Research & Conferences

NBP Workshop on Forecasting

Warsaw, 28–29 September 2015

Programme

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

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

Contact:
Mr Błażej Mazur
Tel.: +48 22 181 22 87
e-mail: forecasting@nbp.pl, blazej.mazur@nbp.pl

Kontakt

Centrala NBP
ul. Świętokrzyska 11/21
00-919 Warszawa

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