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Changes in Inflation Dynamics and Implications for Forecasting

  

8TH WORKSHOP EURO AREA BUSINESS CYCLE NETWORK (EABCN)

6-7 September 2007, Paris Hosted by the Banque de France
Organizers:
Carlo Favero (Bocconi University), Kirstin Hubrich (European Central Bank) and Jean-Pierre Villetelle (Banque de France)
Thursday 6 September
Session 1: Changes in inflation dynamics and monetary regime
09.00 - 10.00 Inflation Gap Persistence in the U.S.
Timothy Cogley *(UC Davis)
Thomas Sargent (New York University)

Discussants:
Giorgio Primiceri (Northwestern University),
H. Le Bihan (Banque de France)
10.00 - 11.00

Understanding the New-Keynesian Model when Monetary Policy Switches Regimes
Roger Farmer* (UCLA),
Tao Zha (Federal Reserve Bank of Atlanta)
Daniel Waggoner (Federal Reserve Bank of Atlanta)

Discussants:
Julien Matheron (Banque de France)
Gianni Amisano (ECB)
11.00 - 11.30 Coffee
Session 2: Inflation expectations and financial market
11.30 - 12.30 The Term Structure of Real Rates and Expected Inflation
Andrew Ang* (Columbia Business School)
Geert Bekaert (Columbia Business School)
Min Wei (Federal Reserve Board)

Discussants: Refet Gurkaynak (Bilkent University),
Mikhail Chernov (London Business School)
12.30 - 14:00 Lunch
Session 3: International transmission of shocks and inflation
14:00 - 15:00 Structural Breaks and Causality in International Transmission of Price Shocks
Erdenebat Bataa (University of Manchester)
Denise R. Osborn*(University of Manchester),
Marianne Sensier (University of Manchester)
Dick van Dijk (Erasmus School of Economics, Rotterdam)

Discussants:
Fabrice Collard (GREMAQ-Université de Toulouse),
Tony Yates (Bank of England)
15:00 - 16:00

Evolving International Inflation Dynamics: World and Country Specific Factors
Haroon Mumtaz (Birkbeck College, London)
Paolo Surico* (Bank of England)

Discussants:
Vanessa Smith (Cambridge University),
Benoit Mojon (Federal Reserve Bank of Chicago)
16.00 - 16.15 Coffee
Session 4.1: Forecasting changing inflation
16:15 - 17:15

Inflation Forecasting and Time-Varying Factor Models
Mark Watson (Princeton University)
Jim Stock* (Harvard University)

Discussants:
Raffaella Giacomini (University College London),
Jan Groen (Bank of England)
20.00 Dinner
Friday 7 September
Session 4.2 Inflation forecasting under structural changes and in real time
09.00 - 09.50

Forecasting Macroeconomic Variables Using Diffusion
Indexes in Short Samples with Structural Change
Anindya Banerjee (EUI)
Massimiliano Marcellino* (IEP-Bocconi University, IGIER)
Igor Masten (University of Ljubljana)

Discussants:
Domenico Giannone (ECB)
09:50 - 10.40 Real time underlying inflation gauges for monetary policy
Marlene Amstad (Swiss National Bank)
Simon Potter* (Federal Reserve Bank of New York)

Discussants:
Martin Ellison (University of Warwick)
10.40 - 11.00 Coffee Break
Session 4.3: Forecasting inflation with disaggregate information
11.00 - 11.50

Combining Disaggregate Forecasts or Disaggregate Information to Forecast an Aggregate
Kirstin Hubrich* (ECB)
David Hendry (Oxford University)

Discussants:
O. de Bandt (Banque de France)
11:50 – 12.40

Forecasting inflation through a bottom-up approach: How bottom is bottom?
António Rua* (Banco de Portugal)
Cláudia Duarte (Banco de Portugal)

Discussants:
Christian Schumacher (Deutsche Bundesbank)

Panel: Issues on inflation forecasting in central banks
12.40 - 13.10 Jim Stock (Harvard University) and Lucrezia Reichlin (ECB)
13.10 - 13.30

General Discussion
13.30 - 15:00 Lunch
*denotes speaker