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- 13th Annual Conference on Real-time Data analysis, Methods, and Applications in macroeconomics and finance
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.
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.
(8 MB)
* Gergely Gánics (Banco de España)
Optimal density forecast combinations. Presentation (3 MB)Advances in nowcasting economic activity.
* Juan Antolín Díaz (Fulcrum Asset Management) | Thomas Drechsel (London School of Economics) | Ivan Petrella (Warwick Business School)
Advances in nowcasting economic activity. Presentation (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
(1 MB).
Dean Crousore (University of Richmond) | *Simon Van Norden (HEC Montréal, CIRANO and CIREQ)
Fiscal surprises at the FOMC Presentation (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)
Surprise indexes and nowcasting: why do markets react to macroeconomic news?. Presentation (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)
Clearing the fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses. Presentation (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
(504 KB).
Juha Itkonen (Bank of Finland) | * Petteri Juvonen (Bank of Finland)
Nowcasting the Finnish economy with a large Bayesian vector autoregressive model. Presentation (715 KB)Can GDP measurement be improved further?
(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)
Can GDP measurement be improved further?. Presentation (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
(968 KB).
* Pablo Aguilar (Banco de España) | Jesús Vázquez (University of Basque Country)
Term structure and real time learning. Presentation (716 KB)Financial nowcasts and their usefulness in macroeconomic forecasting
(1 MB).
* Edward Knotek II (Federal Reserve Bank of Cleveland) | Saaed Zaman (Federal Reserve Bank of Cleveland)
Financial nowcasts and their usefulness in macroeconomic forecasting. Presentation (487 KB)The information content of news announcements
(505 KB).
* Burçin Kisacikoglu (Bilkent University)
The information content of news announcements. Presentation (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
(556 KB).
Lise Pichette (Bank of Canada) | Marie-Noelle Robitaille (Bank of Canada) | Mohamad Salameh (Bank of Canada) | * Pierre St-Amant (Bank of Canada)
Output gaps and inflation in Canada. Presentation
(2 MB)The effects of recessions in potential output estimates: size, timing and determinants
.
* Jonas Dovern (Heidelberg University) | Christopher Zuber (Heidelberg University)
The effects of recessions in potential output estimates: size, timing and determinants. Presentation (1 MB)