Monday, 28 September 2015 |
8.30 – 9.00 | Registration, welcome coffee |
9.00 – 9.10 | Opening remarks |
9.10 – 10.30 | Keynote Lecture 1 A new model of inflation, trend inflation, and long-run inflation expectations (PDF) Todd Clark, Federal Reserve Bank of Cleveland Co-authors: Joshua C.C. Chan, Australian National University Gary Koop, University of Strathclyde |
10.30 – 11.10 | Output gap and inflation forecasts in a Bayesian dynamic factor model of the euro area Marek Jarociński, European Central Bank Co-author: Michele Lenza, European Central Bank, Universite Libre de Bruxelles, ECARES |
11.10 – 11.40 | Coffee break |
11.40 – 13.00 | Keynote Lecture 2 *Dynamic time series models and heavy-tailed distributions *[Slides] (PDF) Andrew Harvey, University of Cambridge |
13.00 – 13.50 | Lunch |
13.50 – 14.40 | Poster session |
14.40 – 16.00 | Keynote Lecture 3 Forecasting with large time-varying parameters VARs Gianni Amisano, Federal Reserve Board Co-authors: Domenico Giannone, Federal Reserve Bank of New York Michele Lenza, European Central Bank, Universite Libre de Bruxelles, ECARES |
16.00 – 16.30 | Coffee break |
16.30 – 18.00 | Forecasting in a DSGE model with banking intermediation: evidence from the US Alessia Paccagnini, University College Dublin Co-authors: Roberta Cardani, University of Milano-Bicocca Stefania Villa, University of Foggia Time-varying mixed-frequency vector autoregressive models (PDF) Thomas Götz, Deutsche Bundesbank Co-author: Klemens Hauzenberger, Deutsche Bundesbank Forecasting inflation using Bayesian DCS models based on asymmetric distributions Błażej Mazur, Narodowy Bank Polski, Cracow University of Economics |
Tuesday, 29 September 2015 |
8:30 – 9:00 | Welcome coffee |
9.00 – 11.10 | Combining nowcasts for Canadian GDP growth Rodrigo Sekkel, Bank of Canada Co-author: Tony Chernis, Bank of Canada Bayesian path forecasting and evaluation: an assessment of the probability of deflation in the euro area Inske Pirschel, Deutsche Bundesbank Co-author: Christian Schumacher, Deutsche Bundesbank Bayesian nonparametric vector autoregressive models (PDF) Maria Kalli, Canterbury Christ Church University Co-author: Jim Griffin, University of Kent |
11.10 – 11.40 | Coffee break |
11.40 – 13.00 | Keynote Lecture 4 Dynamic sparsity modelling Mike West, Duke University Co-author: Jouchi Nakajima, Bank of Japan |
13.00 – 14.00 | Lunch |
14.00 – 16.00 | The role of structural breaks in forecasting trends and output gaps in real GDP of the G-7 countries (PDF) Jan P.A.M. Jacobs, University of Groningen, University of Tasmania, CAMA and CIRANO Co-authors: Mardi Dungey, University of Tasmania, CFAP and CAMA Jing Tian, University of Tasmania Conditional term structure of inflation forecast uncertainty: the copula approach (PDF) Svetlana Makarova, University College London Co-authors: Wojciech Charemza, University of Leicester Carlos Díaz, University of Leicester The pairwise approach to model and forecast a large set of disaggregates with common trends (PDF) Antoni Espasa, Universidad Carlos III de Madrid Co-author: Guillermo Carlomagno, Universidad Carlos III de Madrid Neural networks in forecasting inflation. A magician’s trick? Karol Szafranek, Narodowy Bank Polski |
16.00 – 16.30 | Coffee break |
16.30 – 17.00 | Assessing the economic value of probabilistic forecasts in the presence of an inflation target Craig Thamotheram, University of Cardiff Co-authors: Christopher McDonald, RBNZ Shaun P. Vahey, University of Warwick Elizabeth C. Wakerly, University of Warwick |
17.00 – 18.00 | Panel discussion Todd Clark, Andrew Harvey, Mike West |
18.00 | Closing remarks |
Poster session (Monday, 28 September 2015) |
13.50 – 14.40 | Forecasting with ProFor: A practical demonstration Craig Thamotheram, University of Cardiff Unemployment rates forecasts – unobserved component models versus SARIMA models Barbara Będowska-Sójka, Poznań University of Economics A data-cleaning augmented Kalman filter for robust estimation of state space models Martyna Marczak, University of Hohenheim Co-authors: Tommaso Proietti, Universitá di Roma "Tor Vergata" and CREATES Stefano Grassi, University of Kent Portfolio optimisation under Asymmetric Laplace Dynamic Hidden Markov models Mauro Bernardi, University of Padova Co-author: Leopoldo Catania, Universitá di Roma "Tor Vergata" Switching-GAS copula models for systemic risk assessment Leopoldo Catania, Universitá di Roma "Tor Vergata" Co-author: Mauro Bernardi, University of Padova Forecasting Polish inflation using exponential smoothing models with periodic variance: Does it work? Łukasz Lenart, Narodowy Bank Polski 22 years of forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis Antoni Espasa, Universidad Carlos III de Madrid |