Advances in short-term forecasting

Welcome address

Günter Coenen, European Central Bank

Session 1: Mixed frequencies

Chair: Günter Coenen, European Central Bank

Massimiliano Marcellino*, Università Bocconi
with Claudia Foroni, Deutsche Bundesbank
Dalibor Stevanović, Université du Québec à Montréal

Discussant: Ana Galvão, University of Warwick

Fiscal nowcasting

Jacopo Cimadomo*, European Central Bank
with Domenico Giannone, Federal Reserve Bank of New York
Michele Lenza, European Central Bank

Discussant: Claudia Foroni, Deutsche Bundesbank

Session 2: Factor models

Chair: Neale Kennedy, European Central Bank

Estimation of time-varying coefficient VAR models using dynamic factors

Siem Jan Koopman*, Vrije Universiteit Amsterdam
with Paolo Gorgi and Julia Schaumburg, Vrije Universiteit Amsterdam

Discussant: Fabrizio Venditti, European Central Bank

Factor-augmented VAR revisited – a sparse dynamic factor model approach

Sylvia Kaufmann*, Studienzentrum Gerzensee
with Simon Beyeler, Studienzentrum Gerzensee

Discussant: Marek Jarociński, European Central Bank

Session 3: New methods for big data

Chair: Geoff Kenny, European Central Bank

Nowcasting using news topics. Big Data versus big bank

Leif Anders Thorsrud*, Norges Bank

Discussant: Georg Strasser, European Central Bank

Macroeconomic forecasting in times of crises

Pablo Guerrón-Quintana*, Boston College
with Molin Zhong, Federal Reserve Board of Governors

Discussant: Srečko Zimic, European Central Bank