DSGE models and forecasting

22 and 23 September 2016

Main Building, European Central Bank, Frankfurt am Main
Conference Room C5.02/Cinema Room

Programme

Wednesday, 21 September 2016

19:00

Welcome dinner

Thursday, 22 September 2016

9:15

Registration

9:30

Opening

Diego Rodriguez Palenzuela, European Central Bank

Session 1
Chair: Günter Coenen, European Central Bank

9:45
VAR information and the empirical validation of DSGE models

Presenter: Luca Gambetti, Universitat Autonoma de Barcelona

Discussant: Marek Jarociński, European Central Bank

10:45
Priors for the long run

Presenter: Domenico Giannone, Federal Reserve Bank of New York

Discussant: Carlo Favero, Bocconi University

12:00

Lunch

13:00
Keynote Speech

Speaker: Frank Schorfheide, University of Pennsylvania

Session 2
Chair: Diego Rodriguez Palenzuela, European Central Bank

14:00

Marginalised predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGE-VAR and VAR models

Presenter: Anders Warne, European Central Bank

Discussant: Massimiliano Pisani, Banca d’Italia

15:00
Tempered particle filtering

Presenter: Edward Herbst, Federal Reserve Board

Discussant: Juan Rubio-Ramirez, Emory University

16:00

Coffee break

 

Session 3
Chair: Matteo Ciccarelli, European Central Bank

16:15
Narrative sign restriction for SVARs

Presenter: Juan Rubio-Ramirez, Emory University

Discussant: Michele Lenza, European Central Bank

17:15
Long-run covariability

Presenter: Ulrich Müller, Princeton University

Discussant: Marta Banbura, European Central Bank

19:30

Dinner

Friday, 23 September 2016

 

Session 4
Chair: Hans-Joachim Klöckers, European Central Bank

9:15
Challenges for macro models used at central banks

Presenter: Jesper Linde, Riksbank

Discussant: Stefano Neri, Banca d’Italia

10:15

Filtering for multi-step prediction with DSGE models

Presenter: Marco Del Negro, Federal Reserve Bank of New York

Discussant: Pablo A. Guerron-Quintana, Federal Reserve Bank of Philadelphia

11:15

Coffee break

11:30

Panel discussion "The use of models in central bank forecasting"

Panellists:

13:00

Closing remarks

13:15

End of the Workshop

General information

Conference organisers

  • Nikola Bokan, European Central Bank
  • Caterina Mendicino, European Central Bank

Transfers

Participants are requested to arrange their own transfers from and to the airport, unless indicated otherwise

Contacts

Ms. Nicola Bowen
Directorate General Economics
Output and Demand Division
Tel.: +49 (0) 69 1344 6351
nicola.bowen@ecb.europa.eu

Ms. Tzveta Maneva
Directorate General Economics
Output and Demand Division
Tel.: +49 (0) 69 1344 6087
tzveta.maneva@ecb.europa.eu