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Organised by the ECB’s Directorate General Research in cooperation with the Working Group on Econometric Modelling (WGEM) of the European System of Central Banks
Frankfurt am Main, 1 September 2011
| 8.30 a.m. – 8.50 a.m. | Registration and coffee |
| 8.50 a.m. – 9 a.m. | Introduction by Günter Coenen, Chair of the WGEM |
| SESSION 1: EMPIRICAL MODELLING AND FORECASTING Session chair: Julian Morgan (ECB) |
|
| 9 a.m. – 10.15 a.m. | Overview presentation:
Modelling and forecasting non-linear economic time series Timo Teräsvirta (Aarhus University and CREATES) Slides Discussant: Dick van Dijk (Erasmus University Rotterdam) Discussion [5.96 MB] |
| 10.15 a.m. – 10.45 a.m. | Coffee break |
| 10.45 a.m. – 11.45 a.m. | What does realised volatility tell us about macroeconomic fluctuations? Marcelle Chauvet* (University of California, Riverside), Zeynep Senyuz (University of New Hampshire) and Emre Yoldas (Bentley University) Paper Discussant: Gabriel Perez Quiros (Banco de España) Discussion |
| 11.45 a.m. – 12.45 p.m. | Unconventional monetary policy and the great recession Christiane Baumeister* (Bank of Canada) and Luca Benati (Universität Bern) Paper [1.2 MB] Discussant: Domenico Giannone (Université Libre de Bruxelles – ECARES) Discussion [6.96 MB] |
| 12.45 p.m. – 2 p.m. | Lunch |
| SESSION 2: STRUCTURAL MODELLING AND POLICY ANALYSIS Session chair: Geoff Kenny (ECB) |
|
| 2 p.m. – 3.15 p.m | Overview presentation:
Non-linearities in Markov-switching structural models Tao Zha (Federal Reserve Bank of Atlanta) Slides Discussant: Fabio Canova (Universitat Pompeu Fabra) Discussion |
| 3.15 p.m. – 4.15 p.m. | A DSGE model of the term structure with regime shifts Gianni Amisano* (ECB) and Oreste Tristani (ECB) Paper Discussant: Martin Andreasen (AHL at Man Group and CREATES) Discussion |
| 4.15 p.m. – 4.45 p.m. | Coffee break |
| 4.45 p.m. – 5.45 p.m. | Non-linearities, risks, and the design of monetary policy Andrew Levin (Federal Reserve Board) Slides Discussant: Kalin Nikolov (ECB) Discussion |
| 5.45 p.m. | End |
| * indicates speaker |
| Format and timings | Overview presentation: 45 mins Paper presentation: 30 mins Discussion: 15 mins General discussion: 15 mins |
| Venue | European Central Bank Eurotheum (Conference room CP11, 1st floor, plinth building) Neue Mainzer Strasse 66-68 60311 Frankfurt am Main |
| Lunch venue | European Central Bank Eurotheum (Foyer CP24/25, 2nd floor, plinth building) Neue Mainzer Strasse 66-68 60311 Frankfurt am Main |
| Organising committee | Matteo Ciccarelli, Günter Coenen, Kirstin Hubrich, Geoff Kenny |
| Contacts | In case of any organisational queries, please contact Nina Willenberg (+49 (0)69 1344 8303; nina.willenberg@ecb.europa.eu) or Iris Bettenhäuser (+49 (0)69 1344 8782; iris.bettenhaeuser@ecb.europa.eu). |
