ECB workshop

Advances in short-term forecasting

Friday, 29 September 2017

Main Building, European Central Bank, Frankfurt am Main
Press centre, room C5.01

Programme

8:30
Registration and coffee
9:20

Welcome address

Günter Coenen, European Central Bank

 

Session 1: Mixed frequencies

Chair: Günter Coenen, European Central Bank

9:30

Mixed frequency models with MA components

Massimiliano Marcellino*, Università Bocconi
with Claudia Foroni, Deutsche Bundesbank
Dalibor Stevanović, Université du Québec à Montréal

Presentation

Discussant: Ana Galvão, University of Warwick

10:15

Fiscal nowcasting

Jacopo Cimadomo*, European Central Bank
with Domenico Giannone, Federal Reserve Bank of New York
Michele Lenza, European Central Bank

Presentation

Discussant: Claudia Foroni, Deutsche Bundesbank

11:00
Coffee break
 

Session 2: Factor models

Chair: Neale Kennedy, European Central Bank

11:30

Estimation of time-varying coefficient VAR models using dynamic factors

Siem Jan Koopman*, Vrije Universiteit Amsterdam
with Paolo Gorgi and Julia Schaumburg, Vrije Universiteit Amsterdam

Presentation

Discussant: Fabrizio Venditti, European Central Bank

12:15

Factor-augmented VAR revisited – a sparse dynamic factor model approach

Sylvia Kaufmann*, Studienzentrum Gerzensee
with Simon Beyeler, Studienzentrum Gerzensee

Discussant: Marek Jarociński, European Central Bank

13:00
Buffet lunch
 

Session 3: New methods for big data

Chair: Geoff Kenny, European Central Bank

14:00

Nowcasting using news topics. Big Data versus big bank

Leif Anders Thorsrud*, Norges Bank

Discussant: Georg Strasser, European Central Bank

14:45

Macroeconomic forecasting in times of crises

Pablo Guerrón-Quintana*, Boston College
with Molin Zhong, Federal Reserve Board of Governors

Presentation

Discussant: Srečko Zimic, European Central Bank

15:30
End of workshop

* indicates the presenter

This programme may be subject to change without notice.

General information

Conference venue

European Central Bank
Main building, Press centre, room C5.01
Sonnemannstrasse 20
60314 Frankfurt am Main

+49 69 1344 0
Fax: +49 69 1344 6000
info@ecb.europa.eu

Conference language

English

Conference organisers

Marta Banbura, European Central Bank
Michele Lenza, European Central Bank
Carlos Montes-Galdón, European Central Bank
Gerhard Rünstler, European Central Bank

Transfers

Participants are requested to arrange their own transfers unless indicated otherwise.

Contact

Iris Bettenhäuser
Directorate General Research
Monetary Policy Research Division
+49 69 1344 8782
iris.bettenhaeuser@ecb.europa.eu