8th Macroeconomic Policy Research Workshop on DSGE Models: A Closer Look at the Workhorse of Macroeconomics

September  3-4, 2009

Budapest, Hungary

Magyar Nemzeti Bank

Centre for Economic Policy Research

Final Program                    

General information

Registration form


Final Program

September 3, Thursday

08:30 – 08:45 Registration

  (Magyar Nemzeti Bank, Address: Szabadság tér 8-9.)

08:45 – 09:00 Welcome address

András Simor (Governor, Magyar Nemzeti Bank)

Session 1

Chair: László Halpern (Institute of Economics, Hungarian Academy of Sciences)

09:00 – 09:50

Frank Schorfheide (University of Pennsylvania and CEPR), Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs (joint with Boragan Aruoba, University of Maryland)

Discussant: Federico Signoretti (Banca d’Italia)

09:50 – 10:40

Cosmin L. Ilut (Northwestern University and Duke University), Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle

Discussant: Péter Kondor (Central European University)

 10:40 – 11:00 Coffee break

 11:00 – 11:50

Andrés Fernández (Rutgers University and Universidad de Los Andes), On the Sources of Aggregate Fluctuations in Emerging Economies (joint with Roberto Chang, NBER and Rutgers University)

Discussant: Péter Benczúr (Magyar Nemzeti Bank and Central European University)

11:50 – 12:40

Ulf Söderström (Sveriges Riksbank and CEPR), Estimating Potential Output in a Modern Business Cycle Model (joint with Luca Sala, IGIER and Bocconi University; and Antonella Trigari, IGIER and Bocconi University)

Discussant: Simona Delle-Chiaie (Österreichishe Nationalbank)

 12:40 – 13:40 Lunch

 13:40 – 14:30

Keynote Speech

Lawrence J. Christiano (Northwestern University), Financial Factors in Business Cycles

Session 2

Chair: Gábor Oblath (Hungarian Fiscal Council)

14:30 – 15:20

Anton Nakov (Banco de Espana), Dynamics of the Price Distribution in a General Model of State-Dependent Pricing (joint with James Costain, Banco de Espana)

Discussant: Ádám Reiff (Magyar Nemzeti Bank)

15:20 – 16:10

Bernardo Guimarăes (London School of Economics and CEPR), Sales and Monetary Policy

Discussant: Attila Rátfai (Central European University)

 16:10 – 16:30 Coffee break

 16:30 – 17:20

Carlos Thomas (Banco de Espana), Banking competition, collateral constraints and optimal monetary policy (joint with Javier Andrés and Óscar Arce)

Discussant: Yuliya Rychalovska (CERGE-EI)

17:20 – 18:10

Katalin Szilágyi (Magyar Nemzeti Bank), Optimal Monetary Policy in an Estimated DSGE Model for Hungary  (joint with Zoltán M. Jakab and Balázs Világi, Magyar Nemzeti Bank)

Discussant: Ulf Söderström (Sveriges Riksbank and CEPR)

20:00   Danube cruise with dinner

 September 4, Friday

Session 3

Chair: Julius Horvath (Central European University)

9:00 – 9:50

Rafael Wouters (National Bank of Belgium), 

Estimating a medium–scale DSGE model with expectations based on small forecasting models  (joint with Sergey Slobodyan, CERGE-EI)

Discussant: Krisztina Molnár (Norwegian School of Economics and Business Administration)

9:50 – 10:40

Arturo Ormeno (Universitat Pompeu Fabra), Disciplining expectations: adding survey expectations in learning models

Discussant: Klaus Adam (University of Mannheim and CEPR)

 10:40 – 11:00 Coffee break

Session 4

Chair: Péter Pete (Eötvös Loránd University)

11:00 – 11:50

Giovanni Lombardo (European Central Bank), Solving for Optimal Portfolio Dynamic Choices with Multiple Agents and Multiple Assets: An asymptotic approach with some open economy application (joint with Luca Dedola, European Central Bank and CEPR)

Discussant: Sergey Slobodyan (CERGE-EI)

11:50 – 12:40

Nikolay Iskrev (Banco de Portugal), Evaluating the strength of identification in DSGE models. An a priori approach

Discussant: Frank Schorfheide (University of Pennsylvania)

12:40 – 13:40 Lunch

13:40 – 14:30

Keynote Speech

Mark Gertler (New York University), Unconventional Monetary Policy

Session 5

Chair: Ágnes Csermely (Magyar Nemzeti Bank)

14:30 – 15:20

Ebrahim Rahbari (London Business School), International Portfolios with Nominal Rigidities and Capital Accumulation

Discussant: Gianluca Benigno (London School of Economics and CEPR)

15:20 – 16:10

Robert Kollman (ECARES, Université Libre de Bruxelles and CEPR), International Portfolios, Capital Accumulation and Foreign Assets Dynamics(joint with Nicolas Coeurdacier, London Business School and CEPR; and Philippe Martin, Sciences Po (Paris) and CEPR)

Discussant: Sumru Altug (Koc University and CEPR)

16:10 – 17:00

Katrin Rabitsch (Magyar Nemzeti Bank and Central European University), The Role of Financial Market Structure and the Trade Elasticity for Monetary Policy in Open Economies

Discussant: Robert Kollman (ECARES, Université Paris XII and CEPR)

17:30   Wine tasting

Last update: September 2, 2009