Advanced analytics: new methods and applications for macroeconomic policy
Joint workshop of the Centre for Central Banking Studies (Bank of England), the European Central Bank and King’s College London
London, 21 and 22 July 2022 - Hybrid event
This hybrid event will be hosted onsite at the Bank of England and virtually on MS Teams. Guidelines on accessing the workshop via MS Teams will be sent to registered virtual attendees at a later date.
Programme
Times are British Summer Time, BST (CET-1)
* indicates the presenter
- 8:15
- Registration
- 9:00
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Opening remarks
Chair: Diego Rodriguez-Palenzuela, ECB
Huw Pill, Chief Economist, Bank of England
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Session 1: Empirical monetary policy identification (I)
- 9:15
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Identifying monetary policy shocks: a natural language approach
Thomas Drechsel*, University of Maryland, with S. Borağan Aruoba
Discussant: Xiang Li, Halle Institute for Economic Research
Voting right rotation, behavior of committee members and financial market reactions: evidence from the U.S. Federal open market committee
Michael Ehrmann*, European Central Bank, with Robin Tietz and Bauke Vissier
Discussant: Xinfen Han, Bank of Canada
- 10:45
- Break
Session 2: Novel approaches to macroeconomics
Chair: Juan Mateos-Garcia, Nesta
- 11:00
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A long-run anatomy of task exposures to technology
Joseba Martinez*, London Business School, with Johan Moen-Vorum
Discussant: Johannes Zahner, Marburg Centre for Institutional Economics
Estimating Nonlinear Heterogenous Agent models with neural networks
Matthias Rottner*, Deutsche Bundesbank, with Hanno Kase and Leonardo Melosi
Discussant: Ed Hill, Bank of England
- 12:30
- Lunch
- 13:30
Keynote: Surveying over 100 million people world-wide with Meta: Global Covid-19 Trends and Economic Impacts
Frauke Kreuter, University of Maryland & LMU Munich
Chair: Andreas Joseph, Bank of England
Session 3: Central bank communication
Chair: Rafael Wildauer, University of Greenwich
- 14:30
-
More than words: Fed chairs’ communication during congressional testimonies
Xinfen Han*, Bank of Canada, with Michelle Alexopoulos, Oleksiy Kryvtsov and Xu Zhang
Discussant: Aakriti Mathur, Bank of England
The effects of central bank digital currency communication and associated social media sentiment on cryptocurrency markets
Iulia Cioroianu*, University of Bath, with Shaen Corbet, Charles Larkin and Les Oxley
Discussant: Alvaro Ortiz, BBVA
- 16:00
- Break
Session 4: Machine learning for macroeconomic forecasting
Chair: Nicolas Woloszko, OECD
- 16:30
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Forecasting CPI inflation components with hierarchical recurrent neural networks
Jonathan Benchimol*, Bank of Israel, with Oren Barkan, Itamar Caspi and Eliya Cohen, Allon Hammer and Noam Koenigstein
Discussant: Luigi Palumbo, Università degli Studi della Tuscia
An interpretable machine learning workflow with an application to economic forecasting
Andreas Joseph*, Bank of England, with Marcus Buckmann
Discussant: Philippe Goulet Coulombe, Université du Québec à Montréal
- 18:00
Reception and poster session
- Forecasting GDP in Europe with textual data by Luca Barbaglia, European Commission, with Sergio Consoli and Sebastiano Manzan (virtual quick talk)
- The informative value of central banks talks: a topic model application to sentiment analysis by Maria Paola Priola, Prometeia, with Annalisa Molino, Giacomo Tizzanini and Lea Zicchino (virtual quick talk)
- Sparse temporal disaggregation by Alex Gibberd, Lancaster University, with Luke Mosley and Idris Eckley
- Can alternative data improve the accuracy of factor model nowcasts? by Radu Gabriel Cristea, University of Cambridge
- A neural Phillips curve and a deep output gap by Philippe Goulet Coulombe, Université du Québec à Montréal
- Modelling equity transitions as bursty processes by Isobel Seabrook, Financial Conduct Authority, Paolo Barucca and Fabio Caccioli
- Nowcasting the Italian food inflation using online prices by Luigi Palumbo, Università degli Studi della Tuscia and Juri Marcucci and Federico Crescenzi
- Reinforcement Learning Assisted Outlier Detection for Costly to Verify Data by Michiel Nijhuis, De Nederlandsche Bank, and Iman Van Lelyveld
- 19:45
- End of day 1
- 9:00
- Registration
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Session 5: High-dimensional data
Chair: Arthur Turrell, Office for National Statistics
- 9:30
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National accounts in a world of naturally occurring data: a proof of concept for consumption
Álvaro Ortiz*, BBVA, with Gergely Buda, Vasco Carvalho, Stephen Hansen, Tomasa Rodrigo and José Rodríguez Mora
Discussant: Nicolas Woloszko, OECD
Saved by the bell? Equity market responses to surprise Covid-19 lockdowns and central bank interventions
Aakriti Mathur*, Bank of England, with Rajeswari Sengupta and Bhanu Pratap
Discussant: Iulia Cioroianu, University of Bath
- 11:00
- Break
Session 6: Empirical monetary policy identification (II)
Chair: George Kapetanios, King’s College London
- 11:15
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How does BigTech credit affect monetary policy transmission?
Xiang Li*, Halle Institute for Economic Research, with Yiping Huang, Han Qiu and Changhua Yu
Discussant: Jonathan Benchimol, Bank of Israel
State-dependent macroeconomic policy effects: a varying-coefficient VAR
Adrian Ochs*, University of Cambridge, with Christian Rörig
Discussant: Parley Ruogu Yang, University of Cambridge
- 12:45
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Closing remarks
Oscar Arce, Director General Economics, ECBy
Please note that this programme may be subject to change without notice.
Audiovisual notice: Images and video recordings may be published online
Bank of England
Threadneedle Street
London EC2R 8AHl
- Bank of England
- Andrew Blake
- Andreas Joseph
- King’s College London
- George Kapetanios
- Fotis Papailias
- European Central Bank
- Michele Lenza
- Chiara Osbat
- Diego Rodriguez-Palenzuela
Maria Brady, Event administrator
+44 20 3461 4542