Workshop on Nonlinear Models in Macroeconomics and Finance for an Unstable World

26 – 27 January 2018, Oslo

Norges Bank and the Centre for Applied Macro and Petroleum economics (CAMP) at BI organize a workshop with the purpose of bringing together economists from a variety of fields who share interests in the macro-modeling of nonlinearities and time variation. The keynote speakers are James Bullard (Federal Reserve Bank of St Louis), Fabio Canova (Norwegian Business School BI & Norges Bank), Jesus Fernandez-Villaverde (University of Pennsylvania), Tao Zha (Federal Reserve Bank of Atlanta & Emory University)

Conference program

Day 1: January 26

08:30 Registration

09:15 Opening remarks: Ida W. Bache (Head of Monetary Policy Division, Norges Bank)

09:30 Keynote lecture 1: “Filtering with Limited Information”: Slides Jesus Fernandez‐ Villaverde (University of Pennsylvania)

10:30 Break

10:45 Session 1: Endogenous regime switching (Chair: Junior Maih, Norges Bank & BI)

1) “Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime Switching Approach”: Slides Gianluca Benigno (LSE & CEPR), Andrew Foerster (Federal Reserve Bank of Kansas City) , Christopher Otrok (University of Missouri & Federal Reserve Bank of St. Louis), Alessandro Rebucci (Johns Hopkins University & NBER)

2) “Endogenous Regime Switching Near the Zero Lower Bound”:  Slides Kevin J. Lansing (Federal Reserve Bank of San Francisco)

3) “Latent Variables and Real‐Time Forecastig in DSGE Models with Occasionally Binding Constraints. Can Non‐Linearity Improve Our Understanding of the Great Recession?”: Slides Marco Ratto (European Commission) and Massimo Giovannini (European Commission)

12:30 Lunch

13:30 Session 2: Posters #1

14:00 Keynote lecture 2: “Does a Low Interest Rate Regime Harm Savers?”: James Bullard(Federal Reserve Bank of St. Louis)

15:00 Break

15:15 Session 3: Switching Models and Monetary policy (Chair: Hilde Bjørnland, BI & Norges Bank)

4) “Estimation of Operational Macromodels at the Zero Lower Bound”: Slides Jesper Linde (Sveriges Riksbank), Junior Maih (Norges Bank & BI) and Rafael Wouters (National Bank of Belgium)

5) “A Structural Investigation of Monetary Policy Shifts”: Slides Yoosoon Chang (Indiana University), Fei Tan (Saint Louis University & Zhejiang University) and Xin Wei (Indiana University)

6) “Why has the U.S. economy stagnated since the Great Recession?” : Slides Yunjong Eo (University of Sydney), James Morley (University of Sydney)

17:00 Break

17:15 Session 4: Term premia, debt and simulation of nonlinear models (Chair: Leif Brubakk, Norges Bank)

7) “(Un)expected monetary policy shocks and term premia”Slides Martin Kliem (Deutsche Bundesbank) and Alexander Meyer‐Gohde (Universität Hamburg and Humboldt‐ Universitä zu Berlin)

8) “A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt”: Slides Eric T. Swanson (University of California, Irvine)

9) “Credit Conditions and the Effects of Economic Shocks: Amplificafion and Asymmetries”: Slides Andrea Carriero (Queen Mary University of London), Ana Beatriz Galvao (University of Warwick), Massimiliano Marcellino (Bocconi University and CEPR)

19:30 Dinner at Argent Restaurant (By Invitation only)

Day 2: January 27

08:30 Registration

09:00 Keynote lecture 3: “A New Approach to deal with Misspecification of DSGE Models”: Slides Fabio Canova (BI & Norges Bank)

10:00 Break

10:15 Session 5: Irrationality and uncertainty (Chair: Francesco Furlanetto, Norges Bank)

10) “Rational Sunspots”: Slides Guido Ascari (Oxford University), Paolo Bonomolo (Sveriges Riksbank) , Hedibert F. Lopes (INSPER)

11) “Solving Markov‐Switching Models with Learning”: Slides Andrew Foerster (Federal Reserve Bank of Kansas City), Christian Matthes (Federal Reserve Bank of Richmond)

12) “Monetary policy and long‐term interest rates”: Slides Gianni Amisano (Board of Governors of the Federal Reserve System) and Oreste Tristani (ECB)

12:00 Lunch

13:00 Session 6: Posters #2

13:30 Keynote lecture 4: “Impact of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China: Slides Tao Zha (Federal Reserve Bank of Atlanta & Emory University)

14:30 Break

14:45 Session 7: Economic shocks and asymmetries (Chair: Daniel F. Waggoner, Federal Reserve Bank of Atlanta & Emory University)

13) “A Class of Time‐Varying Parameter Structural VARs for Inference under Exact or Partial Identification”: Slides Mark Bognanni (Federal Reserve Bank of Cleveland)

14) Macroeconomic implications of oil price fluctuations: a regime‐switching framework for the euro area: Slides Kirstin Hubrich (Board of Governors of the Federal Reserve System) and Federic Holm‐Hadulla (ECB)

16:30 Adjourn

Poster session #1 (January 26)

Leverage and Deepening Business Cycle Skewness: Henrik Jensen (University of Copenhagen and CEPR.) , Ivan Petrella (University of Warwick and CEPR.), Søren Hove Ravn (University of Copenhagen) and Emiliano Santoro (University of Copenhagen)

Gradualism and Liquidity Traps: Taisuke Nakata (Federal Reserve Board), Sebastian Schmidt(European Central Bank)

Targeting Long Rates in a Model with Financial Frictions and Regime Switching: Sebastián Cadavid Sánchez (CEMLA), Gerardo Kattan Rodriguez (CEMLA) and Alberto Ortiz Bolaños (CEMLA & EGADE)

Breaking the Feedback Loop: Macroprudential Regulation of Banks' Sovereign Exposures: Jorge Abad (CEMFI)

Shocking the Borrowing Constraint over the Financial Cycle: Evidence of Non‐linearities: Cyril Couaillier (Banque de France) and Valerio Scalone (Banque de France)

Output Gap, Monetary Policy Trade‐offs and Financial Frictions: Francesco Furlanetto (Norges Bank), Paolo Gelain (Federal Reserve Bank of Cleveland) and Marzie Taheri Sanjani (International Monetary Fund)

Oil and Macroeconomic (In)stability”: Hilde Bjørnland (BI & Norges Bank), Vegard Larsen (Norges Bank), Junior Maih (Norges Bank & BI)

Poster session #2 (January 27)

"Real and Nominal Effects of Monetary Shocks under Uncertainty" : Vania Esady (City University of London)

“Fiscal Multipliers and Financial Crises” : Miguel Faria‐e‐Castro (FRB St. Louis)

“The Sovereign‐Bank Interaction in the Eurozone Crisis: Maximilian Gödl (University of Graz)

“Bank Runs, Prudential Tools and Social Welfare in a Global Game General Equilibrium Model: Daisuke Ikeda (Bank of England)

"Debt Intolerance:" The Double‐edged Sword of Financial Globalization : Hideaki Matsuoka (World Bank)

“Risk Matters: Breaking Certainty Equivalence” : Juan Carlos Parra‐Alvarez(Aarhus University & CREATES), Hamza Polattimur (Universität Hamburg), and Olaf Posch (CREATES)

Published 15 January 2018 09:00
Edited 29 January 2018 12:59

About the Workshop

Program Committee

  • Hilde C. Bjørnland (BI Norwegian Business School and Norges Bank)
  • Junior Maih (Norges Bank and BI Norwegian Business School)
  • Daniel F. Waggoner (Federal Reserve Bank of Atlanta)