SI 2019 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 9-12, 2019

Longfellow Room

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

Conference Code of Conduct

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, University of Chicago

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, Amazon.com
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 Altanda

Deconstructing the Yield Curve
9:15 am
Michael D. Bauer, Universität Hamburg
Glenn Rudebusch, Federal Reserve Bank of San Francisco

Interest Rater Under Falling Stars (slides)
10:00 am
Break
10:30 am
Minsu Chang, University of Pennsylvania
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, London School of Economics
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, Duke 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, Federal Reserve Bank of New York

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, University of Illinois at Urbana-Champaign
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, Duke University

Risk Price Variation: The Missing Half of Empirical Asset Pricing (slides)
12:00 n
Adjourn and Lunch