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Workshop in Structural VAR models

23 May 2018 - 24 May 2018

Time: 9:00am - 6:00pm
Venue: Graduate Centre, GC601

We are pleased to announce that Queen Mary, University of London, will host a "Workshop in Structural VAR models" on the days of 23-24 May, 2018. The workshop covers presentations of both methodological and applied contributions in the field of structural VAR modelling. The event is organized with the support of the European Commission’s Horizon 2020 research project - Marie Sklodowska Curie action, Queen Mary University, and BERA (Berlin Economics Research Associates).


Wednesday 23 May

09:00 - 09:30 Registration
09:30 - 11:00

Session 1 - Advances in Bayesian SVARs
1) Raffaella Giacomini (UCL), with Toru Kitagawa (UCL) and Harald Uhlig (University of Chicago)
Ambiguous estimation

2) Michele Piffer (Queen Mary), with Martin Bruns (DIW Berlin)
Bayesian structural VAR models: an extended approach

11:00 - 11:30 Coffee break
11:30 - 13:00

Session 2 - Fiscal Policy
3) Juan Antolin Diaz (Fulcrum Asset Management LLP), with Jonas Arias (Federal Reserve Bank of Philadelphia), Juan Rubio Ramirez (Emory University) and Ivan Petrella (Warwick Business School)
The dynamic effects of fiscal shocks: a narrative sign restrictions approach

4) Filippo Natoli (Bank of Italy), with Luca Metelli (Bank of Italy)
The international transmission of US fiscal shocks: a proxy-SVAR approach

13:00 - 14:00 Lunch break
14:00 - 15:30

Session 3 - Monetary Policy and Financial Stability
5) Malte Rieth (DIW Berlin), with Thore Schlaak (DIW Berlin) and Maximilian Podstawski (Federal Ministry of Finance, Germany)
Instrument validity and the effects of monetary policy shocks

6) Dario Caldara (Federal Reserve Board), with Molin Zhong (Federal Reserve Board) and Chiara Scotti (Federal Reserve Board)
Uncertainty and financial stability: a VAR analysis

15:30 - 16:00 Coffee break
16:00 - 17:30

Session 4 – Uncertainty
7) Andrea Gazzani (Fellow at the Bank of Italy)
News or uncertainty? A high-frequency therapy for an endogeneity syndrome

8) Chris Redl (Bank of England)
Uncertainty matters: evidence from close elections

18:30 - 22:30

Dinner at The Narrow, 44 Narrow street, E14 8DP

Thursday 24 May

09:00 - 10:30

Session 5 – Methodological contributions in SVARs (I)
9) Simone Maxand (University of Göttingen), with Helmut Herwartz (University of Göttingen)
Set identification in non-Gaussian SVARs

10) Markku Lanne (University of Helsinki), with Jani Luoto (University of Helsinki)
GMM estimation of non-Gaussian structural vector autoregression

10:30 - 11:00 Coffee break
11:00 - 12:30

Session 6 – Methodological contributions in SVARs (II)
11) Riccardo (Jack) Lucchetti (Universita’ Politecnica delle Marche), with Emanuele Bacchiocchi (University of Milan)
The structure condition in SVAR identification

12) Daniel Waggoner (Federal Reserve Bank of Atlanta), with Jonas Arias (Federal Reserve Bank of Philadelphia), Juan Rubio Ramirez (Emory
Bayesian inference based on SVARs identified with external instruments

12:30 - 13:30 Lunch break
13:30 - 14:30 Keynote
13) Helmut Lütkepohl (DIW Berlin and FU Berlin), with Tomasz Wozniak (University of Melbourne)
Bayesian inference for structural vector autoregressions identified by Markov-Switching
14:30 - 14:45 Coffee break
14:45 - 16:15

Session 7 - Contributions in time-series
14) Taiki Yamamura (Queen Mary)
Evaluating FAVAR with time-varying parameters and stochastic volatility

15) Maren Froemel (LBS), with James Cloyne (UC Davis), Clodomiro Ferreira (Bank of Spain) and Paolo Surico (LBS)
Investment, financial frictions and the dynamic effects of monetary policy

16:15 - 16:45 Closing tea break with scones

Alternatively, you can download the program: The Workshop in Structural VAR models Program [PDF 158KB]

The workshop will be held in the premises of the Mile End campus of Queen Mary, London, E1 4NS. If you would like to attend the workshop, please register by writing an email to: and informing us about possible dietary requirements.

You can also download the travel instructions: Travel instructions for the Workshop in Structural VAR models [PDF 124KB].

Subject to availability, all participants who plan to attend the full event will also be invited for dinner on the first day. Please let us know if we should include you.


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