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Friday, 4 May 2012
| 9 a.m. - 9.10 a.m. | Welcome Philipp Hartmann (European Central Bank) |
| 9.10 a.m. - 10 a.m. | Session I Chair: Philipp Hartmann (European Central Bank) Invited speaker: The measurement and characteristics of professional forecasters’ uncertainty Kenneth Wallis (Warwick University), joint with Gianna Boero and Jeremy Smith paper Discussant: Kajal Lahiri (University at Albany, State University of New York) |
| 10 a.m. - 10.50 a.m. | Robust forecasting with many predictors Ernst Schaumburg (Federal Reserve Bank of New York), joint with Dobrislav Dobrev paper [1.76 MB] Discussant: Domenico Giannone (Université Libre de Bruxelles) |
| 10.50 a.m. - 11.10 a.m. | Coffee break |
| 11.10 a.m. - 12 noon | Nonlinear forecasting with many predictors using kernel ridge regression Peter Exterkate (Aarhus Universitet), joint with Patrick J.F. Groenen, Christiaan Heij and Dick van Dijk paper Discussant: Francesco Ravazzolo (Norges Bank) |
| 12 noon - 12.50 p.m. | Stock market liquidity and bond risk premia
Kees Bouwman (Erasmus Universiteit, Rotterdam), joint with Elvira Sojli and Wing Wah Tham paper [1.19 MB] Discussant: Wolfgang Lemke (European Central Bank) |
| 12.50 p.m. - 2 p.m. | Lunch |
| 2 p.m. - 2.50 p.m. | Session II Chair: Diego Rodriguez Palenzuela (European Central Bank) Invited speaker: Dynamic models for volatility and heavy tails Andrew Harvey (Cambridge University) paper Discussant: Gabriele Fiorentini (Università di Firenze) |
| 2.50 p.m. - 3.40 p.m. | Optimal forecasts in the presence of structural breaks Andreas Pick (Erasmus Universiteit, Rotterdam), joint with Hashem Pesaran and Mikhail Pranovich paper Discussant: Don Harding (La Trobe University) |
| 3.40 p.m. - 4 p.m. | Coffee break |
| 4 p.m. - 4.50 p.m. | Common Drifting Volatility in Large Bayesian VARs Todd Clark (Federal Reserve Bank of Cleveland), joint with Andrea Carriero and Massimiliano Marcellino paper [1.13 MB] |
| 4.50 p.m. - 5.40 p.m. | Forecasting UK GDP and inflation under structural change: a comparison of models with time-varying parameters Alina Barnett (Bank of England), joint with Konstantinos Theodoridis and Haroon Mumtaz paper [1.04 MB] Discussant: Laurent Ferrara (Banque de France) |
Saturday, 5 May 2012
| 9.30 a.m. - 10.20 a.m. | Session III Chair: Geoff Kenny (European Central Bank) Invited speaker: Prediction using several macroeconomic models John Geweke (University of Technology, Sydney & Erasmus Universiteit, Rotterdam), joint with Gianni Amisano paper Discussant: James Mitchell (University of Leicester) |
| 10.20 a.m. - 11.10 a.m. | Putting the New Keynesian DSGE model to the real-time forecasting test Michal Rubaszek (Warsaw School of Economics and Narodowy Bank Polski), joint with Marcin Kolasa and Pawel Skrzypczynski paper Discussant: Kai Christoffel (European Central Bank) |
| 11.10 a.m. - 11.30 a.m. | Coffee break |
| 11.30 a.m. - 12.20 p.m. | Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility Massimiliano Marcellino (European University Institute), joint with Mario Porqueddu and Fabrizio Venditti paper Discussant: Michele Modugno (Université Libre de Bruxelles) |
| 12.20 p.m. - 1.30 p.m. | Lunch |
| 1.30 p.m. - 2.20 p.m. | Session IV Chair: Günter Coenen (European Central Bank) Invited speaker: The analysis of the forecasting performance of parametric non-linear models Graham Elliot (University of California, San Diego) paper Discussant: Carlo Favero (Università Bocconi, Milano) |
| 2.20 p.m. - 3.10 p.m. | A new model of trend inflation Simon Potter (Federal Reserve Bank of New York), joint with Joshua C.C. Chan and Gary Koop paper Discussant: Timo Teräsvirta (Aarhus Universitet) |
| 3.10 p.m. - 3.30 p.m. | Coffee break |
| 3.30 p.m. - 4.20 p.m. | Real-time data, professional forecasters and the output gap in an estimated New Keynesian DSGE model Anders Warne (European Central Bank), joint with Frank Smets and Raf Wouters paper Discussant: Francesca Monti (Bank of England) |
| 4.20 p.m. - 4.30 p.m. | Concluding remarks Günter Coenen (European Central Bank) |
General Information
| Workshop date: | Friday, 4 and Saturday, 5 May 2012 |
| Workshop venue: | European Central Bank Eurotower – Room CIV, 2nd floor Kaiserstrasse 29 60311 Frankfurt am Main Germany Tel.: +49 69 1344 0 Fax: +49 69 1344 6000 E-mail: info@ecb.europa.eu |
| Workshop language: | English |
| Organisation: | Scientific committee European Central Bank Monetary Policy Research Division Gianni Amisano Tel.: +49 69 1344 7934 E-mail: gianni.amisano@ecb.europa.eu Marek Jarocinski Tel.: +49 69 1344 6414 Email: marek.jarocinski@ecb.europa.eu Geoff Kenny Tel.: +49 69 1344 6414 E-mail: geoff.kenny@ecb.europa.eu Michele Lenza Tel.: +49 69 1344 5671 E-mail: michele.lenza@ecb.europa.eu |
| Contact persons: | Stefanie Faust European Central Bank Monetary Policy Research Division Tel.: +49 69 1344 8032 E-mail: conf-forecasting@ecb.europa.eu Jutta Auth European Central Bank Publishing, Events and Protocol Division Tel.: +49 69 1344 7417 E-mail: evp-events@ecb.europa.eu |
| Programme: | The organisers reserve the right to change the conference programme without prior notice. |
The European Central Bank (ECB) is holding the Seventh ECB Workshop on Forecasting Techniques in Frankfurt am Main on 4 and 5 May 2012.
The workshop provides a forum for the presentation of both theoretical and applied contributions that can help identify new directions for forecasting, particularly in the light of the issues raised by the recent financial and sovereign debt crises. The ongoing turbulence in the global economy, and especially in financial markets, requires a critical assessment of existing methods and the development of new paradigms in order to provide reliable analytical support for macroeconomic policy-makers. Topics that are of particular relevance to the 2012 workshop include:
The scope of the conference should nonetheless be considered to be wider than the themes listed above, and submissions from all promising areas of forecasting are strongly encouraged.
Graham Elliott (University of California, San Diego), John Geweke (University of Technology Sydney), Andrew Harvey (University of Cambridge) and Kenneth Wallis (University of Warwick) have already confirmed their participation as invited speakers.
Manuscript in PDF format should be submitted to conf-forecasting@ecb.europa.eu and must be received by 31 January 2012. Accepted papers will be communicated by 28 February 2012.
The travel and accommodation expenses of invited presenters and discussants will be covered by the ECB.
Gianni Amisano, Marek Jarociński, Geoff Kenny and Michele Lenza (all ECB).
