Workshop: “The Economics of Risk. Econometric Tools and Policy Implications”

Workshop “The Economics of Risk. Econometric Tools and Policy Implications”

Collegio Carlo Alberto, University of Torino (ESOMAS Dept.) and CCA DataLab are jointly organizing a workshop dedicated on bringing together researchers investigating the risk in economics, focusing on macroeconometric modeling and tail risk. Covered topics include: the transmission of macroprudential policy in financial markets, inflation risk, international risk sharing and the impact of monetary policy. Speakers from academia, central banks and international organizations will join the event.

This is a pre-conference workshop, ahead of the conference “Economics of Risk” jointly organized together with ESM, BIS, European University Institute in Luxembourg on 26-27 September 2024.

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Monday, September 23

8:30 – 8:55 Registration

8:55 – 9:00 Welcome

9:00 – 10:00 Density forecasts of inflation: a quantile regression forest approach
Michele Lenza (European Central Bank) with Ines Moutachaker (INSEE) and Joan Parades (CEPR)

10:00 – 11:00 Measuring the Effects of Aggregate Shocks on Unit-Level Outcomes and Their Distribution
Stephanie Ettmeier (University of Bonn) with Chi Hyun Kim (University of Bonn) and Frank Schorfeide (University of Pennsylvania)

11:00 – 11:30 Coffee Break

11:30 – 12:30 Demand and Supply Drivers through the Lens of Distributions of Survey Expectations
Sarah Mouabbi (Banque de France) with Jean-Paul Renne (University of Lausanne) and Adrien Tschopp (University of Lausanne)

12:30 – 13:30 Higher-Order Moment Inequality Restrictions for SVARs
Filippo Ferroni (FRB Chicago) with Philippe Andrade (FRB Boston ) and Leonardo Melosi (University of Warwick)

13:30 – 14:30 Lunch

14:30 – 15:30 Risk and Monetary Policy in a Data-Rich Model
Haroon Mumtaz (Queen Mary University) with Dario Caldara (Federal Reserve Board) and Molin Zhong (Federal Reserve Board)

15:30 – 16:30 Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs
Dimitris Korobilis (University of Glasgow)

Tuesday, September 24

9:00 – 10:00 Long run trends in short-maturity rates and term spreads
Barbara Rossi (Universitat Pompeu Fabra)

10:00 – 11:00 The Transmission of Macroprudential Policy in the Tails: Evidence from a Narrative Approach
Álvaro Fernández-Gallardo (Bank of Spain) with Simon Lloyd (Bank of England) and Ed Manuel (London School of Economics)

11:00 – 11:30 Coffee Break

11:30 – 12:30 The Taming of the Skew: Asymmetric Inflation Risk and Monetary Policy
Leonardo Melosi (University of Warwick) with Andrea De Polis (University of Strathclyde) and Ivan Petrella (Collegio Carlo Alberto)

12:30 – 13:30 International risk sharing and wealth allocation with higher order cumulants
Giovanni Lombardo (BIS) with Giancarlo Corsetti (EUI) and Anna Lipińska (Federal Reserve Board)

13:30 – 14:30 Lunch

Organizing Committee: Luca Gambetti (Collegio Carlo Alberto), Giulia Gitti (Collegio Carlo Alberto), Ivan Petrella (Collegio Carlo Alberto and Warwick Business School), Federico Ravenna (Collegio Carlo Alberto)

For further info, please contact: datalab@carloalberto.org