Welcome address

Vítor Constâncio, European Central Bank

Part I

Chair: Matteo Ciccarelli, European Central Bank

Keynote speech Forecasting with high dimensional panel VARsPresentation

Gary Koop*, University of Strathclyde
with Dimitris Korobilis, University of Glasgow

Large time-varying parameter VARs: a nonparametric approachPresentationDiscussion

Fabrizio Venditti*, Banca d'Italia
with George Kapetanios, Queen Mary University of London; Massimiliano Marcellino, Università Bocconi

Discussant: Francesco Ravazzolo, Freie Universität Bozen

Priors for the long runPresentationDiscussion

Giorgio Primiceri*, Northwestern University
with Domenico Giannone, Federal Reserve Bank of New York; Michele Lenza, European Central Bank

Discussant: Gianni Amisano, Board of Governors of the Federal Reserve System

Bayesian compressed vector autoregressions PresentationDiscussion

Dimitris Korobilis*, University of Glasgow
with Gary Koop, University of Strathclyde; Davide Pettenuzzo, Brandeis University

Discussant: Sylvia Kaufmann, Studienzentrum Gerzensee

Lunch and poster session

Poster Session

Poster 1: Order invariant evaluation of multivariate density forecastsPresentation

Jonas Dovern*, Universität Heidelberg
with Hans Manner, Universität zu Köln

Poster 2: Subjective interest rate uncertainty and the macroeconomy: an international panel approachPresentation

Klodiana Istrefi*, Banque de France
with Sarah Mouabbi, Banque de France

Poster 3: Fractionally integrated multivariate models for fat-tailed realised covariance kernels and returnsPresentation

Anne Opschoor*, Vrije Universiteit Amsterdam
with Andre Lucas, Vrije Universiteit Amsterdam

Poster 4: A new approach to multi-step forecasting using dynamic stochastic general equilibrium modelsPresentation

Simon Price*, Essex Business School
with George Kapetanios, Queen Mary University of London; Konstantinos Theodoridis, Bank of England

Poster 5: A new monthly indicator of global real economic activityPresentation

Francesco Ravazzolo*, Freie Universität Bozen
with Joaquin Vespignani, University of Tasmania

Poster 6: What do professional forecasters actually predict?Presentation

Michel van der Wel*, Erasmus Universiteit Rotterdam
with Didier Nibbering and Richard Paap, Erasmus Universiteit Rotterdam

Poster 7: Large time varying parameter VAR models for macroeconomic forecastingPresentation

Gianni Amisano*, Board of Governors of the Federal Reserve System
with Domenico Giannone, Federal Reserve Bank of New York; Michele Lenza, European Central Bank

Part 2

Chair: Simone Manganelli, European Central Bank

Keynote speech Inflation volatility and the level of inflation

Mark Watson*, Princeton University
with Paul Ho, Princeton University

Inflation and professional forecast dynamics: an evaluation of stickiness, persistence and volatilityPresentationDiscussion

Elmar Mertens*, Board of Governors of the Federal Reserve System
with James Nason, North Carolina State University

Discussant: Wolfgang Lemke, European Central Bank

News and narratives in financial systems: exploiting big data for systemic risk assessment

David Tuckett*, University College London
with David Gregory and Sujit Kapadia*, Bank of England; Rickard Nyman, Paul Ormerod and Robert Smith, University College London

Discussant: Laurent Ferrara, Banque de France

Short-term forecasting of business cycle turning points: a mixed-frequency Markov-switching dynamic factor analysisPresentationDiscussion

Matías Pacce*, BBVA Research
with Siem Jan Koopman, Vrije Universiteit Amsterdam

Discussant: Jonas Dovern, Universität Heidelberg

Part 3

Chair: Barbara Rossi, Universitat Pompeu Fabra

Keynote speech Large vector autoregressions with stochastic volatility and flexible priorsPresentation

Todd Clark*, Federal Reserve Bank of Cleveland
with Andrea Carriero, Queen Mary University of London; Massimiliano Marcellino, Università Bocconi

Forecaster's dilemma: extreme events and forecast evaluationPresentationDiscussion

Sebastian Lerch*, Karlsruher Institut für Technologie
with Tilmann Gneiting, Karlsruher Institut für Technologie; Francesco Ravazzolo, Freie Universität Bozen; Thordis Thorarinsdottir, Norsk Regnesentral

Discussant: Anthony Garratt, University of Warwick

Approximating fixed-horizon forecasts using fixed-event forecastsPresentationDiscussion

Malte Knüppel*, Deutsche Bundesbank
with Andreea Vladu, Deutsche Bundesbank

Discussant: Simon Price, University of Essex

Part 4

Chair: Geoff Kenny, European Central Bank

Keynote speech Components of inflation, inflation forecasting, and the Phillips relation

James Stock*, Harvard University

The dynamics of expected returns: evidence from multi-scale time series modellingPresentationDiscussion

Daniele Bianchi*, University of Warwick
with Andrea Tamoni, London School of Economics

Discussant: Anne Opschoor, Vrije Universiteit Amsterdam

Understanding the sources of macroeconomic uncertaintyPresentationDiscussion

Tatevik Sekhposyan*, Texas A&M University
with Barbara Rossi and Matthieu Soupre, Universitat Pompeu Fabra

Discussant: Michel van der Wel, Erasmus Universiteit Rotterdam

The joint dynamics of the US and euro area inflation: expectations and time-varying uncertaintyPresentationDiscussion

Olesya Grishchenko*, Board of Governors of the Federal Reserve System
with Sarah Mouabbi, Banque de France; Jean-Paul Renne, Université de Lausanne

Discussant: Oreste Tristani, European Central Bank

Concluding remarks

Geoff Kenny, European Central Bank