SI 2025 Forecasting & Empirical Methods
Organized by Allan Timmermann and Jonathan H. Wright
Supported by National Science Foundation grant #2343927
July 8-11, 2025
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA
Tuesday, July 8
8:00 am
Coffee and Pastries
Shrinkage and Filtering
8:30 am

Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs

Oriol Gonzalez-Casasus, University of Pennsylvania
Frank Schorfheide, University of Pennsylvania and NBER
9:15 am

Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models

Dobrislav Dobrev, Federal Reserve Board of Governors
Pawel Szerszen, Federal Reserve Board of Governors
10:00 am
Break
Vector Autoregressions
10:30 am

Restricted Large Bayesian Vector Autoregressions

Eva F. Janssens, University of Michigan
Robin L. Lumsdaine, American University and NBER
11:15 am

Evaluating Monetary Policy Counterfactuals: (When) Do We Need Structural Models?

Tomás E. Caravello, Massachusetts Institute of Technology
Alisdair McKay, Federal Reserve Bank of Minneapolis
Christian K. Wolf, Massachusetts Institute of Technology and NBER
12:00 pm
Lunch and Adjourn
Wednesday, July 9
8:00 am
Coffee and Pastries
Granular Data Modeling
8:30 am

A New Keynesian Model for Financial Markets (slides)

Thomas Mertens, Federal Reserve Bank of San Francisco
Tony Zhang, Arizona State University
9:15 am

Theory Meets Textual Analysis:Measuring Firm-Level Labor Cost Pressuresand Inflation Pass-Through

Aakash Kalyani, Federal Reserve Bank of St. Louis
Serdar Ozkan, Federal Reserve Bank of St. Louis
10:00 am
Break
Expectations and Survey Data
10:30 am

On the Wisdom of Crowds (of Economists)

Francis X. Diebold, University of Pennsylvania and NBER
Aaron Mora, University of South Carolina
Minchul Shin, Federal Reserve Bank of Philadelphia
11:15 am

Expectations Formation with Fat-Tailed Processes: Evidence and Theory (slides)

Tim de Silva, Stanford University
Eugene Larsen-Hallock Adam Rej, Capital Fund Management
David Thesmar, Massachusetts Institute of Technology and NBER
12:00 pm
Lunch and Adjourn
Thursday, July 10
8:00 am
Coffee and Pastries
Macroeconomic Risks
8:30 am

Identifying Heterogeneous Supply and Demand Shocks in European Credit Markets

Olivier De Jonghe, National Bank of Belgium
Daniel Lewis, University College London
9:15 am

Scenario Synthesis and Macroeconomic Risk

Tobias Adrian, International Monetary Fund
Domenico Giannone, International Monetary Fund
Matteo Luciani, Board of Governors of the Federal Reserve System
Mike West, Duke University
10:00 am
Break
AI and ML Methods in Economics and Economic Forecasting
10:30 am

Harnessing Generative AI for Economic Insights (slides)

Manish Jha, Georgia State University
Jialin Qian, Rochester Institute of Technology
Michael Weber, Purdue University and NBER
Baozhong Yang, Georgia State University
11:15 am

Macroeconomic Forecasting with Large Language Models (slides)

Andrea Carriero, Queen Mary University of London
Davide Pettenuzzo, Brandeis University
Shubhranshu Shekhar, Brandeis University
12:00 pm
Lunch and Adjourn
Friday, July 11
8:00 am
Coffee and Pastries
Financial Risk Factors
8:30 am

Testing for Weak Factors in Asset Pricing (slides)

Soohun Kim, KAIST College of Business
Valentina Raponi, IESE
Paolo Zaffaroni, Imperial College London
9:15 am

Risk Exposures from Risk Disclosures: What They Said and How They Said It (slides)

Rahul Mazumder, Massachusetts Institute of Technology
Seth Pruitt, Arizona State University
Landon Ross, Tulane University
10:00 am
Break
Empirical Finance
10:30 am

Causal Inference in Financial Event Studies (slides)

Paul Goldsmith-Pinkham, Yale University and NBER
Tianshu Lyu, Yale University
11:15 am

Forecasting Crashes with a Smile (slides)

Ian Martin, London School of Economics and Political Science (LSE)
Ran Shi, University of Colorado Boulder
12:00 pm
Lunch and Adjourn