Tuesday, July 11
8:00 am
Coffee and Pastries
Instrumental Variables
8:30 am

Re-Thinking about Instrumental Variables

Domenico Giannone, International Monetary Fund
Michele Lenza, European Central Bank
Giorgio Primiceri, Northwestern University and NBER
9:15 am

A Robust Test for Weak Instruments with Multiple Endogenous Regressors

Daniel Lewis, University College London
Karel Mertens, Federal Reserve Bank of Dallas
10:00 am
Break
Instrumental Variables and Policy Shocks
10:30 am

Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications

Marko Mlikota, Geneva Graduate Institute (IHEID)
11:15 am

Forecasting Algorithms for Causal Inference with Panel Data

Jacob Goldin, University of Chicago and NBER
Julian Nyarko, Stanford University
Justin Young, Stanford University
12:00 pm
Lunch and Adjourn
Wednesday, July 12
8:00 am
Coffee and Pastries
Unit Roots and Nonstationary Time Series
8:30 am

Principal Component Analysis for Nonstationary Series (slides)

James D. Hamilton, University of California, San Diego and NBER
Jin Xi, University of California, San Diego
9:15 am

Spatial Unit Roots

Ulrich Müller, Princeton University
Mark W. Watson, Princeton University and NBER
10:00 am
Break
Estimating the Impact of Fiscal and Carbon Tax Policies
10:30 am

Local Projections in Unstable Environments: How Effective is Fiscal Policy?

Atsushi Inoue, Vanderbilt University
Barbara Rossi, ICREA-Universitat Pompeu Fabra
Yiru Wang, University of Pittsburgh
11:15 am

Climate Policy and the Economy: Evidence from Europe's Carbon Pricing Initiatives

Diego R. Kaenzig, Northwestern University and NBER
Maximilian Konradt, Geneva Graduate Institute
12:00 pm
Lunch and Adjourn
Thursday, July 13
8:00 am
Coffee and Pastries
Cross-Section of Stock Returns
8:30 am

Asset Embeddings

Xavier Gabaix, Harvard University and NBER
Ralph S. J. Koijen, University of Chicago and NBER
Motohiro Yogo, Princeton University and NBER
9:15 am

Inflation Forecasting from Cross-Sectional Stocks (slides)

Claire Yurong Hong, Shanghai Advanced Institute of Finance
Jun Pan, Shanghai Jiao Tong University
Shiwen Tian, Central University of Finance and Economics
10:00 am
Break
Survey Forecasts
10:30 am

A Bayesian Approach for Inference on Probabilistic Surveys

Marco Del Negro, Federal Reserve Bank of New York
Federico Bassetti, Politecnico Milano
Roberto Casarin, University of Venice
11:15 am

Partisan Bias in Professional Macroeconomic Forecasts (slides)

Aeimit Lakdawala, Wake Forest University
Jane M. Ryngaert, University of Notre Dame
Benjamin Kay, Federal Reserve Board of Governors
Michael Futch, Civitech
12:00 pm
Lunch and Adjourn
Friday, July 14
8:00 am
Coffee and Pastries
Risk Factors
8:30 am

Beta-Sorted Portfolios

Matias D. Cattaneo, Princeton University
Richard K. Crump, Federal Reserve Bank of New York
Weining Wang
9:15 am

The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong and Latent Factors

M. Hashem Pesaran, University of Southern California
Ron Smith, Birkbeck College
10:00 am
Break
Measuring Risk and Performance in the Stock Market
10:30 am

Oil and the Stock Market Revisited: A Mixed Functional VAR Approach

Hilde C. Bjornland, BI Norwegian Business School
Yoosoon Chang, Indiana University
Jamie L. Cross, BI Norwegian Business School
11:15 am

Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified

David Ardia, HEC Montreal
Laurent Barras, University of Luxembourg
Olivier Scaillet, University of Geneva
Patrick Gagliardini, Università della Svizzera Italiana and Swiss Finance Institute
12:00 pm
Lunch and Adjourn