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The Essex Centre for Macro and Financial Econometrics (ECMFE) is holding a virtual workshop over three (12-14 July 2021) days on Predictability, Forecasting and Monitoring.  Speakers include Barbara Rossi, Todd Clark and Allan Timmermann.  All sessions are at 16:00-18:00 BST (starting 17:00 CEST, 11:00 EST, 08:00 PDT).  

The full programme is at https://www.essex.ac.uk/events/2021/07/12/esrc-virtual-workshop-on-predictability-forecasting-and-monitoring 

Registration is free through this link:  https://www.eventbrite.co.uk/e/esrc-virtual-workshop-on-predictability-forecasting-and-monitoring-tickets-151629886071

Programme

12th July (BST ): Session 1

4:00pm - 4:05pm: Welcome and Introduction
Organisers: Robert Taylor, Simon Price and Yuqian Zhao

4:05pm - 5:00pm: “Monitoring and Comparing Forecasting Performance with Panel Data”
Speaker: Allan Timmermann (UC San Diego)
(joint with Yinchu Zhu)

5:00pm - 6:00pm: “Forecasting with Shadow rate VARs”
Speaker: Todd Clark,(Federal Reserve Bank of Cleveland)

13th July (BST): Session 2

4:00pm - 5:00pm : On Local Projection Based Inference
Speaker: Ke Li Xu (Indiana University)

5:00pm - 6:00pm : “Extensions to IVX Methods of Inference for Return Predictability”
Speaker: Robert Taylor, (Essex Business School)
(joint with Matei Demetrescu, Iliyan Georgiev and Paulo Rodrigues)

14th July (BST ): Session 3

4:00pm - 5:00pm : Censored Density Forecasts: Production and Evaluation
Speaker: James Mitchell, (Federal Reserve Bank of Cleveland)
(Joint with Martin Weale)

5:00pm - 6:00pm: The 8 th Annual John C. Nankervis Memorial Lecture
Speaker: Barbara Rossi (CREI, Univ. Pompeu Fabra)

The Essex Centre for Macro and Financial Econometrics (ECMFE) is a joint venture between Essex Business School and the Department of Economics and brings together academics and industry expertise from both inside and outside the University of Essex to research and help solve important issues in macroeconomics and financial markets.

This is an EBS ECMFE and MMF event. The organisers are grateful to the Economic and Social Research Council of the United Kingdom for their funding of this workshop under the research grant ES/R 00496 X/ 1

Katie Parry, Oriana Bandiera, Michael Best, Adnan Khan, Andrea Prat, 13 May 2020

Weak procurement systems can lead to high wastefulness and reduce the amount of resources government have for vital expenditures. This column examines the behaviour of 600 procurement officers in Pakistan and finds that the savings realised through giving them greater autonomy were considerably greater than from pay-for-performance incentive schemes, though this result did depend on the relative efficiency of the procurement officers and their monitors. This finding indicates that, counter-intuitively, the appropriate response to inefficiency and corruption may sometimes be less monitoring, not more.

Tim Jackson, Laurence Kotlikoff, 30 August 2018

Financial crises have historically been triggered by news of financial malfeasance. Some economists advocate greater opacity for bankers to ensure investors keep the faith. This column models bankers as including a share of malfeasants who steal or lose investors’ money. Within this framework, deposit insurance makes matters worse and private monitoring fails due to free riding. The optimal policy is identified as full financial disclosure, which weeds out crooked bankers. 

Thomas Eisenbach, David Lucca, Robert Townsend, 17 June 2016

The two main elements of bank industry oversight are regulation and supervision. This column provides a framework for thinking about supervision in relation to regulation. Using US data on supervisory hours spent, it finds evidence of economies of scale for bank size. Additionally, less risky banks receive substantially lower amounts of supervisory hours. The findings highlight that supervisors face resource constraints and trade-offs.

Bruno Biais, Jean-Charles Rochet, Paul Woolley, 21 August 2014

The Global Crisis has intensified debates over the merits of financial innovation and the optimal size of the financial sector. This column presents a model in which the growth of finance is driven by the development of a financial innovation. The model can help explain the securitised mortgage debacle that triggered the latest crisis, the tech bubble in the late 1990s, and junk bonds in the 1980s. A striking implication of the model is that regulation should be toughest when finance seems most robust and when innovations are waxing strongly.

Imran Rasul, Daniel Rogger, 19 November 2013

Around the world, civil service reform is viewed as necessary to deliver public services effectively and to foster development. However, evidence is thin on how the management of bureaucrats affects the provision of public services. This column presents new evidence from Nigeria linking completion rates of government projects to bureaucractic management practices. Greater autonomy is associated with higher completion rates, whereas performance monitoring and incentive schemes seem to backfire. The most effective private-sector management practices may not be suited to public sector bureaucracies.

Events

CEPR Policy Research