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Central Bank Workshop on Macroeconomic Modelling 28-29 September 2006

Santiago, Chile, September 28 - 29, 2006

The objective of the Central Bank Workshop on Macroeconomic Modelling was to foster and discuss new developments in macroeconomic modelling at central banks and other policy making institutions. The main theme for this year's workshop was: Empirical evaluation of DSGE models. Empirical validation of DSGE models is one of the biggest challenges for the current generation of micro-founded macro models. Moreover, having models capable of fitting the data is crucial for their utilization as useful tools for policy making. As in previous workshops, papers on other recent developments in macroeconomic modelling was also considered in the program.

Program

Thursday, September 28

9:00 - 9:30 Opening Remarks: Rodrigo Valdés (Chief Economist, Central Bank of Chile)
Session 1 Room A

Session Chair: Eric Parrado (Central Bank of Chile)

9:30 - 10:30
Taking DSGE Models to the Policy Environment (paper)
Taking DSGE Models to the Policy Environment (presentation)Pedro Alvarez-Lois, Richard Harrison, Laura Piscitelli, and Alasdair Scott (Bank of England)
Discussant: Oreste Tristiani (European Central Bank) (slides)
10:30 - 11:00 Coffee Break
11:00 - 12:00
Estimation of an Open Economy DSGE Model with Partial Dollarization (paper)
Estimation of an Open Economy DSGE Model with Partial Dollarization (presentation) Paul Castillo, Alberto Humala, Carlos Montoro and Vicente Tuesta (Central Reserve Bank of Peru)
Discussant: Jaromir Benes (Reserve Bank of New Zealand) (slides)
12:00 - 13:00
The Estimated General Equilibrium Effects of Fiscal Policy: The Case of the Euro Area (paper)
The Estimated General Equilibrium Effects of Fiscal Policy: The Case of the Euro Area (presentation) Lorenzo Forni, Libero Monteforte, and Luca Sessa (Bank of Italy)
Discussant: Rochelle Edge (Board of Governors of the Federal Reserve System) (slides)
13:00 – 14:00 Lunch

Parallel Sessions

Session 2 Room A

Session Chair: Rodrigo Caputo (Central Bank of Chile)

14:00 - 15:00
An Analysis of Devaluations and Output Dynamics in Latin America Using an Estimated DSGE Model (paper)
An Analysis of Devaluations and Output Dynamics in Latin America Using an Estimated DSGE Model (presentation)Author(s) Camilo E. Tovar (Bank for International Settlements)
Discussant: Rodrigo Caputo (Central Bank of Chile) (slides)15:00 - 16:00
Empirical evaluation of open-economy DSGE models using VAR estimates of exchange rate pass-through (paper)
Empirical evaluation of open-economy DSGE models using VAR estimates of exchange rate pass-through (presentation) Ida Wolden Bache (Central Bank of Norway)
Discussant: Ali Dib (Bank of Canada) (slides)
Session 3 Room B

Session Chair: Jorge Restrepo (Central Bank of Chile)

14:00 - 15:00
Bringing a DSGE model into policy Environment in Colombia (paper)
Bringing a DSGE model into policy Environment in Colombia (presentation) Author(s) Franz Hamann, Julián Pérez and Diego Rodríguez (Central Bank of Colombia)
Discussant: David Vavra (Serb National Bank) (slides)15:00 - 16:00
Examining the Best we can get from a DGE: Parameter Identifiability and Model Approximation Errors
Jaromir Benes and David Vavra (Reserve Bank of New Zealand and Serb National Bank)
Discussant: Diego Rodríguez (Central Bank of Colombia) (slides)
16:00 - 16:30 Coffee Break
Session 4 Room A

Session Chair: Jorge Selaive (Central Bank of Chile)

16:30 - 17:30
The dynamics of the real exchange rate: a Bayesian DSGE approach (paper)
The dynamics of the real exchange rate: a Bayesian DSGE approach (presentation) Riccardo Cristadoro, Andrea Gerali, Stefano Neri, and Massimiliano Pisani (Bank of Italy)
Discussant: Vicente Tuesta (Central Reserve Bank of Peru) (slides)

Friday, September 29

Session 5 Room A

Session Chair: Igal Madgenzo (Central Bank of Chile)

9:00 - 10:00
Evaluating an Estimated New Keynesian Small Open Economy Model (paper)
Evaluating an Estimated New Keynesian Small Open Economy Model (presentation) Malin Adolfson, Stefan Laséen (Sveriges Riksbank), Jesper Lindé (Sveriges Riksbank and CEPR) and Mattias Villani (Sveriges Riksbank and Stockholm University)
Discussant: Andrea Gerali (Bank of Italy) (slides)
10:00 - 10:30 Coffee Break
10:30 - 11:30
Model for Analysis and Simulations: A New DSGE for the Chilean Economy (paper)
Model for Analysis and Simulations: A New DSGE for the Chilean Economy (presentation) Juan Pablo Medina and Claudio Soto (Central Bank of Chile)
Discussant: Camilo Tovar (Bank for International Settlements) (slides)
11:30 - 12:30
Forecasting Canadian Time Series with the New Keynesian Model (paper)
Forecasting Canadian Time Series with the New Keynesian Model (presentation) Ali Dib, Mohamed Gammoudi (Bank of Canada), and Kevin Moran (Université Laval)
Discussant: Igal Magendzo (Central Bank of Chile)
12:30 - 12:45
Workshop 2007, Kaj Halvorsen, Norges Bank presentation.
12:45– 14:00 Lunch Keynote speech. Richard Clarida (Columbia University)
Session 6 Room A

Session Chair: Michael Pedersen (Central Bank of Chile)

14:00 - 15:00
A Comparison of Forecast Performance between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, and a DSGE Model (paper)
A Comparison of Forecast Performance between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, and a DSGE Model (presentation)Rochelle Edge, Michael Kiley and Jean-Phillip Laforte (Board of Governors of the Federal Reserve System)
Discussant: Laura Piscitelli (Bank of England) (slides)
15:00 - 15:30 Coffee Break
15:30 - 16:30
Euro Area Inflation Persistency in a an Estimated non-linear DSGE model
Gianni Amisano (Università di Brescia) and Oreste Tristiani (European Central Bank)
Discussant: Ida Wolden Bache (Central Bank of Norway)
Special Session Room A
16:30 - 17:30
Monetary Policy and Oil shocks: Comparative Analysis of Different Models
Discussion of the results of the survey

17:30 Closing