ICEEE 2021: NINTH ITALIAN CONGRESS OF ECONOMETRICS AND EMPIRICAL ECONOMICS
PROGRAM

Days: Thursday, January 21st Friday, January 22nd Saturday, January 23rd

Thursday, January 21st

View this program: with abstractssession overviewtalk overview

13:30-14:00 Session 1: Opening of ICEEE 2021

Tribute to Carlo Bianchi

Introduction of the local Organizing Committee

Note for parallel sessions: the last presenter acts as Chairperson

14:00-15:40 Session 2A: High frequency financial econometrics
14:00
V-shapes (abstract)
14:25
Do jumps matter in Realized Volatility modeling and forecasting? Empirical evidence and a new model (abstract)
14:50
A Structural Model of Market Friction with Time-varying Volatility (abstract)
15:15
Realized moments: identification and pricing (abstract)
14:00-15:40 Session 2B: Bayesian Methods
Location: Room Li Cossi
14:00
Nowcasting with Large Bayesian Vector Autoregressions (abstract)
14:25
A Bayesian Model Averaging Analysis for Propensity Score Matching in Tax Rebate (abstract)
14:50
Horseshoe Prior Bayesian Quantile Regression (abstract)
15:15
Sampling properties of the Bayesian posterior mean with an application to WALS estimation (abstract)
14:00-15:40 Session 2C: Panel data models
14:00
Testing the Adequacy of the Fixed Effects Estimator in the Presence of Cross-section Dependence (abstract)
14:25
The identication of time-invariant variables in a fixed effect framework (abstract)
14:50
Spatial Technological Clubs across Europe: A Panel Data Model with Cross Sectional Dependence (abstract)
15:15
Partial effects estimation for fixed-effects logit panel data models (abstract)
14:00-15:40 Session 2D: Growth
14:00
Too Good is Bad? Exuberance Indicators and the Business Cycle (abstract)
14:25
Dynamic Asymmetry and Fiscal Policy (abstract)
14:50
Modeling and Forecasting Macroeconomic Downside Risk (abstract)
15:15
Fiscal space and the size of the Fiscal Multiplier (abstract)
16:00-17:40 Session 3A: Financial Econometrics
16:00
Systematic staleness (abstract)
16:25
Doubly Multiplicative Error Models with Long– and Short–run Components (abstract)
16:50
Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions (abstract)
17:15
LSTUR Regression Theory and the Instability of the Sample Correlation Coefficient Between Financial Return Indices (abstract)
16:00-17:40 Session 3B: Banking
Location: Room Li Cossi
16:00
The Global Information Effect: Central Bank Information, International Spillovers, and Flight to Quality (abstract)
16:25
Basel Accords and Banking Inefficiency: Evidence from the Italian Local Market (abstract)
16:50
The Upside Down: French banks under negative policy rates (abstract)
17:15
Market structure and financial stability: the interaction between profit-oriented and mutual cooperative banks in Italy (abstract)
16:00-17:40 Session 3C: Labour dynamics
16:00
Bargaining power and the Phillips curve: a micro-macro analysis (abstract)
16:25
Micro level data for macro models: the distributional effects of monetary policy. (abstract)
16:50
Labor Market Power and Between-Firm Wage (In)Equality (abstract)
17:15
Identification of Labor Market Shocks (abstract)
16:00-17:40 Session 3D: Sentiment analysis
16:00
Does Investor Sentiment drive M&As? (abstract)
16:25
A sentiment-based risk indicator for the Mexican financial sector (abstract)
16:50
Do words hurt more than actions? The impact of trade tensions on financial markets (abstract)
17:15
INVESTOR SENTIMENT AND GLOBAL ECONOMIC CONDITIONS (abstract)
Friday, January 22nd

View this program: with abstractssession overviewtalk overview

09:00-10:40 Session 4A: Factor models
09:00
Measuring Systematic Comovement with Approximate Threshold Group-Factor Models (abstract)
09:25
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm (abstract)
09:50
A cointegration-based Permanent-Transitory decomposition for Dynamic Factor Models: long and short-run co-movement of commodity prices (abstract)
10:15
Factor Models with Downside Risk (abstract)
09:00-10:40 Session 4B: Counterfactual analysis in Labour
Location: Room Li Cossi
09:00
Employment Protection and Firm-provided Training in Dual Labour Markets (abstract)
09:25
Board composition and performance of state-owned enterprises: Evidence from a natural experiment (abstract)
09:50
Born in the right place at the right time: what drives training contracts as a long-lasting employment device? (abstract)
10:15
The Effect of Temporary Employment on Labour Market Outcomes (abstract)
09:00-10:40 Session 4C: Going Green
09:00
Heterogeneous effects of waste pricing policies (abstract)
09:25
Mutual Funds' Fire Sales and the Real Economy: Evidence from Hurricanes (abstract)
09:50
A time-varying Greenium for European stocks (abstract)
10:15
Climate change awareness: Empirical evidence for the European Union (abstract)
09:00-10:40 Session 4D: Advances in counterfactual methods
09:00
Bounding Program Benefits When Participation is Misreported (abstract)
09:25
Constrained Classification and Policy Learning (abstract)
09:50
Modelling and measuring deaccessioning: A 2SLS-MIMIC and 2SLS-EMIMIC approach (abstract)
10:15
Testing Instrument Validity with Covariates (abstract)
11:00-12:40 Session 5A: Vector Auto Regressions
11:00
SVARs with breaks: Identification and inference (abstract)
11:25
BOOTSTRAP DIAGNOSTICS IN PROXY-SVARS WITH WEAK PROXIES (abstract)
11:50
Inference in Non-stationary High-Dimensional VARs (abstract)
12:15
Dimension Reduction for High Dimensional Vector Autoregressive Models (abstract)
11:00-12:40 Session 5B: Microeconomic Evaluation
Location: Room Li Cossi
11:00
Depowering Risk: Vehicle Power Restriction and Young Driver Accidents in Italy (abstract)
11:25
Anti-Mafia Law Enforcement and Lending in Mafia's Lands. Evidence from the Judicial Administration in Italy (abstract)
11:50
Hang Up on Stereotypes: Domestic Violence and Anti-Abuse Helpline Campaign (abstract)
12:15
Sweeping the Dirt Under the Rug: Measuring Spillovers from an Anti-Corruption Measure (abstract)
11:00-12:40 Session 5C: Empirical Finance
11:00
Climate Sin Stocks: Stock Price Reactions to Global Climate Strikes (abstract)
11:25
Does one (unconventional) size fit all? Effects of the ECB's unconventional monetary policies on the euro area economies (abstract)
11:50
An Euro Area Term Structure Model with Time Varying Exposures (abstract)
12:15
Monetary policy shocks and inflation inequality (abstract)
11:00-12:40 Session 5D: Price fluctuations
11:00
World shocks and commodity price fluctuations: evidence from resource-rich economies (abstract)
11:25
Testing and Modelling Time Series with Time Varying Tails (abstract)
11:50
Differences in Sectoral Price Dynamics among Italian Regions: Effects on Expenditure Composition and Welfare (abstract)
12:15
Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market (abstract)
13:30-14:30 Session 6: Keynote: Gagliardini

Keynote: Patrick Gagliardini, Università della Svizzera Italiana  

"Extracting Statistical Factors When Betas are Time Varying", joint work with Hao Ma (Università della Svizzera Italiana)

14:30-15:30 Session 7: Keynote: Giglio

Keynote: Stefano Giglio, Yale School of Management

"Uncertainty and volatility shocks: implications for macroeconomics and finance"

16:00-17:40 Session 8A: Multivariate Time Series
16:00
Streaming and peer effects on the development of social capital: An analysis based on a multivariate causal hidden Markov model (abstract)
16:25
The Time-Varying Multivariate Autoregressive Index Model (abstract)
16:50
Asymptotic properties of the ML estimator for mixed causal and noncausal models with generalized Student’s t-distribution. (abstract)
17:15
Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions (abstract)
16:00-17:40 Session 8B: Nonstationarity and nonlinearity
Location: Room Li Cossi
16:00
Impulse response analysis for structural dynamic models with nonlinear regressors (abstract)
16:25
Testing Linear Cointegration Against Smooth Transition Cointegration (abstract)
16:50
Unit-root test within a threshold ARMA framework (abstract)
17:15
BOOTSTRAPPING NON-STATIONARY STOCHASTIC VOLATILITY (abstract)
16:00-17:15 Session 8C: Economic Modelling
16:00
On rational fat tails (abstract)
16:25
Make hay while the sun shines: an empirical study of maximum price, regret and trading decisions (abstract)
16:50
Mixture Choice Data: Revealing Preferences and Cognition* (abstract)
Saturday, January 23rd

View this program: with abstractssession overviewtalk overview

09:00-10:40 Session 9A: Dynamic Multipliers
09:00
Identifying Uncertainty Shock: A Bayesian Mixed Frequency VAR Approach (abstract)
09:25
Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study (abstract)
09:50
Are Fiscal Multipliers Estimated with Proxy-SVARs Robust? (abstract)
09:00-10:40 Session 9B: Tertiary Education
Location: Room Li Cossi
09:00
The Influence of Personality Traits on University Performance: Evidence from Italian Freshmen Students (abstract)
09:25
University students' mobility and the role of need-based grants and accommodation services in Italy (abstract)
09:50
Moving Opportunities: The Impact of Public Housing Regenerations on Student Achievement (abstract)
10:15
When the Need Meets Merit: The Role of Merit Requirements in Need-based Student Aid (abstract)
09:00-10:40 Session 9C: Financial and Monetary Shocks
09:00
Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs (abstract)
09:25
Equity Tail Risk in the Treasury Bond Market (abstract)
09:50
Measuring the effects of U.S. uncertainty and monetary conditions on EME’s macroeconomic dynamics (abstract)
10:15
Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly (abstract)
09:00-10:40 Session 9D: Health
09:00
Individual health indices via register-based health records and machine learning (abstract)
09:25
One plus one makes less than two? Consolidation policies and mortality: the case of the Italian Local Health Authorities (abstract)
09:50
Real Time Forecasting of Covid-19 Intensive Care Units demand (abstract)
10:15
Forecasting mortality rates and life expectancy: a multi-country, multi-loss assessment (abstract)
11:00-12:40 Session 10A: Stochastic Models
11:00
Conditional asymmetry in ARCH (∞) models (abstract)
11:25
Time-varying Poisson autoregressions with exogenous covariates (abstract)
11:50
Generalized Poisson Dierence Autoregressive Processes (abstract)
12:15
BOOTSTRAP INFERENCE FOR POINT PROCESS MODELS, WITH APPLICATIONS TO HAWKES PROCESSES (abstract)
11:00-12:40 Session 10B: Forecasting
Location: Room Li Cossi
11:00
Forecasting financial markets with semantic network analysis in the COVID-19 crisis (abstract)
11:25
The time-varying risk of Italian GDP (abstract)
11:50
Proper scoring rules for evaluating asymmetry in density forecasting (abstract)
12:15
Conditional Quantile Coverage: an Application to Growth-at-Risk (abstract)
11:00-12:40 Session 10C: Education
11:00
Parents know better: primary school choice and student achievement in London (abstract)
11:25
The Long-Term Cognitive and Schooling Effects of Childhood Vaccinations in China (abstract)
11:50
School Value Added in Italy: evidence from a Primary education level employing different measures. (abstract)
12:15
Does a Part-Time School Principal Harm Students? Evidence from a School Consolidation Program in Italy (abstract)
11:00-12:40 Session 10D: Applied Economics
11:00
Disability and happiness: the role of accessibility (abstract)
11:25
International human capital mobility and FDI: Evidence from G20 countries (abstract)
11:50
Optimal Policy Learning: From Theory to Practice (abstract)
12:15
Default rates spillovers: an analysis based on Italian regional data (abstract)
12:50-13:20 Session 11: Closing of ICEEE 2021

Carlo Giannini and Labour Prizes awards

General Assembly of SIdE Members

Closing of ICEEE 2021