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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC. 

SUMMER INSTITUTE 2012

Forecasting & Empirical Methods in Macroeconomics & Finance Workshop

Mark Watson and Kenneth West, Organizers

July 10 - 13, 2012

Royal Sonesta Hotel 

Charles A

40 Edwin H. Land Boulevard 

Cambridge, Massachusetts

PROGRAM

Tuesday, July 10:
8:00 am	Coffee and Pastries
8:30 am	Chang-Jin Kim, University of Washington Yunjong Eo, University of Sydney
	Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?
9:30 am	Break
9:45 am	Elmar Mertens, Federal Reserve Board
	Measuring the Level and Uncertainty of Trend Inflation
10:45 am	Break
11:00 am	Ulrich Mueller, Princeton University Mark Watson, Princeton University and NBER
	Measuring Uncertainty about Long-Run Predictions
12:00 n	Lunch and Adjourn
Wednesday, July 11:
8:00 am	Coffee and Pastries
8:30 am	Kristoffer Nimark, CREI Francisco Barillas, New York University
	Speculation, Expectations and Risk Premia: An Affine Gaussian Framework
9:30 am	Break
9:45 am	Torben G. Andersen, Northwestern University and NBER Nicola Fusari and Viktor Todorov, Northwestern University
	Parametric Inference and Dynamic State Recovery from Option Panels
10:45 am	Break
11:00 am	Frank Kleibergen, Brown University
	Reality Checks for and of Factor Pricing
12:00 n	Lunch and Adjourn
6:00 pm	Clambake, Harvard Faculty Club, 20 Quincy Street, Cambridge, MA
Thursday, July 12:
8:00 am	Coffee and Pastries
8:30 am	Dobrislav Dobrev, Federal Reserve Board
	Ernst Schaumburg, Federal Reserve Bank of New York
	Robust Forecasting by Regularization
9:30 am	Break
9:45 am	Marco Del Negro, Federal Reserve Bank of New York Frank Schorfheide, University of Pennsylvania and NBER
	DSGE-Model Based Forecasting
10:45 am	Break
11:00 am	David M. Rothschild, Yahoo! Research Justin Wolfers, University of Pennsylvania and NBER
	Forecasting Elections: Voter Intentions versus Expectations
12:00 n	Lunch and Adjourn
Friday, July 13:
8:00 am	Coffee and Pastries
8:30 am	Andrea Carriero, Queen Mary, University of London Todd Clark, Federal Reserve Bank of Cleveland Massimiliano Marcellino, European University Institute and NBER
	Common Drifting Volatility in Large Bayesian VARs
9:30 am	Break
9:45 am	Dong Hwan Oh, Duke University
	Andrew Patton, Duke University
	Modelling Dependence in High Dimensions with Factor Copulas
10:45 am	Break
11:00 am	Yuriy Kitsul, Federal Reserve Board Jonathan H. Wright, Johns Hopkins University and NBER
	The Economics of Options-Implied Infl‡ation Probability Density Functions
12:00 n	Lunch and Adjourn