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Advanced analytics: new methods and applications for macroeconomic policy

European Central Bank, Bank of England and King’s College London joint conference
3 to 5 November 2021
Online event

Advanced analytics techniques, such as the analysis of novel large and unstructured data sources or the application of techniques from machine learning and artificial intelligence, offer new insights into problems in economics and finance. These approaches have now found their way into broad-based research programmes in academia and policy institutions. This conference is the latest in a series of events jointly organised by the Bank of England, the European Central Bank and the Data Analytics for Finance and Macro Research Centre (DAFM) at King’s College London.


Times are Coordinated Universal Time, UTC (CET-1)
* indicates the presenter

Wednesday, 3 November 2021
Online registration


Paul Robinson, Head of Advanced Analytics, Bank of England


Opening remarks

Cornelia Holthausen, Deputy Director General Economics, European Central Bank


Session 1 chaired by Fotis Papailias, King’s College London


Central bank communication with non-experts – a road to nowhere?

  • Michael Ehrmann*, European Central Bank
  • Alena Wabitsch, University of Oxford

Discussant: Conor Parle, Central Bank of Ireland


The ECB’s tracker: nowcasting the press conferences of the ECB

Armando Marozzi, London School of Economics and Political Science

Discussant: Michael Ehrmann, European Central Bank


Session 2


Deep reinforcement learning in a monetary model

  • Andreas Joseph*, Bank of England
  • Mingli Chen, University of Warwick
  • Michael Kumhof, Bank of England
  • Xinlei Pan, University of California, Berkeley
  • Rui Shi, University of Warwick
  • Xuan Zhou, Deakin University

Discussant: Carlos Montes-Galdon, European Central Bank


Poster Session I (virtual booths)


Session 3 chaired by Francesca Monti, UCLouvain


The voice of monetary policy

  • Tho Pham*, University of Reading
  • Yuriy Gorodnichenko, University of California, Berkeley
  • Oleksandr Talavera, University of Birmingham

Discussant: Jonathan Benchimol, Bank of Israel


Whatever it takes to understand a central banker – Embedding their words using neural networks

  • Martin Baumgärtner*, THM Business School
  • Johannes Zahner, Philipps-Universität Marburg

Discussant: Linda Shuku, King’s College London

End of day 1
Thursday, 4 November 2021
Online registration

Session 4 chaired by Sholthana Begum, Bank of England


Inequality and the zero lower bound

  • Galo Nuño*, Banco de España
  • Jesús Fernández-Villaverde, University of Pennsylvania, NBER and CEPR
  • Joël Marbet, CEMFI
  • Omar Rachedi, ESADE Business School

Discussant: Lilia Maliar, City University of New York


Poster Session II (virtual booths)


Keynote 1 chaired by Chiara Osbat, European Central Bank


Almost matching exactly for observational causal inference

Cynthia Rudin, Duke University


Session 5 chaired by Christopher Kurz, Board of Governors of the Federal Reserve System


Forecasting social unrest: a machine learning approach

  • Chris Redl*, International Monetary Fund
  • Sandile Hlatshwayo, International Monetary Fund

Discussant: Martin Baumgärtner, THM Business School


Credit shocks and populism

  • Nicolò Fraccaroli*, Brown University
  • Alessandro Pizzigolotto, Norwegian School of Economics

Discussant: Tho Pam, University of Reading

End of day 2
Friday, 5 November 2021
Online registration

Keynote 2 chaired by Andreas Joseph, Bank of England


Machine learning for macroeconomics

Jesús Fernández-Villaverde, University of Pennsylvania


Session 6 chaired by David Aikman, King’s College London


Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms

  • Aakriti Mathur*, Bank of England
  • Tirupam Goel, Bank for International Settlements
  • Ulf Lewrick, Bank for International Settlements

Discussant: Tim Munday, University of Oxford


Inside the boardroom: evidence from the board structure and meeting minutes of community banks

  • Paul Soto*, Federal Deposit Insurance Corporation
  • Rosalind Bennett, Federal Deposit Insurance Corporation
  • Manju Puri, Duke University and NBER

Discussant: Massimo Ferrari, European Central Bank


Session 7 chaired by Nick Bate, Bank of England


Macroeconomic predictions using payments data and machine learning

  • Ajit Desai*, Bank of Canada
  • James Chapman, Bank of Canada

Discussant: Nicolas Woloszko, Organisation for Economic Co-operation and Development


Big data information and nowcasting: consumption and investment from bank transactions in Turkey

  • Alvaro Ortiz*, BBVA Research
  • Ali B. Barlas, BBVA Research
  • Seda Guler Mert, BBVA Research
  • Berk Orkun Isa, BBVA Research
  • Tomasa Rodrigo, BBVA Research
  • Baris Soybilgen, Bilgi University
  • Ege Yazgan, Bilgi University

Discussant: Gianni Amisano, Board of Governors of the Federal Reserve System


Closing remarks

George Kapetanios, Director of Data Analytics for Finance and Macro (DAFM) Research Centre

Audiovisual notice: Images and video recordings may be published online

Please note that this programme may be subject to change without notice.

Poster Session I

3 November, 16:00-16:45

  • Mark my words: the transmission of central bank communication to the general public via the print media

    Tim Munday*, University of Oxford, and James Brookes, Bank of England

  • The central bank crystal ball: temporal information in monetary policy communication

    Conor Parle*, David Byrne and Robert Goodhead, all Central Bank of Ireland, and Michael McMahon, University of Oxford

  • Does central bank talk matter for forecasting? Evidence from untargeted speeches of the BoE, Fed, and ECB

    Linda Shuku* and Fotis Papailias, both King’s College London

  • Five facts about the distributional income effects of monetary policy

    Anna Rogantini Picco*, Niklas Amberg, Thomas Jansson and Mathias Klein, all Sveriges Riksbank

  • E pluribus pluribus. Shock dependency of the USD pass-through to real and financial variables

    Massimo Ferrari* and Johannes Gräb, both European Central Bank

Poster Session II

4 November, 13:45-14:30

  • Learning to make consumption-saving decisions in a changing environment: an AI approach

    Aruhan Rui Shi, University of Warwick

  • Can machine learning change our opinion on Euler’s consumption model?

    Diana Gabrielyan, University of Tartu

  • Interpretability and explainability – nonlinear, non-parametric and time-varying equity risk premia

    Felix Kempf* and Georg Kapetanios, both King’s College London

  • Decoupling shrinkage and selection for the Bayesian quantile regression

    Tibor Szendrei* and David Kohns, both Heriot-Watt University

  • Heteroskedasticity as a complementary identification strategy

    Tommaso Tornese* and Andrea Carriero, both Queen Mary University of London, and Massimiliano Marcellino, Bocconi University