First Macroeconomic Forecasting Conference, Rome, 27th March 2009
Program
8.30 Registration
9:00 Plenary Session (SALA CONSIGLIO – 2nd Floor)
9:00 Welcome
Alberto Majocchi, ISAE President
9:10 Introductory Talk
Sergio de Nardis, ISAE
9:15 - 9:55 Invited Talk “Forecasting aggregated time series variables: a survey”
Helmut Lütkepohl, European University Institute [PDF] [Slides]
10:00 - 11:00 Contributed Parallel Sessions
10:00 - 11:00 Session “Econometrics of Macroeconomic Forecasting” (SALA CONSIGLIO – 2nd Floor)
Chair: Alain Hecq
F. Busetti, J. Marcucci and G. Veronese, Comparing forecast accuracy: a Monte Carlo investigation [PDF] [Slides]
G. Cubadda and A. Hecq, Testing for common autocorrelation in data rich environments [PDF] [Slides]
10:00 - 11:00 Session “Business Cycle” (SALA SEMINARI – 1st Floor)
Chair: Monica Billio
I. Mayo, A. Espasa, Forecasting disaggregates and aggregate with common features [PDF] [Slides]
M. Billio, R. Casarin, Identifying business cycle turning points with sequential Monte Carlo methods [PDF] [Slides]
10:00 - 11:00 Session “Forecasting and Policy” (SALA BAFFI – Ground Floor)
Chair: Diego J. Pedregal
T. M. Sinclair, E. N. Gamber, H.O. Stekler, E. Reid, Multivariate forecast errors and the Taylor rule [PDF] [Slides]
D. J. Pedregal, J. J. Perez, Should quarterly government finance statistics be used for fiscal surveillance in Europe [PDF] [Slides]
11:00 - 11:15 Coffee Break (Ground Floor)
11:15 – 12:45 Contributed Parallel Sessions
11:15 – 12:45 Session “Forecast Evaluation and Comparison” (SALA CONSIGLIO – 2nd Floor)
Chair: Michal Rubaszek
K. Lahiri, J. G. Wang, Evaluating probability forecasts for GDP declines [PDF] [Slides]
F. Fichtner, R. Rüffer, B. Schnatz, Leading indicators in a globalised world [PDF] [Slides]
M. Rubaszek, P. Skrzypczyński, On the forecasting performance of a small-scale DSGE model [PDF] [Slides]
11:15 – 12:45 Session “Factor Models” (SALA SEMINARI – 1st Floor)
Chair: Christiaan Heij
L. Monteforte, G. Moretti, Real time forecasts of inflation: the role of financial variables [PDF] [Slides]
J. P. A. M. Jacobs, P. W. Otter, A. H. J. den Reijer, Information, data dimension and factor structure [PDF] [Slides]
C. Heij, D. van Dijk, P. J. F. Groenen, Improved forecasting with leading indicators the principal covariate index [PDF] [Slides]
11:15 – 12:45 Session “Nowcasting and Forecasting GDP” (SALA BAFFI – Ground Floor)
Chair: Marco Marini
L. Ferrara, D. Guégan, P. Rakotomarolahy, GDP nowcasting with ragged-edge data [PDF] [Slides]
K. Drechsel, L. Maurin, Flow of conjunctural information and forecast of Euro area economic activity [PDF] [Slides]
F. Bacchini, A. Ciammola, R. Iannaccone, M. Marini, Combining forecasts for a flash estimated of the Euro area GDP [PDF] [Slides]
12:45 – 14:30 Lunch and Poster session ISAE GARDEN
14:40 – 15:20 Plenary Session (SALA CONSIGLIO – 2nd Floor)
14:40 – 15:20 Invited Talk “Explanations of the inconsistencies in survey respondents’ forecasts”
Michael P. Clements, University of Warwick [PDF] [Slides]
15:30 – 16:30 Contributed parallel sessions
15:30 – 16:30 Session “Business Cycle” (SALA CONSIGLIO – 2nd Floor)
Chair: Don Harding
M. Wildi, J. Sturm, Real-time filtering: using the multivariate DFA to monitor the US business cycle [PDF] [Slides]
D. Harding, A. Pagan, An econometric analysis of some models for constructed binary time series [PDF] [Slides]
15:30 – 16:30 Session “Factor Models” (SALA SEMINARI – 1st Floor)
Chair: Claudia Cicconi
S. Eickmeier, T. Ng, National forecasting with large international datasets – an application to New Zealand [PDF] [Slides]
C. Cicconi, On the estimation of common factors in the presence of block structures [PDF] [Slides]
15:30 – 16:30 Session “Nowcasting and Forecasting GDP” (SALA BAFFI – Ground Floor)
Chair: Elke Hahn
E. Angelini, G. Camba-Mendez, D. Giannone, L. Reichlin, G. Rünstler, Short-term forecasts of euro area GDP growth [PDF] [Slides]
E. Hahn, F. Skudelny, Early estimates of Euro area real GDP growth a bottom-up approach from the production side [PDF] [Slides]
16:30 - 16:45 Coffee break (Ground Floor)
16:45 – 18:15 Contributed Parallel Sessions
16:45 – 18:15 Session “Econometrics of Macroeconomic Forecasting” (SALA CONSIGLIO – 2nd Floor)
Chair: Robert M. Kunst
M. Costantini, C. Pappalardo, Combination of forecast methods using encompassing tests [PDF] [Slides]
G. Chevillon, Multi-step forecasting in the presence of location shifts [PDF] [Slides]
M. Costantini, R. M. Kunst, Combining forecasts based on multiple encompassing tests in a macroeconomic core system [PDF] [Slides]
16:45 – 18:15 Session “Forecast Evaluation and Comparison” (SALA SEMINARI – 1st Floor)
Chair: Giuseppe Parigi
A. Elbourne, H. Kranendonk, R. Luginbuhl, B. Smid, M. Vromans, Pooled VAR based forecasts: a comparison with a large macro model [PDF] [Slides]
N. Robinzonov, K. Wohlrabe , Freedom of choice in macroeconomic forecasting [PDF] [Slides]
G. Bulligan, R. Golinelli, G. Parigi, Forecasting monthly industrial production in real-time: from single equations to factor-based models [PDF] [Slides]
16:45 – 18:15 Session “Business Surveys” (SALA BAFFI – Ground Floor)
Chair: Rolf Scheufele
C. Frale, M. Marcellino, G. L. Mazzi, T. Proietti, Survey data as coincident or leading indicators [PDF] [Slides]
S. Lui, J. Mitchell, M. Weale, Qualitative business surveys: signal or noise? [PDF] [Slides]
R. Scheufele, Are qualitative inflation expectations useful to predict inflation? [PDF] [Slides]
POSTER SESSION
B. van Aarle, M. Kappler, A. Seymen, K. Weyerstrass, Business cycle synchronisation with(in) the Euro area: In search of a ‘Euro effect’ [PDF]
J. Haltmaier, Predicting cycles in economic activity [PDF]
M. Kľúčik, Composite reference series and composite leading indicator for Slovakia [PDF]
G. Lutero, M. Marini, Direct vs. indirect forecasts of foreign trade unit value indices [PDF]
C. Müller, E. Köberl, Business cycle measurement with semantic filtering [PDF]
C. Pappalardo, C. Rapacciuolo, A. Ruocco, Business cycle indicators in VARs. A quarterly forecasting model of Italian economy [PDF]
M. Pedersen, Extracting GDP signals from the monthly indicator of economic activity. Evidence from a real-time database [PDF]