PIER-IGIER program

IGIER-PIER Conference on Econometric Methods in Macroeconomics and Finance

IGIER, Bocconi University, Via Sarfatti, 25, Room D
Milan
October 3rd and 4th, 2003

Organizers: Francis X. Diebold, Carlo Favero and Frank Schorfheide

The Penn Institute of Economic Research at the University of Pennsylvania and the Innocenzo Gasparini Institute at Bocconi University of Milan will hold their second international conference on Econometric Methods in Macroeconometrics and Finance. The goal of this conference is to bring together scholars of Macroeconometrics and Financial econometrics from Europe and the U.S. to foster cross-fertilization in these exciting fields. We are also pleased to announce that the Journal of Econometrics will publish a special issue on Macro and Financial Econometrics edited by Diebold, Engle, Gallo, and Favero, drawing upon papers presented at the May Florence financial econometrics meeting and the October PIER-IGIER Conference in Milan.

Friday, October 3rd     
 
2.00pm      Section 1

"Economic Determinants of the Nominal Treasury Yield Curve"
by Charles L. Evans and David Marshall (Federal Reserve Bank of Chicago)
Discussant: Fabio Fornari (Bank of Italy)
 
 
"What Does the Yield Curve Tell us About GDP Growth?"
by Andrew Ang (Columbia University), Monika Piazzesi (UCLA) and Min Wei (Columbia University)
Discussant: Mike Wickens (York University)
 
 
 
 
4.00pm      Section 2
 
 
"The Macroeconomy and the Yield Curve"
by Francis.X. Diebold (Penn), Glenn.D. Rudebusch (Federal Reserve Bank of San Francisco), and Boragan Aruoba (Penn) 
Discussant: Pierluigi Balduzzi (Boston College)
 
 
"A Joint Econometric Model of Macroeconomic and Term Structure Dynamics"
by Peter Hordahl (ECB), Oreste Tristani (ECB) and David Vestin (ECB)
Discussant: Paul Soderlind (SSE, San Gallen University),



 

Saturday, October 4th 

9.00am       Section 3

"Evaluating latent and observed factors in macroeconomics and finance"
by Jushan Bai (New York University) and Serena Ng (University of Michigan)
Discussant: Robert  Engle (Stern School of Business)
 
 
"Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns"
by Lorenzo Cappiello (ECB), Robert Engle (NYU Stern School of Business) and Kevin Sheppard (University of California at San Diego)
Discussant: Giampiero Gallo (University of Florence)
 
 
11.00am      Section 4
 
"Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S."
by  Timothy Cogley (University of California, Davis) and Thomas. J. Sargent (New York University)
Discussant: Fabio Canova (IGIER)
 
 
"Evidence Uncovered: Long-term Interest Rates, Monetary Policy and the Expectations Theory"
by Jennifer E. Roush (Board of Governors of the Federal Reserve System)
Discussant: Carlo Favero (IGIER, Università Bocconi)
 
 
Lunch - Distingushed Lecture
"Modern Investment Management"
by Bob Litterman and Giorgio De Santis (Goldman Sachs Asset Management)
 
 
2.30pm       Section 5
 
"Comovement and Predictor Variables for Multifractal Volatility"
by Laurent Calvet (Harvard), Adlai Fisher (University of British Columbia) and Samuel Thompson (Harvard)
Discussant: Francis X. Diebold (Penn)
 
 
 "Macroeconomic Dynamics and Credit Risk: A Global Perspective
by Hashem Pesaran (University of Cambridge), Til Schuerman (Federal Reserve Bank of New York), Bjoern-Jakob Treutler (WHU) and Scott Weiner (Alliance Capital)
Discussant: Monika Piazzesi (UCLA)

4.30pm     General Discussion - Chaired by Chris Sims (Princeton University)