11th European Seminar on Bayesian Econometrics


2 – 3 September 2021, Madrid Spain




Paper submission

Young session



Two-day course








We will have a virtual poster room available from any device with internet access. Virtual posters will include a 3-5 minute narrated, video poster presentation of 4-5 slides. All videos will be displayed during the poster sessions and in gallery view only accessible for the conference participants. During poster sessions, participants will be able to communicate with presenters using the conference link where they can chat with them.


ThursdaySeptember 2 

Borys Koval (Vienna Graduate School of Finance)

Bayesian reconciliation of the return predictability

Niko Hauzenberger (University of Salzburg)        

Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods

Stepan Mazur (Örebro University)

Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances

Audrone Virbickaite (CUNEF, Spain)

Dynamic Stochastic MIDAS Copula Models

Robin Braun (Bank of England and Centre for Macroeconomics)

The importance of supply and demand for oil prices: evidence from non-Gaussianity

Francesca Loria (Federal Reserve Board, Research & Statistics Division)

Understanding Growth-at-Risk: A Markov-Switching Approach

Francesca Rondina (Université d'Ottawa)

Model uncertainty and the direction of fit of the postwar U.S. Phillips curve(s)

Saeed Zaman (Federal Reserve Bank of Cleveland, University of Strathclyde)

A Unified Framework to Estimate Macroeconomic Stars

Andrea De Polis (University of Warwick)

Modeling and Forecasting Macroeconomic Downside Risk


Friday, September 3

Michael Pfarrhofer (University of Salzburg)

Tail forecasts of inflation using time-varying parameter quantile regressions.

Jan Greve (WU Vienna University of Economics and Business)

Spying on the prior of the number of data clusters and the partition distribution in Bayesian cluster analysis

Anna Stelzer (University of Salzburg)

On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty

Hoang Nguyen (Örebro University)

A dynamic leverage stochastic volatility model

Ping Wu (University of Strathclyde)

New Ways of Doing Variable Selection and Shrinkage in the Factor Augmented Vector Error Correction Model

Aymeric Ortmans (Université Paris-Saclay)

Evolving Monetary Policy in the Aftermath of the Great Recession

Leonardo N. Ferreira (Queen Mary University of London)

Forecasting with VAR-teXt and DFM-teXt models: exploiting changes in central bank communication

Daniel Oliveira (São Paulo School of Economics)

Monetary Policy and Long Term Relationships in the Singapore Exchange Rate: a Bayesian Approach

Daniel Winkler (WU Vienna University of Economics and Business)

A New Domain-Specific Language for MCMC Inference