International Conference

“Frontiers in Macroeconometrics”

1-3 March 2013, Hitotsubashi University

Hosted by: Grant-in-Aid for Scientific Research “Econometric Analysis of Macroeconomic Policy under Financial Crisis” (No.22243206), the Global COE program “Research Unit for Statistical and Empirical Analysis in Social Sciences” at Hitotsubashi University and Hitotsubashi University Research Project “Economic Analysis of Financial Crisis, Disaster and Globalization Using Large-Scale and High-Frequency Data”.

Venue: Conference room on the 7th floor of Mercury tower, Hitotsubashi University
Organizer: Toshiaki Watanabe (Hitotsubashi University)
Time: 25 minutes for presentation and 15 minutes for discussion

Schedule Summary:

  March 1 (Fri) March 2 (Sat) March 3 (Sun)
9:30-10:50 Business Cycle I DSGE Models Time-varying Parameter Models
(-11:30)
11:00-12:20 Fiscal Policy Monetary Policy I
13:00-15:00 Asset and Commodity Markets Monetary Policy II
15:10-16:30 Business Cycle II Model Averaging
16:40-18:00 Japanese Economy DSGE and Factor Models



March 1 (Friday)

9:25-9:30Opening Remarks: Toshiaki Watanabe (Hitotsubashi University)
9:30-10:50
Business Cycle I
Chair: James Morley (University of New South Wales)
9:30-10:10 Toshiaki Watanabe (Hitotsubashi University),
“Bayesian Analysis of Business Cycles in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution” (abstract)
10:10-10:50 Kazuhiko Kakamu (Chiba University),
“Regional Growth and Business Cycle in Japan” (abstract)
Co-author: Yoshihiro Ohtsuka (Hokkaido University)
10:50-11:00Coffee Break
11:00-12:20
Fiscal Policy
Chair: Etsuro Shioji (Hitotsubashi University)
11:00-11:40 Hiroshi Morita (Hitotsubashi University),
“The Macroeconomic Effects of Fiscal Policy and Rule-of-thumb Households” (abstract)
11:40-12:20 Francesco Bianchi (Duke University),
“Dormant Shocks and Fiscal Virtue” (paper)
Co-author: Leonardo Melosi (Federal Reserve Bank of Chicago)
12:20-13:00Lunch
13:00-15:00
Asset and Commodity Markets
Chair: Eiji Kurozumi (Hitotsubashi University)
13:00-13:40 Jun Yu (Singapore Management University),
“Testing for Multiple Bubbles” (abstract)
Co-authors: Peter C. B. Phillips (Yale University, University of Auckland, University of Southampton and Singapore Management University) and Shu-Ping Shi (Australian National University)
13:40-14:20 Tatsuyoshi Okimoto (Hitotsubashi University),
“Increasing Trends in the Excess Comovement of Commodity Prices” (paper)
Co-author: Kazuhiko Ohashi (Hitotsubashi University)
14:20-15:00 Kyu Ho Kang (Korea University),
“Forecasting the Term Structure of Interest Rates with Possibly Misspecified Models” (abstract)
Co-author: Yunjong Eo (University of Sydney)
15:00-15:10Coffee break
15:10-16:30
Business Cycle II
Chair: Kazumi Asako (Hitotsubashi University)
15:10-15:50 Munechika Katayama (Louisiana State University),
“Imperfect Labor Mobility, Non-Separable Preferences, and Expectation Driven Business Cycles” (abstract)
Co-author: Kwang Hwan Kim (Yonsei University)
15:50-16:30 Woong Yong Park (University of Hong Kong),
“Policy Regimes, Policy Shifts, and U.S. Business Cycles” (abstract)
Co-authors: Saroj Bhattarai (Pennsylvania State University) and Jae Won Lee (Rutgers University)
16:30-16:40Coffee break
16:40-18:00
Japanese Economy
Chair: Wataru Takahashi (Kobe University)
16:40-17:20 Takemasa Oda (Bank of Japan),
“Macroeconomic Impact of Population Aging in Japan: A Perspective from an Overlapping Generations Model” (paper)
Co-authors: Ichiro Muto (Bank of Japan) and Nao Sudo (Bank of Japan)
17:20-18:00 Yuzo Honda (Kansai University),
“Tobin's q as a Transmission Channel for Nontraditional Monetary Policy: The Case of Japan” (abstract)
Co-author: Minoru Tachibana (Osaka Prefectural University)
18:30-Reception

March 2 (Saturday)

9:30-10:50
DSGE Models
Chair: Ippei Fujiwara (Australian National University)
9:30-10:10 Takushi Kurozumi (Bank of Japan),
“Identifying News Shocks with Forecast Data” (paper)
Co-author: Yasuo Hirose (Keio University)
10:10-10:50 Sungbae An (Singapore Management University),
“A Nonlinear Estimation of Economies with Recursive Preferences” (abstract)
10:50-11:00Coffee Break
11:00-12:20
Monetary Policy I
Chair: Takushi Kurozumi (Bank of Japan)
11:00-11:40 Jae-Young Kim (Seoul National University),
“Monetary Policy under Bounded Rationality” (paper)
Co-author: Seunghoon Na (Columbia University)
11:40-12:20 Soyoung Kim (Seoul National University),
“What are the Effects of Monetary Policy Shocks? Sign Restrictions and Endogeneity of Monetary Policy Actions” (abstract)
12:20-13:00Lunch
13:00-15:00
Monetary Policy II
Chair: Kunio Okina (Kyoto University)
13:00-13:40 James Morley (University of New South Wales),
“The Meta Taylor Rule” (abstract)
Co-authors: Kevin Lee (University of Nottingham) and Kalvinder Shields (University of Melbourne)
13:40-14:20 Jinill Kim (Korea University),
“Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero” (paper)
Co-author: Seth Pruitt (Federal Reserve Board)
14:20-15:00 Rodney Strachan (Australian National University),
“Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods” (abstract)
Co-author: Joshua C.C. Chan (Australian National University)
15:00-15:10Coffee break
15:10-16:30
Model Averaging
Chair: Rodney Strachan (Australian National University)
15:10-15:50 Gianni Amisano (European Central Bank),
“Prediction Using Several Macroeconomic Models” (paper)
Co-author: John Geweke (University of Technology Sydney, Erasmus University and University of Colorado)
15:50-16:30 Roberto Leon-Gonzales (National Graduate Institute for Policy Studies),
“Endogeneity and Panel Data in Growth Regression: A Bayesian Model Averaging Approach” (paper)
Co-author: Daniel Montolio (University of Barcelona and Barcelona Institute of Economics)
16:30-16:40Coffee break
16:40-18:00
DSGE and Factor Models
Chair: Gianni Amisano (European Central Bank)
16:40-17:20 Hirokuni Iiboshi (Tokyo Metropolitan University),
“Sources of Great Recession: A Bayesian Approach of a Data Rich DSGE Model with Time-Varying Volatility Shocks” (paper)
Co-authors: Tatsuyoshi Matsumae (Economic and Social Research Institute, Cabinet Office) and Shin-Ichi Nishiyama (Tohoku University)
17:20-18:00 Yohei Yamamoto (Hitotsubashi University),
“Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series” (paper)

March 3 (Sunday)

9:30-11:30
Time-varying Parameter Models
Chair: Toshiaki Watanabe (Hitotsubashi University)
9:30-10:10 Jouchi Nakajima (Bank of Japan),
“Bayesian Analysis of Latent Threshold Dynamic Models” (abstract)
10:10-10:50 Ippei Fujiwara (Australian National University),
“Comovements in Structural Changes” (abstract)
Co-author: Tuan Phan (Australian National University)
10:50-11:30 Etsuro Shioji (Hitotsubashi University),
“Time Varying Pass-through: Will the Yen Depreciation Help Japan Hit the Inflation Target?” (abstract)
11:30-11:35Closing Remarks: Etsuro Shioji (Hitotsubashi University)