Euro-Indicators conferences

Registration 8.00 - 9.00

Coffee break 10.30 - 10.45

Opening Lecture (Room M6)
Chair: Jürgen Kröger
James Hamilton (UCSD), Michael T. Owyang, The Propagation of Regional Recessions
 

•  B. Candelon, J. Piplack, S. Straetmans, Multivariate Business Cycle Synchronization in Small Samples  

•  S.Papanyan, The Transmission of Shocks Between Europe, Japan and the United States  

Session 2: Revisions (Room M5)
Chair: Roberto Barcellan

• Jan P.A.M. Jacobs, S. Van Norden, Modelling Data Revisions: Measurement Error and Dynamics of "True" Values

• J. Mehrhoff, Sources of Revisions of Seasonally Adjusted Real Time Data 

Presentation slides (PDF 265 Kb)

• G. Brown et al., A Painkiller for the Revisions Bite

Session 3. Forecasting Economic Variables I (Room M6)
Chair: Helmut Lütkepohl

• E. Angelini, M. Banbura, G. Rünstler, Estimating and Forecasting the Euro Area Monthly National Accounts from a Dynamic Factor Model

Lunch 13.15 - 14.15

Invited Session: Business Cycle in Real Time (Room M6)
Chair: Joachim Recktenwald

Massimiliano Marcellino (EUI), Real Time Estimates of the Euro Area Output Gap

•  Chang-Jin Kim (KU), Markov-Switching Models with Endogenous Explanatory Variables II: A Two-Step MLE Procedure

• Simon van Norden (HEC), Calibration and Resolution Diagnostics for Bank of England Density Forecasts

Coffee break 15.45 - 16.00

Poster sessions

Invited Session: Convergence and Synchronisation (Room M6)
Chair: Filippo Moauro
Siem Jan Koopman (VUA), The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-Cycle Model

• Andrew Harvey (CU), Signal Extraction and Forecasting with the Local Quadratic Trend Model

Kenneth D. West (WU), Panel Data Forecasts of Exchange Rates
  

Coffee break 11.00 - 11.15

Invited Session: Transmission of Business Cycle (Room M6)
Chair: Svante Öberg

Michael Artis (MU), The UK Intranational Trade Cycle
 

• Denise Osborn (MU), Changes in Euro Area Business Cycle Affiliations  

Parallel sessions

Session 4: Business Cycle Analysis in Real Time (Room M6)
Chair: Chang-Jin Kim

• M. Wildi, J. E. Sturm, Multivariate Real-Time Filtering and Cointegration Constraints: an Application to Prospective Business-Cycle Analysis

• M. Lemoine, G. L. Mazzi, P. Monperrus-Veroni, F. Reynes, Real Time Estimation of Potential Output and Output Gap for the Euro-Area: Comparing Production Function, Unobserved Components and SVAR Approaches 

• S. Elmer, M. Wildi, S. Van Norden, Real-Time Signal-Extraction and Turning-Point Detection: an Application of Customized Optimization Criteria to Prospective Business-Cycle Analysis of Euro-Area and US-DGP Data 

•  B. Quenneville, S. Fortier, C. Gagne, A Nonparametric Iterative Smoothing Method for Benchmarking and Temporal Distribution

• A. Hecq, G. L. Mazzi, Advanced Revision Analysis for Economic Time Series and Their Role for Improving Forecast Accuracy 

 Cocktail reception 19.30

Invited Session: Non linearity and Detection of Turning Points (Room M6)
Chair: Alexandra Guarda-Rauchs

Dominique Guegan (PSU), GDP Nowcasting with Ragged-edge Data: A Semi-parametric Modelling

Hans-Martin Krolzig (KU) 
 

Don Harding (LTU), Detecting and Forecasting Business Cycle Turning Points

Coffee break 10.30 - 10.45

Parallel sessions
Session 7: Incorporating Globalisation in Business Cycle Analysis and Forecasting (Room M6)
Chair: Nikolaus Wurm

M. Hashem Pesaran, T. Schuermann, L. V. Smith, Forecasting Economic and Financial Variables with Global VARs

• M. Kappler, A. Seymen, On the Role of Common and Country-Specific Shocks in the Business Cycle Dynamics of G-7 Countries
    

• F. Fichtner, R. Rüffer, B. Schnatz, Leading Indicators in a Globalising World 
    

Session 8: Forecasting Economic Variables II (Room M5)
Chair: James Hamilton

• M. Banbura, M. Modugno, Maximum Likelihood Estimation of Large Dynamic Factor Model With Missing Data: Forecasting Euro
  
    

• S. J. Koopman, M. Marcellino, S. Yip Wong, Forecasting Macroeconomic Time Series using Unobserved Components Models  
    

• C.Cicconi, On Maximum Likelihood Estimation of Hierarchical Factor Models and the Forecasting Performance of Business-Surveys Indicators 
    

Session 9: Dating and Forecasting Turning Points (Room M1)
Chair: Don Harding

• M. Billio, J. Anas, L. Ferrara, G. L. Mazzi, A System of Coincident Turning Point Indicators for the Euro Area
  
    

• M. Billio, R. Casarin, Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods  
    

• S. Kaufmann, Dating and Forecasting Turning Points by Bayesian Clustering with Dynamic Structure: A suggestion with an Application to Austrian Data  
    

• M. Chauvet, S. Potter, Business Cycle Monitoring With Structural Changes 
    

Closing Lecture (Room M6)
Chair: Gian Luigi Mazzi

Thomas Sargent (NYU), Monetary Policies and Low-Frequency Manifestations of the Quantity Theory

Lunch 13.15 - 14.15

Parallel sessions
Session 10: Coincident and Leading Indicators II (Room M1)
Chair: Kenneth West

• H. Erkel-Rousse, C. Minodier, Do Business Tendency Surveys in Industry and Services Help in Forecasting GDP Growth? A Real-Time Analysis on French Data

•  F. Bacchini, D. Ladiray, Flash Estimation and Variable Selection Techniques  
    

• F. Charpin, C. Mathieu, G. L. Mazzi, Construction of Coincident Indicators for the Euro Area
    

Session 11: Combining Forecasts (Room M5)
Chair: Simon Van Norden

• A. S. Jore, J. Mitchell, S. P. Vahey, Combining Forecast Densities from VARs with Uncertain Instabilities  
    

•  A. J. Morgado, L. C. Nunes, S. Salvado, Nowcasting an Economic Aggregate with Disaggregate Dynamic Factors: An Application to Portuguese GDP
    

•  F. Bacchini, A. Ciammola, R. Iannaccone, M. Marini, Combining Forecasts for Producing Flash Estimates of Euro Area GDP
    

• C. Kascha, F. Ravazzolo, Combining Inflation Density Forecasts: Some Cross-Country Evidence
    

Session 12: Business Cycle Analysis and Forecasting (Room M6)
Chair: Paolo Guarda

C. Frale, M. Marcellino, T. Proietti, G. L. Mazzi, Survey Data as Coincident Indicators
 
  

•  F. Canova, M. Ciccarelli, E. Ortega, Did the Maastricht Treaty of the ECB Creation Alter the European Business Cycle?  
    

•  C. Gianella, I. Koske, E. Rusticelli, O. Chatal, What drives the NAIRU? Evidence from a Panel of OECD Countries
    

•  F. Bacchini, A. Ciammola, R. Iannaccone, M. Marini, Combining Forecasts for Producing Flash Estimates of Euro Area GDP
    

Closing (Room M6)
Chair: Klaus Reeh
Inna Šteinbuka (Director - Eurostat)

Poster sessions
Forecast

• G. Bruno, Forecasting Using Functional coefficients Autoregressive Models

• João Valle e Azevedo, A. Pereira, Approximating and Forecasting Macroeconomic Signals

• H. Nyberg, Dynamic Probit Models and Financial Variables in Recession Forecasting

• M. Marcellino, T. Proietti, G. Czerwinski, S. Warton-Woods, Forecast Based Quality Measures for Time Series Data and Their Application to the EUROIND Database

• E. Hahn, F. Skudelny, Early Estimates of Euro Area Real GDP Growth: a Bottom up Approach from the Production Side

Business Cycle Analysis

• Y. Murasawa, Measuring the Natural Rates, Gaps and Deviation Cycles

• B. Pataracchia, The Spectral Representation of Markov Switching ARMA Models

• B. Van Aarle, M. Kappler, A. Seymen, K. Weyerstrass, Business Cycle Synchronisation With(in) the Euro Area: Stylized Facts

• X. Chen, T. C. Mills, Evaluating Growth Cycle Synchronisation in the EU

• S. Mitra, T. M. Sinclair, Output Fluctuations in the G-7: An Unobserved Components Approach

• S. Papanyan, The Nonlinear Dynamics of International Trend and Cycle

• R. Duval, J. Elmeskov, L. Vogel, Stuctural Policies and Economic Resilience To Shocks

• C. Pappalardo, Synchronization Across Full and Country-Specific Business Cycles in the Euro Zone

Statistical offices

• M. Scheiblecker, Chain-linking in Quarterly National Accounts and the Business Cycle

• M. Täht, Forecasting of Economic Growth in Statistics Estonia: Practical Aspects

• M. Andrle, The Role of Trends and Detrending in DSGE Models-Emerging Countries Need "Trendy" Models

• R. Kirchner, C. Renwanz, An Excel Macro for Aggregating and Disaggregating Volume Indices in German National Accounts

• M. Kľúčik, J. Haluška, Construction of Composite Leading Indicator for the Slovak Economy Based on Quantitative and Qualitative Statistical Information

• P. Crevits, I. De Greef, C. Van Nieuwenhuyze, Optimization of the Composition of the Business Climate Indicator

• L. Clavel, C. Minodier, A Monthly Indicator of the French Business Climate

• J. Rukšėnaitė, Measuring Output Gap in Lithuania 1997-2007

• R. Gatto, S. Loriga, A. Spizzichino, A Regression composite Estimator to Produce Monthly Estimates in Italy

• T. Buccellato, J. Chow, Isolating the UK Business-cycle and Investigating its Determinants

• B. Ourliac, Trend-cycle Decomposition With Business Survey Data

• M. Lupinski, R. Wozniak, Formal Framework for Composite Coincident and Leading Indicators Building- Use of Classic Linear Dynamic Factors Models

• T. Werkhoven, The European Business Cycle Clock: a new graphical business cycle tool for tracing European economies

• F. Andersson, Variations in employment and production in the Swedish manufacturing industry: Results from quarterly data 1993-2007