SI 2022 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 12-15, 2022

Longfellow Room BC

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)
9:15 am	When do State Dependent Local Projections work?
10:00 am	Break
10:30 am	Local Projections vs. VARs: Lessons From Thousands of DGPs
11:15 am	What Information Do Proxy-VARs Use? A Study of High Frequency Identification in Macroeconomics
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)
9:15 am	Missing Financial Data (slides)
10:00 am	Break
10:30 am	Learning About the Long Run
11:15 am	Anchoring Long-Run Inflation Expectations in a Panel of Professional Forecasters
12:00 pm	Adjourn
Thursday, July 14
8:00 am	Coffee and Pastries
8:30 am	The Real Channel for Nominal Bond-Stock Puzzles
9:15 am	The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime Switching Framework
10:00 am	Break
10:30 am	An Empirical Exploration of the Effects of Climate Change on the Macroeconomy
11:15 am	Should Macroeconomists Use Seasonally Adjusted Time Series? Structural Identification and Bayesian Estimation in Seasonal Vector Autoregressions (slides)
12:00 pm	Adjourn
Friday, July 15
8:00 am	Coffee and Pastries
8:30 am	On Robust Inference in Time Series Regression
9:15 am	Testing Reaction Functions
10:00 am	Break
10:30 am	Constructing the Term Structure of Uncertainty from the Ragged Edge of SPF Forecasts (slides)
11:15 am	Estimating General Equilibrium Spillovers of Large-Scale Shocks
12:00 pm	Adjourn