Navigation Path: Home > Events > Conferences & seminars > Forecast Uncertainty in Macroeconomics and Finance
| 09:00 | Welcome address Lucrezia Reichlin (European Central Bank) |
| Session 1: Instability and Many Predictors Chair: Lucrezia Reichlin (European Central Bank) |
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| 09:15 – 10:15 |
Forecasting in Dynamic Factor Models Subject to Structural Instability en James Stock( * ) (Harvard University) and Mark Watson (Princeton University) Discussant: Paolo Giordani (Sveriges Riksbank) en |
| 10:15 – 11:15 | Criteria-Based Shrinkage for Forecasting en Peter Reinhard Hansen (Stanford University) Discussant: Serena Ng (Columbia University) en |
| 11:15 – 11:30 | Coffee Break |
| Session 2: Model Selection and Forecast Evaluation Chair: Jérôme Henry (European Central Bank) |
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| 11:30 - 12:30 | Model Selection and Forecast Comparison in Unstable Environments en Raffaella Giacomini (UCL) and Barbara Rossi( * ) (Duke University) Discussant: Ken Wallis (University of Warwick) en |
| 12:30 - 13:30 | Forecast Evaluation of Small Nested Model Sets en Kirstin Hubrich (European Central Bank) and Kenneth West( * ) (University of Wisconsin) Discussant: Raffaella Giacomini (UCL) en |
| 13:30 - 15:00 | Lunch |
| Session 3: Estimation Window and Forecast Path Uncertainty Chair: Robert Anderton (European Central Bank) |
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| 15:00 – 16:00 | Forecasting Economic and Financial Variables with Global VARs 4.32 MB en Hashem Pesaran( * ) (Cambridge University), Til Schuermann (Federal Reserve Bank of New York) and Vanessa Smith (Cambridge University) Discussant: Domenico Giannone (European Central Bank) en |
| 16:00 - 16:15 | Coffee Break |
| 16:15 – 17:15 | Path Forecast Evaluation en Massimiliano Marcellino( * ) (Bocconi University) and Oscar Jorda (U.C. Davis) Discussant: Filippo Altissimo (Brevan Howard Asset Management LLP) |
| 17:15 – 18:15 | Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts en Andrew J. Patton( * ) (University of Oxford) and Allan Timmermann (UCSD) Discussant: Shaun Vahey (Norges Bank) en |
| Session 4: Exogenous Information and Forecasting Chair: Matteo Ciccarelli (European Central Bank) |
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| 09:00 – 10:00 | Bayesian Forecasting en Andrzej Kociecki (National Bank of Poland) Discussant: Marek Jarocinski (European Central Bank) en |
| 10:00 – 11:00 | Forecasting with Judgment en Simone Manganelli (European Central Bank) Discussant: Timo Teräsvirta (University of Aarhus, Dk) en |
| 11:00 - 11:15 | Coffee Break |
| 11:15 – 12:15 | What Do We Learn from the Price of Crude Oil Futures? en Ron Alquist (University of Michigan) and Lutz Kilian( * ) (University of Michigan) Discussant: Ana Maria Herrera (Michigan State University) en |
| 12:15 - 13:30 | Lunch |
| Session 5: Real Time Information and Forecasting Chair: Günter Coenen (European Central Bank) |
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| 13:30 - 14:30 | Tests of Equal Predictive Ability with Real-Time Data en Todd E. Clark (Federal Reserve Bank of Kansas City) and Michael W. McCracken( * ) (Federal Reserve Board) Discussant: Juri Marcucci (Bank of Italy) en |
| 14:30 - 15:30 | Forecasting the Euro Area GDP in Real Time en Maximo Camacho (Murcia University) and Gabriel Perez-Quiros( * ) (Bank of Spain) Discussant: Simon van Norden (HEC Montréal) en |
| 15:30 - 15:45 | Coffee Break |
| 15:45 – 16:45 | Real-Time Measurement of Business Conditions en S. Boragan Aruoba (University of Maryland), Francis X. Diebold( * ) (University of Pennsylvania) and Chiara Scotti (Federal Reserve Board) Discussant: Simon Potter (Federal Reserve Bank of New York) en |
Organisers: Elena Angelini, Matteo Ciccarelli, Kirstin Hubrich and Julian Morgan (Econometric Modelling Division, European Central Bank)
