6th ECB Workshop on Forecasting Techniques

                                                                    

6th Workshop on Forecasting Techniques

Forecasting, Real time and Survey data

5-6 March 2010
Eurotower, 2nd floor, room CIV
Frankfurt am Main
 
Sponsored by the European Central Bank, the Deutsche Bundesbank and the Euro Area Business Cyle Network (EABCN)

Programme

Friday 5 March

08.30 a.m. - 9 a.m.

Registration
Welcome Desk, Eurotower
9 a.m. - 9.10 a.m. Welcome
H. Herrmann (Deustche Bundesbank

9.10 a.m. - 10 a.m.

Keynote Speaker
Real-time forecasting of inflation and output growth in the presence of data revision
M. Clements (University of Warwick)
Discussant: D. van Dijk (Erasmus University Amsterdam

Session 1 - Chair: H. Herrmann (Deutsche Bundesbank)
10 a.m. - 10.50 a.m. Should macroeconomic forecasters use daily financial data and how?
E. Ghysels (University of North Carolina)
Discussant: M. Marellino (European University Institute)
10.50 a.m. - 11.10 a.m.
 Coffee break

11.10 a.m -12 p.m.

Why do certain macroeconomic news announcements have a big impact on asset prices?
C. Scotti (Federal Reserve Board)
Discussant: M. Banbura (European Central Bank)

12 p.m. - 12.50 p.m.

Concensus forecasts and inefficient information aggregation
C. Crowe (International Monetary Fund)
Discussant: K. Lahiri (University at Albany, SUNY)

12.50 p.m.

2 p.m - 2.50 p.m.

Buffet Lunch (Foyer CIV)

Keynote speaker
New tests of forecast optimality across mulitple horizons
A. Timmernann (University of California, San Diego)
Discussant: K. West (University of Wisconsin)

Session 2 - Chair: S.J. Koopman (Vrije Universiteit Amsterdam)

2.50 p.m. - 3.40 p.m.

Expectation shocks and learning as drivers of the business cycle
F. Milani (University of California, Irvine)
Discussant: F.Monti (Bank of England)
3.40 p.m. - 4 p.m. Coffee break

4 p.m. - 4.50 p.m.

Evaluating real-time forecasts with an informative democratic prior
J. Wright (Johns Hopkins University)
Discussant: G. Koop (University of Strathclyde)

4.50 p.m. - 5.40 p.m.

Scoring rules and survey density forecasts
K.Wallis (University of Warwick)
Discussant: K. Hubrich (European Central Bank)

8 p.m.

Conference Dinner at Restaurant Opéra, Alte Oper
(hosted by organising insitutions for speakers, discussants and chair persons)

Saturday 6 March

09.30 a.m. - 10.20 a.m.

Keynote speaker
Indicators for dating busness cycles: cross history selection and comparisons

M.Watson (Princeton University)
Discussant: G. Perez-Quiros (Banco de España)

Session 3 - Chair: G. Kenny (European Central Bank)

10.20 a.m. - 11.10 a.m.

Real-time density forecasts from VARs with stochastic volitality

T. Clark (Federal Reserve Bank of Kansas City)
Discussant: G. Amisano (European Central Bank)
10.10 a.m. - 11.30 a.m. Coffee break

11.30 a.m - 12.20 p.m.

Conditional forecasts in DSGE models

J. Maih (Norges Bank)
Discussant: D. Giannone (Université Libre de Bruxelles)
12.20 p.m.
 Buffet Lunch (Foyer CIV)

1.30 p.m. - 2.20 p.m.

Keynote speaker
Nowcasting

L.Reichlin (London Business School)
Discussant: M. McCracken (Federal Reserve Bank of St Louis)

Session 4 - Chair: H. Pill (European Central Bank)

2.20 p.m. - 3.10 p.m.

Evolving macroeconomic perceptions and the term structure of interest rates

W. Wei (Federal Reserve Board)
Discussant: T. Laubach (Goethe University Frankfurt)
3.10 p.m. - 3.30 p.m. Coffee break

3.30 p.m. - 4.20 p.m.

Measuring output gap uncertainty

J. Mitchell (National Institute of Economic and Social Research)
Discussant: M.Massmann (Vrije Universiteit Amsterdam)

4.20 p.m. - 4.30 p.m.

Concluding remarks

H. Pill (European Central Bank)