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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SI 2015 Forecasting & Empirical Methods

Jonathan H. Wright and Allan Timmermann, Organizers

July 7-10, 2015

Longfellow Room
Royal Sonesta Hotel
40 Edwin H. Land Blvd.
Cambridge, MA

PROGRAM

Tuesday, July 7:
8:00 am	Coffee and Pastries
	VARs and BVARs
8:30 am	Sophocles Mavroeidis, University of Oxford Guillaume Chevillon, ESSEC Business School Zhaoguo Zhan, Tsinghua University Robust Inference in Structural VARs with Long-run Restrictions
9:15 am	Domenico Giannone, Federal Reserve Bank of New York Michele Lenza, European Central Bank Giorgio Primiceri, Northwestern University and NBER Priors for the Long Run
10:00 am	Break
	Macro Forecasting
10:30 am	Gianni Amisano, European Central Bank Oreste Tristani, European Central Bank Monetary Policy and Long-term Interest Rates
11:15 am	Marcelo Medeiros, Pontifical Catholic University of Rio de Janeiro Eduardo F. Mendes, University of New South Wales Australia L1-Regularization of High Dimensional Time Series Models with Flexible Innovations
12:00 n	Lunch and Adjourn
Wednesday, July 8:
8:00 am		Coffee and Pastries
		Forecasting Methodologies
8:30 am		Francis X. Diebold, University of Pennsylvania and NBER Frank Schorfheide, University of Pennsylvania and NBER Minchul Shin, University of Pennsylvania Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
9:15 am		Andrew Patton, Duke University Evaluating and Comparing Possibly Misspecified Forecasts
10:00 am		Break
		Models of Financial Risk
10:30 am		Philipp Hartmann, European Central Bank Kirstin Hubrich, European Central Bank Manfred Kremer, European Central Bank Robert Tetlow, Federal Reserve Board Melting Down: Systemic Financial Instability and the Macroeconomy
11:15 am		Daniele Bianchi, University of Warwick Monica Billio, Univesity Ca' Foscari of Venice Roberto Casarin, University of Venice Massimo Guidolin, Bocconi University Modeling Contagion and Systemic Risk
12:00 n		Lunch and Adjourn
6:00 pm		Clambake, Royal Sonesta Hotel
Thursday, July 9:
8:00 am		Coffee and Pastries
		Bond Pricing
8:30 am		Michael D. Bauer, Federal Reserve Bank of San Francisco James D. Hamilton, University of California at San Diego and NBER Robust Bond Risk Premia
9:15 am		Drew D. Creal, University of Chicago Jing Cynthia Wu, University of Chicago and NBER Bond Risk Premia in Consumption Based Models
10:00 am		Break
		Macro-Finance
10:30 am		Tobias Adrian, Federal Reserve Bank of New York Richard Crump, Federal Reserve Bank of New York Erik Vogt, Federal Reserve Bank of New York Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds
11:15 am		Elmar Mertens, Federal Reserve Board James Nason, North Carolina State University Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility
12:00 n		Lunch and Adjourn
Friday, July 10:
8:00 am		Coffee and Pastries
		Portfolio Choice and Asset Pricing
8:30 am		Ralph Koijen, London Business School Motohiro Yogo, Federal Reserve Bank of Minneapolis An Equilibrium Model of Institutional Demand and Asset Prices
9:15 am		Hashem Pesaran, University of Southern California Raman Uppal, Edhec Business School Paolo Zaffaroni, Imperial College London Portfolio Choice under the APT with Model Misspecification
10:00 am		Break
		Financial Econometrics
10:30 am		Jia Li, Duke University Viktor Todorov, Northwestern University George Tauchen, Duke University Jump Regressions
11:15 am		Prosper Dovonon, Concordia University Silvia Goncalves, Université de Montréal Ulrich Hounyo, Aarhus University Nour Meddahi, Toulouse School of Economics Bootstrapping High-Frequency Jump Tests
12:00 n		Lunch and Adjourn