19th IWH-CIREQ-GW Macroeconometric Workshop: Uncertainty, Expectations and Macroeconomic Modelling
The workshop provided a platform to discuss new developments in the field of empirical and applied macroeconomic modelling and aimed at bringing together academic researchers and practitioners. We called for applied and theoretical papers dealing with time series, business cycles, economic uncertainty and expectations. Papers that explicitly covered the macroeconomic modelling on uncertainty and expectations were particularly welcome.
The 19th IWH-CIREQ-GW Macroeconometric Workshop took place on December 12th and 13th 2018 at the Halle Institute for Economic Research (IWH). The topics of this year's workshop concerned „Uncertainty, Expectations and Macroeconomic Modelling“. Researchers from more than 12 countries presented cutting edge research regarding the macroeconomic modelling of uncertainty and expectations.
In the first keynote Prof. Francisco Ruge-Murcia, McGill University, considered the indirect inference estimation of nonlinear dynamic general equilibrium models. He showed how nonlinear impulse responses generated by a nonlinear auxiliary model can be used to build a nonlinear macro-finance model of asset pricing under skewness risk. His model allows to quantify the importance of skewness risk for equity premium, and can endogenously generate conditional heterogeneity. On top of that, Ruge-Murcia showed that the response of asset prices to negative productivity shocks are significantly larger than for positive shocks.
The second keynote by Chiara Scotti, PhD, assistant director at the Board of Governors of the Federal Reserve System, looked into the question of what happens to financial stability if one observes shocks to the level and volatility of financial conditions. By applying SVAR models, she found significant differences between the responses to level shocks vis-à-vis volatility shocks. Though both types of shocks appear to be recessionary, she showed that financial volatility shocks have a longer lasting impact on financial spread, as well as U.S. treasury yield, and also show stronger evidence of inflation pressure.
All presentations led to lively discussions within the sessions, poster sessions, and during coffee breaks. As in former years, poster sessions took place in addition to the presentations.
Report written by Matthias Wieschemeyer.
Information on previous IWH-CIREQ-GW Macroeconometric Workshops can be found here.