sk sk

Seminars and conferences

Prominent domestic and foreign authors have the opportunity to present their work, get feedback and discussion at our Bratislava Economic Seminars, which are organized by the NBS in co-operation with the Faculty of National Economy at the University of Economics in Bratislava and the Centre for Economics and Finance at the Faculty of Mathematics, Physics and Informatics at the Comenius University.

Once in two years NBS organizes an international scientific conference.

Upcoming Conferences and seminars

Forthcoming seminar

  • September 30, 2022 – Katalin Varga (Magyar Nemzeti Bank) – GaR with geopolitical risk indices

    Growth at risk modelling has been a cornerstone for research and policymaking recently as a way to model tail risk in the macroeconomy. However, the majority of the research has almost exclusively focused on US data using financial stress indices to capture vulnerability. Nevertheless, recent events have highlighted that financial risk is just one source of vulnerability in growth. Geopolitical events have emerged as an important alternative measure. Importantly such events impact all assets, asset classes, sectors and countries: high geopolitical risk results in a decline in real activity, plummeting stock returns, and in capital flows transferred from emerging economies towards advanced economies. It is not surprising that geopolitical risk indices are becoming attractive peers/ competitors of financial stress indices. The aim of the paper is to complete the growth at risk model for Hungary by using the global geopolitical risk index (GPRI) of Caldara and Iacoviello. When incorporating different types of risk indices it is important to only include ones that are important to our data generating process. However, these indices are highly correlated making it difficult ex-ante to select the “perfect” measure. To tackle this problem a variable selection framework is applied to identify which variables are key determinants in different parts of the Hungarian GDP distribution. Importantly this paper develops a methodology that can handle variable selection task in small sample settings, which is usually the case in emerging markets. Using the methodology the authors are able to show that the global geopolitical risk index (GPRI) has recently become a key element in expressing macroeconomic vulnerability in Hungary.

Next seminars

DateLecturerTitle
October 7, 2022Laurent Millischer (Joint Vienna Institute) and Tatiana Evdokimova (Joint Vienna Institute)The Carrot and the Stock: In Search of Stock-Market Incentives for Decarbonization
November 11, 2022Ivan Huljak (Hrvatska Narodna Banka)Recent advancements in NFC analysis for FS monitoring

If you wish to be informed about our new seminars or conferences, please e-mail us at research@nbs.sk

Past Conferences

June 22, 2020 – June 24, 2020

Virtual Conference on Sustainable Development, Firm Performance and Competitiveness Policies in Small Open Economies

November 23, 2016 – November 24, 2016

Conference “Monetary Policy Challenges from a Small Country Perspective”

October 20, 2014 – October 21, 2014

Conference on European Labor Markets and the Euro Area during the Great Recession: Adjustment, Transmission, Interactions

Past seminars

  • September 23, 2022 – Michal Kolesár (Princeton University): One Instrument to Rule Them All: The Bias and Coverage of Just-ID IV

    We revisit the finite-sample behavior of just-identified instrumental variables (IV) estimators, arguing that in most microeconometric applications, just-identified IV bias is negligible and the usual inference strategies likely reliable. Three widely-cited applications are used to explain why this is so. We then consider pretesting strategies of the form t1>c, where t1 is the first-stage t-statistic, and the first-stage sign is given. Although pervasive in empirical practice, pretesting on the first-stage F-statistic exacerbates bias and distorts inference. We show, however, that median bias is both minimized and roughly halved by setting c=0, that is by screening on the sign of the estimated first stage. This bias reduction is a free lunch: conventional confidence interval coverage is unchanged by screening on the estimated first-stage sign. To the extent that IV analysts sign-screen already, these results strengthen the case for a sanguine view of the finite-sample behavior of just-ID IV.

  • June 29, 2022 – Ján Klacso (National Bank of Slovakia): What’s the cost of saving the planet for banks? (with Jozef Kalman, Roman Vasiľ and Juraj Zeman)

    The ongoing trend in global warming needs prompt and timely policy reaction. This reaction and the consequent transformation to carbon-neutral economy results in worldwide economic and financial losses to business, households, and governments. Beside the impact on the real economy, central banks and supervisors follow the impact on the financial system as well. This paper studies the potential impact of climate change risks on banks in Slovakia over the horizon of four-years. We focus mainly on transition risks, i.e. risks posed by the transition to carbon-neutral economy. We propose an analytical framework to quantify impact of transformation policies on bank’s credit risk exposures based on scenarios prepared by Network for Greening the Financial System (NGFS). We document negative impact along credit risk channel in the form of increased non-performing loans losses from both households and non-financial corporations loan portfolio. The main drivers of credit risk are the shock to GDP in case of corporates and the increase in unemployment rate in case of households. Although losses are significantly lower compared to adverse stress testing scenarios, they are sensitive to energy price increase.

  • June 24, 2022 – Guido Ascari (De Nederlandsche Bank, University of Pavia): The Long-Run Phillips Curve is … a Curve  (with Paolo Bonomolo and Qazi Haque)

    In U.S. data, inflation and output are negatively related in the long run. A Bayesian VAR with stochastic trends generalized to be piecewise linear provides robust reduced-form evidence in favor of a threshold level of trend inf;ation below which potential output is independent of trend inflation, and above which, instead, potential output is negatively affected by trend inflation. The threshold level of inflation is slightly lower than 4%, above which every percentage point increase in inflation is related to about 1% decrease in potential output per year. A New Keynesian model generalized to admit time-varying trend inflation and estimated via particle filtering provides theoretical foundations to this reduced-form evidence. The structural long-run Phillips Curve implied by the estimated New Keynesian model is not statistically different from the one implied by the reduced-form piecewise linear BVAR model.

  • June 10, 2022 – Kornelia Fabisik (Frankfurt School of Finance & Management): Is History Repeating Itself? The (Un)predictable Past of ESG Ratings.

    The explosion in ESG research has led to a strong reliance on ESG rating providers. We document widespread changes to the historical ratings of a key rating provider, Refinitiv ESG (formerly ASSET4). Depending on whether the original or rewritten data are used, ESG-based classifications of firms into ESG quantiles and tests that relate ESG scores to returns change. While there is a positive link between ESG scores and firms’ stock market performance in the rewritten data, we fail to observe such a relationship in the initial data. The ESG data rewriting is an ongoing rather than a one-off phenomenon.

  • June 3, 2022 – Michael Sigmund (OeNB): How do national macroprudential authorities set their countercyclical capital buffer?

    In this paper, we first describe which countries have implemented the counter cyclical buffer (CCyB) regime under Basel III. In a second step, we review the hypothetical performance of the Basel CCyB guidance before the great financial crisis in 2007/08. In a last step, we analyze the CCyB decision process of all countries worldwide that have implemented the CCyB under Basel III and report their aggregate credit data to the Bank for International Settlements (BIS). In contrast to opinions expressed in some of the recent literature, the hypothetical CCyB under the Basel guidance would have worked really well in many (European) countries, leading to approximately 250-300 Bn EUR additional capital requirements that could have been released during the crisis. Nevertheless, since the legal implementation of the CCyB framework in 2015, countries do not take the Basel guidance into account when setting their CCyB. We even estimate a negative loading of the suggested Basel CCyB on the CCyB decision.

  • May 27, .2022 – Adam Golinski (The University of York): Term structure modelling of euro area yield curves

    We show how the Joslin, Singleton, and Zhu (2011) factor extraction approach to estimating the Gaussian term structure model can be modified to handle the interest rate lower bound. Our novel approach is exact in a sense that it does not require any approximation in the estimation process. This is important from the perspective of using the model for economic inference, such as measuring term premium or policy expectation. Compared with the standard shadow rate estimation approach based on the Kalman filter, this improves convergence and greatly reduces the computation time. It has the added advantage of producing more robust estimates of the lower bound parameter and the path of the shadow rate. We show that expected inflation and real activity are important unspanned macro factors that drive term premiums as in Joslin, Priebsch, and Singleton (2014).

  • April 29, 2022 – Basile Grassi (Bocconi University): The Hitchhiker’s Guide to Markup Estimation

    How do estimates of firm-level markups that rely on production function estimations depend on common data limitations? With a tractable analytical framework, simulation from a quantitative model, and firm-level administrative production and pricing data, we study biases due to the use of revenue instead of quantity, and due to production function misspecification. Estimates from revenue mismeasure the level of markups, but do contain useful information about true markups. Conversely, misspecified production functions have little effect on the estimated average markup but reduce their information content. Finally, revenue and quantity markups display similar correlations with variables such as profitability and market share in our data.

  • April 8, 2022 – Volker Hahn (University of Konstanz): Increases in Market Power: Implications for Price Dynamics and Monetary Policy

    In many countries, market power in goods markets has increased over the last decades. To examine the implications for monetary policy, we present a menu-cost model with endogenous markups. This model rationalizes the observed increases in market power via productivity increases for some firms. Aggregate productivity is procyclical as resources are reallocated across firms over the course of the business cycle. We identify a new amplification mechanism that relies on a direct effect of market concentration on the demand for individual goods. This mechanism strengthens endogenous fluctuations of aggregate productivity as well as monetary non-neutrality and thus helps to understand the flattening of the Phillips curve.

Past seminars 2015 – 2020

139.16 kB