European Central Bank - eurosystem
Možnosti iskanja
Domov Mediji Pojasnjujemo Raziskave in publikacije Statistika Denarna politika Euro Plačila in trgi Zaposlitve
Predlogi
Razvrsti po
Ni na voljo v slovenščini.

Advanced analytics: new methods and applications for macroeconomic policy

Joint workshop of the Centre for Central Banking Studies (Bank of England), the European Central Bank and King’s College London

London, 21 and 22 July 2022 - Hybrid event

This hybrid event will be hosted onsite at the Bank of England and virtually on MS Teams. Guidelines on accessing the workshop via MS Teams will be sent to registered virtual attendees at a later date.

Programme

Times are British Summer Time, BST (CET-1)

* indicates the presenter

Thursday, 21 July 2022
8:15
Registration
9:00

Opening remarks

Chair: Diego Rodriguez-Palenzuela, ECB

Huw Pill, Chief Economist, Bank of England

 

Session 1: Empirical monetary policy identification (I)

9:15

Identifying monetary policy shocks: a natural language approach

Thomas Drechsel*, University of Maryland, with S. Borağan Aruoba

Discussant: Xiang Li, Halle Institute for Economic Research

 

Voting right rotation, behavior of committee members and financial market reactions: evidence from the U.S. Federal open market committee

Michael Ehrmann*, European Central Bank, with Robin Tietz and Bauke Vissier

Discussant: Xinfen Han, Bank of Canada

10:45
Break
 

Session 2: Novel approaches to macroeconomics

Chair: Juan Mateos-Garcia, Nesta

11:00

A long-run anatomy of task exposures to technology

Joseba Martinez*, London Business School, with Johan Moen-Vorum

Discussant: Johannes Zahner, Marburg Centre for Institutional Economics

 

Estimating Nonlinear Heterogenous Agent models with neural networks

Matthias Rottner*, Deutsche Bundesbank, with Hanno Kase and Leonardo Melosi

Discussant: Ed Hill, Bank of England

12:30
Lunch
13:30

Keynote: Surveying over 100 million people world-wide with Meta: Global Covid-19 Trends and Economic Impacts

Frauke Kreuter, University of Maryland & LMU Munich

Chair: Andreas Joseph, Bank of England

 

Session 3: Central bank communication

Chair: Rafael Wildauer, University of Greenwich

14:30

More than words: Fed chairs’ communication during congressional testimonies

Xinfen Han*, Bank of Canada, with Michelle Alexopoulos, Oleksiy Kryvtsov and Xu Zhang

Discussant: Aakriti Mathur, Bank of England

 

The effects of central bank digital currency communication and associated social media sentiment on cryptocurrency markets

Iulia Cioroianu*, University of Bath, with Shaen Corbet, Charles Larkin and Les Oxley

Discussant: Alvaro Ortiz, BBVA

16:00
Break
 

Session 4: Machine learning for macroeconomic forecasting

Chair: Nicolas Woloszko, OECD

16:30

Forecasting CPI inflation components with hierarchical recurrent neural networks

Jonathan Benchimol*, Bank of Israel, with Oren Barkan, Itamar Caspi and Eliya Cohen, Allon Hammer and Noam Koenigstein

Discussant: Luigi Palumbo, Università degli Studi della Tuscia

 

An interpretable machine learning workflow with an application to economic forecasting

Andreas Joseph*, Bank of England, with Marcus Buckmann

Discussant: Philippe Goulet Coulombe, Université du Québec à Montréal

18:00

Reception and poster session

  • Forecasting GDP in Europe with textual data by Luca Barbaglia, European Commission, with Sergio Consoli and Sebastiano Manzan (virtual quick talk)
  • The informative value of central banks talks: a topic model application to sentiment analysis by Maria Paola Priola, Prometeia, with Annalisa Molino, Giacomo Tizzanini and Lea Zicchino (virtual quick talk)
  • Sparse temporal disaggregation by Alex Gibberd, Lancaster University, with Luke Mosley and Idris Eckley
  • Can alternative data improve the accuracy of factor model nowcasts? by Radu Gabriel Cristea, University of Cambridge
  • A neural Phillips curve and a deep output gap by Philippe Goulet Coulombe, Université du Québec à Montréal
  • Modelling equity transitions as bursty processes by Isobel Seabrook, Financial Conduct Authority, Paolo Barucca and Fabio Caccioli
  • Nowcasting the Italian food inflation using online prices by Luigi Palumbo, Università degli Studi della Tuscia and Juri Marcucci and Federico Crescenzi
  • Reinforcement Learning Assisted Outlier Detection for Costly to Verify Data by Michiel Nijhuis, De Nederlandsche Bank, and Iman Van Lelyveld
19:45
End of day 1
Friday, 22 July 2022
9:00
Registration
 

Session 5: High-dimensional data

Chair: Arthur Turrell, Office for National Statistics

9:30

National accounts in a world of naturally occurring data: a proof of concept for consumption

Álvaro Ortiz*, BBVA, with Gergely Buda, Vasco Carvalho, Stephen Hansen, Tomasa Rodrigo and José Rodríguez Mora

Discussant: Nicolas Woloszko, OECD

 

Saved by the bell? Equity market responses to surprise Covid-19 lockdowns and central bank interventions

Aakriti Mathur*, Bank of England, with Rajeswari Sengupta and Bhanu Pratap

Discussant: Iulia Cioroianu, University of Bath

11:00
Break
 

Session 6: Empirical monetary policy identification (II)

Chair: George Kapetanios, King’s College London

11:15

How does BigTech credit affect monetary policy transmission?

Xiang Li*, Halle Institute for Economic Research, with Yiping Huang, Han Qiu and Changhua Yu

Discussant: Jonathan Benchimol, Bank of Israel

 

State-dependent macroeconomic policy effects: a varying-coefficient VAR

Adrian Ochs*, University of Cambridge, with Christian Rörig

Discussant: Parley Ruogu Yang, University of Cambridge

12:45

Closing remarks

Oscar Arce, Director General Economics, ECBy

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

Audiovisual notice: Images and video recordings may be published online

Conference venue

Bank of England
Threadneedle Street
London EC2R 8AHl

Organising Committee
  • Bank of England
    • Andrew Blake
    • Andreas Joseph
  • King’s College London
    • George Kapetanios
    • Fotis Papailias
  • European Central Bank
    • Michele Lenza
    • Chiara Osbat
    • Diego Rodriguez-Palenzuela
Contact

Maria Brady, Event administrator

+44 20 3461 4542
Conference Email