11th OxMetrics User Conference: Conference Programme

Conference Schedule

Day 1: Thursday March 15

8:30-9:00am Registration and coffee/tea/pastries   9:00-10:30am Session 1: Finance Models and Jumps Chairperson: Vincenzo L. Maini Welcome: Barry R. Chiswick (Chair, Department of Economics, GWU) Announcements: Neil R. Ericsson and Frederick L. Joutz (co-chairs) Sebastien Laurent* (Maastricht University), Christelle Lecourt and Franz C. Palm present “Testing for jumps in GARCH models, a robust approach” Eric Jondeau, Jerome Lahaye* (University of Lausanne) and Michael Rockinger present “High-Frequency Jump Filtering in a Microstructure Model” Vincenzo L. Maini* (Cass Business School) and Giovanni Urga* (Cass Business School) present “The Liquidity to Price Trasmission Mechanism: A Combination of Nonparametric Tests for Jumps”   10:30-11:00am Coffee/Tea Break   11:00-12:00pm Session 2: Gets Modelling I Chairperson: Neil R. Ericsson Jurgen A. Doornik* (University of Oxford) and David F. Hendry present “Automatic Selection of Multivariate Dynamic Econometric Models” Neil R. Ericsson* (Federal Reserve Board and George Washington University) presents “Justifying Empirical Macro-econometric Evidence in Practice”   12:00-1:30pm Lunch and Poster Session (posters listed below) Nicoletta Batini* (International Monetary Fund) and Joshua Felman present “Why Are U.S. Firms Hoarding Money? Deniz Erdemlioglu* (CeReFiM-FundP and K.U. Leuven) presents “Intraday Periodicity and Intraday Levy-type Jump Detection” Marwan Izzeldin and Peiran Shi* (Lancaster University) present “The Impact of Jumps on the Stylised Facts of Returns and Volatility: Do Jumps Matter?” Christian Muller and Eva Koberl (presented by Boriss Silverstovs*, KOF Swiss Economic Institute) present “Catching a Floating Treasure: A Genuine ex-ante Forecasting Experiment in Real Time” Anjan Panday* (American University) presents “Impact of Monetary Policy on Exchange Market Pressure: The Case of Nepal” Issouf Samake* (International Monetary Fund) and Frederick L. Joutz present “Fiscal and Political Instability and the Growth Nexus in Developing Countries: An Application to Nigeria” George B. Tawadros* (RMIT University) presents “The Cyclicality of the Demand for Crude Oil: Evidence from the OECD” Shuangyuan Wei* (George Washington University) presents “An Analysis of U.S. Gasoline Demand Elasticities”   1:30-3:00pm Session 3: Interest Rates and Term Structure Chairperson: Jaime Marquez Daniel Beltran* (Federal Reserve Board), Maxwell Kretchmer, Jaime Marquez and Charles Thomas present “Foreign Holdings of U.S. Treasuries and U.S. Treasury Yields” Wachindra Bandara* (George Washington University) and Richard Munclinger present“A Feasible Regime-Switching Model of the Term Structure” Jaime Marquez* (Federal Reserve Board), Ari Morse and Bernd Schlusche present“Overnight Interest Rates and Reserve Balances: Econometric Modeling of Exit Strategies”   3:00-3:30pm Coffee/Tea Break   3:30-4:30pm Session 4: Round Table with OxMetrics Developers Chairpersons: Frederick L. Joutz, Jurgen A. Doornik (University of Oxford), Siem Jan Koopman (Tinbergen Institute) and Sebastien Laurent (Maastricht University).   5:00-6:30pm Reception and Conference Dinner at Aroma Restaurant   7:00pm-app. 9:30pm Concert at the Kennedy Center Concert Hall

Day 2: Friday March 16

8:30-9:00am Coffee/tea/pastries   9:00-10:00am Session 5: Volatility Modeling Chairperson: Grayham E. Mizon Dobrislav Dobrev* (Federal Reserve Board) and Pawel Szerszen (Federal Reserve Board) present “The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk” Siem Jan Koopman* (VU University Amsterdam and Tinbergen Institute) and Marcel Scharth present “The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures”   10:00-10:30am Coffee/Tea Break   10:30am-12:00pm Session 6: Gets Modelling II Chairperson: Felix Pretis J. James Reade* (University of Birmingham) and Ulrich Volz present “From the General to the Specific: Modelling Inflation in China” Poonpat Leesombatpiboon and Frederick L. Joutz* (George Washington University) present “A Multivariate Cointegration Analysis of the Role of Oil in the Thai Macroeconomy” David F. Hendry and Felix Pretis* (University of Oxford) present “Anthropogenic Influences on Atmospheric CO2”   12:00-1:30pm Lunch and Poster Session (posters listed below) Alexie Ciprian Alupoaiei, Ana Maria Sandica* (Academy of Economic Studies, Bucharest) and Monica Dudian present “The Analysis of Exchange Rate Dependence in Central and Eastern Europe Countries” John B. Guerard, Jr.* (McKinley Capital Management, LLC) presents “Mergers, the Leading Economic Indicators, and Stock Prices: Additional Evidence” Fakhri Hasanov* (George Washington University) presents “Forecasting Inflation in Azerbaijan” Navneet Kaur* (Chandragupt Institute of Management Patna) and A. Kanagaraj present “Application of Multi Factor Risk Model for Estimating Value-at- Risk in Indian Stock Market” Tidiane Kinda* (International Monetary Fund) presents “Modelling Inflation in Chad” Tucker S. McElroy* (U.S. Census Bureau) presents “When Are Direct Multi-Step and Iterative Forecasts Identical?” Subramanian S. Sriam* (International Monetary Fund) presents “The Gambia: Demand for Broad Money and Implications for Monetary Policy Conduct” Thomas M. Trimbur* (Federal Reserve Board) and Tucker S. McElroy present “Signal Extraction for Nonstationary Multivariate Time Series with an Illustration for Trend Inflation” 1:30-2:30pm Session 7: Ana Timberlake Memorial Lecture Chairperson: Giovanni Urga Introduction: Giovanni Urga, Frederick L. Joutz and Neil R. Ericsson David F. Hendry and Grayham E. Mizon* (University of Southampton and University of Oxford) present“Expectations and Economic Policy in the Presence of Unanticipated Changes”   2:30-3:00pm Coffee/Tea Break   3:00-4:00pm Session 8: Unobserved Variables Chairperson: Boriss Silverstovs Yueqing Jia* (George Washington University) presents “A New Look at China’s Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach” Boriss Silverstovs* (KOF Swiss Economic Institute) presents “Are GDP Revisions Predictable? Evidence for Switzerland”   4:00-4:30pm Coffee/Tea Break   4:30-5:30pm Session 9: Forecasts and Forecasting Chairperson: Jennifer L. Castle Andrew B. Martinez* (George Washington University) presents “Comparing Government Forecasts of the United States’ Gross Federal Debt” Jennifer L. Castle* (University of Oxford), Michael P. Clements and David F. Hendry present “Forecasting by Factors, by Variables, by Both, or Neither?” Closing Remarks: Teresa Timberlake and others 7:00pm-onwards Conference Farewell Dinner (light buffet)