Programme

9.00 – 10.00 Registration (Entrance lobby, Unioninkatu 34)

10.00 – 11.30 Parallel sessions 1

• 1A Panel regression I (U3029)
• 1B Bayesian SVAR models I (U3039)
• 1C Adaptive estimation (U3040)

11.30 – 12.30 Luch (Northern Foyer, 2nd floor)

12.30 – 14.00 Keynote lecture (U3032)

• Lutz Kilian (Federal Reserve Bank of Dallas): Estimating  macroeconomic news and surprise shocks

14.00 – 14.30 Coffee

14.30 – 16.00 Parallel sessions 2

• 2A Volatility (U3029)
• 2B SVAR models I (U3039)
• 2C Causal inference I (U3040)

16.15 – 17.00 General assembly of the Nordic Econometric Network (U3032)

1A Panel regression I (U3029)

Session chair: Allan Wurtz (Aarhus University)

• Aurelija Proskute (Bank of Lithuania): Sanctions and trade diversion: Evidence from baltic exporters
• Nicolas Reigl (Bank of Estonia): Monetary policy, mortgage structure, and household sentiment: Evidence from the euro area
• Allan Wurtz (Aarhus University): Threshold regression with individual-specific thresholds for short panels

1B Bayesian SVAR models I (U3039)

Session chair: Adam Rybarczyk (University of Helsinki)

• Martin Fankhauser (Bocconi University): Power prior for VARs
• Antti Jokiluoma (University of Helsinki): Post-pandemic inflation in the US through the lens of a large non-Gaussian SVAR
• Adam Rybarczyk (University of Helsinki): Inference in tightly identified and large-scale sign-restricted SVARs

1C Adaptive estimation (U3040)

Session chair: Cees Diks (University of Amsterdam)

• Ramon de Punder (University of Amsterdam): Proper and robust autoregressive derivative adaptive models
• Cees Diks (University of Amsterdam): Barron-Loss adaptive estimation

2A Volatility (U3029)

Session chair: Bezirgen Veliyev (Aarhus University)

• Igor Martins (Örebro University): Fast and slow level shifts in intraday stochastic volatility
• Marcus Piil Pedersen (University of Copenhagen): Volterra path-dependent volatility model
• Bezirgen Veliyev (Aarhus University): Forecasting high-dimensional realised covariances via machine learning

2B SVAR models I (U3039)

Session chair: Tero Koivisto (University of Helsinki)

• Lennart Empting (University of Duisburg-Essen): Inference in panel SVARs with cross-sectional dependence of unknown form
• Paritosh Shankarrae Junare (University of Bologna): Identification and inference in proxy-SVARs with non-Gaussian shocks
• Tero Koivisto (University of Helsinki): Nonlinear effects of skewed financial shocks: a statistically identified LSTVAR

2C Causal inference I (U3040)

Session chair: Yukai Yang (Uppsala University)

• Fernando Moreira (University of Edinburgh Business School): Unobserved confounding and reverse causality: A new causal inference approach
• Yukai Yang (Uppsala University): Design-based inference under random potential outcomes

9.00 – 10.30 Parallel sessions 3

• 3A Event studies (U3029)
• 3B Forecasting (U3039)
• 3C Local projections (U3040)

10.30 – 11.00 Coffee

11.00 – 12.30 Keynote lecture (U3032)

• Raffaella Giacomini (University College London): Causal state-dependent local projections

12.30 – 13.30 Luch (Northern Foyer, 2nd floor)

13.30 – 15.00 Parallel sessions 4

• 4A Factor models (U3029)
• 4B Macroeconomic volatility (U3039)
• 4C Causal inference II (U3040)

15.00 – 15.30 Coffee

15.30 – 17.00 Parallel sessions 5

• 5A Bayesian inference (U3029)
• 5B SVAR models II (U3039)
• 5C Theoretical models (U3040)

19.00 - Conference dinner (Restaurant Sipuli, Kanavaranta 7)

3A Event studies (U3029)

Session chair: Leonie Wicht (Institute for Employment Research (IAB))

• Simone Maxand (European University Viadrina): Heat or eat: Subsidies and the joint distribution of essential expenditures
• Mikkel Sølvsten (Aarhus University): Inference in event studies with approximately parallel trends
• Leonie Wicht (Institute for Employment Research (IAB)): Unintended transitions: Employment outcomes following firm closures during VET

3B Forecasting (U3039)

Session chair: Fabio Verona (Bank of Finland)

• Robert Kunst (Institute for Advanced Studies Vienna): Optimal combinations of mean squared error and directional forecast accuracy
• Tri Minh Phan (University of Basel): Forecasting the macroeconomy with corporate disclosures and language models
• Fabio Verona (Bank of Finland): Forecasting inflation: The sum of the cycles outperforms the whole

3C Local projections (U3040)

Session chair: Karsten Staehr (Tallinn University of Technology)

• Craig Menzies (Bank of England and King's College London): State and time-dependent pricing
• Ernil Sabaj (University of Warwick): State-dependent labor mobility responses to macroeconomic shocks: Does the type of recession matter?
• Karsten Staehr (Tallinn University of Technology): Fiscal shocks and public debt dynamics in the European union. New evidence using forecast-error identification

4A Factor models (U3029)

Session chair: Samuel Rauhala (University of Turku)

• Tilman Bretschneider (Lund University): Factor-based imputation of missing values using cross-section averages
• Jaanika Meriküll (Bank of Estonia and University of Tartu): Decomposing inflation into demand and supply factors: insights from the Baltics
• Samuel Rauhala (University of Turku): Limiting distributions of PCA and PLS in a dynamic setting

4B Macroeconomic volatility (U3039)

Session chair: Daniel Levy (Bar-Ilan University and Emory University)

• Dmitry Kulikov (Bank of Estonia): Production networks, firm interlinkages and propagation of shocks in the Estonia
• Daniel Levy (Bar-Ilan University and Emory University): Interpolation and prewar-postwar output volatility and shock-persistence debate: A closer look and new results

4C Causal inference II (U3040)

Session chair: Jaan Masso (University of Tartu)

• Damiano Baldaccini (University of Milan Bicocca and University of Florence): An intuitive approach to identify and estimate ATE with panel data
• Mara Kritzinger (WU Vienna University of Economics and Business): Estimating the heterogeneous GDP effects of euro membership
• Jaan Masso (University of Tartu): Opening borders: Self-selection and labor market returns to migration

5A Bayesian inference (U3029)

Session chair: Michele Piffer (Bank of England and King's College London)

• Yizhou Kuang (University of Manchester): Bayesian robust vector autoregressions
• Eivind Lamo (University of Bergen): Particle Gibbs estimation of the Heston model
• Michele Piffer (Bank of England and King's College London): Theory-based priors for the output gap

5B SVAR models II (U3039)

Session chair: Savi Virolainen (University of Helsinki)

• Benjamin Beckers (Tallinn University of Technology): Monetary policy or macroeconomic uncertainty: What is really driving the business cycle?
• Hamid Raza (Aalborg University): Structural shocks and macroeconomic transmission in Danish electricity market
• Savi Virolainen (University of Helsinki): Identification by non-Gaussianity in structural smooth transition vector autoregressive models

5C Theoretical models (U3040)

Session chair: Amaresh Tiwari (University of Tartu)

• Euiyoung Jung (Universidad de Alicante): Aging and labor market dynamics
• Amaresh Tiwari (University of Tartu): Declining business dynamism: The heterogeneous role of market power

9.00 – 10.30 Parallel sessions 6

• 6A Panel regression II (U3029)
• 6B Instrumental variables (U3039)
• 6C Data construction (U3040)

10.30 – 11.00 Coffee

11.00 – 12.30 Parallel sessions 7

• 7A Financial econometrics (U3029)
• 7B Bayesian SVAR models II (U3039)
• 7C Causal inference in panels (U3040)

12.30 – 13.30 Lunch (Foyer Rectoria, 2nd floor)

6A Panel regression II (U3029)

Session chair: Niveditha Prabakaran (Estonian Business School)

• Konrad Kuhmann (Bank of Latvia): Granular credit supply
• Natalia Levenko (Bank of Estonia and Tallinn University of Technology): Mortgage risk and inequality during the Covid-19 crisis
• Niveditha Prabakaran (Estonian Business School): Property rights, land allocation, and exports: Evidence from the Brazilian Amazon

6B Instrumental variables (U3039)

Session chair: Yongdeng Xu (Cardiff University)

• Stanislav Anatolyev (CERGE-EI and NES): Many instruments estimation and inference under clustered dependence
• Maksim Smirnov (CERGE-EI): Treatment effects identification and testing via reduced-form projections
• Yongdeng Xu (Cardiff University): Bias-corrected variance estimation for 2SLS with weak instruments

6C Data construction (U3040)

Session chair: Merike Kukk (Bank of Estonia and Tallinn University of Technology)

• Håvard Hungnes (Statistics Norway): Decomposing the output gap: Robust multivariate Hodrick–Prescott filtering
• Ana Kujundzic (Bank of Estonia): Wealth inequality at the household vs individual level
• Merike Kukk (Bank of Estonia and Tallinn University of Technology): From exposure to experience: Consumer-level inflation and substitution

7A Financial econometrics (U3029)

Session chair: Roope Rihtamo (University of Turku)

• Robinson Kruse-Becher (University of Hagen): EU ETS market expectations and rational bubbles
• Matthijs Lof (Aalto University): Assessing market beta estimates
• Roope Rihtamo (University of Turku): Hedging unpriced risks

7B Bayesian SVAR models II (U3039)

Session chair: Juho Pitkäranta (Bank of Finland and University of Helsinki)

• Žymantas Budrys (Bank of Lithuania and Vilnius University): The term structure of judgement: Interpreting survey disagreement
• Chi Hyun Kim (Humboldt University of Berlin): Measuring the effects of aggregate shocks on unit-level outcomes and their distribution
• Juho Pitkäranta (Bank of Finland and University of Helsinki): What drives the recent expansion of euro area trade deficit with China?

7C Causal inference in panels (U3040)

Session chair: Ralf Wilke (CBS)

• Christina Maschmann (Lund University): Estimation of average partial effects in ultra-short panel data when individual-specific slopes are not identified
• Ralf Wilke (CBS): Estimation of panel models with group structures in fixed effects