12th European Central Bank Conference on Forecasting Techniques

Registration and coffee

Welcome address

Matteo Ciccarelli, European Central Bank

Session 1

Session chair: Michele Lenza, European Central Bank

Keynote speech
Forecasting with Bayesian non-parametric methods

Massimiliano Marcellino, Bocconi University

Macroeconomic and Financial Risks: A Tale of Mean and Volatility

Dario Caldara*, Federal Reserve Board
with Chiara Scotti, Federal Reserve Bank of Dallas, and Molin Zhong, Federal Reserve Board

Discussant: Danilo Leiva Leon, Banco de España and European Central Bank

Coffee break

Enhanced Bayesian Neural Networks for Macroeconomics and Finance

Karin Klieber*, Oesterreichische Nationalbank
with Niko Hauzenberger, Universität Salzburg, Florian Huber, Universität Salzburg, and Massimiliano Marcellino, Università Bocconi

Discussant: Carlos Montes-Galdón, European Central Bank

Financial and Macro Data Through the Lens of a Nonlinear Dynamic Factor Model

Pablo Guerrón Quintana*, Boston College
with Alexej Khazanov, The Hebrew University of Jerusalem, and Molin Zhong, Federal Reserve Board

Discussant: Matteo Iacopini, Queen Mary University

Buffet lunch

Poster session I

Session 2

Session chair: Simone Manganelli, European Central Bank

Keynote speech
Bayesian Tensor autoregressive models

Monica Billio, Ca’ Foscari University of Venice

Bayesian Multivariate Quantile Regression with alternative time-varying volatility specifications

Luca Rossini*, Università degli Studi di Milano Statale
with Matteo Iacopini, Queen Mary University, and Francesco Ravazollo, Norwegian Business School

Discussant: Matteo Mogliani, Banque de France

Coffee break

Testing quantile forecast optimality

Marc-Oliver Pohle*, Heidelberg Institute for Theoretical Studies
with Jack Fosten, King’s College London, and Daniel Gutknecht, Goethe Universität Frankfurt

Discussant: Laura Coroneo, University of York

End of first conference day

Dinner - by invitation only

Coffee

Session 3

Session chair: Laurent Ferrara, SKEMA

Keynote speech
Panel models with stochastic trends: estimation, forecasting and applications

Siem Jan Koopman, Vrije Universiteit Amsterdam

Forecasting macroeconomic tail risks in real time: do textual data add value?

Rainer A. Schüssler*, Universität of Rostock
with Philipp Adämmer, Universität Greifswald, and Jan Prüser, TU Dortmund

Discussant: Jasper de Winter, De Nederlandsche Bank

Coffee break

Conditional Forecasts in Large Bayesian VARs with Multiple Soft and Hard Constraints

Aubrey Poon*, Orebro University
with Joshua Chan, Purdue University, Davide Pettenuzzo, Brandeis University, and Dan Zhu, Monash University

Discussant: Giulia Mantoan, Bank of England

Dynamic variable selection in high-dimensional predictive regressions

Daniele Bianchi*, Queen Mary University
with Mauro Bernardi and Nicolas Bianco, both Università degli Studi di Padova

Discussant: Anna Simoni, ENSAE

Buffet lunch

Poster session II

Session 4

Session chair: Gabriel Perez-Quiros, Banco de España

Keynote speech
Forecasting UK inflation using evidence on the role of energy in productivity and prices

Jennifer Castle, Oxford University

The Ever-Changing Challenges to Price Stability

Andrea de Polis*, University of Warwick
with Leonardo Melosi, Federal Reserve Bank of Chicago, and Ivan Petrella, University of Warwick

Discussant: Julia Schaumburg, Vrije Universiteit Amsterdam

Coffee break

The Anatomy of Out-of-Sample Forecasting Accuracy

David E. Rapach*, Federal Reserve Bank of Atlanta
with Daniel Borut Bianchi, Aarhus University, Philippe Goulet Colombe, Université du Québec à Montréal, Erik Christian Montes Schütte, Aarhus University, and Sander Schwenk-Nebbe, Aarhus University

Discussant: Michel van der Wel, Erasmus Universiteit Rotterdam

Concluding remarks

End of conference