2nd Research Conference of the Macroeconomic Modelling and Model Comparison Network (MMCN)

June 7-8, 2018
Stanford University


Program

June 7, 2018

08:00 – 08:50

Registration and Coffee

08:50 – 09:00

 Welcome

Thomas W. Gilligan, Tad and Dianne Taube Director, Hoover Institution
09:00 – 09:40 Keynote Speech

Chair: John B. Taylor (Stanford University and Hoover Institution)

Lars Peter Hansen, University of Chicago
Comparative Valuation Dynamics in Models with Financing Restrictions
09:40 – 10:40 Parallel Session I

Model Estimation and Shocks

Chair: Volker Wieland (IMFS, Goethe University Frankfurt and CEPR)

How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates (Paper)
Maik Wolters (University of Jena)

Discussant: Christopher Tonetti (Stanford University)

Monetary Policy Spillovers, Global Commodity Prices and Cooperation (jointly with A. Filardo, M. Lombardi, C. Montoro) (Paper)
Massimo Ferrari (Università Cattolica del Sacro Cuore)

Discussant: Hashmat Khan (Carleton University)

DSGE Models and Financial Frictions

Chair: Michael Binder (IMFS, Goethe University Frankfurt)

DSGE Models with Financial Frictions: Does Frequency Matter? (jointly with C. Foroni, M. Macellino) (Paper)
Paolo Gelain (Federal Reserve Bank of Cleveland)

Discussant: Gregor Boehl (IMFS, Goethe University Frankfurt)

Financial Crises, Recoveries and Labor Market Dynamics: Evidence from a Data-Rich DSGE Model (Paper)
Sacha Gelfer (Bentley University)

Discussant: Jonathan Swarbrick (Bank of Canada)
10:40 – 11:00

Coffee Break

11:00 – 12:30

Parallel Session II

Financial Crisis and Recession

Chair: Arvind Krishnamurthy (Stanford University)

Household Leverage and the Recession (jointly with V. Midrigan, T. Philippon) (Paper)
Callum Jones (International Monetary Fund)

Discussant: Elena Pastorino (Stanford University)

Financial Repression in General Equilibrium (jointly with A. Kriwoluzky, A. Scheer) (Paper)
Gernot Müller (University of Tübingen)

Discussant: Arvind Krishnamurthy (Stanford University)

Output Gap, Monetary Policy Trade-offs and Financial Friction (jointly with P. Gelain, M. Sanjani) (Paper)
Francesco Furlanetto (Norges Bank)

Discussant: Jorge Abad (CEMFI)

Model Uncertainty and Monetary Policy

Chair: John B. Taylor (Stanford University and Hoover Institution)

Employment, Wages and Optimal Monetary Policy (jointly with J. Zhao) (Paper) (Appendix)
Martin Bodenstein (Federal Reserve Board)

Discussant: Chad Jones (Stanford University)

Model Uncertainty and the Direction of Fit of the Postwar U.S. Phillips Curve(s) (Paper)
Francesca Rondina (University of Ottawa)

Discussant: Felix Strobel (IMFS, Goethe University Frankfurt)

Monetary Policy Rules and PID Control (Paper)
Raymond J. Hawkins (University of California, Berkeley)

Discussant: Sebastian Guarda (Central Bank of Chile)
12:30 – 13:30

Lunch
13:30 – 15:00

Plenary Session I: Nonlinearity and Recession

Chair: Joshua D. Rauh (Hoover Institution, Stanford University)

What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices (jointly with J. Williams) (Paper)
Thomas M. Mertens (Federal Reserve Bank of San Francisco)

Resolving the Missing Deflation Puzzle (jointly with J. Lindé) (Paper) (Presentation)
Mathias Trabandt (Free University of Berlin)

Observational Equivalence and a Simple Fix for Zero Bound Puzzles
John H. Cochrane (Hoover Institution, Stanford University)
15:00 – 16:30

Poster Session I

Downward Nominal Wage Rigidity and Inflation Dynamics during and after the Great Recession (Paper)
Tomohide Mineyama (Boston College)

MMCI and Macroeconomic Model Database 2.3
Felix Strobel and Philipp Lieberknecht (IMFS, Goethe University) (Poster)

The Shifts in Lead-Lag Properties of the U.S. Business Cycle (jointly with J. Brault) (Paper)
Hashmat Khan (Carleton University)

Fiscal Stabilization and the Credibility of the U.S. Budget Sequestration Spending Authority (jointly with R. Hu) (Paper)
Carlos Zarazaga (Federal Reserve Bank of Dallas)

Business Cycles in Space (jointly with T. Holden) (Paper)
Jonathan Swarbrick (Bank of Canada)

Housing Prices and Consumer Spending: The Bank Balance Sheet Channel (Paper)
Nuno Paixao (Bank of Canada)

Open Source Policy Simulation: Tax-Calculator, B-Tax, BRC, TaxData, C-TAM
Matt Jensen (American Enterprise Institute)

MFM Executive Committee Projects
Lars Peter Hansen (University of Chicago)
16:30 – 18:00

Parallel Session III

Unconventional Monetary Policy and Money

Chair: Pablo Kurlat (Stanford University)

Risky Lending, Bank Leverage and Unconventional Monetary Policy (Paper)
Francesco Ferrante (Federal Reserve Board)

Discussant: David Laszlo Zeke (University of Southern California)

Misallocation Costs of Digging Deeper into the Central Bank Toolkit (jointly with D. Zeke) (Paper)
Robert Kurtzman (Federal Reserve Board)

Discussant: Alexander Clymo (University of Essex)

Some Simple Bitcoin Economics (jointly with H. Uhlig) (Paper) (Presentation)
Linda Schilling (Ecole Polytechnique, CREST)

Discussant: Pablo Kurlat (Stanford University)

Heterogeneous Agents and Bounded Rationality

Chair: Yuriy Gorodnichenko (University of California, Berkeley)

Heterogeneous Information, Diverse Higher-Order Beliefs and Business Cycles: Propagation Mechanisms and Empirical Performance (jointly with M. Farkas, V. Wieland) (Paper)
Michael Binder (IMFS, Goethe University Frankfurt)

Discussant: Yuriy Gorodnichenko (University of California, Berkeley)

Re-use of Collateral: Leverage, Volatility, and Welfare (Paper)
Karl Schmedders (University of Zurich)

Discussant: Hanno Lustig (Stanford University)

Optimal Monetary Policy under Bounded Rationality (jointly with L. Bounader) (Paper)
Jonathan Benchimol (Bank of Israel)

Discussant: Mátyás Farkas (IMFS, Goethe University Frankfurt)
18:15 – 20:30

Dinner

Dinner Speech: John B. Taylor (Stanford University and Hoover Institution)
The Financial Crisis Ten Years On: What Have We Learned about Models and Policy

 

June 8, 2018

08:00 – 08:30

Coffee
08:30 – 10:00

Plenary Session II: Macroeconomic Models and Policy

Chair: Michael Binder (IMFS, Goethe University Frankfurt)

Keynesian Economics without the Phillips Curve
Roger Farmer (University of Warwick, NIESR and UCLA) (Paper)

Towards a New Monetary Theory of Exchange Rate Determination (jointly with A. Cesa-Bianchi, A. Sokol, G. Thwaites) (Paper)
Michael Kumhof (Bank of England)

On the Macroeconomic and Fiscal Effects of the Tax Cuts and Jobs Act (jointly with P. Lieberknecht)
Volker Wieland (IMFS, Goethe University Frankfurt and CEPR)
10:00 – 10:30

Coffee Break

10:30 – 12:00

Parallel Session IV

R-Star, Zero Bound and Monetary Policy

Chair: Carlos Zarazaga (Federal Reserve Bank of Dallas)

Taylor-Rule Consistent Estimates of the Natural Rate of Interest (jointly with F. Mazelis)
Claus Brand (European Central Bank)

Discussant: Jae Won Lee (University of Virginia)

Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule (Paper)
Olaf Posch (University of Hamburg)

Discussant: Yevgeniy Teryoshin (Stanford University)

U.S. Monetary Policy at the Zero Lower Bound (jointly with F. Strobel)
Gregor Boehl (IMFS, Goethe University Frankfurt)

Discussant: Carlos Zarazaga (Federal Reserve Bank of Dallas)

Structural and Tax Policy in Macro Models

Chair: Grace Weishi Gu (University of California, Santa Cruz)

Macroeconomic Effects of Capital Tax Rate Changes (jointly with J.W. Lee, S. Bhattarai, C. Yang) (Paper)
Woong Yong Park (Seoul National University)

Discussant: Philipp Lieberknecht (IMFS, Goethe University Frankfurt)

Growth Effects of Structural Reforms and Their Impact on the Functional Income Distribution (jointly with J. Varga, W. Roeger, L. Vogel) (Paper)
Jan in 't Veld (European Commission)

Discussant: Paul Luk (Hong Kong Baptist University)

Cohesion Policy and Inequality Dynamics: Insights from a Heterogeneous Agents Macroeconomic Model (jointly with P. Harting, M. Neugart) (Paper)
Herbert Dawid (Bielefeld University)

Discussant: Grace Weishi Gu (University of California, Santa Cruz)
12:00 – 13:00

Lunch

13:00 – 14:00

Parallel Session V

Banks, Leverage and Crises

Chair: Maik Wolters (University of Jena)

Bank Capital in the Short and in the Long Run (jointly with C. Mendicino, J. Suarez, D. Supera) (Paper)
Kalin Nikolov (European Central Bank)

Discussant: Tim Robinson (The University of Melbourne) (Presentation)

Ambiguous Leverage Cycles (jointly with M. Bassanin, V. Patella) (Paper)
Ester Faia (Goethe University Frankfurt)

Discussant: Nuno Paixao (Bank of Canada)

Numerical Methods, Macro Models and Climate Change

Chair: Volker Wieland (IMFS, Goethe University Frankfurt and CEPR)

Numerical Dynamic Programming with Verification and Uncertainty Quantification: An Application to Climate Policy (jointly with Y. Cai) (Paper)
Kenneth Judd (Hoover Institution, Stanford University)

Discussant: Eric Aldrich (University of California, Santa Cruz)

To Build or Not to Build? Capital Stocks and Climate Policy (jointly with E. Baldwin, K. Kuralbayeva) (Paper)
Yongyang Cai (Ohio State University)

Discussant: Andreas Tryphonides (Humboldt University Berlin) (Presentation)
14:00 – 15:30

Poster Session II

Set Identified Dynamic Economies and Robustness to Misspecification (Paper) (Poster)
Andreas Tryphonides (Humboldt-Universität zu Berlin)

Firm Dynamics at the Zero Lower Bound
Alexander Clymo (University of Essex)

Breaking the Feedback Loop: Macroprudential Regulation of Banks' Sovereign Exposures (Paper)
Jorge Abad (CEMFI)

Macroprudential Policies and Credit Creation (jointly with S. Elias) (Paper) (Poster)
Tim Robinson (The University of Melbourne)

Dynamics of Secured and Unsecured Debt Over the Business Cycle (jointly with T. Zheng) (Paper) (Poster)
Paul Luk (Hong Kong Baptist University)

Modelling Occassionally Binding Constraints Using Regime-Switching (jointly with A. Binning) (Paper)
Junior Maih (Norges Bank and BI Norwegian Business School)

Xmas: An Extended Model for Analysis and Simulation (jointly with B. García, M. Kirchner, R. Tranamil) (Paper)
Sebastian Guarda (Central Bank of Chile)

MMCI and Macroeconomic Model Database 2.3
Mátyás Farkas and Lazar Milivojevic (IMFS, Goethe University Frankfurt) (Poster)

MFM Executive Committee Projects
Lars Peter Hansen (University of Chicago)

15:30 – 17:00

Plenary Session III: Macroeconomic Models and Estimation

Chair: John B. Taylor (Stanford University and Hoover Institution)

DSGE Forecast of the Lost Recovery (jointly with M. Cai, M. Giannoni, A. Gupta, P. Li, E. Moszkowski) (Paper)
Marco Del Negro (Federal Reserve Bank of New York)

Synopsis of the Euro Area Financial Crisis (jointly with P. Jacquinot, N. Papadopoulou) (Paper)
Matthieu Darracq Pariès (European Central Bank)

Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime Switching Approach (jointly with G. Benigno, A. Foerster, A. Rebucci) (Presentation)
Christopher Otrok (University of Missouri, Federal Reserve Bank of St. Louis)

17:00

Concluding Remarks

Volker Wieland (IMFS, Goethe University Frankfurt and CEPR)

About the Conference

MMCN is a research network under the auspices of CEPR and forms part of the Macroeconomic Model Comparison Initiative (MMCI) by the Hoover Institution at Stanford University and the Institute for Monetary and Financial Stability (IMFS) at Goethe University Frankfurt.

Quantitative macroeconomic models play an important role in informing policy makers about the consequences of monetary, fiscal and macro-prudential policies. The Macroeconomic Modelling and Model Comparison Network (MMCN) aims to make progress in this area by promoting collaboration among interested researchers in academia and policy institutions. It provides a forum for presenting new models and model comparisons, as well as the solution and estimation methods underlying them, thereby enhancing opportunities for building on the work of others.

The conference organizers welcome submissions of a theoretical or empirical nature and wish to foster a network of researchers interested in model and policy comparison. Relevant topics include:

  1. Modelling the financial sector and economic crises in structural macroeconomic models
  2. Comparative analysis of monetary, fiscal and macro-prudential policies
  3. Modelling structural and tax reforms in macroeconomic models
  4. Solution, estimation, simulation and forecasting with structural macroeconomic models
  5. Model comparison and robust policies

SPECIAL TOPIC 2018: EXPLAINING AND FORECASTING THE GREAT RECESSION AND ITS AFTERMATH WITH STRUCTURAL MODELS

The Organizers:
Michael Binder (IMFS, Goethe University Frankfurt)
John B. Taylor (Stanford University and Hoover Institution)
Volker Wieland (IMFS, Goethe University Frankfurt and CEPR)

MMCI is supported by a generous grant from the Alfred P. Sloan Foundation. IMFS also thanks the Foundation for Monetary and Financial Stability / Stiftung Geld und Währung for financial support.