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12th European Central Bank Conference on Forecasting Techniques

Forecasting @ Risk

Monday, 12 and Tuesday, 13 June 2023
European Central Bank, Frankfurt am Main

The biennial ECB Conference of Forecasting Techniques provides a forum for new theoretical and applied work on economic forecasting. The forthcoming edition will bring together experts to exchange new ideas on some of the main current challenges faced by forecasters including the modelling of economic dynamics after extreme events, the assessment of risks, and inflation forecasting.


Times are Central European Time
* indicates the presenter

Monday, 12 June

Registration and coffee


Welcome address

Matteo Ciccarelli, European Central Bank


Session 1

Session chair: Michele Lenza, European Central Bank


Keynote speech
Forecasting with Bayesian non-parametric methods

Massimiliano Marcellino, Bocconi University


Macroeconomic and Financial Risks: A Tale of Mean and Volatility

Dario Caldara*, Federal Reserve Board
with Chiara Scotti, Federal Reserve Bank of Dallas, and Molin Zhong, Federal Reserve Board

Discussant: Danilo Leiva Leon, Banco de España and European Central Bank


Coffee break


Enhanced Bayesian Neural Networks for Macroeconomics and Finance

Karin Klieber*, Oesterreichische Nationalbank
with Niko Hauzenberger, Universität Salzburg, Florian Huber, Universität Salzburg, and Massimiliano Marcellino, Università Bocconi

Discussant: Carlos Montes-Galdón, European Central Bank


Financial and Macro Data Through the Lens of a Nonlinear Dynamic Factor Model

Pablo Guerrón Quintana*, Boston College
with Alexej Khazanov, The Hebrew University of Jerusalem, and Molin Zhong, Federal Reserve Board

Discussant: Matteo Iacopini, Queen Mary University


Buffet lunch


Poster session I


Session 2

Session chair: Simone Manganelli, European Central Bank


Keynote speech
Bayesian Tensor autoregressive models

Monica Billio, Ca’ Foscari University of Venice


Bayesian Multivariate Quantile Regression with alternative time-varying volatility specifications

Luca Rossini*, Università degli Studi di Milano Statale
with Matteo Iacopini, Queen Mary University, and Francesco Ravazollo, Norwegian Business School

Discussant: Matteo Mogliani, Banque de France


Coffee break


Testing quantile forecast optimality

Marc-Oliver Pohle*, Heidelberg Institute for Theoretical Studies
with Jack Fosten, King’s College London, and Daniel Gutknecht, Goethe Universität Frankfurt

Discussant: Laura Coroneo, University of York


End of first conference day


Dinner - by invitation only

Tuesday, 13 June 2023



Session 3

Session chair: Laurent Ferrara, SKEMA


Keynote speech
Panel models with stochastic trends: estimation, forecasting and applications

Siem Jan Koopman, Vrije Universiteit Amsterdam


Forecasting macroeconomic tail risks in real time: do textual data add value?

Rainer A. Schüssler*, Universität of Rostock
with Philipp Adämmer, Universität Greifswald, and Jan Prüser, TU Dortmund

Discussant: Jasper de Winter, De Nederlandsche Bank


Coffee break


Conditional Forecasts in Large Bayesian VARs with Multiple Soft and Hard Constraints

Aubrey Poon*, Orebro University
with Joshua Chan, Purdue University, Davide Pettenuzzo, Brandeis University, and Dan Zhu, Monash University

Discussant: Giulia Mantoan, Bank of England


Dynamic variable selection in high-dimensional predictive regressions

Daniele Bianchi*, Queen Mary University
with Mauro Bernardi and Nicolas Bianco, both Università degli Studi di Padova

Discussant: Anna Simoni, ENSAE


Buffet lunch


Poster session II


Session 4

Session chair: Gabriel Perez-Quiros, Banco de España


Keynote speech
Forecasting UK inflation using evidence on the role of energy in productivity and prices

Jennifer Castle, Oxford University


The Ever-Changing Challenges to Price Stability

Andrea de Polis*, University of Warwick
with Leonardo Melosi, Federal Reserve Bank of Chicago, and Ivan Petrella, University of Warwick

Discussant: Julia Schaumburg, Vrije Universiteit Amsterdam


Coffee break


The Anatomy of Out-of-Sample Forecasting Accuracy

David E. Rapach*, Federal Reserve Bank of Atlanta
with Daniel Borut Bianchi, Aarhus University, Philippe Goulet Colombe, Université du Québec à Montréal, Erik Christian Montes Schütte, Aarhus University, and Sander Schwenk-Nebbe, Aarhus University

Discussant: Michel van der Wel, Erasmus Universiteit Rotterdam


Concluding remarks


End of conference

Poster session I

Density forecast comparison in small samples

Laura Coroneo*, University of York
with Fabrizio Iacone, Università degli Studi di Milano Statale, and Fabio Profuno, University of York

Quantile combination: An application to US GDP forecasts

Giulia Mantoan*, Bank of England
with Knut Are Aastveit, Norges Bank, and Saskia ter Ellen, International Monetary Fund

Density forecast frequency transformation via copulas

Matteo Mogliani*, Banque de France
with Florence Odendahl, Banco de España

A general procedure for localising strictly proper scoring rules

Ramon de Punder*, Erasmus Universiteit Rotterdam
with Dick van Dijk, Erasmus Universiteit Rotterdam

Multi-period Growth-at-Risk Forecasting with sequence-to-sequence neural networks

Julia Schaumburg*
with Lukas Hoesch and Sicco Kooiker, all Vrije Universiteit Amsterdam

Poster session II

Nowcasting World Trade with Machine Learning: a Three-Step Approach

Baptiste Meunier*, European Central Bank
with Sebastian Stumpner, Banque de France, and Menzie Chinn, University of Wisconsin

Winners of PhD competition

Slow expectation-maximization convergence in low-noise dynamic factor models

Daan Opschoor*, Erasmus Universiteit Rotterdam
with Dick van Dijk, Erasmus University Rotterdam

Estimating Growth at Risk with Skewed Stochastic Volatility Models

Elias Wolf*, Freie Universität Berlin

Multiple shock impulse response functions

Terri van der Zwan*, Erasmus Universiteit Rotterdam

Audiovisual notice: A photographer will be present at the event taking photographs for our internet / intranet webpage. If you prefer not to have your photograph taken, please approach the photographer directly. The event may be filmed and the video recording, or parts of it, may be published on the internet / intranet.

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

General information


European Central Bank
Kaiserstrasse 29
60314 Frankfurt am Main

Conference language



Participants are requested to arrange their own transfers.

Organising committee
  • Marta Banbura, European Central Bank
  • Rogier Quaedvlieg, European Central Bank
  • Gerhard Rünstler, European Central Bank
  • Bernd Schwaab, European Central Bank