Macroeconomics and Reality, 25 Years Later
April 1-2, 2005
Conference jointly organized with the European Central Bank, Riksbank and Banco de España. The Program Committee was composed of Fabio Canova (Università Bocconi and UPF), Eric Leeper (Indiana University), Albert Marcet (IAE and UPF), Harald Uhlig (Humboldt University) and Tao Zha (FRB of Atlanta).
With the publication of his article "Macroeconomics and reality" in Econometrica twenty five years ago, Professor Chistopher Sims (currently at Princeton University) started a revolution in macroeconometrics by arguing that traditional macro models were plagued by "incredible overidentifying restrictions" and by proposing a more a-theoretical approach based on vector autoregressions. Since then, the work by Sims has influenced a whole generation of applied macroeconomists both in academia and in central banks.
The conference brought together academics, central bankers, and economists working in the ministry of economics of several countries to assess the progress made during the last twenty five years in applied macroeocnomics, highlighting in particular the contributions of Professor Christopher Sims.
Information for presenters
List of participants
Working papers available
The State of Macroeconomic Policy Modeling: Where do We Go from Here?
by C. Sims
Benefits from US Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas
by T. Sargent, T. Cogley and R. Colacito
Discussion of Martin Ellison (University of Warwick)
Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
by M. Anderson, J. Lindé, M. Villani and A. Vredin
Discussion of David Altig (Federal Reserve Bank of Cleveland)
Discussion of Frank Smets (ECB)
Discussion of Grant Spencer (Bank of New Zealand)
Invertibility and the Virtues of Differencing
by A. Marcet
Discussion of George Tauchen (Duke University)
Discussion of Jim Nason (Federal Reserve Bank of Atlanta)
Implications of Dynamic Factor Models for VAR Analysis
by J. Stock and M. Watson
Monetary Policy Analysis with Potentially Misspecified Models
by M. del Negro and F. Schorfheide
Is Applied Monetary Policy Analysis Hard?
by J. Faust
Discussion of Mark Watson (Princeton University)
Discussion of Luca Sala (IGIER)
Firm-Specific Capital, Nominal Rigidities and the Business Cycle
by D. Altig, L. Christiano, M. Eichembaum and J. Linde
Discussion of Morten Ravn (EUI)
Discussion of Jordi Galí (CREI-UPF)
Consumption Strikes Back, Measuring Long Run Risk
by L. Hansen, J. Heaton and N. Li
Discussion of Wouter den Haan (LBS)
Discussion of Carlo Favero (IGIER)
What if the UK had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR (tables and figures)
by H. Pesaran, R. Smith and V. Smith
Discussion of Marco del Negro (Federal Reserve Bank of Atlanta)
The Structural Dynamics of US Output and Inflation: What Explains the Changes?
by F. Canova, L. Gambetti and E. Pappa
New Evidence on the Puzzles? Results from Agnostic Identification on Monetary Policy and Exchange Rates
by H. Uhlig and A. Scholl
Discussion of Ralf Wouters (National Bank of Belgium)
Monetary and Fiscal Policy Switching
by T. Davig, E. Leeper and H. Chung