2nd International Workshop on Macro-Finance and Financial Econometrics

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From 10th to 11th October Every day from 09h00 to 17h15
Brasília, DF Auditorium Block M, Catholic University of Brasilia - UCB.

About the Event

Join us for the 2nd International Workshop on Macro-Finance and Financial Econometrics, a premier event dedicated to exploring the latest research and developments at the intersection of macroeconomics, finance, and econometrics. This workshop brings together renowned academics, researchers, and professionals to discuss innovative methodologies and their applications in analyzing and solving contemporary challenges in finance and economics.

Organizing committee:

Flavio A. Ziegelmann (UFRGS)

Osvaldo Candido (UCB)

José Angelo Divino (UCB)

Paula Virginia Tofoli (UCB)

Jaime Orrillo (UCB)

Matheus A. de Melo (UCB)

Jointly organized by:

Graduate Program in Economics - PPGE/UCB

Graduate Program in Economics - PPGE/UFRGS

Graduate Program in Public Policies - MPPP/UCB

Graduate Program in Statistics - PPGEst/UFRGS

Speakers

  • Felix Kubler
  • Pierluca Pannella
  • Giuseppe Cavaliere
  • Aloisio Araujo
  • João Frois Caldeira
  • Flavio A. Ziegelmann
  • Emmanuel Guerre
  • Juan Pablo Gama Torres
  • Peter McAdam
  • Miguel León-Ledesma
  • Rodrigo Targino
  • Susana Campos-Martins

Schedule

08h45 Opening Ceremony Opening
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Opening Ceremony of the 2nd International Workshop on Macro-Finance and Financial Econometrics

09h00 - Felix Kubler Keynote Lecture 1: Asset Pricing in a Low Rate Environment Lecture
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Keynote Lecture 1 will be conducted by Feliz Kluber from University of Zurich, Switzerland. In this lecture, Dr. Kluber will present "Asset Pricing in a Low Rate Environment" offering valuable insights. We look forward to an engaging and impactful presentation.

Chair: José Angelo.

10h00 Coffee Break Coffee break
Place: Block M, Catholic University of Brasilia - UCB.

Coffee Break

11h15 - Giuseppe Cavaliere Keynote Lecture 2: The Econometrics of Financial Duration Modeling Lecture
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Keynote Lecture 2 will be delivered by Giuseppe Cavaliere from the University of Bologna, Italy. In this lecture, Professor Cavaliere will present "The Econometrics of Financial Duration Modeling", offering valuable insights. We look forward to an engaging and impactful presentation.

Chair: Flávio Ziegelmann.

12h15 Lunch Lunch
Place: Goiano restaurant

Lunch

14h00 - Miguel León-Ledesma Keynote Lecture 3: Carry Trade Portfolios, Home Bias, and Heterogeneity Lecture
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Keynote Lecture 3 will be delivered by Miguel León-Ledesma from the University of Exeter, UK. In this lecture, Professor León-Ledesma will present "Carry Trade Portfolios, Home Bias, and Heterogeneity" providing valuable insights. We look forward to an engaging and impactful presentation.

Chair: Rafael Ferraz.

15h00 Coffee Break Coffee break
Place: Block M, Catholic University of Brasilia - UCB.

Coffee Break

15h30 - João Frois Caldeira Invited Paper 1: Decomposing Nominal and Real Brazilian Yield Curves, and the Risk Premia Talk
Place: Block M, Catholic University of Brasilia - UCB.

Invited Paper 1 will be presented by João Frois Caldeira from the Federal University of Santa Catarina, Brazil. In this session, Dr. Caldeira will explore "Decomposing Nominal and Real Brazilian Yield Curves, and the Risk Premia", offering valuable insights. We look forward to a stimulating and impactful presentation.

Chair: Carlos Charris.

16h15 - Flavio A. Ziegelmann Keynote Lecture 4: Multivariate Functional Time Series: Dimension Reduction and Risk Forecasting Lecture
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Keynote Lecture 4 will be delivered by Flavio A. Ziegelmann from Federal University of Rio Grande do Sul - Brazil. In this lecture, Professor Ziegelmann will present "Multivariate Functional Time Series: Dimension Reduction and Risk Forecasting", providing valuable insights. We look forward to a stimulating and impactful presentation.

Chair: Osvaldo Candido.

19h00 Dinner Jantar
Place: TBC

Everyone is invited to the dinner. However, free for invited speakers and organizing committee only.

09h00 - Emmanuel Guerre Keynote Lecture 5: Nonparametric Identification of First-Price Auction with Unobserved Competition: A Density Discontinuity Framework Lecture
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Keynote Lecture 5 will be delivered by Emmanuel Guerre from Queen Mary University of London, UK. In this lecture, Professor Guerre will present "Nonparametric Identification of First-Price Auction with Unobserved Competition: A Density Discontinuity Framework", providing valuable insights. We look forward to an engaging and impactful presentation.

Chair: Flávio Ziegelmann.

10h00 Coffee Break Coffee break
Place: Block M, Catholic University of Brasilia - UCB.

Coffee Break

10h30 - Juan Pablo Gama Torres Invited Paper 2: Growth, and Redistribution with Heterogeneous Attitudes toward Risk Talk
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Invited Paper 2 will be presented by Juan Pablo Gama Torres from the Federal University of Minas Gerais, Brazil. In this session, Dr. Gama Torres will explore ''Growth, and Redistribution with Heterogeneous Attitudes toward Risk'', offering valuable insights. We look forward to a thought-provoking and impactful presentation.

Chair: Wilfredo Sosa.

11h15 - Peter McAdam Keynote Lecture 6: A Model of Serial Sovereign Default: Shocks, Uncertainty and Fiscal Habits Lecture
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Keynote Lecture 6 will be delivered by Peter McAdam from the European Central Bank, Germany. In this lecture, Dr. McAdam will present "A Model of Serial Sovereign Default: Shocks, Uncertainty and Fiscal Habits", providing valuable insights. We look forward to an engaging and impactful presentation.

Chair: Carlos Carrasco.

12h15 Lunch Lunch
Place: Goiano restaurant

Lunch

14h00 - Aloisio Araujo Keynote Lecture 7: Inflation Targeting under Fiscal Fragility Lecture
Place: Block M, Catholic University of Brasilia - UCB.

Keynote Lecture 7 will be delivered by Aloisio Pessoa de Araújo from the Getulio Vargas Foundation and IMPA, Brazil. In this lecture, Professor Araújo will present "Inflation Targeting under Fiscal Fragility", providing valuable insights. We look forward to a stimulating and impactful presentation.

Chair: Jaime Orrillo.

15h00 Coffee Break Coffee break
Place: Block M, Catholic University of Brasilia - UCB.

Coffee Break

15h30 - Rodrigo Targino Invited Paper 3: Trading Perfect Risk Budgeting for Portfolio Returns Talk
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Invited Paper 3 will be presented by Rodrigo Targino from the Getulio Vargas Foundation, Brazil. In this session, Dr. Targino will explore "Trading Perfect Risk Budgeting for Portfolio Returns" offering valuable insights. We look forward to a thought-provoking and impactful presentation.

Chair: Soraya Eyzaguirre.

16h15 - Pierluca Pannella Keynote Lecture 8: Trade Credit in a Developing Country: The Role of Large Suppliers in the Production Network Lecture
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Keynote Lecture 8 will be delivered by Pierluca Pannella from Getulio Vargas Foundation - FGV EESP, Brazil. In this session, Dr. Pannella will explore "Trade Credit in a Developing Country: The Role of Large Suppliers in the Production Network" providing insightful analysis. We anticipate a thought-provoking and impactful presentation.

Chair: Matheus Melo.

17h00 Closing ceremony. Closure
Place: Auditorium Block M, Catholic University of Brasilia - UCB.

Closing ceremony of the 2nd International Workshop on Macro-Finance and Financial Econometrics.

Carregando área de inscrição

Place

Auditorium Block M, Catholic University of Brasilia - UCB., 71966-700, Quadra QS 7, Taguatinga Sul - Taguatinga, Brasília, Distrito Federal
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Support

Organizer

MATHEUS ANTHONY DE MELO

Professor in the Graduate Program in Economics at the Catholic University of Brasília
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