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Advanced analytics: new methods and applications for macroeconomic policy

European Central Bank, Bank of England and King’s College London joint conference
3 to 5 November 2021
Online event

Advanced analytics techniques, such as the analysis of novel large and unstructured data sources or the application of techniques from machine learning and artificial intelligence, offer new insights into problems in economics and finance. These approaches have now found their way into broad-based research programmes in academia and policy institutions. This conference is the latest in a series of events jointly organised by the Bank of England, the European Central Bank and the Data Analytics for Finance and Macro Research Centre (DAFM) at King’s College London.

Programme

Times are Coordinated Universal Time, UTC (CET-1)
* indicates the presenter

Wednesday, 3 November 2021
12:30
Online registration
13:00

Welcome

Paul Robinson, Head of Advanced Analytics, Bank of England

13:05

Opening remarks

Cornelia Holthausen, Deputy Director General Economics, European Central Bank

 

Session 1 chaired by Fotis Papailias, King’s College London

13:15

Central bank communication with non-experts – a road to nowhere?

  • Michael Ehrmann*, European Central Bank
  • Alena Wabitsch, University of Oxford

Discussant: Conor Parle, Central Bank of Ireland

14:00

The ECB’s tracker: nowcasting the press conferences of the ECB

Armando Marozzi, London School of Economics and Political Science

Discussant: Michael Ehrmann, European Central Bank

14:45
Break
 

Session 2

15:15

Deep reinforcement learning in a monetary model

  • Andreas Joseph*, Bank of England
  • Mingli Chen, University of Warwick
  • Michael Kumhof, Bank of England
  • Xinlei Pan, University of California, Berkeley
  • Rui Shi, University of Warwick
  • Xuan Zhou, Deakin University

Discussant: Carlos Montes-Galdon, European Central Bank

16:00

Poster Session I (virtual booths)

16:45
Break
 

Session 3 chaired by Francesca Monti, UCLouvain

17:00

The voice of monetary policy

  • Tho Pham*, University of Reading
  • Yuriy Gorodnichenko, University of California, Berkeley
  • Oleksandr Talavera, University of Birmingham

Discussant: Jonathan Benchimol, Bank of Israel

17:45

Whatever it takes to understand a central banker – Embedding their words using neural networks

  • Martin Baumgärtner*, THM Business School
  • Johannes Zahner, Philipps-Universität Marburg

Discussant: Linda Shuku, King’s College London

 
End of day 1
Thursday, 4 November 2021
12:30
Online registration
 

Session 4 chaired by Sholthana Begum, Bank of England

13:00

Inequality and the zero lower bound

  • Galo Nuño*, Banco de España
  • Jesús Fernández-Villaverde, University of Pennsylvania, NBER and CEPR
  • Joël Marbet, CEMFI
  • Omar Rachedi, ESADE Business School

Discussant: Lilia Maliar, City University of New York

13:45

Poster Session II (virtual booths)

14:30
Break
 

Keynote 1 chaired by Chiara Osbat, European Central Bank

15:00

Almost matching exactly for observational causal inference

Cynthia Rudin, Duke University

16:00
Break
 

Session 5 chaired by Christopher Kurz, Board of Governors of the Federal Reserve System

16:30

Forecasting social unrest: a machine learning approach

  • Chris Redl*, International Monetary Fund
  • Sandile Hlatshwayo, International Monetary Fund

Discussant: Martin Baumgärtner, THM Business School

17:15

Credit shocks and populism

  • Nicolò Fraccaroli*, Brown University
  • Alessandro Pizzigolotto, Norwegian School of Economics

Discussant: Tho Pam, University of Reading

 
End of day 2
Friday, 5 November 2021
12:30
Online registration
 

Keynote 2 chaired by Andreas Joseph, Bank of England

13:00

Machine learning for macroeconomics

Jesús Fernández-Villaverde, University of Pennsylvania

14:00
Break
 

Session 6 chaired by David Aikman, King’s College London

14:30

Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms

  • Aakriti Mathur*, Bank of England
  • Tirupam Goel, Bank for International Settlements
  • Ulf Lewrick, Bank for International Settlements

Discussant: Tim Munday, University of Oxford

15:15

Inside the boardroom: evidence from the board structure and meeting minutes of community banks

  • Paul Soto*, Federal Deposit Insurance Corporation
  • Rosalind Bennett, Federal Deposit Insurance Corporation
  • Manju Puri, Duke University and NBER

Discussant: Massimo Ferrari, European Central Bank

16:00
Break
 

Session 7 chaired by Nick Bate, Bank of England

16:30

Macroeconomic predictions using payments data and machine learning

  • Ajit Desai*, Bank of Canada
  • James Chapman, Bank of Canada

Discussant: Nicolas Woloszko, Organisation for Economic Co-operation and Development

17:15

Big data information and nowcasting: consumption and investment from bank transactions in Turkey

  • Alvaro Ortiz*, BBVA Research
  • Ali B. Barlas, BBVA Research
  • Seda Guler Mert, BBVA Research
  • Berk Orkun Isa, BBVA Research
  • Tomasa Rodrigo, BBVA Research
  • Baris Soybilgen, Bilgi University
  • Ege Yazgan, Bilgi University

Discussant: Gianni Amisano, Board of Governors of the Federal Reserve System

18:00

Closing remarks

George Kapetanios, Director of Data Analytics for Finance and Macro (DAFM) Research Centre

Audiovisual notice: Images and video recordings may be published online

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

Poster Session I

3 November, 16:00-16:45

  • Mark my words: the transmission of central bank communication to the general public via the print media

    Tim Munday*, University of Oxford, and James Brookes, Bank of England

  • The central bank crystal ball: temporal information in monetary policy communication

    Conor Parle*, David Byrne and Robert Goodhead, all Central Bank of Ireland, and Michael McMahon, University of Oxford

  • Does central bank talk matter for forecasting? Evidence from untargeted speeches of the BoE, Fed, and ECB

    Linda Shuku* and Fotis Papailias, both King’s College London

  • Five facts about the distributional income effects of monetary policy

    Anna Rogantini Picco*, Niklas Amberg, Thomas Jansson and Mathias Klein, all Sveriges Riksbank

  • E pluribus pluribus. Shock dependency of the USD pass-through to real and financial variables

    Massimo Ferrari* and Johannes Gräb, both European Central Bank

Poster Session II

4 November, 13:45-14:30

  • Learning to make consumption-saving decisions in a changing environment: an AI approach

    Aruhan Rui Shi, University of Warwick

  • Can machine learning change our opinion on Euler’s consumption model?

    Diana Gabrielyan, University of Tartu

  • Interpretability and explainability – nonlinear, non-parametric and time-varying equity risk premia

    Felix Kempf* and Georg Kapetanios, both King’s College London

  • Decoupling shrinkage and selection for the Bayesian quantile regression

    Tibor Szendrei* and David Kohns, both Heriot-Watt University

  • Heteroskedasticity as a complementary identification strategy

    Tommaso Tornese* and Andrea Carriero, both Queen Mary University of London, and Massimiliano Marcellino, Bocconi University