9th ECB Workshop on Forecasting Techniques

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9th ECB Workshop on Forecasting Techniques: Forecast Uncertainty and Macroeconomic Indicators

The European Central Bank (ECB) is holding its ninth Workshop on Forecasting Techniques in Frankfurt am Main on 3 and 4 June 2016.

This biennial workshop provides a forum for the presentation of new theoretical and applied work on forecasting. In recent years monetary policy has been operating in an environment of elevated macroeconomic and financial uncertainty, including possible structural changes. This conference will bring together experts from all fields related to macroeconomic and financial forecasting to exchange new ideas on quantifying forecasting uncertainty and to put new insights from economic and statistical theory into practice in the current macroeconomic environment. The organisers particularly encourage submissions on the following topics:

Forecasting inflation
Long-run forecasting
Estimation uncertainty underlying macroeconomic statistics
Probabilistic forecasts
Forecasting in the presence of structural breaks
Forecasting Value at Risk and volatility
Evaluating forecasts

The scope of the conference is not limited to the topics listed above and submissions from all areas of forecasting are welcome.

Invited speakers

Todd Clark (Federal Reserve Bank of Cleveland), Gary Koop (University of Strathclyde), James Stock (Harvard University) and Mark Watson (Princeton University) have confirmed their participation as invited speakers.

Scientific committee

Barbara Rossi (ICREA-Universitat Pompeu Fabra, Barcelona GSE and CREI), Marta Bańbura, Marek Jarociński and Georg Strasser (all ECB).

Venue

ECB main building, Sonnemannstrasse 20
Press centre, room C5.01

Programme

Conference programme as PDF

Friday, 3 June 2016

* indicates the presenter

8:30

Registration and coffee

9:00

Welcome address

Vítor Constâncio, European Central Bank

9:10

Part I

Chair: Matteo Ciccarelli, European Central Bank

Keynote speech Forecasting with high dimensional panel VARs Presentation

Gary Koop*, University of Strathclyde
with Dimitris Korobilis, University of Glasgow

9:55

Large time-varying parameter VARs: a nonparametric approach Presentation Discussion

Fabrizio Venditti*, Banca d'Italia
with George Kapetanios, Queen Mary University of London; Massimiliano Marcellino, Università Bocconi

Discussant: Francesco Ravazzolo, Freie Universität Bozen

10:40

Coffee break

11:00

Priors for the long run Presentation Discussion

Giorgio Primiceri*, Northwestern University
with Domenico Giannone, Federal Reserve Bank of New York; Michele Lenza, European Central Bank

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

11:45

Bayesian compressed vector autoregressions Presentation Discussion

Dimitris Korobilis*, University of Glasgow
with Gary Koop, University of Strathclyde; Davide Pettenuzzo, Brandeis University

Discussant: Sylvia Kaufmann, Studienzentrum Gerzensee

12:30

Lunch and poster session

Poster Session

Poster 1: Order invariant evaluation of multivariate density forecasts Presentation

Jonas Dovern*, Universität Heidelberg
with Hans Manner, Universität zu Köln

Poster 2: Subjective interest rate uncertainty and the macroeconomy: an international panel approach Presentation

Klodiana Istrefi*, Banque de France
with Sarah Mouabbi, Banque de France

Poster 3: Fractionally integrated multivariate models for fat-tailed realised covariance kernels and returns Presentation

Anne Opschoor*, Vrije Universiteit Amsterdam
with Andre Lucas, Vrije Universiteit Amsterdam

Poster 4: A new approach to multi-step forecasting using dynamic stochastic general equilibrium models Presentation

Simon Price*, Essex Business School
with George Kapetanios, Queen Mary University of London; Konstantinos Theodoridis, Bank of England

Poster 5: A new monthly indicator of global real economic activity Presentation

Francesco Ravazzolo*, Freie Universität Bozen
with Joaquin Vespignani, University of Tasmania

Poster 6: What do professional forecasters actually predict?Presentation

Michel van der Wel*, Erasmus Universiteit Rotterdam
with Didier Nibbering and Richard Paap, Erasmus Universiteit Rotterdam

Poster 7: Large time varying parameter VAR models for macroeconomic forecasting Presentation

Gianni Amisano*, Board of Governors of the Federal Reserve System
with Domenico Giannone, Federal Reserve Bank of New York; Michele Lenza, European Central Bank

14:30

Part 2

Chair: Simone Manganelli, European Central Bank

Keynote speech Inflation volatility and the level of inflation

Presentation

Mark Watson*, Princeton University
with Paul Ho, Princeton University

15:15

Coffee break

15:35

Inflation and professional forecast dynamics: an evaluation of stickiness, persistence and volatility Presentation Discussion

Elmar Mertens*, Board of Governors of the Federal Reserve System
with James Nason, North Carolina State University

Discussant: Wolfgang Lemke, European Central Bank

16:20

News and narratives in financial systems: exploiting big data for systemic risk assessment

David Tuckett*, University College London
with David Gregory and Sujit Kapadia*, Bank of England; Rickard Nyman, Paul Ormerod and Robert Smith, University College London

Discussant: Laurent Ferrara, Banque de France

17:05

Short-term forecasting of business cycle turning points: a mixed-frequency Markov-switching dynamic factor analysis Presentation Discussion

Matías Pacce*, BBVA Research
with Siem Jan Koopman, Vrije Universiteit Amsterdam

Discussant: Jonas Dovern, Universität Heidelberg

19:00

Dinner

9:00

Registration and coffee

9:30

Part 3

Chair: Barbara Rossi, Universitat Pompeu Fabra

Keynote speech Large vector autoregressions with stochastic volatility and flexible priors Presentation

Todd Clark*, Federal Reserve Bank of Cleveland
with Andrea Carriero, Queen Mary University of London; Massimiliano Marcellino, Università Bocconi

10:15

Forecaster's dilemma: extreme events and forecast evaluation Presentation Discussion

Sebastian Lerch*, Karlsruher Institut für Technologie
with Tilmann Gneiting, Karlsruher Institut für Technologie; Francesco Ravazzolo, Freie Universität Bozen; Thordis Thorarinsdottir, Norsk Regnesentral

Discussant: Anthony Garratt, University of Warwick

11:00

Coffee break

11:20

Approximating fixed-horizon forecasts using fixed-event forecasts Presentation Discussion

Malte Knüppel*, Deutsche Bundesbank
with Andreea Vladu, Deutsche Bundesbank

Discussant: Simon Price, University of Essex

12:05

Lunch

13:30

Part 4

Chair: Geoff Kenny, European Central Bank

Keynote speech Components of inflation, inflation forecasting, and the Phillips relation

Presentation

James Stock*, Harvard University

14:15

The dynamics of expected returns: evidence from multi-scale time series modelling Presentation Discussion

Daniele Bianchi*, University of Warwick
with Andrea Tamoni, London School of Economics

Discussant: Anne Opschoor, Vrije Universiteit Amsterdam

15:00

Coffee break

15:20

Understanding the sources of macroeconomic uncertainty Presentation Discussion

Tatevik Sekhposyan*, Texas A&M University
with Barbara Rossi and Matthieu Soupre, Universitat Pompeu Fabra

Discussant: Michel van der Wel, Erasmus Universiteit Rotterdam

16:05

The joint dynamics of the US and euro area inflation: expectations and time-varying uncertainty Presentation Discussion

Olesya Grishchenko*, Board of Governors of the Federal Reserve System
with Sarah Mouabbi, Banque de France; Jean-Paul Renne, Université de Lausanne

Discussant: Oreste Tristani, European Central Bank

16:50

Concluding remarks

Geoff Kenny, European Central Bank

End of workshop