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Workshop on using big data for forecasting and statistics.

In cooperation with the International Institute of Forecasters (11th International Institute of Forecasters workshop)

Conference dates: Monday, 7 and Tuesday, 8 April 2014

Meeting room: Eurotower – conference room CIV (2nd floor)

Venue: European Central Bank, Frankfurt am Main

Workshop Agenda

8 a.m. Registration and coffee
8.45 a.m. Welcome address
Aurel Schubert, European Central Bank
9 a.m. Keynote speech
Google tools for data

Hal Varian, Chief Economist at Google and an emeritus professor of the University of California, Berkeley Presentation
Session 1
Big Data: new sources and opportunities for central banking purposes

Chair: Per Nymand-Andersen, European Central Bank
10 a.m. Can information demand help to predict stock market liquidity? Google it!
Amel Aouadi, Université d’Auvergne Paper Presentation
10.20 a.m. Social media and consumer confidence
Piet Daas, Centraal Bureau voor de Statistiek (Statistics Netherlands) Paper Presentation
10.40 a.m. A short-run analysis of exchange rates and international trade
José Anson, Universal Postal Union (UPU) Paper Presentation
Discussant: Menno Middeldorp, Bank of England Presentation
11.30 a.m. Coffee break
Session 2
Big data: a quality framework for big data

Chair: Ioannis Ganoulis, European Central Bank
12 p.m. How to Measure the Quality of Financial Tweets
Paola Cerchiello, Università degli Studi di Pavia Paper Presentation
12.20 p.m. Small steps towards Big Data - Some initiatives by the Australian Bureau of Statistics
Ric Clarke, Australian Bureau of Statistics Paper Presentation
Discussant: Niels Ploug, Danmarks Statistik (Statistics Denmark) Presentation 1 Presentation 2
1 p.m. Lunch and Poster Session 1
Session 3
Methods for big data

Chair: Gianni Amisano, European Central Bank
2.30 p.m. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
Massimiliano Marcellino, Università Commerciale Luigi Bocconi Paper Presentation
2.50 p.m. Mining Big Data Using Parsimonious Factor and Shrinkage Methods
Hyun Hak Kim, Bank of Korea Paper Presentation
Discussant: Marek Jarocinski, European Central Bank Presentation
3.30 p.m. Coffee break
Session 4
Nowcasting the macroeconomy using big data

Chair: Diego Rodriguez Palenzuela, European Central Bank
4 p.m. Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases
John Galbraith, McGill University Paper Presentation
4.20 p.m. Macroeconomic Nowcasting Using Google Probabilities
Luca Onorante, Central Bank of Ireland Paper Presentation
Discussant: Marco Lombardi, Bank for International Settlements (BIS) Presentation
7 p.m. Dinner
Dinner Speech: Peter Praet, Member of the Executive Board of the European Central Bank

Poster Session 1: Big Data - new sources and new methods

8.45 a.m. Invited lecture
The Billion Prices Project: research and inflation measurement applications
Alberto Cavallo, MIT Sloan School of Management Presentation
Session 5
Catching animal spirits
Chair: Michael Steen, European Central Bank
9.45 a.m. Belgian Economic Policy Uncertainty Index: Improvement through text mining
Ellen Tobback, Universiteit Antwerpen Paper Presentation
10.05 a.m. News and narratives in financial systems: exploiting big data for systemic risk assessment
Rickard Nyman, University College London Presentation
Discussant: Johan Bollen, Indiana University Presentation
10.45 a.m. Coffee break
Session 6
Financial markets' sentiment

Chair: Manfred Kremer, European Central Bank
11.15 a.m. Quantifying the effects of online bullishness on international financial markets
Huina Mao, Indiana University Paper Presentation
11.35 a.m. Investor Attention and FX Market Volatility
Qingwei Wang, Bangor Business School Paper Presentation
Discussant: Peter Reinhard Hansen, European University Institute Presentation
12.15 p.m. Lunch and Poster Session 2
Session 7
Network modelling for big data

Chair: Juri Marcucci, Banca d'Italia
1.45 p.m. NETS: Network Estimation for Time Series
Christian Brownlees, Universitat Pompeu Fabra Paper Presentation
2.05 p.m. Networks of Common Asset Holdings: Aggregation and Measures of Vulnerability
Andreea Minca, Cornell University Paper Presentation
Discussant: Galo Nuno, European Central Bank Presentation
2.45 p.m. Panel discussion Big data initiatives - challenges and opportunities for central bankers
  • Tobias Preis, Warwick Business School Presentation
  • Kenneth Cukier, The Economist Presentation
  • Jojy Mathew, Deloitte
  • Michail Skaliotis, Eurostat Presentation
  • Per Nymand-Andersen, European Central Bank
4.30 p.m. End of workshop