Authors, please upload your paper here.

 

NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

SUMMER INSTITUTE 2014

 

Forecasting & Empirical Methods

 

Jonathan Wright and Allan Timmermann, Organizers

 

July 8-11, 2014

 

Longfellow Room

Royal Sonesta Hotel

40 Edwin H. Land Boulevard

Cambridge, Massachusetts

PROGRAM

 Tuesday, July 8:

8:00 am

Coffee and Pastries



8:30 am

Econometrics and Forecasting

Ulrich Mueller, Princeton University
Yulong Wang, Princeton University
Inference about Extreme Quantiles and Conditional Tail Expectations


9:15 am


Anurag Banerjee, Durham University, UK
Guillaume Chevillon, ESSEC Business School
Marie Kratz, ESSEC Business School
Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model

10:00 am

Break

10:30 am

Barbara Rossi, Universitat Pompeu Fabra
Tatevik Sekhposyan, Texas A&M University
Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts

11:15 am

Gray Calhoun, Iowa State University
Improved Stepdown Methods for Asymptotic Control of Generalized Error Rates

12:00 pm

Lunch and Adjourn

Wednesday, July 9:

8:00 am

Coffee and Pastries



8:30 am

Macro-Finance

Marco Del Negro, Federal Reserve Bank of New York
Frank Schorfheide, University of Pennsylvania and NBER
Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance

9:15 am

Philippe Andrade, Banque de France
Richard Crump, Federal Reserve Bank of New York
Stefano Eusepi, Federal Reserve Bank of New York
Emanuel Moench, Federal Reserve Bank of New York
Fundamental Disagreement

10:00 am

Break


10:30 am


Gill Segal, University of Pennsylvania
Ivan Shaliastovich, University of Pennsylvania
Amir Yaron, University of Pennsylvania and NBER
Good and Bad Uncertainty: Macroeconomic and Financial Market Implications


11:15 am


Eric Ghysels, University of North Carolina
Anh Le, University of North Carolina
Sunjin Park, University of North Carolina
Haoxiang Zhu, Massachusetts Institute of Technology
Risk and Return Trade-off in the U.S. Treasury Market

12:00 pm

Lunch and Adjourn

6:00 pm

Clambake, Royal Sonesta Hotel

Thursday, July 10:

8:00 am

Coffee and Pastries



8:30 am

VARs and Panel Data Models

Todd Clark, Federal Reserve Bank of Cleveland
Michael McCracken, Federal Reserve Bank of Saint Louis
Evaluating Conditional Forecasts from Vector Autoregressions


9:15 am


Tomohiro Ando, Keio University
Jushan Bai, Columbia University
Panel Data Models with Grouped Factor Structure under Unknown Group Membership

10:00 am

Break


10:30 am


James Hamilton, University of California at San Diego and NBER
Christiane Baumeister, Bank of Canada
Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information


11:15 am


Jonas Arias, Federal Reserve Board
Juan Rubio-Ramírez, Duke University
Daniel F. Waggoner, Federal Reserve Bank of Atlanta
Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications

12:00 pm

Lunch and Adjourn

Friday, July 11:

8:00 am

Coffee and Pastries



8:30 am

Options Markets and Risk Premia

Geert Bekaert, Columbia University and NBER
Eric Engstrom, Federal Reserve Board
Andrey Ermolov, Columbia University
Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model


9:15 am


Zhaogang Song, Federal Reserve Board
George Gao, Cornell University
Rare Disaster Concerns Everywhere

10:00 am

Break


10:30 am


Torben Andersen, Northwestern University and NBER
Nicola Fusari, Northwestern University
Viktor Todorov, Northwestern University
The Risk Premia Embedded in Index Options

11:15 am

Aytek Malkhozov, McGill University
Laurent Barras, McGill University
Variance Risk Premium Dynamics in Equity and Option Markets

12:00 pm

Lunch and Adjourn