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
Location: Room Cala Goloritzé
14:00-15:40 Session 2A: High frequency financial econometrics
Location: Room Cala Goloritzé
| 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
Location: Room Capo Carbonara
| 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
Location: Room Dune di Piscinas
| 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
Location: Room Cala Goloritzé
| 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
Location: Room Capo Carbonara
| 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
Location: Room Dune di Piscinas
| 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
Location: Room Cala Goloritzé
| 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
Location: Room Capo Carbonara
| 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
Location: Room Dune di Piscinas
| 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
Location: Room Cala Goloritzé
| 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
Location: Room Capo Carbonara
| 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
Location: Room Dune di Piscinas
| 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)
Chair:
Location: Room Cala Goloritzé
14:30-15:30 Session 7: Keynote: Giglio
Keynote: Stefano Giglio, Yale School of Management
"Uncertainty and volatility shocks: implications for macroeconomics and finance"
Chair:
Location: Room Cala Goloritzé
16:00-17:40 Session 8A: Multivariate Time Series
Location: Room Cala Goloritzé
| 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
Location: Room Capo Carbonara
| 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
Location: Room Cala Goloritzé
| 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
Location: Room Capo Carbonara
| 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
Location: Room Dune di Piscinas
| 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
Location: Room Cala Goloritzé
| 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
Location: Room Capo Carbonara
| 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
Location: Room Dune di Piscinas
| 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
Location: Room Cala Goloritzé