University of California Riverside

“Business Cycles: Theoretical and Empirical Advances”

April 10-11, 2009

Conference Location – Mission Inn Hotel, Riverside

Conference Summary

Conference Program (Preliminary)

Click on the session name in order to view the related papers or go directly to the detailed program

Conference Summary

Thursday, April 9 7:00 - 9:00 pm Opening Reception and Registration
Friday, April 10	Saturday, April 11
7:30 - 8:45 Registration and Breakfast 8:45 - 9:00 Welcome 9:00 - 10:00 PLENARY SESSION Theoretical Advances on Business Cycles Russell Cooper 10:00 - 10:15 Coffee Break 10:15 - 12:45 INVITED SESSION Theoretical Advances on Business Cycles 12:45 - 2:30 Conference Luncheon – Arroyo Vista Café CONTRIBUTED SESSIONS 2:30-4:00 Session 1 – Empirical Advances Session 2 – Empirical Advances Session 1 – Theoretical Advances 4:00 - 4:30 Coffee Break 4:30 – 6:00 Session 2 – Theoretical Advances Session 3 – Empirical Advances 7:00 – 9:00 Conference Dinner – Mission Inn Hotel	7:30 - 9:00 Breakfast 9:00 - 10:00 PLENARY SESSION Empirical Advances on Business Cycles James Hamilton 10:00 - 10:15 Coffee Break 10:15 - 12:15 INVITED SESSION Empirical Advances on Business Cycles 12:15 - 2:00 Conference Luncheon – Arroyo Vista Café CONTRIBUTED SESSIONS 2:00-3:30 Session 4 – Empirical Advances Session 3 – Theoretical Advances 3:30 - 4:00 Coffee Break 4:00 – 5:00 Session 4 – Theoretical Advances 4:00 – 5:30 Session 5 – Empirical Advances 4:00 – 6:00 Session 6 – Empirical Advances 6:00 Adjourn

Conference Program (Preliminary)

Friday, April 10

7:30 - 8:45 Registration and Breakfast

8:45 - 9:00 Welcome – Aman Ullah, Marcelle Chauvet, Jang Ting Guo, Richard Suen

9:00 - 10:00 PLENARY SESSION: THEORETICAL ADVANCES ON BUSINESS CYCLES

Russell Cooper (University of Texas at Austin)

“Current Economic Events: Three Questions and Some Speculations”

10:00 - 10:15 Coffee Break

10:15 - 12:45 INVITED SESSION: THEORETICAL ADVANCES ON BUSINESS CYCLES

Chair: Richard Suen (University of California Riverside)

“Really Uncertain Business Cycles”

Nir Jaimovich (Stanford University)

Nicolas Bloom(Stanford University)

Max Floetotto (Stanford University)

“Macroeconomic Effects of Financial Shocks”

Vincenzo Quadrini (University of Southern California)

Urban Jermann (University of Pennsylvania)

“Housing Markets and Labor Markets: Time to Move and Aggregate Unemployment”

Peter Rupert (University of California Santa Barbara)

Etienne Wasmer (SciencesPo Paris and OFCE)

"Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production"

Pierre-Daniel G. Sarte (Federal Reserve Bank of Richmond)

Andrew Foerster (Duke University)

Mark Watson (Princeton University)

“What’s News in Business Cycles”

Martín Uribe (Columbia University)

Stephanie Schmitt-Grohé (Columbia University)

12:45 - 2:30 Conference Luncheon - Arroyo Vista Café (UCR)

Friday, April 10 – Contributed Sessions

2:30-4:00 SESSION 1 – ECONOMETRICS ADVANCES

Chair: Barbara Rossi (Duke University)

“Estimation and Inference by the Method of Projection Minimum Distance: An

Application to the New Keynesian Hybrid Phillips Curve”

Oscar Jorda (University of California San Diego)

Sharon Kozicki (Bank of Canada)

”Which Structural Parameters Are "Structural"? Identifying the Sources of

Instabilities in Economic Models”

Barbara Rossi (Duke University)

Atsushi Inoue (North Carolina State University)

“An Econometric Analysis of Some Models for Constructed Binary Series”

Don Harding (LaTrobe University, Australia)

Adrian Pagan (Queensland University of Technology, Australia)

“A Time-Varying Threshold STAR Model of Unemployment”

Michael Dueker (Russell Investments)

Michael Owyang (Federal Reserve Bank of Saint Louis)

Martin Sola (Universidad Torcuato DiTella and Birkbeck College)

2:30 – 4:00 SESSION 2 (EMPIRICAL ADVANCES) – PREDICTING RECESSIONS

Chair: Paulo Picchetti (Fundação Getúlio Vargas/IBRE, Brazil)

“Improving Recession Probability Forecasts in the U.S. Economy”

Munechika Katayama, Louisiana State University

“State Space Model for Coincident and Leading Indexes of Economic Activity”

João Victor Issler (Fundação Getúlio Vargas, Brazil)

Rafael de Souza (Fundação Getúlio Vargas, Brazil)

“Wavelet-Based Leading Indicators of Industrial Activity in Brazil”

Paulo Picchetti (Fundação Getúlio Vargas/IBRE, Brazil)

“Obtaining Early Signals about US-recessions: An Application of a New and

Efficient Multivariate Real-Time Filter”

Marc Wildi (Zurich University of Applied Sciences)

2:30-4:00 SESSION 1 – THEORETICAL ADVANCES

Chair: Richard Suen (University of California Riverside)

“A Competitive Theory of Equilibrium Mismatch”

Javier A. Birchenall (University of California Santa Barbara)

“Precautionary Demand for Money in a Monetary-Search Business Cycle Model”

Irina A. Telyukova (University of California San Diego)

Ludo Visschers (Simon Fraser University)

“Oil Booms and their Impact Through Fiscal Policy”

Anamaria Pieschacon (Stanford University)

“Finite State Markov-Chain Approximations to Highly Persistent Processes”

Richard Suen (University of California Riverside)

Karen A. Kopecky in the University of Western Ontario

4:00 - 4:30 Coffee Break

4:30 – 6:00 SESSION 2 – THEORETICAL ADVANCES

Chair: Wei Xiao (Binghamton University)

“Setting the Right Prices for the Wrong Reasons”

Venky Venkateswaran (University of California Los Angeles)

Christian Hellwig (University of California Los Angeles)

“Capital Reallocation and Liquidity with Search Frictions”

Yong Kim (University of Southern California)

“Housing Prices, Expectations, and Monetary Policy”

Wei Xiao (Binghamton University)

Birol Kanik (Binghamton University)

4:30 – 6:00 SESSION 3 (EMPIRICAL ADVANCES) – ASYMMETRIES AND THE BUSINESS

CYCLE

Chair: Tara Sinclair (George Washington University)

“The Asymmetric Business Cycle”

James Morley (Washington University in Saint Louis)

Jeremy Piger (University of Oregon)

“A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a

Predictor of Business Cycles”

Marcelle Chauvet (University of California Riverside)

Zeynep Senyuz (University of New Hampshire)

“The Propagation of Regional Recessions”

Michael Owyang (Federal Reserve Bank of Saint Louis)

James Hamilton (University of California San Diego)

“Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated

Innovations”

Tara Sinclair (George Washington University)

7:00 – 9:00 – Conference Dinner – Mission Inn Hotel

Saturday, April 11

7:30 - 9:00 Breakfast

9:00 - 10:00 PLENARY SESSION: EMPIRICAL ADVANCES ON BUSINESS CYCLES

James Hamilton (University of California San Diego)

“Calling Recessions in Real Time”

10:00 - 10:15 Coffee Break

10:15 - 12:15 INVITED SESSION: EMPIRICAL ADVANCES ON BUSINESS CYCLES

Chair: Marcelle Chauvet (University of California, Riverside)

“DSGE Model Based Forecasting of Non-Modelled Variables”

Frank Schorfheide (University of Pennsylvania, CEPR and NBER)

Keith Sill (Federal Reserve Bank of Philadelphia)

Maxym Kryshko (University of Pennsylvania)

“Stochastic Volatility and Parameter Drifting in DSGE Models”

Juan Rubio-Ramirez (Duke University)

Jesus Fernandez-Villaverde (University of Pennsylvania)

Pablo Guerron-Quintana (North Carolina State University)

“Asset-Price Channels and Macroeconomic Fluctuations”

Tao Zha (Federal Reserve Bank of Atlanta)

Zheng Liu (Emory University)

Pengfei Wang (Hong Kong University of Science & Technology)

“Real-Time Assessment of Business Conditions”

S. Boragan Aruoba (University of Maryland)

Frank Diebold (University of Pennsylvania)

Chiara Scotti (The Federal Reserve Board)

12:15 - 2:00 Conference Luncheon – Arroyo Vista Café (UCR)

Saturday, April 11 – Contributed Sessions

2:00 – 3:30 SESSION 4 (EMPIRICAL ADVANCES) – DYNAMIC STOCHASTIC GENERAL

EQUILIBRIUM MODELS

Chair: Jie Li (University of California Riverside)

“Tailored Multiple-block MCMC Methods for Analysis of DSGE Models”

Srikanth Ramamurthy (Washington University in Saint Louis)

Siddhartha Chib (Washington University in Saint Louis)

“Markov Switching Stochastic Volatility in U.S. Business Cycles: A Bayesian DSGE Approach”

Jie Li (University of California Riverside)

“Learning and Time-Varying Macroeconomic Volatility”

Fabio Milani (University of California Irvine)

“Microfoundations of Inflation Persistence in a New Keynesian Phillips Curve Model”

Insu Kim (University of California Riverside)

Marcelle Chauvet (University of California Riverside)

2:00 – 3:30 SESSION 3 – THEORETICAL ADVANCES

Chair: Carl Walsh (University of California Santa Cruz)

“Procylical News Shocks with Minimal Departure from a Neo-Classical Framework”

Bill Dupor (Ohio State University)

Saif Mehkari (Ohio State University)

“News and Knowledge Capital”

Alok Johri (McMaster University)

Christopher Gunn (McMaster University)

“Speculative Growth and Overreaction to Technology Shocks”

Kevin J. Lansing (Federal Reserve Bank of San Francisco)

“The Welfare Consequences of Monetary Policy and the Role of the Labor Market: a

Tax Interpretation”

Federico Ravenna (University of California Santa Cruz)

Carl Walsh (University of California Santa Cruz)

3:30 - 4:00 Coffee Break

4:00 – 5:00 SESSION 4 – THEORETICAL ADVANCES

Chair: Robert Dekle (University of Southern California)

“Endogenous Labor Supply, International Trade and Macroeconomic Dynamics”

Daniel Farhat (University of California Riverside and the University of Otago, New Zealand)

“The Shifting Shape of Risk: Endogenous Market Failure for Insurance”

Thomas G. Koch (University of California Santa Barbara)

“Firm Level Heterogeneity and Aggregate Disconnect Puzzle between Exchange Rates

and Exports”

Robert Dekle (University of Southern California)

Hyeok Jeong (Vanderbilt University)

Heajin Ryoo (La Trobe University, Australia)

4:00 – 5:30 SESSION 5 (EMPIRICAL ADVANCES) – MONETARY POLICY, HOUSING, AND

THE BUSINESS CYCLE

Chair: Meichi Huang (University of California Riverside)

“Money and Credit over Business Cycle”

Alberto Musso (European Central Bank)

“The Role of House Prices in the Monetary Policy Transmission Mechanism in the

U.S.”

Hilde C. Bjørnland (Norwegian School of Management)

Dag Henning Jacobsen (Norges Bank)

“The Seeds of the Current Crisis – The Housing Market and the Business Cycle”

Meichi Huang (University of California Riverside)

Marcelle Chauvet (University of California Riverside)

“Real Time State-Space Method for Computing Filtered Estimates of Future

Revisions of U.S. Monthly Chained CPI”

Peter Zadrozny (Bureau of Labor Statistics)

4:00 – 6:00 SESSION 6 (EMPIRICAL ADVANCES) – PROPAGATION OF SHOCKS, CYCLES, AND GROWTH

Chair: Shushanik Papanyan (University of Texas at Arlington)

“Shock absorption: A Markov-Chain Measurement Using Micro-Panel Data”

Christian Müller (KOF Swiss Economic Institute)

Eva Köberl (KOF Swiss Economic Institute)

“On the Cyclicality of R&D”

Min Ouyang (University of California Irvine)

“Transmission of Shocks between Europe, Japan and the United States”

Shushanik Papanyan (University of Texas at Arlington)

“Business Cycle Dynamics in the Euro Area”

Atilim Seymen (Centre for European Economic Research, Germany)

“Business Cycle Measurement with Semantic Filtering: A Micro Data Approach”

Eva Köberl (KOF Swiss Economic Institute)

Christian Müller (KOF Swiss Economic Institute)

6:00 Adjourn