20th IWH-CIREQ-GW Macroeconometric Workshop: Micro Data and Macro Questions

The workshop provided a platform to discuss new developments in the field of empirical and applied macroeconomic modelling and aimed at bringing together academic researchers and practitioners. We invited applied and theoretical papers dealing with time series and broad macroeconomic topics. Papers that explicitly covered the macroeconomic topics with microdata were particularly welcome.

Who

Keynote Speakers: Marco Del Negro (Federal Reserve Bank of New York); Frank Schorfheide (University of Pennsylvania)

Where

IWH conference room

Call for papers

Agenda

Professor Frank Schorfheide, University of Pennsylvania (Foto: IWH)

In the first keynote, Professor Frank Schorfheide, University of Pennsylvania, developed new empirical tools to generate semi-structural evidence about the interaction of aggregate and distributional dynamics and implemented Bayesian estimation of a functional state-space model. He provided an empirical application for investigating the joint dynamics of technology shocks, per capita GDP, employment rates, and the earnings distribution using a functional state-space model. In this talk, he showed empirical findings that imply the existence of weak interaction between macro aggregates and earnings distribution; there are some but weak spillovers from the aggregate shocks to the distributional dynamics and the effects of the distributional shock at the aggregate level are overall unclear.

Marco Del Negro, Federal Reserve Bank of New York (Foto: IWH)

The second keynote by Marco Del Negro, PhD, Federal Reserve Bank of New York, focused on why Heterogeneous Agent New Keynesian (HANK) models can be potentially useful for policy analysis and how we can estimate HANK models. Some computational and methodological challenges on an estimation of the model need to be handled to implement a HANK model for policy analysis. In the talk, he provided a practical implementation of fast likelihood computation for a large state vector and Sequential Monte Carlo to handle those challenges. On top of that, he considered a HANK model for policy analysis and showed a possibility of improved forecasting of key macro variables.

All presentations led to lively discussions within the sessions, poster sessions, and during coffee breaks. As in former years, poster sessions took place in addition to the presentations.

Information on previous IWH-CIREQ-GW Macroeconometric Workshops can be found here.