12th European Central Bank Conference on Forecasting Techniques
Forecasting @ Risk
Monday, 12 and Tuesday, 13 June 2023
European Central Bank, Frankfurt am Main
The biennial ECB Conference of Forecasting Techniques provides a forum for new theoretical and applied work on economic forecasting. The forthcoming edition will bring together experts to exchange new ideas on some of the main current challenges faced by forecasters including the modelling of economic dynamics after extreme events, the assessment of risks, and inflation forecasting.
ECB promotes young talent in economic forecasting
The ECB Conference on Forecasting Techniques provides a forum for new theoretical and applied work on economic forecasting. The conference also aims at promoting young talent in the field by running a competition for the best work done by PhD students. See below what the 3 winners of the competition have to say.
Programme
Times are Central European Time
* indicates the presenter
- 9:00
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Registration and coffee
- 9:30
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Welcome address
Matteo Ciccarelli, European Central Bank
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Session 1
Session chair: Michele Lenza, European Central Bank
- 9:40
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Keynote speech
Forecasting with Bayesian non-parametric methodsMassimiliano Marcellino, Bocconi University
- 10:30
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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 BoardDiscussant: Danilo Leiva Leon, Banco de España and European Central Bank
- 11:15
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Coffee break
- 11:30
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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 BocconiDiscussant: Carlos Montes-Galdón, European Central Bank
- 12:15
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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 BoardDiscussant: Matteo Iacopini, Queen Mary University
- 13:00
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Buffet lunch
- 13:45
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Poster session I
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Session 2
Session chair: Simone Manganelli, European Central Bank
- 14:30
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Keynote speech
Bayesian Tensor autoregressive modelsMonica Billio, Ca’ Foscari University of Venice
- 15:20
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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 SchoolDiscussant: Matteo Mogliani, Banque de France
- 16:05
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Coffee break
- 16:30
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Testing quantile forecast optimality
Marc-Oliver Pohle*, Heidelberg Institute for Theoretical Studies
with Jack Fosten, King’s College London, and Daniel Gutknecht, Goethe Universität FrankfurtDiscussant: Laura Coroneo, University of York
- 17:15
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End of first conference day
- 19:00
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Dinner - by invitation only
- 8:30
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Coffee
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Session 3
Session chair: Laurent Ferrara, SKEMA
- 9:10
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Keynote speech
Panel models with stochastic trends: estimation, forecasting and applicationsSiem Jan Koopman, Vrije Universiteit Amsterdam
- 10:00
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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 DortmundDiscussant: Jasper de Winter, De Nederlandsche Bank
- 10:45
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Coffee break
- 11:00
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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 UniversityDiscussant: Giulia Mantoan, Bank of England
- 11:45
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Dynamic variable selection in high-dimensional predictive regressions
Daniele Bianchi*, Queen Mary University
with Mauro Bernardi and Nicolas Bianco, both Università degli Studi di PadovaDiscussant: Anna Simoni, ENSAE
- 12:30
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Buffet lunch
- 13:15
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Poster session II
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Session 4
Session chair: Gabriel Perez-Quiros, Banco de España
- 14:00
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Keynote speech
Forecasting UK inflation using evidence on the role of energy in productivity and pricesJennifer Castle, Oxford University
- 14:50
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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 WarwickDiscussant: Julia Schaumburg, Vrije Universiteit Amsterdam
- 15:35
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Coffee break
- 15:50
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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 UniversityDiscussant: Michel van der Wel, Erasmus Universiteit Rotterdam
- 16:35
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Concluding remarks
- 16:40
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End of conference
Poster session I
Density forecast comparison in small samples
Laura Coroneo*, University of York
with Fabrizio Iacone, Università degli Studi di Milano Statale, and Fabio Profuno, University of York
Quantile combination: An application to US GDP forecasts
Giulia Mantoan*, Bank of England
with Knut Are Aastveit, Norges Bank, and Saskia ter Ellen, International Monetary Fund
Density forecast frequency transformation via copulas
Matteo Mogliani*, Banque de France
with Florence Odendahl, Banco de España
A general procedure for localising strictly proper scoring rules
Ramon de Punder*, Erasmus Universiteit Rotterdam
with Dick van Dijk, Erasmus Universiteit Rotterdam
Multi-period Growth-at-Risk Forecasting with sequence-to-sequence neural networks
Julia Schaumburg*
with Lukas Hoesch and Sicco Kooiker, all Vrije Universiteit Amsterdam
Poster session II
Nowcasting World Trade with Machine Learning: a Three-Step Approach
Baptiste Meunier*, European Central Bank
with Sebastian Stumpner, Banque de France, and Menzie Chinn, University of Wisconsin
Winners of PhD competition
Slow expectation-maximization convergence in low-noise dynamic factor models
Daan Opschoor*, Erasmus Universiteit Rotterdam
with Dick van Dijk, Erasmus University Rotterdam
Estimating Growth at Risk with Skewed Stochastic Volatility Models
Elias Wolf*, Freie Universität Berlin
Multiple shock impulse response functions
Terri van der Zwan*, Erasmus Universiteit Rotterdam
Audiovisual notice: A photographer will be present at the event taking photographs for our internet / intranet webpage. If you prefer not to have your photograph taken, please approach the photographer directly. The event may be filmed and the video recording, or parts of it, may be published on the internet / intranet.
Please note that this programme may be subject to change without notice.
General information
European Central Bank
Eurotower
Kaiserstrasse 29
60314 Frankfurt am Main
English
Participants are requested to arrange their own transfers.
- Marta Banbura, European Central Bank
- Rogier Quaedvlieg, European Central Bank
- Gerhard Rünstler, European Central Bank
- Bernd Schwaab, European Central Bank
Iris Bettenhäuser
+49 (0)69 1344 8782
conf-forecasting@ecb.europa.eu