Third Research Conference of the CEPR Network on Macroeconomic Modelling and Model Comparison (MMCN)

June 13-14, 2019
Goethe University Frankfurt


June 13, 2019

08:00 – 08:20
Registration and Coffee
08:20 – 08:30
Welcome

Volker Wieland, Institute for Monetary and Financial Stability

08:30 – 09:45
Lightning Presentations and Keynote Speech

Chair: Volker Wieland, Institute for Monetary and Financial Stability

Lightning Presentations:

Andreas Beyer, European Central Bank
Financial Instability and Monetary Policy - An Augmented Taylor Rule for the Euro Area

Giovanni Ricco, University of Warwick
A Model of the Fed's View on Inflation (Slides)

Keynote Speech:

John B. Taylor, Stanford University and Hoover Institution
Forward Guidance as Policy Rule (Slides)

09:45 – 11:15
Plenary Session I: Macroeconomic Models: Estimation and Forecasting

Chair: Michael Binder, Institute for Monetary and Financial Stability

Fabio Canova, Norwegian Business School
Mind the Gap! Stylized Dynamic Facts and Structural Models (Slides)

Adrian Pagan, University of Sydney
Some Econometric Issues that Arise in Macroeconometric Research
(Slides)

Maik Wolters, University of Jena
A Forecasting Competition: First Results
(Slides)

11:15 – 11:45
Coffee Break
11:45 – 13:15
Parallel Session I
Zero Lower Bound

Chair: Alexander Meyer-Gohde, Institute for Monetary and Financial Stability

Matthias Paustian, Federal Reserve Bank of Governors
Expectations Formation, Sticky Prices, and the ZLB

Discussant: Sebastian Schmidt, European Central Bank

Alexander Richter, Federal Reserve Bank of Dallas
The Zero Lower Bound and Estimation Accuracy
(Slides)

Discussant: Willi Mutschler, Westfälische Wilhelms-Universität Münster

Sebastian Schmidt, European Central Bank
Expectations-Driven Liquidity Traps: Implications for Monetary and Fiscal Policy
(Paper)

Discussant: Xuan Wang, University of Oxford

Asset Pricing and Macroeconomics

Chair: Michael Haliassos, Institute for Monetary and Financial Stability

Oliver de Groot, University of Liverpool
Valuation Risk Revalued

Discussant: Holger Kraft, Goethe University Frankfurt

Martin Kliem, Deutsche Bundesbank
(Un)expected Monetary Policy Shocks and Term Premia

Discussant: Andreas Tischbirek, University of Lausanne

Andreas Tischbirek, University of Lausanne
Beauty Contests and the Term Structure
(Paper) (Slides)

Discussant: Davide Porcellachia, European Central Bank

13:15 – 14:15
Lunch
13:30 – 15:00
Poster Session

Jonathan Benchimol, Bank of Israel
Switching Volatility and Nonlinearities in an Open Economy
(Paper)

Flora Budianto, Freie Universität Berlin
Inflation Targets and the Zero Lower Bound (Poster) (Paper)

Stefan Gebauer, German Institute for Economic Research (DIW)
Welfare-Based Optimal Macroprudential Policy with Shadow Banks

Brigitte Hochmuth, University of Erlangen-Nürnberg
Labor-Market Reforms, Precautionary Savings, and Global Imbalances (Poster)

Pim B. Kastelein, University of Amsterdam
Pension Fund Restoration Policy in General Equilibrium (Poster) (Paper)

Christoph Kaufmann, European Central Bank
Interest Rate Spreads and Forward Guidance (Poster) (Paper)

Thibault Lemaire, Université Paris 1 Panthéon-Sorbonne
A Small Open Economy Model: Assessing the Role of Monetary Policy in Egypt (Poster) (Paper)

Gülserim Özcan, Atilim University
Optimal Monetary Policy in a Regime-Switching DSGE Model with Time-Varying Concern for Model Uncertainty (Poster)

Davide Porcellachhia, European Central Bank
Maturity Transformation and Negative Interest Rate Policies

Mauricio Salgado-Moreno, Humboldt-Universität zu Berlin
Monetary Policy, Excess Reserves and Credit Supply: Old-style vs. New-style Central Banking (Poster)

Maximilian Schröder, European Central Bank
With the Force of Many: Nowcasting GDP in a TVP-MF-DFM Model Averaging Framework

Gauthier Vermandel, Paris-Dauphine and PSL Universities
Endogenous Trends

Christian Wittneben, ifo Center for Macroeconomics and Surveys
Automatic Stabilizers in Monetary and Fiscal Unions

15:45 – 17:15
Parallel Session II
Macroeconomic Modelling and Data

Chair: Benjamin Born, Frankfurt School of Finance & Management

Douglas Laxton, Nova School of Business and Economics
Advancing the Frontiers of Monetary Policy

Willi Mutschler, Westfälische Wilhelms-Universität Münster
A Review of Identification of Dynamic Stochastic General Equilibrium Models

Discussant: Michael Evers, University of Hohenheim

Raphael Schoenle, Federal Reserve Bank of Cleveland
From Micro to Macro: A New Methodology to Discriminate Among Models
(Slides)

Discussant: Adrian Pagan, University of Sydney (Slides)

Macroprudential Policy

Chair: Gabriel Fagan, Trinity College Dublin

Eddie Gerba, Danmarks Nationalbank
Quest for Robust Optimal Macroprudential Policy (ROMP)
(Slides) (Paper)

Discussant: Oliver de Groot, University of Liverpool

Aino Silvo / Fabio Verona, Bank of Finland
Macroprudential Policies for a Small Open Economy
(Slides)

Discussant: Jonathan Benchimol, Bank of Israel (Slides)

Karl Walentin, Sveriges Riksbank
The Costs of Macroprudential Deleveraging in a Low Interest Rate Environment

Discussant: Stefan Gebauer, German Institute for Economic Research (DIW)

18:00
Dinner

Dinner speech: Volker Wieland, Institute for Monetary and Financial Stability

 

June 14, 2019

08:00 – 08:45
Coffee
08:45 – 10:00
Lightning Presentations and Keynote Speech

Chair: Michael Binder, Institute for Monetary and Financial Stability

Lightning Presentations:

Kalin Nikolov, European Central Bank
Bank Risk Taking and Twin Defaults

Alexander Meyer-Gohde, Institute for Monetary and Financial Stability
Generalized Entropy and Model Uncertainty

Keynote Speech:
Lars Peter Hansen, University of Chicago
Pricing Uncertainty Induced by Climate Change (Slides)

10:00 – 10:30
Coffee Break
10:30 – 12:00
Parallel Session III
Ambiguity, Uncertainty and Volatility

Chair: Werner Roeger, European Commission

Sumru Altug, American University Beirut
Ambiguous Business Cycles: A Quantitative Assessment
(Slides) (Paper)

Discussant: Benjamin Born, Frankfurt School of Finance & Management

Francesco Bianchi, Duke University
The Origins and Effects of Macroeconomic Uncertainty
(Slides)

Discussant: Martin Kliem, Deutsche Bundesbank

Sacha Gelfer, Bentley University
The Effects of Professorial Forecast Dissemination on Macroeconomic Volatility
(Slides)

Discussant: Maik Wolters, University of Jena

Monetary Policy

Chair: Peter McAdam, European Central Bank

Peter Karadi, European Central Bank
Optimal Exit from QE

Discussant: Matthias Paustian, Federal Reserve Bank of Governors

David H. Papell, University of Houston
Policy Rules and Economic Performance
(Slides) (Paper)

Discussant: Philipp Lieberknecht, Deutsche Bundesbank (Slides)

Felix Strobel, Goethe University Frankfurt
Beauty Contests and the Term Structure

Discussant: Alexander Richter, Federal Reserve Bank of Dallas

12:00 – 12:15
Coffee Break
13:00 – 14:00
Parallel Session IV
Nonlinearities and Computational Methods

Chair: Michael Evers, University of Hohenheim

Robert Kollmann, Université Libre de Bruxelles
Rational Bubbles in Non-Linear Business Cycle Models
(Slides) (Paper)

Discussant: Sumru Altug, American University Beirut (Slides)

Serguei Maliar, Santa Clara University
Will Artificial Intelligence Replace Computational Economists Any Time Soon?

Discussant: Raphael Schoenle, Federal Reserve Bank of Cleveland (Slides)

Monetary and Fiscal Policy

Chair: Klaus Adam, University of Oxford

Cristiano Cantore, Bank of England
The Missing Link: Monetary Policy and The Labor Share
(Slides) (Paper)

Discussant: David H. Papell, University of Houston

Xuan Wang, University of Oxford
Banks, Money and the Zero Lower Bound
(Slides) (Paper)

Discussant: Mauricio Salgado Moreno, Humboldt-Universität zu Berlin (Slides)

13:15 – 14:15
Lunch
14:15 – 15:25
Plenary Session II: Lightning Presentations

Chair: John B. Taylor, Stanford University and Hoover Institution

Gregor Boehl, Goethe University Frankfurt
A Structural Investigation of Quantitative Easing (Slides)

Sujit Kapadia, European Central Bank
Targeting Financial Stability: Macroprudential or Monetary Policy?
(Slides) (Paper)

Sören Karau, Deutsche Bundesbank
Banks' Systemic Risk and Monetary Policy

Daniel Kaufmann, University of Neuchatel
Shocking Interest Rate Floors
(Paper) (Slides)

Jenny Körner, European Central Bank
Empowering Central Bank Asset Purchases: The Role of Financial Policies

Falk Mazelis, European Central Bank
Using Forecast-Augmented VAR Evidence to Dampen the Forward Guidance Puzzle

Lazar Milivojevic, Institute for Monetary and Financial Stability
Macroeconomic Model Data Base

15:25 – 15:45
Coffee Break
15:45 – 16:45
Parallel Session V
Economic Policy

Chair: Klaus Masuch, European Central Bank

Philipp Pfeiffer, European Commission
Fiscal Policy in EMU with Downward Nominal Wage Rigidity

Discussant: Brigitte Hochmuth, University of Erlangen-Nürnberg (Slides)

Werner Roeger, European Commission
Trade Tariffs: Simulation Results with A Multi-Country DSGE Model

Discussant: Kai Christoffel, European Central Bank

Financial Frictions

Chair: Maik Schmeling, Goethe University Frankfurt

Benjamin Born, Frankfurt School of Finance & Management
Shocks and Financial Frictions in Business Cycles with Heterogeneous Agents

Discussant: Gregor Boehl, Goethe University Frankfurt (Slides)

Javier Ferri, University of Valencia
Financial and Fiscal Shocks in the Great Recession and Recovery of the Spanish Economy

Discussant: Felix Strobel, Goethe University Frankfurt

16:45
Concluding Remarks

Volker Wieland, Institute for Monetary and Financial Stability