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	Arindrajit Dube, University of Massachusetts Amherst and NBER Daniele Girardi, King's College London Òscar Jordà, Federal Reserve Bank of San Francisco Alan M. Taylor, Columbia University and NBER A Local Projections Approach to Difference-in-Differences Event Studies (slides)
9:15 am	Silvia Goncalves, McGill University Ana Maria Herrera, University of Kentucky Lutz Kilian, Federal Reserve Bank of Dallas Elena Pesavento, Emory University When do State Dependent Local Projections work?
10:00 am	Break
10:30 am	Dake Li, Princeton University Mikkel Plagborg-Møller, Princeton University Christian K. Wolf, Massachusetts Institute of Technology and NBER Local Projections vs. VARs: Lessons From Thousands of DGPs
11:15 am	Pooyan Amir-Ahmadi, University of Illinois at Urbana-Champaign Christian Matthes, Indiana University Mu-Chun Wang, Deutsche Bundesbank 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	Serena Ng, Columbia University and NBER Susannah Scanlan, Columbia University Imputing Weekly Values of Monthly Economic Indicators: A Matrix Completion Approach (slides)
9:15 am	Svetlana Bryzgalova, London Business School Sven Lerner, Stanford University Martin Lettau, University of California, Berkeley and NBER Markus Pelger, Stanford University and NBER Missing Financial Data (slides)
10:00 am	Break
10:30 am	Leland Farmer, University of Virginia Emi Nakamura, University of California, Berkeley and NBER Jón Steinsson, University of California, Berkeley and NBER Learning About the Long Run
11:15 am	Jonas Fisher, Federal Reserve Bank of Chicago Leonardo Melosi, University of Warwick Sebastian Rast, De Nederlandsche Bank 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	Mikhail Chernov, University of California, Los Angeles and NBER Lars A. Lochstoer, University of California, Los Angeles and NBER Dongho Song, Johns Hopkins University The Real Channel for Nominal Bond-Stock Puzzles
9:15 am	Kirstin Hubrich, Austrian Central Bank, Deutsche Bundesbank (as of July 1) Daniel F. Waggoner, Federal Reserve Bank of Atlanta The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime Switching Framework
10:00 am	Break
10:30 am	Matteo Ciccarelli, European Central Bank Fulvia Marotta, University of Oxford An Empirical Exploration of the Effects of Climate Change on the Macroeconomy
11:15 am	Ross Doppelt, Johns Hopkins University 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	Richard Baillie, Michigan State University Francis X. Diebold, University of Pennsylvania and NBER George Kapetanios, King's College London Kun Ho Kim, Yeshiva University, New York On Robust Inference in Time Series Regression
9:15 am	Regis Barnichon, Federal Reserve Bank of San Francisco Geert Mesters, Universitat Pompeu Fabra Testing Reaction Functions
10:00 am	Break
10:30 am	Todd Clark, Federal Reserve Bank of Cleveland Gergely Ganics, Central Bank of Hungary Elmar Mertens, Deutsche Bundesbank Constructing the Term Structure of Uncertainty from the Ragged Edge of SPF Forecasts (slides)
11:15 am	Kilian Huber, University of Chicago and NBER Estimating General Equilibrium Spillovers of Large-Scale Shocks
12:00 pm	Adjourn