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 PDFFriday, 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 VARsPresentation
Gary Koop*, University of Strathclyde
with Dimitris Korobilis, University of Glasgow - 9:55
-
Large time-varying parameter VARs: a nonparametric approachPresentationDiscussion
Fabrizio Venditti*, Banca d'Italia
with George Kapetanios, Queen Mary University of London; Massimiliano Marcellino, Università BocconiDiscussant: Francesco Ravazzolo, Freie Universität Bozen
- 10:40
- Coffee break
- 11:00
-
Priors for the long runPresentationDiscussion
Giorgio Primiceri*, Northwestern University
with Domenico Giannone, Federal Reserve Bank of New York; Michele Lenza, European Central BankDiscussant: Gianni Amisano, Board of Governors of the Federal Reserve System
- 11:45
-
Bayesian compressed vector autoregressions PresentationDiscussion
Dimitris Korobilis*, University of Glasgow
with Gary Koop, University of Strathclyde; Davide Pettenuzzo, Brandeis UniversityDiscussant: Sylvia Kaufmann, Studienzentrum Gerzensee
- 12:30
-
Lunch and poster session
Poster Session
Poster 1: Order invariant evaluation of multivariate density forecastsPresentation
Jonas Dovern*, Universität Heidelberg
with Hans Manner, Universität zu KölnPoster 2: Subjective interest rate uncertainty and the macroeconomy: an international panel approachPresentation
Klodiana Istrefi*, Banque de France
with Sarah Mouabbi, Banque de FrancePoster 3: Fractionally integrated multivariate models for fat-tailed realised covariance kernels and returnsPresentation
Anne Opschoor*, Vrije Universiteit Amsterdam
with Andre Lucas, Vrije Universiteit AmsterdamPoster 4: A new approach to multi-step forecasting using dynamic stochastic general equilibrium modelsPresentation
Simon Price*, Essex Business School
with George Kapetanios, Queen Mary University of London; Konstantinos Theodoridis, Bank of EnglandPoster 5: A new monthly indicator of global real economic activityPresentation
Francesco Ravazzolo*, Freie Universität Bozen
with Joaquin Vespignani, University of TasmaniaPoster 6: What do professional forecasters actually predict?Presentation
Michel van der Wel*, Erasmus Universiteit Rotterdam
with Didier Nibbering and Richard Paap, Erasmus Universiteit RotterdamPoster 7: Large time varying parameter VAR models for macroeconomic forecastingPresentation
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
PresentationMark 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 volatilityPresentationDiscussion
Elmar Mertens*, Board of Governors of the Federal Reserve System
with James Nason, North Carolina State UniversityDiscussant: 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 LondonDiscussant: Laurent Ferrara, Banque de France
- 17:05
-
Short-term forecasting of business cycle turning points: a mixed-frequency Markov-switching dynamic factor analysisPresentationDiscussion
Matías Pacce*, BBVA Research
with Siem Jan Koopman, Vrije Universiteit AmsterdamDiscussant: 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 priorsPresentation
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 evaluationPresentationDiscussion
Sebastian Lerch*, Karlsruher Institut für Technologie
with Tilmann Gneiting, Karlsruher Institut für Technologie; Francesco Ravazzolo, Freie Universität Bozen; Thordis Thorarinsdottir, Norsk RegnesentralDiscussant: Anthony Garratt, University of Warwick
- 11:00
- Coffee break
- 11:20
-
Approximating fixed-horizon forecasts using fixed-event forecastsPresentationDiscussion
Malte Knüppel*, Deutsche Bundesbank
with Andreea Vladu, Deutsche BundesbankDiscussant: 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
PresentationJames Stock*, Harvard University
- 14:15
-
The dynamics of expected returns: evidence from multi-scale time series modellingPresentationDiscussion
Daniele Bianchi*, University of Warwick
with Andrea Tamoni, London School of EconomicsDiscussant: Anne Opschoor, Vrije Universiteit Amsterdam
- 15:00
- Coffee break
- 15:20
-
Understanding the sources of macroeconomic uncertaintyPresentationDiscussion
Tatevik Sekhposyan*, Texas A&M University
with Barbara Rossi and Matthieu Soupre, Universitat Pompeu FabraDiscussant: Michel van der Wel, Erasmus Universiteit Rotterdam
- 16:05
-
The joint dynamics of the US and euro area inflation: expectations and time-varying uncertaintyPresentationDiscussion
Olesya Grishchenko*, Board of Governors of the Federal Reserve System
with Sarah Mouabbi, Banque de France; Jean-Paul Renne, Université de LausanneDiscussant: Oreste Tristani, European Central Bank
- 16:50
-
Concluding remarks
Geoff Kenny, European Central Bank
- End of workshop