2020 Banca d'Italia and Federal Reserve Board Joint Conferenceon "Nontraditional Data & Statistical Learning with Applications to Macroeconomics"

November 11, 2020

Introductory remarks by Senior Deputy Governor Daniele Franco (Video)

Parallel Session 1A - NLP for Central Banks (Video)

• What Say They About Their Mandate? A Textual Assessment of Federal Reserve Speeches - R. Lumsdaine (American University) with M. van Dieijen (Erasmus University Rotterdam)

• Media Narratives and Aggregate Fluctuations -  I. Hull (Sveriges Riksbank), with C. Bertsch (Sveriges Riksbank), and X. Zhang (Sveriges Riksbank)

• A sentiment-based risk indicator for the Mexican financial sector (paper) - C. Rho (Banco de Mexico), with R. Fernández (Banco de Mexico), and B. Palma (Banco de Mexico)

• A sentiment-based risk indicator for the Mexican financial sector (slides) - C. Rho (Banco de Mexico), with R. Fernández (Banco de Mexico), and B. Palma (Banco de Mexico) 

• Discussion of all papers by Bo Sun (Federal Reserve Board)

Parallel Session 1B - Machine Learning for Central Banks (Video)

• Forecasting UK inflation bottom up - A. Joseph (Bank of England), with Eleni Kalamara (King’s College), G. Potjagailo (Bank of England), and G. Kapetanios (King's College)

• The Macroeconomy as a Random Forest (paper) - P. Goulet Coulombe (University of Pennsylvania)

• The Macroeconomy as a Random Forest (slides) - P. Goulet Coulombe (University of Pennsylvania)

• The Consequences of the Covid-19 Job Losses: Who Will Suffer Most and by How Much? (paper) - A. Gulyas (University of Mannheim), with K. Pytka (University of Mannheim)

• The Consequences of the Covid-19 Job Losses: Who Will Suffer Most and by How Much? (slides) - A. Gulyas (University of Mannheim), with K. Pytka (University of Mannheim)

• Discussion of all papers by Nathan Palmer (Federal Reserve Board)

Parallel Session 2A - Big Data for the labor market (Video)

• Firm-Level Job Postings in the COVID-19 Recession and Recovery - D. Van Dijcke (Bank of England, and University of Michigan), with M. Buckmann (Bank of England) and A. Turrell (Bank of England)

• Now- and Backcasting Unemployment Insurance Initial Claims with Google Trends and Machine Learning (paper) - D. E. Rapach (Saint Louis University and Washington University at St. Louis), with D. Borup (Aarhus University), and E. C. Montes Schutte (Aarhus University)

• Now- and Backcasting Unemployment Insurance Initial Claims with Google Trends and Machine Learning (slides) - D. E. Rapach (Saint Louis University and Washington University at St. Louis), with D. Borup (Aarhus University), and E. C. Montes Schutte (Aarhus University)

• Discussion of all papers by Francesco D'Amuri (Bank of Italy)

Parallel Session 2B -  NLP for Nowcasting and Economic Tracking (Video)

• Forecasting with Economic News (paper) - L. Barbaglia (European Commission – JRC), with S. Consoli (European Commission – JRC), and S. Manzan (European Commission – JRC)

• Forecasting with Economic News (slides) - L. Barbaglia (European Commission – JRC), with S. Consoli (European Commission – JRC), and S. Manzan (European Commission – JRC) 

• Sentiment and Uncertainty indexes for forecasting Italian economic activity - V. Aprigliano (Bank of Italy), with S. Emiliozzi (Bank of Italy), G. Guaitoli (University of Warwick), A. Luciani (Bank of Italy), J. Marcucci (Bank of Italy), and L. Monteforte (Parliamentary Budget Office)

• Discussion of all papers by Roberta Zizza (Bank of Italy)

Parallel Lightning Session 3A -  Big Data, and Machine Learning for Central Banks (Video)

• Teaching Machines to Measure Economic Activities from Satellite Images: Challenges and Solution (slides) - J. Kim (KAIST), with D. Ahn (KAIST), M. Cha (Institute for Basic Science), S. Han (KAIST), S. Sang Lee (KAIST), S. Park (University of Hong Kong), S. Park (KAIST), H. Yang (Sogang University), and J. Yang (National University of Singapore)

• Teaching Machines to Measure Economic Activities from Satellite Images: Challenges and Solution (paper) - J. Kim (KAIST), with D. Ahn (KAIST), M. Cha (Institute for Basic Science), S. Han (KAIST), S. Sang Lee (KAIST), S. Park (University of Hong Kong), S. Park (KAIST), H. Yang (Sogang University), and J. Yang (National University of Singapore)

• The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data (paper) - Y. Yang (Princeton University), with Y. Pang (Peking University), G. Huang (University of Science and Technology), and Weinan E (Princeton University)

• The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data (slides) - Y. Yang (Princeton University), with Y. Pang (Peking University), G. Huang (University of Science and Technology), and Weinan E (Princeton University)

• Fear and Employment During the COVID Pandemic: Evidence from Search Behaviour in the EU (paper) - W. van der Wielen (European Commission – JRC), with S. Barrios (European Commission – JRC)

• Fear and Employment During the COVID Pandemic: Evidence from Search Behaviour in the EU (slides) - W. van der Wielen (European Commission – JRC), with S. Barrios (European Commission – JRC)

Parallel Lightning Session 3B - Big Data and Nontraditional data for Central Banks (Video)

• Data vs collateral (paper) - L. Gambacorta (Bank of International Settlements), with Y. Huang (Peking University), Z. Li (Ant Group), H. Qiu (Peking University), and S. Chen (Ant Group)

• Data vs collateral (slides) - L. Gambacorta (Bank of International Settlements), with Y. Huang (Peking University), Z. Li (Ant Group), H. Qiu (Peking University), and S. Chen (Ant Group)

• Using Payments Data to Nowcast Macroeconomic Variables During the Onset of Covid-19 (paper) - A. Desai (Bank of Canada), with J. Chapman (Bank of Canada)

• Using Payments Data to Nowcast Macroeconomic Variables During the Onset of Covid-19 (slides) - A. Desai (Bank of Canada), with J. Chapman (Bank of Canada)

• Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data (paper) - T. Drechsel (University of Maryland), with J. Antolin-Diaz (London Business School), and I. Petrella (University of Warwick)

• Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data (slides) - T. Drechsel (University of Maryland), with J. Antolin-Diaz (London Business School), and I. Petrella (University of Warwick)

Parallel Lightning Session 4A - Big Data, and Machine Learning for Central Banks (Cont.) (Video)

• Machine Learning for Zombie Hunting. Firms' Failures and Financial Constraints (paper) - F. J. Bargagli Stoffi (Harvard University), with M. Riccaboni (IMT School for Advanced Studies), and A. Rungi (IMT School for Advanced Studies)

• Machine Learning for Zombie Hunting. Firms' Failures and Financial Constraints (slides) - F. J. Bargagli Stoffi (Harvard University), with M. Riccaboni (IMT School for Advanced Studies), and A. Rungi (IMT School for Advanced Studies)

• The Italian Social Mood on Economy Index and the Covid-19 Crisis Implications (paper) - A. Righi (ISTAT), with R. Iannaccone (ISTAT), D. Zardetto (ISTAT), and D. Zurlo (ISTAT)

• The Italian Social Mood on Economy Index and the Covid-19 Crisis Implications (slides) - A. Righi (ISTAT), with R. Iannaccone (ISTAT), D. Zardetto (ISTAT), and D. Zurlo (ISTAT)

• Fostering European SMEs internationalization Using Big Data: The BIZMAP Application (paper) - L. Richardet (Banque de France), with J.-Noël Kien (Banque de France), E. Kintzler (Banque de France), and T. Nicolas (Banque de France)

• Fostering European SMEs internationalization Using Big Data: The BIZMAP Application (slides) - L. Richardet (Banque de France), with J.-Noël Kien (Banque de France), E. Kintzler (Banque de France), and T. Nicolas (Banque de France)

• Pirates without Borders: the Propagation of Cyberattacks through Firms' Supply Chains (paper) - M. Crosignani (Federal Reserve Bank of New York), with M. Macchiavelli (Federal Reserve Board), and A. F. Silva (Federal Reserve Board)

• Pirates without Borders: the Propagation of Cyberattacks through Firms' Supply Chains (slides) - M. Crosignani (Federal Reserve Bank of New York), with M. Macchiavelli (Federal Reserve Board), and A. F. Silva (Federal Reserve Board)

Parallel Lightning Session 4B - NLP for Macro applications (Video)

• Twitter-Based Economic Policy Uncertainty Index for Chile (paper) - A. Sagner (Banco Central de Chile), with J. Sebastian Becerra (Banco Central de Chile)

• Twitter-Based Economic Policy Uncertainty Index for Chile (slides) - A. Sagner (Banco Central de Chile), with J. Sebastian Becerra (Banco Central de Chile)

• Deciphering the Fed Communication via Text-Analysis of Alternative FOMC Statements (paper) - T. Doh (Federal Reserve Bank of Kansas City), with D. Song (Johns Hopkins University), and S.-K. Yang (Federal Reserve Bank of Kansas City)

• Deciphering the Fed Communication via Text-Analysis of Alternative FOMC Statements (slides) - T. Doh (Federal Reserve Bank of Kansas City), with D. Song (Johns Hopkins University), and S.-K. Yang (Federal Reserve Bank of Kansas City)

• The Network of Firms Implied by the News (paper) - G. Schwenkler (Boston University), with H. Zheng (Boston University)

• The Network of Firms Implied by the News (slides) - G. Schwenkler (Boston University), with H. Zheng (Boston University)

• Can We Measure Inflation Expectations Using Twitter? - M. Miccoli (IMF), with C. Angelico (Bank of Italy), J. Marcucci (Bank of Italy), F. Quarta (Bank of Italy)

November 12, 2020

Parallel Session 5A - Payments data for nowcasting (Video)

• The Geography of Consumption and Local Economic Shocks: The Case of the Great Recession (slides) - A. Dunn (Bureau of Economic Analysis), with M. Gholizadeh (Bureau of Economic Analysis)

• Liquidity in Canada during the Coronavirus Pandemic - L. Morin (University of Central Florida), with K. Huynh (Bank of Canada), A. Ho (Ryerson University), and H. Paarsch (University of Central Florida)

• Tracking the COVID-19 Crisis with High-Resolution Transaction Data (paper) - V. Carvalho (University of Cambridge), J. Garcia (BBVA Research), S. Hansen (Imperial College), A. Ortiz (BBVA Research), T. Rodrigo (BBVA Research), J. Rodriguez Mora (University of Edinburgh), P. Ruiz (BBVA Research)

• Tracking the COVID-19 Crisis with High-Resolution Transaction Data (slides) - V. Carvalho (University of Cambridge), J. Garcia (BBVA Research), S. Hansen (Imperial College), A. Ortiz (BBVA Research), T. Rodrigo (BBVA Research), J. Rodriguez Mora (University of Edinburgh), P. Ruiz (BBVA Research)

• Policy uncertainty and daily consumer card payments (paper) - S. Emiliozzi (Bank of Italy), with G. Ardizzi (Bank of Italy), J. Marcucci (Bank of Italy), and L. Monteforte (Parliamentary Budget Office)

• Policy uncertainty and daily consumer card payments (slides) - S. Emiliozzi (Bank of Italy), with G. Ardizzi (Bank of Italy), J. Marcucci (Bank of Italy), and L. Monteforte (Parliamentary Budget Office)

• Discussion of all papers by James Chapman (Bank of Canada)

Parallel Session 5B - NLP and the economy (Video)

• Regulation during COVID-19: News Sentiment Improved, While Uncertainty Remains (paper) - Z. Xie (George Washington University), with T. Sinclair (George Washington University, Indeed)

• Regulation during COVID-19: News Sentiment Improved, While Uncertainty Remains (slides) - Z. Xie (George Washington University), with T. Sinclair (George Washington University, Indeed)

• Firm-level Risk Exposures and Stock Returns in the Wake of COVID-19 (paper) - S. Hansen (Imperial College), with S. Davis (University of Chicago), and C. Seminario-Amez (University of Chicago)

• Firm-level Risk Exposures and Stock Returns in the Wake of COVID-19 (slides) - S. Hansen (Imperial College), with S. Davis (University of Chicago), and C. Seminario-Amez (University of Chicago)

• Monetary policy uncertainty in Mexico: an unsupervised approach - C. Moreno Perez (University of Verona), with M. Minozzo (University of Verona)

• Measuring central banks' sentiment and its spillover effects with a network approach (paper) - L. Zicchino (Prometeia S.p.A.), with G. Tizzanini (Prometeia S.p.A.), P. Lorenzini (Prometeia S.p.A.), and M. Priola (Prometeia S.p.A.)

• Measuring central banks' sentiment and its spillover effects with a network approach (slides) - L. Zicchino (Prometeia S.p.A.), with G. Tizzanini (Prometeia S.p.A.), P. Lorenzini (Prometeia S.p.A.), and M. Priola (Prometeia S.p.A.)

• Discussion of all papers by Federico M. Ferrara (London School of Economics)

Parallel Lightning Session 6A - NLP and Macroeconomic Applications (Video)

• Oil Shocks: A Textual Analysis Approach (paper) - D. Datta (Federal Reserve Board of Governors), with D. Dias (Federal Reserve Board of Governors)

• Oil Shocks: A Textual Analysis Approach (slides) - D. Datta (Federal Reserve Board of Governors), with D. Dias (Federal Reserve Board of Governors)

• Reading the News: Telling Supply from Demand in Commodity Markets - E. Passari (University Paris Dauphine), with S. Mouabbi (Banque de France), and A. Rousset Planat (University Paris Dauphine)

• Do words hurt more than actions? The impact of trade tensions on financial markets (paper) - M. S. Pagliari (European Central Bank), with M. Ferrari (European Central Bank and Catholic University of Milan), and F. Kurcz (Bundesbank)

• Do words hurt more than actions? The impact of trade tensions on financial markets (slides) - M. S. Pagliari (European Central Bank), with M. Ferrari (European Central Bank and Catholic University of Milan), and F. Kurcz (Bundesbank)

Parallel Lightning Session 6B - Big Data for Macroeconomics (Video)

• Business Exit During the COVID-19 Pandemic: Non-Traditional Measures in Historical Context (paper) - R.A. Decker (Federal Reserve Board of Governors), with L.D. Crane (Federal Reserve Board of Governors), A. Flaaen (Federal Reserve Board of Governors), A. Hamins-Puertolas (Federal Reserve Board of Governors), and C. Kurz (Federal Reserve Board of Governors)

• Business Exit During the COVID-19 Pandemic: Non-Traditional Measures in Historical Context (slides) - R.A. Decker (Federal Reserve Board of Governors), with L.D. Crane (Federal Reserve Board of Governors), A. Flaaen (Federal Reserve Board of Governors), A. Hamins-Puertolas (Federal Reserve Board of Governors), and C. Kurz (Federal Reserve Board of Governors)

• Price setting in Chile:  Micro evidence from consumer on-line prices during the social outbreak and Covid-19 - E. Prades (Banco de España), with J. Peña (Banco Central de Chile)

• Tracking activity in real time with Google Trends (paper)- N. Woloszkoa (OECD)

• Tracking activity in real time with Google Trends (note)- N. Woloszkoa (OECD)

• Tracking activity in real time with Google Trends (slides)- N. Woloszkoa (OECD)

Parallel Lightning Session 7A - Big data for Central Banking (Video)

• Investment in Real Time and High Definition: A Big data Approach (paper) - A. Ortiz (BBVA Research), with A. Barlas (BBVA Research), S. Guler (BBVA Research), and T. Rodrigo (BBVA Research)

• Investment in Real Time and High Definition: A Big data Approach (slides) - A. Ortiz (BBVA Research), with A. Barlas (BBVA Research), S. Guler (BBVA Research), and T. Rodrigo (BBVA Research)

• Advance Layoff Notices and Labor Market Forecasting (paper) - K. Lunsford (Federal Reserve Bank of Cleveland), with P. M. Krolikowski (Federal Reserve Bank of Cleveland)

• Advance Layoff Notices and Labor Market Forecasting (slides) - K. Lunsford (Federal Reserve Bank of Cleveland), with P. M. Krolikowski (Federal Reserve Bank of Cleveland)

• Can satellite data predict industrial production? - T. Pical (Aix-Marseille School of Economics), with J.-C. Bricongne (Banque de France), and B. Meunier (Banque de France)

Parallel Lightning Session 7B - NLP Applications for Central Banking (Video)

• Analysing monetary policy statements of the Reserve Bank of India (paper) - A. Mathur (IHEID), with R. Sengupta (IGIDR)

• Analysing monetary policy statements of the Reserve Bank of India (slides) - A. Mathur (IHEID), with R. Sengupta (IGIDR)

• When the Markets Get Co.V.I.D.: Contagion, Viruses and Information Diffusion (paper) - I. Wolfskeil (Bocconi University), with M. Croce (Bocconi University), M. J. Arteaga Garavito (Bocconi University), and P. Farroni (Bocconi University)

• When the Markets Get Co.V.I.D.: Contagion, Viruses and Information Diffusion (slides) - I. Wolfskeil (Bocconi University), with M. Croce (Bocconi University), M. J. Arteaga Garavito (Bocconi University), and P. Farroni (Bocconi University)

• Application of text mining to the analysis of climate-related disclosures (paper) - Á. I. Moreno (Banco de España), and T. Caminero (Banco de España)

• Application of text mining to the analysis of climate-related disclosures (slides) - Á. I. Moreno (Banco de España), and T. Caminero (Banco de España)

Panel Discussion: The Role of Big Data, Nontraditional data, and Machine Learning in Economic Policy (Video)

• BoI-FRB Conference Nontraditional Data & Statistical Learning with Application to Macroeconomics (slides) - E. E. Meade (Federal Reserve)

• Private Data Insights In a Crisis (slides) - T. M. Sinclair (The George Washington University)

• Data Resources in the COVID Era (slides) - S. Hansen (Imperial College London)

• Development Data Partnership (slides) - M. Marini (IMF)

• 2020 Nontraditional Data & Statistical Learning with Applications to Macroeconomics (slides) - G. Bruno

Concluding Remarks by John Stevens (Senior Associate Director, Federal Reserve Board) (Video)

• Closing remarks for the 2020 Banca d’Italia and Federal Reserve Board Joint Conference on “Nontraditional Data & Statistical Learning with Applications to Macroeconomics” - J. Stevens (Federal Reserve Board)