13th ECB Conference on Forecasting Techniques

Registration and coffee

Welcome remarks

João Sousa, European Central Bank

SESSION 1
The Use of Large Language Models in Economics

Session chair: Joan Paredes, Národná Banka Slovenska

Keynote speech
Forecasting in the Presence of Instabilities and Big Data  

Barbara Rossi, European University Institute

Coffee break

From Text to Quantified Insights: A Large-Scale LLM Analysis of Central Bank Communication 

Ole Gregarek*, International Monetary Fund
with Thiago Christiano Silva, Kei Moriya, and Romain Michel Veyrune, all International Monetary Fund

Discussant: Leif Anders Thorsrud, BI Norwegian Business School

LLM Survey Framework: Coverage, Reasoning, Dynamics, Identification 

Jin Xi*, Chinese Academy of Sciences
with Jin Cynthia Wu and Shihan Xie, both University of Illinois

Discussant: Olga Goldfayn-Frank, Deutsche Bundesbank

FOMC In Silico: A Multi-Agent System for Monetary Policy Decision Modeling 

Sophia Kazinnik*, Stanford University
with Tara Sinclair, George Washington University

Discussant: Fédéric Holm-Hadulla, European Central Bank

Buffet lunch

POSTER SESSION 1

SESSION 2
Economic Narratives

Session chair: Rina Rosenblatt-Wisch, Schweizerische Nationalbank

Adventures in Demand Analysis Using AI

Martin Spindler*, University of Hamburg
with Philipp Bach, Freie Universität Berlin, Victor Chernozhukov, Massachusetts Institute of Technology, Sven Klaassen, Jan Teichert-Kluge, all University of Hamburg, and Suhas Vijaykumar, University of California, San Diego

Discussant: Dimitris Georgarakos, European Central Bank

Generative Economic Modeling

Fabio Stohler*, University of Bonn
with Hanno Kase, European Central Bank, and Matthias Rottner, Bank for International Settlements

Discussant: Michael Reiter, Institute for Advanced Studies, Vienna

Principled Identification of Structural Dynamic Models

Peter Reinhard Hansen*, University of North Carolina at Chapel Hill
with Neville Francis, University of North Carolina at Chapel Hill, and Chen Tong, Xiamen University

Discussant: Oriol González-Casasús, Universitat Pompeu Fabra

Coffee break

SESSION 3
Leveraging Big Data for Economic Analysis

Session chair: Alvaro Ortiz, Financial Transactions "Big Data" Global Research Network (FTGRN)

The Short Lags of Monetary Policy

Afonso Souto de Moura*, European Central Bank
with Gergely Buda, Barcelona School of Economics, Vasco M. Carvalho, University of Cambridge, Giancarlo Corsetti, European University Institute, João B. Duarte, Nova School of Business and Economics, Stephen Hansen, University College London, Álvaro Ortiz, BBVA Research, Tomasa Rodrigo, BBVA Research, José V. Rodríguez Mora, CUNEF Universidad, University of Edinburgh, Guilherme Alves da Silva, Nova School of Business and Economics

Discussant: Leonardo Melosi, European University Institute 

Disaggregated Economic Accounts

Asger L. Andersen*, University of Copenhagen
with Kilian Huber, University of Chicago, Niels Johannesen, University of Oxford, Ludwig Straub, Harvard University, Emil Toft Vestergard, Danmarks Nationalbank

Discussant: Chiara Osbat, Bank for International Settlements

End of first conference day

Dinner – by invitation only

Registration and coffee

SESSION 4
Forecasting with Machine Learning

Session chair: Juri Marcucci, Banca d’Italia

Keynote speech: Policymakers' Uncertainty

Stephen Hansen, University College London

Coffee break

Chronos-2: From Univariate to Universal Forecasting

Pablo Guerron*, Boston College
with Abdul Fatir Ansari, Oleksandr Shchur, both Amazon Web Services, Jaris Küken, Amazon Web Services; University of Freiburg), Andreas Auer, Amazon Web Services, Johannes Kepler, University Linz, Boran Han, Pedro Mercado, Syama Sundar Rangapuram, Huibin Shen, Lorenzo Stella, Xiyuan Zhang, Mononito Goswami, Shubham Kapoor, Danielle C. Maddix, Tony Hu, Junming Yin, Nick Erickson, Prateek Mutalik Desai, all Amazon Web Services, Hao Wang, Amazon Web Services; Rutgers University, Huzefa Rangwala, George Karypis, Yuyang Wang, Michael Bohlke-Schneider, all Amazon Web Services

Discussant: Francesco Ravazzolo, Free University of Bozen-Bolzano

Debt-at-Risk

Faizaan Kisat*, International Monetary Fund
with Davide Furceri, International Monetary Fund, Domenico Giannone, Johns Hopkins University, Raphael Lam, and Hongchi Li, both International Monetary Fund

Discussant: Maximilian Schröder, European Central Bank

Dual Interpretation of Machine Learning Forecasts

Karin Klieber*, Oesterreichische Nationalbank
with Philippe Goulet Coulombe, Université du Québec à Montréal

Discussant: Galina Potjagailo, Bank of England

Buffet lunch

POSTER SESSION 2 

SESSION 5
Time-Variation and State Dependence

Session chair: Malte Knüppel, Deutsche Bundesbank

Self-Driving Neural Networks for Yield Curve Modelling

Sicco Kooiker*, Vrije Universiteit Amsterdam
with Janneke von Brummelen, Julia Schaumburg, and Marcin Zamojski, all Vrije Universiteit Amsterdam

Discussant: Sarah Mouabbi, Banque de France

An Extended Score-Driven Dynamic Factor Model: Recovering Composite Indicators from the Pandemic

Mariia Artemova*, Erasmus University Rotterdam
with Dick van Dijk and Evgenii Vladimirov, all Erasmus University Rotterdam

Discussant: Dalibor Stevanovic, Université du Québec à Montréal

Learning from Crises: A New Class of Time-Varying Parameter VARs with Observable Adaptation

Nicolas Hardy*, Universidad Diego Portales
with Dimitris Korobilis, Adam Smith Business School, University of Glasgow

Discussant: Claudia Foroni, European Central Bank

Concluding remarks

Philip R. Lane, European Central Bank

End of conference