Thursday, September 18, 2014 – Friday, September 19, 2014

Agenda download (pdf, 572 kb)

Thursday, September 18

12:00 p.m. – 1:30 p.m. Lunch

Janet Yellen Conference Center

1:30 p.m. – 1:40 p.m. Welcoming Remarks

Session I

Chair: Òscar Jordà, Federal Reserve Bank of San Francisco and UC Davis
Janet Yellen Conference Center

1:40 p.m. – 2:25 p.m. Dynamic Conditional Beta

Rob Engle*, New York University

Download paper (pdf, 819 kb)
Download author presentation (pdf, 4.5 mb)

2:25 p.m. – 3:10 p.m. Estimating Global Bank Network Connectedness

Matt Demirer, MIT
Francis X. Diebold*, University of Pennsylvania
Kamil Yilmaz, Koç University

Download author presentation (pdf, 2.3 mb)

3:10 p.m. – 3:30 p.m. Coffee Break


3:30 p.m. – 4:15 p.m. Extreme Events and the Fed

Jinill Kim, Korea University
Francisco Ruge-Murcia*, University of Montreal

Download paper (pdf, 700 kb)
Download author presentation (pdf, 662 kb)

4:15 p.m. – 5:00 p.m. Monetary Policy Uncertainty and Economic Fluctuations

Cynthia Wu*, University of Chicago
Drew Creal, University of Chicago

Download paper (pdf, 1.3 mb)
Download author presentation (pdf, 1.1 mb)

6:00 p.m. Conference Dinner

Market Street Dining Room

Friday, September 19

8:30 a.m. – 9:00 a.m. Breakfast

Janet Yellen Conference Room

Session II

Chair: Francisco Ruge-Murcia, University of Montreal

9:00 a.m. – 9:45 a.m. Understanding the Great Recession

Larry Christiano*, Northwestern University
Marty Eichenbaum, Northwestern University
Mathias Trabandt, Federal Reserve Board

Download paper (pdf, 1.2 mb)
Download author presentation (pdf, 651 kb)

9:45 a.m. – 10:30 a.m. Unemployment and Business Cycles

Larry Christiano, Northwestern University
Marty Eichenbaum*, Northwestern University
Mathias Trabandt, Federal Reserve Board

Download author presentation (pdf, 653 kb)

10:30 a.m. – 11:45 a.m. Coffee Break


10:45 a.m. – 11:30 a.m. Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Michael Bauer*, Federal Reserve Bank of San Francisco
Glenn Rudebusch, Federal Reserve Bank of San Francisco

Download author presentation (pdf, 377 kb)

11:30 a.m. – 12:15 p.m. Semiparametric Estimation of Monetary Policy Effects: String Theory Revisted

Joshua Angrist, MIT
Òscar Jordà*, Federal Reserve Bank of San Francisco
Guido Kuersteiner, University of Maryland

Download paper (pdf, 311 kb)
Download author presentation (pdf, 199 kb)

12:15 p.m. – 1:40 p.m. Lunch

Market Street Dining Room

1:40 p.m. – 2:25 p.m. What the Cyclical Response of Advertising Reveals about Markups and other Macroeconomic Wedges

Robert Hall*, Stanford University

Download paper (pdf, 344 kb)
Download author presentation (pdf, 759 kb)

2:25 p.m. – 3:10 p.m. The Real Exchange Rate, Real Interest Rates, and the Risk Premium

Charles Engel*, University of Wisconsin

Download author presentation (pdf, 290 kb)

3:10 p.m. – 3:30 p.m. Coffee Break


3:30 p.m. – 4:15 p.m. The Two Greatest, Great Moderation vs. Great Recession

Gabriel Pérez-Quirós*, Bank of Spain

Download paper: Great Moderation and Great Recession:
From plain sailing to stormy seas?
(pdf, 799 kb)

Download paper: The failure to predict the Great Recession.
A view through the role of credit
(pdf, 499 kb)

Download author presentation (pdf, 5.5 mb)

4:15 p.m. – 5:00 p.m. Equivalence between Out-of-Sample Forecast Comparisons and Wald

Peter Hansen*, European University Institute
Allan Timmermann, UC San Diego

Download paper (pdf, 198 kb)
Download author presentation (pdf, 774 kb)

5:00 p.m. Adjourn


* indicates presenter