About us

13th Annual Conference on Real-time Data analysis, Methods, and Applications in macroeconomics and finance

19 – 20 October 2017
Banco de España, Madrid
Conferences

Information

The Banco de España sponsored the 13th Annual Conference on real-time data analysis, methods, and applications in macroeconomics and finance, which was held October 19th and 20th, 2017, in its central headquarters in Madrid, c/ Alcalá, 48.

The conference brought together leading researchers in real-time analysis of economic and financial data. Real-time analysis has become an important topic in policy analysis, because the optimality of the policy decisions depends on the available information when the decision is made.

The conference covered a wide variety of topics, from real-time forecasting of macroeconomic variables to the effect of monetary or fiscal surprises –defined in real time- on the economy. Other topics covered were real-time detection of bubbles, estimation of output gaps in real time, improved measures of GDP or the effects of financial variables nowcasts on the economy.

This was the first time that this annual conference was held outside the United States or Canada. The amount of participants, the richness of the comments, and the lively discussions held, made the conference a success, and future plans to bring this conference again to Europe in two years have been discussed.

More information

Presentations

19 October 2017
 
08.30 - 09.00
Registration and Coffee
09.00 - 09.15
Welcome address

Opening remarks: Juan Francisco Jimeno (Banco de España)

09.15 - 10.45
SESSION 1

Density forecasting
Chair: Juan Francisco Jimeno (Banco de España)

Optimal density forecast combinations. File PDF: Opens in a new window (8 MB)
* Gergely Gánics (Banco de España)
Presentation File PDF: Opens in a new window (3 MB)

Advances in nowcasting economic activity.
* Juan Antolín Díaz (Fulcrum Asset Management) | Thomas Drechsel (London School of Economics) | Ivan Petrella (Warwick Business School)
Presentation File PDF: Opens in a new window (738 KB)

10.45 - 11.00
Coffee break
11.00 - 12.30
SESSION 2

FOMC Greenbooks
Chair: Jesús Vázquez (University of Basque Country)

Fiscal surprises at the FOMC File PDF: Opens in a new window (1 MB).
Dean Crousore (University of Richmond) | *Simon Van Norden (HEC Montréal, CIRANO and CIREQ)
Presentation File PDF: Opens in a new window (793 KB)

Forecasting in the time of the bubbles: an evaluation of the Federal Reserve´s real-time forecasts of house prices from 1997 to 2011.
* Joshua Gallin (Federal Reserve Board) | Shane M. Sherlund (Federal Reserve Board)

12.30 - 13.30
INVITED SESSION

Chair: Simon van Norden (HEC Montréal, CIRANO and CIREQ)

Uncertainty and Financial Vulnerabilities: a VAR Analysis
*Chiara Scotti (Federal Reserve Board) | Darío Caldara (Federal Reserve Board)

13.30 - 14.30
Lunch
14.30 - 16.00
SESSION 3

Economic news and financial markets
Chair: M. Dolores Gadea (University of Zaragoza)

Surprise indexes and nowcasting: why do markets react to macroeconomic news?
*Alberto Caruso (Confindustria and Université libre de Bruxelles)
Presentation File PDF: Opens in a new window (2 MB)

Clearing the fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses
* Daniel J. Wilson (Federal Reserve Bank of San Francisco)
Presentation File PDF: Opens in a new window (3 MB)

16.30 - 18.00
Coffee break
16.30 - 18.00
SESSION 4

Nowcasting and measurement
Chair: Shaun Vahey (University of Warwick)

Nowcasting the Finnish economy with a large Bayesian vector autoregressive model File PDF: Opens in a new window (504 KB).
Juha Itkonen (Bank of Finland) | * Petteri Juvonen (Bank of Finland)
Presentation File PDF: Opens in a new window (715 KB)

Can GDP measurement be improved further? File PDF: Opens in a new window (780 KB)
* Jan P.A.M. Jacobs (University of Groningen) | Samad Sarferaz (KOF Swiss Economic Institute) | Jan-Egbert Sturn (KOF Swiss Economic Institute) | Simon van Norden (HEC Montreal)
Presentation File PDF: Opens in a new window (801 KB)

20 October 2017
 
08.45 - 09.15
Registration and Coffee
09.15 - 11.30
SESSION 1

Macro models and financial markets
Chair: Javier Pérez (Banco de España)

Term structure and real time learning File PDF: Opens in a new window (968 KB).
* Pablo Aguilar (Banco de España) | Jesús Vázquez (University of Basque Country)
Presentation File PDF: Opens in a new window (716 KB)

Financial nowcasts and their usefulness in macroeconomic forecasting File PDF: Opens in a new window (1 MB).
* Edward Knotek II (Federal Reserve Bank of Cleveland) | Saaed Zaman (Federal Reserve Bank of Cleveland)
Presentation File PDF: Opens in a new window (487 KB)

The information content of news announcements File PDF: Opens in a new window (505 KB).
* Burçin Kisacikoglu (Bilkent University)
Presentation File PDF: Opens in a new window (446 KB)

11.30 - 12.00
Coffee break
12.00 - 13.30
SESSION 2

Official estimates of potential output
Chair: Enrique M. Quilis (Spanish Fiscal Authority)

Output gaps and inflation in Canada File PDF: Opens in a new window (556 KB).
Lise Pichette (Bank of Canada) | Marie-Noelle Robitaille (Bank of Canada) | Mohamad Salameh (Bank of Canada) | * Pierre St-Amant (Bank of Canada)
Presentation File PPTX: Opens in a new window (2 MB)

The effects of recessions in potential output estimates: size, timing and determinantsOpens in a new window.
* Jonas Dovern (Heidelberg University) | Christopher Zuber (Heidelberg University)
Presentation File PDF: Opens in a new window (1 MB)

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