Monday, 28 September 2015
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| 8.30 – 9.00 | Registration, welcome coffee
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| 9.00 – 9.10 | Opening remarks
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| 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
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| 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
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| 11.10 – 11.40 | Coffee break
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| 11.40 – 13.00 | Keynote Lecture 2
*Dynamic time series models and heavy-tailed distributions
*[Slides] (PDF)
Andrew Harvey, University of Cambridge
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| 13.00 – 13.50 | Lunch
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| 13.50 – 14.40 | Poster session
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| 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
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| 16.00 – 16.30 | Coffee break
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| 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
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Tuesday, 29 September 2015
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| 8:30 – 9:00 | Welcome coffee
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| 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
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| 11.10 – 11.40 | Coffee break
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| 11.40 – 13.00 | Keynote Lecture 4
Dynamic sparsity modelling
Mike West, Duke University
Co-author: Jouchi Nakajima, Bank of Japan
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| 13.00 – 14.00 | Lunch
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| 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
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| 16.00 – 16.30 | Coffee break
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| 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
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| 17.00 – 18.00 | Panel discussion
Todd Clark, Andrew Harvey, Mike West
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| 18.00 | Closing remarks |
Poster session (Monday, 28 September 2015)
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| 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
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