Monitoring and Forecasting Macroeconomic and Financial Risk: SoFiE European Summer School (Brussels)

This course explores econometric methods for monitoring and forecasting macroeconomic and financial risks, conditional upon current and past indicators of economic and financial conditions. Initially, the course introduces the Growth-at-Risk framework, which uses quantile regression to gauge downside risks by projecting GDP growth based on these indicators. It covers all steps of operationalization, including interpolation from quantiles to densities, measurement of shortfall, out-of-sample evaluation of density forecasts with a focus on real-time performance, and forecast combination. Subsequently, we cover other target variables including the general outlook at risk, inflation at risk, employment at risk, housing at risk, and the stock market at risk, as well as other methods including distributional regression, nonparametric density estimation, mean-variance regression, and Markov-switching models. Practical applications relevant to the US and the Euro Area will be developed and discussed using MATLAB.

The course concludes with a workshop where leading scholars in the fields of macroeconomics, finance, and data science will present their ongoing work on monitoring and forecasting risk. Presenters/discussants include Nina Boyarchenko (New York Fed), Gianluca Bontempi (ULB), Christian Brownlees (UPF and BSE), Christophe Croux (KULeuven), Christine De Mol (ULB), Catherine Doz (Paris School of Economics), Fernando Duarte (Brown University), Gary Koop (University of Strathclyde), Michele Lenza (European Central Bank), Francesca Loria (Federal Reserve Board), Haroon Mumtaz (​​Queen Mary, University of London), Emanuel Moench (Frankfurt School of Finance & Management), Francesca Monti (UCLouvain), Ivan Petrella (Warwick Business School), Jean-Paul Renne (HEC Lausanne), Andrej Sokol (Bloomberg LP), and Dick Van Dijk (Erasmus University Rotterdam).

Program
Monday, September 09th
Lecture: Monitoring and forecasting risk with quantile regressions. 
Practical session: Estimation of outlook-at-risk in the US and the Euro Area. Focus on GDP growth and other variables such as investment, inflation, and unemployment. Measuring risk with expected shortfall/long-rise, value-at-risk. 

Tuesday, September 10th
Lecture: Evaluation of density forecasts in real-time 
Applications: Evaluation of risk predictions in real-time: predictive scores, calibration, sharpness. Combination of density forecasts. 

Wednesday, September 11th 
Lecture: Alternative methods to forecasting risk: distributional regression nonparametric density estimation, mean-variance regression, and Markov-switching model. 
Applications: Estimation of recession risk in the US and the Euro Area

Thursday, September 12th
Lecture:      Generalization to Multivariate Models 
Bloomberg applications, with Andrej Sokol (Bloomberg)

Workshop on “The Frontier of Monitoring and Forecasting Macroeconomic and Financial Risk”
Francesca Loria: Understanding Growth-at-Risk: A Markov Switching Approach
Discussant: Catherine Doz 
Haroon Mumtaz: Risk and Monetary Policy in data-rich setting
Discussant: Andrej Sokol
Ivan Petrella: The Macroeconomic Drivers of the Balance of Inflation Risk
Discussant: Emanuel Moench
Nina Boyarchenko (NBB Seminar): The Nonlinear Case Against Leaning Against the Wind
Discussant: Christophe Croux 

Friday September 13th
Workshop on “The Frontier of Monitoring and Forecasting Macroeconomic and Financial Risk”
Dick Van Djik: Does Economic Uncertainty Predict Real Activity in Real-Time? 
Discussant: Christian Brownlees
Michele Lenza: Density forecasts of inflation: a quantile regression forest approach
Discussant: Gianluca Bontempi
Gary Koop:  Predictive Density Combination Using a Tree-Based Synthesis Function
Discussant: Christine De Mol 
Andrej Sokol: Fan Charts 2.0: Flexible Forecast Distributions with Expert Judgement
Discussant: Ivan Petrella
Emanuel Moench: (TBC)
Discussant: Francesca Monti
Fernando Duarte: The Market Price of Risk and Macro-Financial Dynamics
Discussant: Jean-Paul Renne
Panel discussion. “Monitoring and Forecasting Macroeconomic and Financial Risk: current applications and the way forward”
Moderator: Domenico Giannone
Participants: Michele Lenza, Nina Boyarchenko, Emanuel Moench, Francesca Monti

To participate, please submit your application to Prof. Leonardo Iania at  leonardo.iania@uclouvain.be  by the 1st of July with the words “SoFiE Summer School 2024’’ in the subject box. Decisions will be emailed out by the 15th of July 2024. The applications should include a CV and, in the text of the email, a brief motivation on why you would like to attend this course. The course will offer a limited number of course participants an opportunity to present their current research and receive feedback from the instructors and other course participants. There will be both short presentations and poster sessions. Students interested in making a presentation (which is optional) should indicate so on their application and submit a draft of the research paper that they wish to promote. Students who are selected to make a presentation/poster will be informed at the same time as they receive their admission decisions. 

Fees: 400 Euro for (full-time) Ph.D. students, 600 for (full-time) academics (Post-docs, Profs, etc.), and 1100 Euro for others. The course is free for the members of the organizing institutions (UCLouvain, KULeuven, National Bank of Belgium, VUB, and UGhent). All accepted participants are expected to be members of the Society for Financial Econometrics or to join before their place is confirmed. Further info on how to join SoFiE is available at http://sofie.stern.nyu.edu/membership (where a student membership option is available). Fees cover the inscription costs, lunches, and coffee breaks foreseen in the program. Confirmation of admission of selected applicants is conditional on receipt of the fee payment in due time (details to be provided in the admission email).