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2010 Conference on Real-Time Data Analysis, Methods, and Applications

October 18-19, 2010
Federal Reserve Bank of Philadelphia

Program

Monday, October 18, 2010

8:30 a.m.

Continental breakfast

9:00 a.m.

Marcelle Chauvert (UC Riverside), Zeynep Senyuz (University of New Hampshire), Emre Yoldas (Bentley): What Does Realized Volatility Tell Us About Macroeconomic Fluctuations? PDF (291 KB, 37 pages)

10:00 a.m.

Break

10:30 a.m.

Thomas Gilbert (University of Washington), Chiara Scotti (BOG), Georg Strasser (Boston College), Clara Vega (BOG): Why Do Certain Macroeconomic News Announcements Have a Big Impact on Asset Prices? PDF (415 KB, 43 pages)

11:30 a.m.

Min Wei (BOG), Jonathan Wright (Johns Hopkins): Reverse Regressions and Long-Horizon Forecasting PDF (306 KB, 40 pages)

12:30 p.m.

Lunch

1:30 p.m.

Plenary Talk: Hal Varian (Google)

2:30 p.m.

Marco Aiolfi (Goldman Sachs), Carlos Capistran (Bank of Mexico), Allan Timmermann (UCSD): Forecast Combinations PDF (412 KB, 33 pages)

3:30 p.m.

Edward Herbst, Frank Schorfheide (University of Pennsylvania): Evaluating VAR and DSGE Model Predictions of Comovements PDF (1.88 KB, 57 pages)

4:30 p.m.

Break

5:00 p.m.

Pierre-Daniel Sarte (FRB Richmond): When Is Sticky Information More Information? Tracking Economic Activity Using Diffusion Indices PDF (608 KB, 43 pages)

6:00 p.m.

Reception

7:30 p.m.

Dinner (by invitation)

 

Tuesday, October 19, 2010

8:00 a.m.

Continental breakfast

8:30 a.m.

Michael Clements (U of Warwick), Ana Beatriz Galvao (Queen Mary U): Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions PDF (367 KB, 50 pages)

9:30 a.m.

Kundan Kishor (University of Wisconsin-Milwaukee), Evan Koenig (FRB Dallas): Yield-spreads as Predictors of Economic Activity: A Real-Time VAR Analysis PDF (144 KB, 28 pages)

10:30 a.m.

Break

11:00 a.m.

Kevin Lee (University of Leicester), Nilss Olekalns, Kalvinder Shields (University of Melbourne): Nowcasting, Business Cycle Dating and the Interpretation of New Information When Real-Time Data Are Available PDF (587 KB, 41 pages)

12:00 noon

Panel Discussion: Athanasios Orphanides (Central Bank of Cyprus), Jacopo Cimadomo (ECB), TBA

1:00 p.m.

Lunch/Departure

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  • Last update: October 14, 2010