Možnosti vyhľadávania
Home Médiá ECB vysvetľuje Výskum a publikácie Štatistika Menová politika €uro Platobný styk a trhy Kariéra
Návrhy
Zoradiť podľa
Nie je k dispozícii v slovenčine.

11th European Central Bank Conference on Forecasting Techniques

Macroeconomic forecasting in abnormal times

Tuesday, 15 and Wednesday, 16 June 2021
European Central Bank
Online event

The biennial ECB Conference on Forecasting Techniques provides a forum for new theoretical and applied work on forecasting. The conference brings together experts from different fields to exchange new ideas on macroeconomic and financial forecasting. It looks for new ways to put insights from econometric and statistical theory into practice, with a particular focus on the current macroeconomic environment.

This year’s conference is dedicated to the subject of forecasting in abnormal times. Presentations look e.g. at robust forecasting in the presence of non-linearities, structural breaks and tail events (such as COVID-19).

In the context of the conference, the ECB organised a paper competition for PhD students with a research interest in forecasting. The winning entry – Varlam Kutateladze’s paper entitled “The Kernel Trick for Nonlinear Factor Modeling” – will open the tasting session on the first day of the conference.

Registration

Registration deadline: Friday, 4 June 2021.

Please register directly using the link below. To ensure a smooth registration process, register with your institutional email address by Friday, 4 June 2021.

Registration

Programme

Times are Central European Time (UTC+2)
* indicates the presenter

Tuesday, 15 June 2021
12:00
Registration
 

Chair: Siem Jan Koopman, Vrije Universiteit Amsterdam

12:55

Welcome

13:00

Welcome address

Philip R. Lane, European Central Bank

13:15

Paper 1: Expecting the unexpected: economic growth under stress

  • Esther Ruiz*, Universidad Carlos III de Madrid
  • Gloria Gonzalez-Rivera, UC Riverside
  • Vladimir Rodríguez-Caballero, ITAM

Discussant: Simone Manganelli, European Central Bank

14:00

Paper 2: Tail forecasting with multivariate Bayesian additive regression trees

  • Florian Huber*, Universität Salzburg
  • Todd E. Clark, Federal Reserve Bank of Cleveland
  • Gary Koop, University of Strathclyde
  • Massimiliano Marcellino, Bocconi University
  • Michael Pfarrhofer, Universität Salzburg

Discussant: Herman van Dijk, Erasmus University Rotterdam

14:45
Break
15:00

First paper tasting

15:02

Taste 1: The kernel trick for nonlinear factor modeling

Varlam Kutateladze*, UC Riverside, Winner of the paper competition for PhD students

15:09

Taste 2: Variable selection and forecasting in high dimensional linear regressions with parameter instability

  • Mahrad Sharifvaghefi*, University of Pittsburgh
  • Alexander Chudik, Federal Reserve Bank of Dallas
  • Hashem Pesaran, University of Southern California
15:16

Taste 3: The macroeconomy as a random forest

Philippe Goulet Coulombe*, University of Pennsylvania

15:23

Taste 4: An interpretable machine learning workflow with an application to economic forecasting

  • Andreas Joseph*, Bank of England
  • Marcus Buckmann, Bank of England
  • Helena Robertson, Financial Conduct Authority
15:30

Taste 5: Understanding growth-at-risk: a Markov-switching approach

  • Francesca Loria*, Federal Reserve Board
  • Dario Caldara, Federal Reserve Board
  • Pablo Cuba-Borda, Federal Reserve Board
  • Danilo Cascaldi-Garcia, Federal Reserve Board
15:37

Taste 6: High-frequency monitoring of growth-at-risk

  • Laurent Ferrara*, SKEMA Business School
  • Matteo Mogliani, Banque de France
  • Jean-Guillaume Sahuc, Banque de France
15:44

Q&A based on chat questions

16:00
Break
16:15

Keynote speech: Large Bayesian VARs for forecasting: shrinkage priors, stochastic volatility and computation

Joshua Chan, Purdue University

17:15
Break
17:30

Paper 3: Addressing COVID-19 outliers in BVARs with stochastic volatility

  • Elmar Mertens*, Deutsche Bundesbank
  • Andrea Carriero, Queen Mary University of London
  • Todd E. Clark, Federal Reserve Bank of Cleveland
  • Massimiliano Marcellino, Bocconi University

Discussant: Michele Lenza, European Central Bank

18:15

Paper 4: The time-varying evolution of inflation risks

  • Dimitris Korobilis*, University of Glasgow
  • Alberto Musso, European Central Bank
  • Bettina Landau, European Central Bank
  • Anthoulla Phella, European Central Bank

Discussant: Ana Galvão, Warwick Business School

19:00

End of day 1

Wednesday, 16 June 2021
12:00
Registration
 
Chair: Todd E. Clark, Federal Reserve Bank of Cleveland
12:55
Welcome
13:00

Paper 5: Modelling volatility cycles: The (MF)2 GARCH model

  • Christian Conrad*, Universität Heidelberg
  • Robert F. Engle, New York University

Discussant: Christian Brownlees, Universitat Pompeu Fabra

13:45
Break
13:50

Second paper tasting

13:52

Taste 7: Advances in nowcasting economic activity: secular trends, large shocks and new data

  • Ivan Petrella*, Warwick Business School
  • Juan Antolín-Díaz, London Business School
  • Thomas Drechsel, University of Maryland
13:59

Taste 8: Capturing GDP nowcast uncertainty in real time

Paul Labonne*, King's College London

14:06

Taste 9: Nowcasting 'true’ monthly US GDP during the pandemic

  • Aubrey Poon*, University of Strathclyde - presentation slides
  • Gary Koop, University of Strathclyde
  • Stuart McIntyre, University of Strathclyde
  • James Mitchell, Federal Reserve Bank of Cleveland
14:13

Taste 10: The value of robust statistical forecasts in the COVID-19 pandemic

  • Jennifer Castle*, University of Oxford
  • Jurgen Doornik, University of Oxford
  • David Hendry, University of Oxford
14:20

Taste 11: Forecast comparison tests under fat-tails

  • Mamiko Yamashita*, Toulouse School of Economics
  • Jihyun Kim, Toulouse School of Economics
  • Nour Meddahi, Toulouse School of Economics
14:27

Taste 12: Combining Bayesian VARs with survey density forecasts: does it pay off?

  • Francesco Ravazzolo*, Free University of Bozen-Bolzano
  • Marta Bańbura, European Central Bank
  • Federica Brenna, KU Leuven
  • Joan Paredes, European Central Bank
14:34

Q&A based on chat questions

14:45
Break
15:00

Keynote speech: Forecasting with Bayesian SVARs

Christopher Sims, Princeton University

16:00

Paper 6: Robust forecasting

  • Frank Schorfheide*, University of Pennsylvania
  • Timothy Christensen, New York University
  • Hyungsik Roger Moon, University of Southern California

Discussant: Tatevik Sekhposyan, Texas A&M University

16:45
Break
17:00

Panel discussion on macroeconomic forecasting:
Our present challenges and the way ahead

  • Joshua Chan, Purdue University
  • Christopher Sims, Princeton University
  • Matt Taddy, Amazon

Moderator: Lucrezia Reichlin, London Business School

18:00

Closing remarks

18:05

End of conference

Audiovisual notice: Images and video recordings may be published online.

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

General information


Conference language

English

Organisers
  • Elena Bobeica, European Central Bank
  • Gabriel Perez Quiros, European Central Bank
  • Gerhard Rünstler, European Central Bank
  • Georg Strasser, European Central Bank
Time frame for presenters
For each paper, the presenter will speak for 25 minutes and the discussant for 10 minutes. This will be followed by a moderated general discussion lasting about 10 minutes.
Contact

Carol Sue Lehmann
Directorate General Research
Monetary Policy Research Division

+49 (0)69 1344 7594

carol_sue.lehmann@ecb.europa.eu