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The IAAE 2023 Annual Conference at BI Norwegian Business School, 27-30 June 2023

Awarded: NOK 0.18 mill.

From 27 to 30 June 2023, BI Norwegian Business School hosted the annual research conference of the International Association of Applied Econometrics (IAAE). The annual IAAE conference is a leading international venue for the presentation of innovations in the applications of econometrics in the study of economic, financial and related questions. There was a total of 515 registered participants, and 129 plenary and parallell sessions. About 460 scientific contributions were presented during the four days of the conference. Out of the 129 plenary and parallell sessions, at least 36 of them (about 141 works) had a direct connection to financial markets (e.g. exchange rates, stock markets, volatility), monetary policy (e.g. inflation, central banking) and financial econometrics. Additionally, many sessions covered topics with an indirect connection to financial markets research (e.g. macro uncertainty, business cycles, forecasting, panel and time series methods, instrumental variables). The keynote speakers were distinguished scholars within their field, and consisted amongst others of Lars Peter Hansen (Nobel's memorial prize in economics 2013) and Tim Bollerslev (the inventor of the financial volatility model GARCH(1,1)). More details can be found on the webpage of the conference: https://www.bi.edu/about-bi/events/2023/june/iaae2023/

Numerous papers addressed, directly or indirectly, the challenges of technological change and the continuous increase in new data. That the scientific innovations at the conference help financial market participants handle the challenges is documented by the fact that many participants (about 20%) work for the industry. Particularly prominent examples are Hashem Pesaran (Cambridge/Davis) and Yacine Ait-Sahalia (Princeton), who both work for hedge funds. Also, the international company Amazon (https://www.amazon.com/) was actively hiring people at the conference. The conference was truly international, since we had participants from all continents (Africa, Asia, Australia, America and Europe). The scientific programme, together with the social events, are expected to stimulate numerous cross-border collaborations. This is also the case for BI, since both young (PhD) and established researchers from three academic departments (Data Science, Economics and Finance) attended the conference. We were not very successful in attracting Norwegian policymakers and businesses to attend the conference. We are a little bit puzzled by this. One hypothesis is that the timing of the conference was not optimal, since a common feedback we received was that Norwegians are usually on summer holidays during the period 27-30 June. We received very positive feedback regarding BI. Indeed, a prominent scholar suggested we "should have a conference every year!". One of the IAAE directors commented "you have raised the bar", and another stated we had arranged "the best IAAE conference ever". The positive impression of the participants is believed to help us attract highly qualified students and faculty in the future.

The aim of IAAE is to advance the education of the public in econometrics and its applications to a variety of fields in economics, including financial markets. The annual conference brings together leading international researchers, and the IAAE has close ties to the highly regarded Journal of Applied Econometrics (JAE). The JAE has published numerous articles on financial markets and financial econometrics. The IAAE annual conference plays an important international role in financial markets research. A substantial part of the empirical research is directly connected to financial markets, and methodologically the field of econometrics provides financial markets researchers with many of their most important statistical tools (e.g. General Method of Moments (GMM) estimation, robust standard errors and volatility models). In 2021, for example, at least 35 parallel sessions comprising about 140 presentations had a direct connection to the empirical workings of financial markets (e.g. exchange rates, volatility, monetary policy, etc.) or to financial econometrics. Additionally, many sessions covered topics with an indirect connection to financial markets research (e.g. macro uncertainty, business cycles, forecasting, panel and time series methods). The IAAE annual conference is therefore a leading international venue for the presentation of new empirical financial markets research, and for the presentation of new econometric methods of relevance to financial markets researchers. We expect the IAAE 2023 annual conference to gather 350 researchers or more. The scientific part will consists of eight keynote speakers, and hundreds of paper presentations in parallel sessions. The conference will also contain several social events thus providing ample opportunities for networking, informal meetings and discussions. This is crucial for the initiation of academic collaboration across borders, institutions and disciplines.

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