ESRC Virtual Workshop on Predictability, Forecasting and Monitoring

The Essex Centre for Macro and Financial Econometrics (ECMFE) warmly invite you to join this workshop on predictability, forecasting and monitoring.

  • Mon 12 - Wed 14 Jul 21


  • Online

    Book your place now

  • Event type

    Lectures, talks and seminars

  • Event organiser

    Essex Business School

  • Contact details

    Workshop Organisers

The Essex Centre for Macro and Financial Econometrics (ECMFE) is a joint venture between Essex Business School and the Department of Economics and brings together academics and industry expertise from both inside and outside the University of Essex to research and help solve important issues in macroeconomics and financial markets.

Workshop details

This workshop will take place virtually over three days.

Monday 12 July to Wednesday 14 July 2021

Times are in BST

Recordings for the workshop can be found on Panopto

Workshop programme

Monday 12 July 2021 : Session 1

Welcome and Introduction

4.00pm to 4.05pm

Organisers: Robert Taylor, Simon Price and Yuqian Zhao


Monitoring and Comparing forecasting performance with panel data

4.05pm to 5.00pm

Allan Timmermann (UC San Diego)

(Joint with Yinchu Zhu)


Forecasting with shadow-rate VARs

5.00pm to 6.00pm

Todd Clark (Federal Reserve Bank of Cleveland)


Recording for Day 1

Tuesday 13 July 2021 : Session 2

On Local Projection Based Inference

4.00pm to 5.00pm

Ke-Li Xu (Indiana University)


Extensions to IVX Methods of Inference for Return Predictability

5.00pm to 6.00pm

Robert Taylor (Essex Business School)

(Joint with Matei Demetrescu, Iliyan Georgiev and Paulo Rodrigues)


 Recording for Day 2

Wednesday 14 July 2021 : Session 3

Censored Density Forecasts: Production and Evaluation

4.00pm to 5.00pm

James Mitchell (Federal Reserve Bank of Cleveland)

 Joint with Martin Weale

The 8th Annual John C. Nankervis Memorial Lecture

Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence

5.00pm to 6.00pm

Barbara Rossi (CREI, Univ. Pompeu Fabra)


Recording for Day 3


Professor Robert Taylor

Professor Simon Price

Dr Yuqian Zhao


This is an EBS ECMFE and MMF event. The organisers gratefully thank the Economic and Social Research Council of the United Kingdom for their funding of this workshop under the research grant ES/R00496X/1


If you have any questions please contact the organisers by email (ecmfe@essex.ac.uk)

Related events