Seventh ECB Workshop on Forecasting Techniques - New directions for forecasting

4 to 5 May 2012, Frankfurt am Main

 

Friday, 4 May 2012

9 a.m. - 9.10 a.m. Welcome
Philipp Hartmann (European Central Bank)
9.10 a.m. - 10 a.m. Session I
Chair: Philipp Hartmann (European Central Bank)
Invited speaker: The measurement and characteristics of professional forecasters’ uncertainty

Kenneth Wallis (Warwick University), joint with Gianna Boero and Jeremy Smith presentation  paper

Discussant: Kajal Lahiri (University at Albany, State University of New York) presentation 
10 a.m. - 10.50 a.m. Robust forecasting with many predictors
Ernst Schaumburg (Federal Reserve Bank of New York), joint with Dobrislav Dobrev presentation  paper

Discussant: Domenico Giannone (Université Libre de Bruxelles) presentation 
10.50 a.m. - 11.10 a.m. Coffee break
11.10 a.m. - 12 noon Nonlinear forecasting with many predictors using kernel ridge regression
Peter Exterkate (Aarhus Universitet), joint with Patrick J.F. Groenen, Christiaan Heij and Dick van Dijk presentation  paper

Discussant: Francesco Ravazzolo (Norges Bank) presentation 
12 noon - 12.50 p.m. Stock market liquidity and bond risk premia
Kees Bouwman (Erasmus Universiteit, Rotterdam), joint with Elvira Sojli and Wing Wah Tham presentation  paper

Discussant: Wolfgang Lemke (European Central Bank) presentation 
12.50 p.m. - 2 p.m. Lunch
2 p.m. - 2.50 p.m. Session II
Chair: Diego Rodriguez Palenzuela (European Central Bank)
Invited speaker: Dynamic models for volatility and heavy tails

Andrew Harvey (Cambridge University) presentation  paper

Discussant: Gabriele Fiorentini (Università di Firenze) presentation 
2.50 p.m. - 3.40 p.m. Optimal forecasts in the presence of structural breaks
Andreas Pick (Erasmus Universiteit, Rotterdam), joint with Hashem Pesaran and Mikhail Pranovich presentation  paper

Discussant: Don Harding (La Trobe University) presentation 
3.40 p.m. - 4 p.m. Coffee break
4 p.m. - 4.50 p.m. Common Drifting Volatility in Large Bayesian VARs
Todd Clark (Federal Reserve Bank of Cleveland), joint with Andrea Carriero and Massimiliano Marcellino presentation  paper
4.50 p.m. - 5.40 p.m. Forecasting UK GDP and inflation under structural change: a comparison of models with time-varying parameters
Alina Barnett (Bank of England), joint with Konstantinos Theodoridis and Haroon Mumtaz presentation  paper

Discussant: Laurent Ferrara (Banque de France) presentation 

Saturday, 5 May 2012

9.30 a.m. - 10.20 a.m. Session III
Chair: Geoff Kenny (European Central Bank)
Invited speaker: Prediction using several macroeconomic models

John Geweke (University of Technology, Sydney & Erasmus Universiteit, Rotterdam), joint with Gianni Amisano presentation  paper

Discussant: James Mitchell (University of Leicester) presentation 
10.20 a.m. - 11.10 a.m. Putting the New Keynesian DSGE model to the real-time forecasting test
Michal Rubaszek (Warsaw School of Economics and Narodowy Bank Polski), joint with Marcin Kolasa and Pawel Skrzypczynski presentation  paper

Discussant: Kai Christoffel (European Central Bank) presentation 
11.10 a.m. - 11.30 a.m. Coffee break
11.30 a.m. - 12.20 p.m. Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Massimiliano Marcellino (European University Institute), joint with Mario Porqueddu and Fabrizio Venditti presentation  paper

Discussant: Michele Modugno (Université Libre de Bruxelles) presentation 
12.20 p.m. - 1.30 p.m. Lunch
1.30 p.m. - 2.20 p.m. Session IV
Chair: Günter Coenen (European Central Bank)
Invited speaker: The analysis of the forecasting performance of parametric non-linear models

Graham Elliot (University of California, San Diego) presentation  paper

Discussant: Carlo Favero (Università Bocconi, Milano) presentation 
2.20 p.m. - 3.10 p.m. A new model of trend inflation
Simon Potter (Federal Reserve Bank of New York), joint with Joshua C.C. Chan and Gary Koop presentation  paper

Discussant: Timo Teräsvirta (Aarhus Universitet) presentation 
3.10 p.m. - 3.30 p.m. Coffee break
3.30 p.m. - 4.20 p.m. Real-time data, professional forecasters and the output gap in an estimated New Keynesian DSGE model
Anders Warne (European Central Bank), joint with Frank Smets and Raf Wouters presentation  paper

Discussant: Francesca Monti (Bank of England) presentation 
4.20 p.m. - 4.30 p.m. Concluding remarks
Günter Coenen (European Central Bank)

General Information

Workshop date: Friday, 4 and Saturday, 5 May 2012
Workshop venue: European Central Bank
Eurotower – Room CIV, 2nd floor
Kaiserstrasse 29
60311 Frankfurt am Main
Germany

Tel.: +49 69 1344 0
Fax: +49 69 1344 6000
E-mail: info@ecb.europa.eu
Workshop language: English
Organisation: Scientific committee
European Central Bank
Monetary Policy Research Division

Gianni Amisano
Tel.: +49 69 1344 7934
E-mail: gianni.amisano@ecb.europa.eu

Marek Jarocinski
Tel.: +49 69 1344 6414
Email: marek.jarocinski@ecb.europa.eu

Geoff Kenny
Tel.: +49 69 1344 6414
E-mail: geoff.kenny@ecb.europa.eu

Michele Lenza
Tel.: +49 69 1344 5671
E-mail: michele.lenza@ecb.europa.eu
Contact persons: Stefanie Faust
European Central Bank
Monetary Policy Research Division
Tel.: +49 69 1344 8032
E-mail: conf-forecasting@ecb.europa.eu

Jutta Auth
European Central Bank
Publishing, Events and Protocol Division
Tel.: +49 69 1344 7417
E-mail: evp-events@ecb.europa.eu
Programme: The organisers reserve the right to change the conference programme without prior notice.

Call for Papers

Seventh ECB Workshop on Forecasting Techniques
New directions for forecasting

Deadline for submission: 31 January 2012

Topics

The European Central Bank (ECB) is holding the Seventh ECB Workshop on Forecasting Techniques in Frankfurt am Main on 4 and 5 May 2012.

The workshop provides a forum for the presentation of both theoretical and applied contributions that can help identify new directions for forecasting, particularly in the light of the issues raised by the recent financial and sovereign debt crises. The ongoing turbulence in the global economy, and especially in financial markets, requires a critical assessment of existing methods and the development of new paradigms in order to provide reliable analytical support for macroeconomic policy-makers. Topics that are of particular relevance to the 2012 workshop include:

  1. comparative assessment of linear and non-linear forecasting models;
  2. forecasting the macroeconomic implications of fiscal and financial stress;
  3. forecasting rare events;
  4. density forecasts and forecast combination;
  5. forecasting performance and future directions with micro-founded models.

The scope of the conference should nonetheless be considered to be wider than the themes listed above, and submissions from all promising areas of forecasting are strongly encouraged.

Invited speakers

Graham Elliott (University of California, San Diego), John Geweke (University of Technology Sydney), Andrew Harvey (University of Cambridge) and Kenneth Wallis (University of Warwick) have already confirmed their participation as invited speakers.

Submission of papers and deadlines

Manuscript in PDF format should be submitted to conf-forecasting@ecb.europa.eu and must be received by 31 January 2012. Accepted papers will be communicated by 28 February 2012.

Expenses

The travel and accommodation expenses of invited presenters and discussants will be covered by the ECB.

Scientific committee

Gianni Amisano, Marek Jarociński, Geoff Kenny and Michele Lenza (all ECB).