3rd Research Conference of the Macroeconomic Modelling and Model Comparison (MMCN)
June 13-14, 2019
Casino, Campus Westend
Goethe University Frankfurt
Summary
The latest developments in macroeconomic modelling were in the focus of the Third Research Conference of the Macroeconomic Modelling and Model Comparison Network (MMCN) on June 13 and 14 at Campus Westend. More than 100 researchers discussed their findings regarding macroeconomic models in monetary and fiscal policy. A special focus was put on assessing the effects of macroprudential policies and forecasting with macroeconomic models.
The MMCN is a research network under the auspices of the Centre for Economic Policy Research (CEPR) and forms part of the Macroeconomic Model Comparison Initiative (MMCI), a joint project led by the Hoover Institution at Stanford University and the IMFS. Quantitative macroeconomic models play an important role in informing policy makers about the consequences of monetary, fiscal and regulatory policies.
In his keynote lecture, John B. Taylor of the Hoover Institution emphasized the recent revival of policy rules research, citing the new section of the Fed’s Monetary Policy Reports as an example. In his view, this is partly due to the need to improve monetary policy with concern about the effective lower bound (ELB) and the disappointments with monetary policy leading to the great recession. To sum up, Taylor asked for an international monetary reform where each central bank follows its own rules-based monetary policy within a global rules-based monetary system. “With the Fed normalizing its monetary policy, this reform could follow and each central bank would describe and commit to a strategy”, Taylor said.According to Taylor, this would be attractive as each country could choose its own strategy and contribute to global stability. However, as Taylor pointed out there are large differences between policy models and hence a need for robustness studies.
In the second keynote speech, Lars Peter Hansen of the University of Chicago elaborated on the question of pricing uncertainty induced by climate change. In a situation with various components to uncertainty and measurement challenges as the impacts are regionally different as well as the long-run and short-run effects, Hansen and his co-authors Brock and Barnett come to the conclusion that asset pricing and decision theory tools help in navigating through the multiple layers of uncertainty.
The MMCI project is financially supported by the Sloan Foundation. The MMCI is led by John Taylor, Hoover Institution at Stanford University, as well as Volker Wieland and Michael Binder, IMFS and Goethe University. As a part of this project, Wieland and his team have expanded their open platform for macroeconomic models, the macroeconomic model data base (MMB), which now offers 128 models. On the website www.macromodelbase.com, researchers can share formulas and codes of their models and also reproduce the calculations of other researchers. In 2018, the 2nd Research Conference took place at the Hoover Institution at Stanford University.
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 Giovanni Ricco, University of Warwick Keynote Speech: John B. Taylor, Stanford University and Hoover Institution |
| 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 Adrian Pagan, University of Sydney Maik Wolters, University of Jena |
| 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 Alexander Richter, Federal Reserve Bank of Dallas Sebastian Schmidt, European Central Bank Asset Pricing and Macroeconomics Chair: Michael Haliassos, Institute for Monetary and Financial Stability Oliver de Groot, University of Liverpool Martin Kliem, Deutsche Bundesbank Andreas Tischbirek, University of Lausanne |
| 13:15 – 14:15 |
Lunch |
| 13:30 – 15:00 |
Poster Session Jonathan Benchimol, Bank of Israel Flora Budianto, Freie Universität Berlin Stefan Gebauer, German Institute for Economic Research (DIW) Brigitte Hochmuth, University of Erlangen-Nürnberg Pim B. Kastelein, University of Amsterdam Christoph Kaufmann, European Central Bank Thibault Lemaire, Université Paris 1 Panthéon-Sorbonne Gülserim Özcan, Atilim University Davide Porcellachhia, European Central Bank Mauricio Salgado-Moreno, Humboldt-Universität zu Berlin Maximilian Schröder, European Central Bank Gauthier Vermandel, Paris-Dauphine and PSL Universities Christian Wittneben, ifo Center for Macroeconomics and Surveys |
| 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 Willi Mutschler, Westfälische Wilhelms-Universität Münster Raphael Schoenle, Federal Reserve Bank of Cleveland Macroprudential Policy Chair: Gabriel Fagan, Trinity College Dublin Eddie Gerba, Danmarks Nationalbank Aino Silvo / Fabio Verona, Bank of Finland Karl Walentin, Sveriges Riksbank |
| 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 Alexander Meyer-Gohde, Institute for Monetary and Financial Stability Keynote Speech: Lars Peter Hansen, University of Chicago |
| 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 Francesco Bianchi, Duke University Sacha Gelfer, Bentley University Monetary Policy Chair: Peter McAdam, European Central Bank Peter Karadi, European Central Bank David H. Papell, University of Houston Felix Strobel, Goethe University Frankfurt |
| 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 Serguei Maliar, Santa Clara University Monetary and Fiscal Policy Chair: Klaus Adam, University of Oxford Cristiano Cantore, Bank of England Xuan Wang, University of Oxford |
| 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 Sujit Kapadia, European Central Bank Sören Karau, Deutsche Bundesbank Daniel Kaufmann, University of Neuchatel Jenny Körner, European Central Bank Falk Mazelis, European Central Bank Lazar Milivojevic, Institute for Monetary and Financial Stability |
| 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 Werner Roeger, European Commission Financial Frictions Chair: Maik Schmeling, Goethe University Frankfurt Benjamin Born, Frankfurt School of Finance & Management Javier Ferri, University of Valencia |
| 16:45 |
Concluding Remarks Volker Wieland, Institute for Monetary and Financial Stability |