Narodowy Bank Polski

Warsaw, 17-18 December 2014

Identification in Macroeconomics
Workshop organized and hosted by Narodowy Bank Polski


Wednesday, 17 December 2014
8:30 – 9:00 Registration of participants and welcome coffee

09.00 – 09.10 Welcome address: Marek Belka, President, Narodowy Bank Polski

09.10 – 10.10 Keynote speaker: Tao Zha (Federal Reserve Bank of Atlanta, Emory University, and NBER), “Identification Issues in Econometrics”

10.10 – 10.30 Coffee break

10.30 – 11.40 Sign restrictions: Theory
Session chair: Daniel F. Waggoner

10.30 – 11.05 Toru Kitagawa (University College London), “Inference about Non-Identified SVARs”, joint work with Raffaella Giacomini (University College London)

11.05 – 11.40 Eleonora Granziera (Bank of Canada), “Inference for VARs Identified with Sign Restrictions”, joint work with Hyungsik Roger Moon (University of Southern California) and Frank Schorfheide (University of Pennsylvania, CEPR, and NBER)

11.40 – 12.00 Coffee break

12.00 – 13.00 Session chair: Tao Zha
Keynote speaker: Daniel F. Waggoner (Federal Reserve Bank of Atlanta), “Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications”, joint work with Jonas E. Arias (Federal Reserve Board) and Juan F. Rubio–Ramírez (Duke University and Federal Reserve Bank of Atlanta)

13.00 – 14.00 Lunch

14.00 – 15.10 Identification: General
Session chair: Toru Kitagawa

14.00 – 14.35 Peter A. Zadrozny  (Bureau of Labor Statistics), “Extended Yule–Walker Identification of VARMA Models with Single- or Mixed-Frequency Data”

14.35 – 15.10 Andrzej Kocięcki (Narodowy Bank Polski), “Bayesian Approach and Identification”

15.10 – 15.30 Coffee break

15.30 – 16.40 Identification through heteroskedasticity
Session chair: Eleonora Granziera

15.30 – 16.05 Tomasz Woźniak (The University of Melbourne), “Bayesian Inference for Heteroskedastic Structural Vector Autoregressions”, joint work with Helmut Lütkepohl (DIW Berlin and Freie Universität Berlin) and Matthieu Droumaguet (Goldman Sachs)

16.05 – 16.40 Emanuele Bacchiocchi  (University of Milan), “Identification in Structural Vector Autoregressive Models with Structural Changes, with an Application to U.S. Monetary Policy”, joint work with Luca Fanelli (University of Bologna)

Thursday, 18 December 2014
8:30 – 9:00 Welcome coffee

09.00 – 10.35 Session chair: Ivana Komunjer

09.00 – 10.00 Keynote speaker: Fabio Canova (European University Institute, and CEPR), “Approximating Time Varying Structural Models with Time Invariant Structures”, joint work with Filippo Ferroni (Banque de France) and Christian Matthes (Federal Reserve Bank of Richmond)

10.00 – 10.35 Vo Phuong Mai Le (Cardiff University), “A Monte Carlo Procedure for Checking Identification in DSGE Models”, joint work with Patrick Minford (Cardiff University and CEPR) and Michael Wickens (Cardiff University, University of York, and CEPR)

10.35 – 11.00 Coffee break

11.00 – 12.45 Global identification in DSGE models
Session chair: Fabio Canova

11.00 – 11.35 Denis Tkachenko (National University of Singapore), “Local and Global Parameter Identification in DSGE Models Allowing for Indeterminacy”, joint work with Zhongjun Qu (Boston University)

11.35 – 12.10 Marcin Kolasa (Narodowy Bank Polski and Warsaw School of Economics), “Global Identification of Linearized DSGE Models”, joint work with Andrzej Kocięcki (Narodowy Bank Polski)

12.10 – 12.45 Stephen D. Morris (Bowdoin College), “Maximum Likelihood Estimation of Globally Unidentified DSGE Models Using a Priori Information”

12.45 – 13.45 Lunch

13.45 – 14.45 Session chair: Stephen D. Morris
Keynote speaker: Ivana Komunjer (University of California, San Diego), “Testing the Validity of DSGE Models” , joint work with Yinchu Zhu (University of California, San Diego)

14.45 – 15.00 Coffee break

15.00 – 16.45 Sign restrictions: Applications
Session chair: Andrzej Kocięcki

15.00 – 15.35 Konstantinos Theodoridis (Bank of England), “What Do VARs Tell Us About the Impact of a Credit Supply Shock? An Empirical Analysis”, joint work with Haroon Mumtaz (Queen Mary College) and Gabor Pinter (Bank of England)

15.35 – 16.10 Francesco Furlanetto (Norges Bank), “Identification of Financial Factors in Economic Fluctuations”, joint work with Francesco Ravazzolo (Norges Bank and BI Norwegian Business School) and Samad Sarferaz (ETH Zürich)

16.10 – 16.45 Tomasz Wieladek (Bank of England), “What Are the Macroeconomic Effects of Asset Purchases?”, joint work with Martin Weale (Bank of England)

16.45 – 16.55 Closing remarks: Andrzej Sławiński , Director General, Economic Institute, Narodowy Bank Polski

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

Contact person:
Ms Anna Czechowicz
International Conferences Division
International Department
Narodowy Bank Polski
phone: +48 22 185 13 68
mobile: +48 605 162 645

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Narodowy Bank Polski
Świętokrzyska 11/21
00-919 Warszawa

+48 22 185 10 00
NIP: 525-000-81-98
REGON: 000002223
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