SI 2019 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 9-12, 2019

Longfellow Room

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
9:15 am	Local Projections and VARs Estimate the Same Impulse Responses (slides)
10:00 am	Break
10:30 am	Forecasting and Stress Testing with Quantile Vector Autoregression
11:15 am	Flighty Liquidity
12:00 n	Adjourn and Lunch
Wednesday, July 10
8:00 am	Coffee and Pastries
8:30 am	Deconstructing the Yield Curve
9:15 am	Interest Rater Under Falling Stars (slides)
10:00 am	Break
10:30 am	Heterogeneity and Aggregate Fluctuations
11:15 am	Market-wide Events and Time Fixed Effects
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
9:15 am	Machine Learning for Financial Crisis Prediction and the Construction of a Coherent Narrative
10:00 am	Break
10:30 am	The Origins and Effects of Macroeconomic Uncertainty
11:15 am	Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks & Their Macroeconomic Effects
12:00 n	Adjourn and Lunch
Friday, July 12
8:00 am	Coffee and Pastries
8:30 am	Consumption in Asset Returns
9:15 am	Identifying Beliefs from Asset Prices
10:00 am	Break
10:30 am	Estimating the Anomaly Baserate
11:15 am	Risk Price Variation: The Missing Half of Empirical Asset Pricing (slides)
12:00 n	Adjourn and Lunch