Real-Time Data Analysis, Methods and Applications October 14-15, 2021

The conference, held virtually, brought together high-level academics and researchers from central banks and international organizations, and covered topics such as forecasting, macroeconometrics, and central bank communication.

The program included a keynote lecture on the information channel of monetary policy given by Professor Barbara Rossi (Pompeu Fabra), and a Panel Discussion on Monetary Policy and Macroeconomic Stars with J. C. Williams (NY FED), A. Orphanides (MIT), and M. Bussière (Banque de France).

To watch content on the conference : 
Day 1 conference : https://youtu.be/omm2aoxd7ok 
Keynote lecture (day 1) : https://youtu.be/T_MmXTzEoLQ 
Day 2 conference : https://youtu.be/XSSTcevqnh8
Panel discussion (day 2) : https://youtu.be/wBQ14wHKqik

October 14, 2021

Welcome (virtual) coffee (15h15-15h30)

Financial Markets I (15h30 – 16h20)

• “Scarce, Abundant, or Ample? A Time-Varying Model of the Reserve Demand Curve” by G. Afonso, D. Giannone, G. La Spada & J. C. Williams (15h30-16h20)

Central Bank Communication (16h30 – 18h10) 

• “Monetary Policy, Twitter and Financial Markets: Evidence from Social Media Traffic”, by D. Masciandaro, D. Romelli & G. Rubera (16h30-17h20)
• “ECB Communication and its Impact on Financial Markets”, by K. Istrefi, F. Odendahl & G. Sestieri (17h20-18h10)

Keynote Lecture – Prof. Barbara Rossi (18h20 – 19h30): “Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence”

October 15, 2021

Financial Markets II (13h30 – 14h20)

• “Dividend Suspensions and Cash Flows during the Covid-19 Pandemic: A Dynamic Econometric Model”, by D. Pettenuzzo, R. Sabbatucci & A. Timmermann (13h30-14h20

Forecasting (14h30 – 16h10)

• “Employment Reconciliation and Nowcasting” by E. Goto, J. P. A. M. Jacobs, T. M. Sinclair & S. van Norden (14h30-15h20)
• “Forecasting GDP in Europe with Textual Data” by L. Barbaglia, S. Consoli & S. Manzan (15h20-16h10)

Macroeconometrics (16h20 – 18h10)

• “Deep Dynamic Factor Models” by P. Andreini, C. Izzo & G. Ricco (16h30-17h20)
• “A Unified Framework to Estimate Macroeconomic Stars” by S. Zaman (17h20-18h10)

Panel Discussion - Monetary Policy and Macroeconomic Stars (18h20 – 19h30) with J. C. Williams (NY FED), A. Orphanides (MIT) & M. Bussière (BdF)

Program Committee:

• Matteo Mogliani (Banque de France)

• Dean Croushore (University of Richmond)

• Domenico Giannone (Amazon)

• Shaun Vahey (University of Warwick)

• Simon van Norden (HEC Montreal and CIRANO)