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	Jonas E. Arias, Federal Reserve Bank of Philadelphia Juan Rubio Ramírez, Emory University Daniel F. Waggoner, Federal Reserve Bank of Atlanta Inference in Bayesian Proxy-SVARs
9:15 am	Mikkel Plagborg-Møller, Princeton University Christian Wolf, Massachusetts Institute of Technology and NBER Local Projections and VARs Estimate the Same Impulse Responses (slides)
10:00 am	Break
10:30 am	Simone Manganelli, European Central Bank Sulkhan Chavleishvili, European Central Bank Forecasting and Stress Testing with Quantile Vector Autoregression
11:15 am	Nina Boyarchenko, Federal Reserve Bank of New York Domenico Giannone, International Monetary Fund Or Shachar, Federal Reserve Bank of New York Flighty Liquidity
12:00 n	Adjourn and Lunch
Wednesday, July 10
8:00 am	Coffee and Pastries
8:30 am	Richard Crump, Federal Reserve Bank of New York Nikolay Gospondinov, Federal Reserve Bank of Altanta Deconstructing the Yield Curve
9:15 am	Michael D. Bauer, Federal Reserve Bank of San Francisco Glenn Rudebusch, Brookings Institution Interest Rater Under Falling Stars (slides)
10:00 am	Break
10:30 am	Minsu Chang, Georgetown University Xiaohong Chen, Yale University Frank Schorfheide, University of Pennsylvania and NBER Heterogeneity and Aggregate Fluctuations
11:15 am	Elvira Sojli, University of New South Wales Wing Wah Tham, University of New South Wales Wendun Wang, Erasmus University 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	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 Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime Switching Approach
9:15 am	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 Machine Learning for Financial Crisis Prediction and the Construction of a Coherent Narrative
10:00 am	Break
10:30 am	Francesco Bianchi, Johns Hopkins University and NBER Howard Kung, London Business School Mikhail Tirskikh, London Business School The Origins and Effects of Macroeconomic Uncertainty
11:15 am	Daniel Lewis, University College London 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	Svetlana Bryzgalova, London Business School Christian Julliard, London School of Economics Consumption in Asset Returns
9:15 am	Anisha Ghosh, McGill University Guillaume Roussellet, McGill University Identifying Beliefs from Asset Prices
10:00 am	Break
10:30 am	Alexander M. Chinco, Baruch College Andreas Neuhierl, Washington University in St Louis Michael Weber, University of Chicago and NBER Estimating the Anomaly Baserate
11:15 am	Andrew Patton, Duke University Brian Weller, REMOVED BY HIS REQUEST Risk Price Variation: The Missing Half of Empirical Asset Pricing (slides)
12:00 n	Adjourn and Lunch