Eighth ECB Workshop on Forecasting Techniques

Conference dates: Friday, 13 and Saturday, 14 June 2014

Venue: European Central Bank, Frankfurt am Main

Organisers: Iris Bettenhäuser, Marek Jarociński, Geoff Kenny, Michele Lenza and Bernd Schwaab, European Central Bank

Workshop Agenda

For each paper, the author will speak for 30 minutes and the discussant for 15 minutes, to be followed by a general discussion lasting five minutes.

8.30 a.m. Registration and coffee
9 a.m. Welcome
Philipp Hartmann, European Central Bank
Session 1
Chair: Philipp Hartmann, European Central Bank
9.10 a.m. Keynote speech
A multi-country approach to forecasting output growth using PMIs
presentation
Hashem Pesaran, University of Southern California; Trinity College;
with Alexander Chudik, Federal Reserve Bank of Dallas, CAFE; CIMF; Valerie Grossman, Federal Reserve Bank of Dallas
Discussant: Kajal Lahiri, University at Albany-SUNY discussion
10 a.m. Forecasting with Bayesian global vector autoregressive models: a comparison of priors presentation paper
Florian Huber, Vienna University of Economics and Business (WU);
with Jesús Crespo Cuaresma, Vienna University of Economics and Business (WU); WIC; IIASA; WIFO; Martin Feldkircher, Oesterreichische Nationalbank
Discussant: Marta Bańbura, European Central Bank discussion
10.50 a.m. Coffee break
11.10 a.m. Stressing bank profitability for interest rate risk presentation paper
Rochelle Edge, Board of Governors of the Federal Reserve System;
with Valentin Bolotnyy, Harvard University; Luca Guerrieri, Board of Governors of the Federal Reserve System
Discussant: Michel van der Wel, Erasmus University discussion
12 p.m. No arbitrage priors, drifting volatilities and the term structure of interest rates presentation paper
Andrea Carriero, Queen Mary, University of London;
with Todd Clark, Federal Reserve Bank of Cleveland; Massimiliano Marcellino; Bocconi University
Discussant: Raf Wouters, Nationale Bank van België/Banque Nationale de Belgique discussion
12.50 p.m. Lunch
2 p.m. Poster session for discussants
In order to make this session as productive as possible, we strongly recommend reading the discussants' papers in advance. They will be posted on the conference website soon.

Conditional forecasts and scenario analysis with vector autoregressive models for large cross-sections paper
Marta Bańbura, European Central Bank;
with Domenico Giannone, LUISS University; ECARES; CEPR; Michele Lenza, European Central Bank

Assessing point forecast accuracy by stochastic divergence from zero paper
Francis Diebold, University of Pennsylvania

The low-frequency effects of macroeconomic news on government bond yields paper
Domenico Giannone, LUISS University; ECARES; CEPR
with Carlo Altavilla, European Central Bank; Michele Modugno, Board of Governors of the Federal Reserve System

Testing for Granger causality in large mixed-frequency VARs paper
Thomas Götz, Maastricht University;
with Alain Hecq, Maastricht University

A non-linear forecast combination procedure for binary events paper
Kajal Lahiri, University at Albany-SUNY
with Liu Yang, University at Albany-SUNY

Modelling and forecasting exchange rates with time-varying parameter models paper
Massimiliano Marcellino, Bocconi University;
with Angela Abbate, European University Institute (EUI)

Parametric empirical Bayes methods for dynamic factor models
Geert Mesters, VU University Amsterdam

Improving density forecasts and value-at-risk estimates by combining densities paper
Anne Opschoor, VU University Amsterdam;
with Dick van Dijk and Michel van der Wel, Erasmus University

What are the effects of monetary policy on output? Results from an agnostic but systematic identification procedure
Juan Rubio-Ramirez, Duke University;
with Jonas Arias and Dario Caldara, Board of Governors of the Federal Reserve System
Session 2
Chair: Diego Rodriguez Palenzuela, European Central Bank
2.50 p.m. Keynote speech
Forecasting with model uncertainty: representations and risk reduction
presentation paper
Jonathan Wright, Johns Hopkins University;
with Keisuke Hirano, University of Arizona
Discussant: Juan Rubio-Ramirez, Duke University discussion
3.40 p.m. Coffee break
4 p.m. Dynamic prediction pools: an investigation of financial frictions and forecasting performance presentation paper
Marco Del Negro, Federal Reserve Bank of New York;
with Raiden B. Hasegawa, Federal Reserve Bank of New York; Frank Schorfheide, University of Pennsylvania; CEPR
Discussant: Bartosz Maćkowiak, European Central Bank discussion
4.50 p.m. Generalised density forecast combinations presentation paper
Simon Price, Bank of England; City University London; CAMA
with Nicholas Fawcett, Bank of England; George Kapetanios, Queen Mary, University of London; James Mitchell, Warwick Business School
Discussant: Anne Opschoor, Erasmus University discussion
7 p.m. Dinner (by invitation only)
9 a.m. Registration and coffee
Session 3
Chair: Jérôme Henry, European Central Bank
9.30 a.m. Keynote speech
Measuring uncertainty about long-run predictions
presentation paper
Ulrich Müller, Princeton University;
with Mark W. Watson, Princeton University
Discussant: Francis Diebold, University of Pennsylvania discussion
10.20 a.m. Mixed-frequency large-scale factor models presentation paper
Mirco Rubin, Università della Svizzera Italiana; Swiss Finance Institute
with Elena Andreou, University of Cyprus; Patrick Gagliardini, Università della Svizzera Italiana; Eric Ghysels, University of North Carolina
Discussant: Thomas Götz, Maastricht University discussion
11.10 a.m. Coffee break
11.30 a.m. Exploiting the monthly data-flow in structural forecasting presentation paper
Francesca Monti, Bank of England;
with Domenico Giannone, LUISS University; ECARES; CEPR; Lucrezia Reichlin, London Business School; CEPR
Discussant: Massimiliano Marcellino, Bocconi University discussion
12.20 p.m. Lunch
Session 4
Chair: Gabriel Fagan, European Central Bank
1.30 p.m. Keynote speech
Score-driven models for forecasting
presentation paper
Siem Jan Koopman, VU University Amsterdam; Tinbergen Institute; CREATES
with Francisco Blasques, VU University Amsterdam; André Lucas, VU University Amsterdam; Tinbergen Institute; Duisenberg School of Finance
Discussant: Domenico Giannone, LUISS University; ECARES; CEPR discussion
2.20 p.m. Efficient estimation and forecasting in dynamic factor models with structural instability presentation paper
Dimitris Korobilis, University of Glasgow;
with Christian Schumacher, Deutsche Bundesbank
Discussant: Geert Mesters, Tinbergen Institute; VU University Amsterdam; Netherlands Institute for the Study of Crime and Law Enforcement discussion
3.10 p.m. Coffee break
3.30 p.m. Financial conditions and density forecasts for US output and inflation presentation paper
Piergiorgio Alessandri, Banca d’Italia;
with Haroon Mumtaz, Queen Mary, University of London
Discussant: Shaun Vahey, Warwick Business School discussion
4.20 p.m. Concluding remarks
Gabriel Fagan, European Central Bank

The European Central Bank (ECB) is holding its eighth Workshop on Forecasting Techniques in Frankfurt am Main on 13 and 14 June 2014.

This biannual workshop provides a forum for the presentation of new theoretical and applied work on forecasting. Since the start of the Great Recession policy-makers have been facing increased macroeconomic uncertainty, possible structural changes, divergent economic dynamics, including among euro area countries, banking sector stress and fiscal problems. This turbulent environment poses challenges for forecasters. At the same time, it is an opportunity to develop new approaches to forecasting and incorporate new insights from economic theory and statistics into the practice of forecasting. Topics that are of particular relevance to the 2014 workshop include:

  • forecasting in heterogeneous parameter and multi-country settings;
  • models for conditional forecasts and stress-testing purposes;
  • point and density forecasting performance of time-varying parameter models;
  • forecasting fiscal variables;
  • forecasting based on reduced form versus structural models;
  • models for mixed measurement panel data, non-Gaussian models and the performance of skewed density forecasts.

The scope of the conference is nonetheless wider than the topics listed above, and submissions from all promising areas of forecasting are strongly encouraged

Invited speakers

Siem Jan Koopman (Vrije Universiteit Amsterdam and CREATES), Hashem Pesaran (University of Cambridge), Ulrich Müller (Princeton University) and Jonathan Wright (Johns Hopkins University) have already confirmed their participation as invited speakers.

Submission of papers and deadlines

Manuscripts in PDF format should be submitted to conf-forecasting@ecb.europa.eu and must be received by 15 March 2014. The authors of accepted papers will be notified by 15 April 2014.

Expenses

Travel and accommodation expenses of the presenters of accepted papers and discussants will be covered by the ECB.

Scientific committee

Marek Jarociński, Geoff Kenny, Michele Lenza and Bernd Schwaab (all ECB).