 14
8:00 am
Coffee and Pastries
8:30 am

The Real Channel for Nominal Bond-Stock Puzzles

Mikhail Chernov, University of California, Los Angeles and NBER
Lars A. Lochstoer, University of California, Los Angeles and NBER
Dongho Song, Johns Hopkins University
9:15 am

The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime Switching Framework

Kirstin Hubrich, Austrian Central Bank, Deutsche Bundesbank (as of July 1)
Daniel F. Waggoner, Federal Reserve Bank of Atlanta
10:00 am
Break
10:30 am

An Empirical Exploration of the Effects of Climate Change on the Macroeconomy

Matteo Ciccarelli, European Central Bank
Fulvia Marotta, University of Oxford
11:15 am

Should Macroeconomists Use Seasonally Adjusted Time Series? Structural Identification and Bayesian Estimation in Seasonal Vector Autoregressions (slides)

Ross Doppelt, Johns Hopkins University
12:00 pm
Adjourn
Friday, July 15
8:00 am
Coffee and Pastries
8:30 am

On Robust Inference in Time Series Regression

Richard Baillie, Michigan State University
Francis X. Diebold, University of Pennsylvania and NBER
George Kapetanios, King's College London
Kun Ho Kim, Yeshiva University, New York
9:15 am

Testing Reaction Functions

Regis Barnichon, Federal Reserve Bank of San Francisco
Geert Mesters, Universitat Pompeu Fabra
10:00 am
Break
10:30 am

Constructing the Term Structure of Uncertainty from the Ragged Edge of SPF Forecasts (slides)

Todd Clark, Federal Reserve Bank of Cleveland
Gergely Ganics, Central Bank of Hungary
Elmar Mertens, European Central Bank
11:15 am

Estimating General Equilibrium Spillovers of Large-Scale Shocks

Kilian Huber, University of Chicago and NBER
12:00 pm
Adjourn