Narodowy Bank Polski

Workshop

Short Term Forecasting

Warsaw, 13-14 November 2014 - Short Term Forecasting Workshop

Program

Thursday, 13 November 2014
8:30 – 9:00 Registration, welcome coffee

9:00 – 9:30 Opening remarks

9.30 – 11.00 Invited Session 1, Chair: Jacek Kotłowski
Generalised density forecast combinations  [Slides]
Invited speaker: Simon Price, Bank of England, City University London
Co-authors: Nicholas Fawcett, Bank of England
George Kapetanios, Queen Mary, University of London
James Mitchell, Warwick Business School

Optimal portfolio choice under decision-based model combinations  [Slides]
Invited speaker: Francesco Ravazzolo, Norges Bank, BI Norwegian Business School
Co-author: Davide Pettenuzzo, Brandeis University

11.00 – 11.30 Coffee break

11.30 – 12.40 Keynote Lecture 1, Chair: Simon Price
Combined density nowcasting in an uncertain economic environment
Keynote speaker: Herman K. van Dijk, Erasmus University Rotterdam and VU University Amsterdam
Co-authors: Knut Are Aastveit, Norges Bank
Francesco Ravazzolo, Norges Bank, BI Norwegian Business School

12.40 – 13.30 Lunch

13.30 – 14.15 Poster Session

14.15 – 15.45 Contributed Session 1, Chair: Herman K. van Dijk
Density forecasts with MIDAS models
Knut Are Aastveit, Norges Bank
Co-authors: Claudia Foroni, Norges Bank
Francesco Ravazzolo, Norges Bank, BI Norwegian Business School

Combining distributions of real-time forecasts: an application to U.S. growth
Thomas B. Gotz, Deutsche Bundesbank
Co-authors: Alain Hecq, Maastricht University
Jean-Pierre Urbain, Maastricht University

EuroMInd-D: a density estimate of monthly gross domestic product for the euro area  [Slides]
Tommaso Proietti, Universitá di Roma “Tor Vergata”, CREATES
Co-authors: Martyna Marczak, University of Hohenheim Gianluigi Mazzi, Eurostat

15.45 – 16.15 Coffee break

16.15 – 17.15 Contributed Session 2, Chair: Shaun Vahey
Ex-post inflation forecast uncertainty and skew normal distribution: ‘Back from the future’ approach  [Slides]
Svetlana Makarova, University College London
Co-authors: Wojciech Charemza, University of Leicester
Carlos Díaz, University of Leicester

Outperforming IMF forecasts by the use of Leading Indicators
Katja Drechsel, Halle Institute for Economic Research
Co-authors: Sebastian Gieseny, Deutsche Bundesbank
Axel Lindnerz, Halle Institute for Economic Research
Friday, 14 November 2014
8:30 – 9:00 Welcome coffee

9:00 – 10:50

Invited Session 2, Chair: Francesco Ravazzolo
Granger-causal-priority and choice of variables in Vector Autoregressions
Invited speaker: Marek Jarociński, European Central Bank
Co-author: Bartosz Maćkowiak, European Central Bank, Centre for Economic Policy Research
Informative regime switching: Estimation and forecasting
Invited speaker: Sylvia Kaufmann, Study Center Gerzensee

10:50 – 11:10 Coffee Break

11:10 – 12:10 Contributed Session 3, Chair: Marek Jarocinski
Modelling infl ation volatility
Eric Eisenstat, University of Bucharest, RIMIR
Co-author: Rodney W. Strachan, University of Queensland

Synchronization of cycles in a data-rich environment
Cem Çakmaklı, University of Amsterdam, Koç University
Co-author: Richard Paap, Econometric Institute, Erasmus University Rotterdam

12:10 – 13:10 Lunch

13:10 – 14:40 Contributed Session 4, Chair: Sylvia Kaufmann
Bayesian forecasting using reduced rank VARs
Sune Karlsson, Örebro University
Co-author: Shutong Ding, Örebro University

Density forecasting using Bayesian Global Vector Autoregressions with common stochastic volatility
Florian Huber, Österreichische Nationalbank, Vienna University of Economics and Business

Analysing and forecasting price dynamics across euro area countries and sectors: A panel VAR approach
Jochen Guntner, Johannes Kepler University Linz
Co-author: Stéphane Dées, European Central Bank
14:40 – 15:00 Coffee Break

15:00 – 16:00 Contributed Session 5, Chair: Sune Karlsson
Forecasting with Bayesian Vector Autoregressions estimated using Professional Forecasts
Christoph Frey, University of Konstanz
Co-author: Frieder Mokinski, ZEW

Business tendency surveys and macroeconomic fluctuations
Daniel Kaufmann, ETH Zürich
Co-author: Rolf Scheufele, Swiss National Bank

16:00 – 17:00 Invited Session 3, Chair: Błazej Mazur
An Introduction to the PRObability FORcasting (PROFOR) Toolbox for MATLAB  [Slides]
Invited speaker: Shaun Vahey, Warwick University
Co-authors: Craig Thamotheram, Warwick University
Leif Anders Thorsrud, BI Norwegian Business School
17:00 Closing remarks

Workshop venue:
Narodowy Bank Polski
11/21 Swietokrzyska Street, Warsaw
Grabski Hall

Contact:
Mr Błazej Mazur
Tel.: +48 22 181 22 87
e-mail: forecasting@nbp.pl

NBP interest rates

Reference rate 1.50
Lombard rate 2.50
Deposit rate 0.50
Rediscount rate 1.75

Exchange rates

Table of 2019-10-21
1 EUR4.2775
1 USD3.8307
1 CHF3.8899
1 GBP4.9709
100 JPY3.5265

Economic outlook

Monthly data

Quarterly data

Financial markets

Numismatics

Contact

Narodowy Bank Polski
Świętokrzyska 11/21
00-919 Warszawa
Poland

tel.:
+48 22 185 10 00
e-mail: listy@nbp.pl
NIP: 525-000-81-98
REGON: 000002223
SWIFT: NBPL PLPW
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