The official language of the conference is English.

Programme history



MACROMODELS 2008


 

Below is the detailed programme of the conference. Abstracts or full papers are linked to the titles of the presentations.

 

 

 

Wednesday, December 3, 2008

 

from 14:00      Hotel registration

 

18:00 – 19:00 Conference registration

 

19:00 – 21:00  Dinner and Get Together Party

 

 

Thursday, December 4, 2008

 

8:00 – 9:00      Breakfast

 

9:45 – 10:00    Opening of the conference – Władysław Welfe

 

10:00 – 11:00   Invited Session I

                        Chair: A. Welfe

 

Jeff CHEN, Wende DENG, David KEMME, Yuan real exchange rate undervaluation, 1997-2006. How much, how often? Not much, not often

 

11:00 – 12:30  Session 1A: Volatility Modelling I

                        Chair: A. Welfe

 

Jeff CHEN, Wende DENG, David KEMME, Yuan real exchange rate undervaluation, 1997-2006. How much, how often? Not much, not often

 

11:00 – 12:30  Session 1A: Volatility Modelling I

                        Chair: Mgdalena Osińska

 

Małgorzata DOMAN, Ryszard DOMAN, Forecasting the end-of-the-day realized variance

 

Henryk GURGUL, Tomasz WóJTOWICZ, FIGARCH models and long memory

 

Mateusz PIPIEŃ, On the empirical importance of the orthogonal transformation in copula-based M-GARCH models. Bayesian comparison

 

11:00 – 12:30  Session 1B: Labour Market Modelling

                        Chair: Reinhard Neck

 

Timo BAAS, The macroeconomic consequences of labour mobility within the enlarged EU

 

Katarzyna BUDNIK, How do economies with open labour markets work?

 

Sylwia ROSZKOWSKA, A stock-flow matching function. The case of Poland

 

12:30 – 13:00  Coffee break

 

13:00 – 14:00  Session 2A: Cointegration
                        
Chair: Michał Majsterek

 

Dimitri BLUESCHKE, Viktoria BLUESCHKE-NIKOLAEVA, P. CHEN, J. ZENG, Subscoint4

 

Błażej MAZUR, Estimation of large demand systems in VECM form

 

13:00 – 13:30  Session 2B: Bayesian Econometrics

                        Chair: Robert Kruszewski

 

Jacek OSIEWALSKI, Bayesian Value-at-Risk for large portfolios: methodological issues

  

14:00 – 15:00  Lunch

 

15:00 – 16:00  Session 3A: Currency Crises

                        Chair: Małgorzata Doman

 

Wojciech GRABOWSKI, Qual-VECM Approach in the currency crises modelling

 

Agata KLIBER, Paweł KLIBER, Interdependences among Easter and Central European currencies. A lesson from the crisis

 

15:00 – 16:00  AMFET Session 3B: Macroeconomic Modelling I

                        Chair: Francesco Battalia

 

Toshiaki HASEGAWA, Factor decomposition of  labor share in Japan

 

Władysław WELFE, Long-term macroeconometric model for Poland

 

16:00 – 17:00  COMISEF Session 4A: Heuristics Optimization

                        Chair: Peter Winker

 

Viktoria BLUESCHKE-NIKOLAEVA, Dimitri BLUESCHKE, Reinhard NECK, OPTCON5: An algorithm for the optimal control of nonlinear stochastic models

 

Marianna LYRA, Optimization heuristics for determining internal rating grading scales

 

16:00 – 17:00  Session 4B: Quantitative Finance I

                        Chair: Ryszard Doman

 

Barbara BĘDOWSKA-SÓJKA, Macroeconomic announcements and volatility of intraday WIG20 futures

 

Marc PAOLELLA, CHICAGO: A fast and accurate method for portfolio risk calculation

 

17:00 – 17:30  Coffee break

 

17:30 – 18:30  Session 5A: Game Theory and Mathematical Economics

                        Chair: Henryk Gurgul

 

Phillip HUNGERLAENDER, N-person dynamic Stackelberg difference games with open-loop information pattern

 

Robert Kruszewski, Chaotic dynamics of a Hicks-type model with expectations

 

17:30 – 18:30  COMISEF Session 5B: Macroeconomic Modelling II

                        Chair: Michal Olexa

 

Reinhard NECK, Gottfried HABER, Klaus WEYERSTRASS, Optimal exchange rate and fiscal policies for Slovenia

 

Leonid SILBERMANN, Where has all the money gone? A post-mortem examination of the “Neuer Markt” in Germany

 

19:00                    Ceremonial Dinner

 

 

Friday, December 5, 2008

 

8:00 – 9:00       Breakfast

 

8:30 – 9:00      AMFET Meeting

 

9:00 – 14:00    Sightseeing Tour

 

14:00 – 15:00  Lunch

 

15:00 – 16:00  Invited Session II

                        Chair: J. Osiewalski

 

Wojciech CHAREMZA, Svetlana MAKAROVA, Yaroslav PRYTULA, Julia RASKINA, Yulia VYMYATNINA, A small forward-looking inter-country model

 

16:00 – 17:00  COMISEF Session 6A: Quantitative Finance II

                        Chair: Anna Staszewska

 

Akwum ONWUNTA, Michael KALKBRENER, Calibration of structural credit portfolio models

 

Enrico SCHUMANN, Manfred GILLI, Gerda CABEJ, A comparison of optimisation criteria in portfolio selection: An update

 

16:00 – 17:00  AMFET Session 6B: National Economy Modelling

                        Chair: Waldemar Florczak

 

Miroslav KLUCIK, Jan HALUSKA Composite leading indicator for the Slovak economy

 

Bartosz RYBARCZYK, et al., New structural macroeconomic model of the NBP

 

17:00 – 17:30  Coffee break

 

17:30 – 18:30  COMISEF Session 7A: Econometric Methods

                        Chair: Wojciech Charemza

 

Victor BYSTROV, Structural instability in dynamic factor models

 

Anna STASZEWSKA, Confidence bands for VAR forecast paths

 

17:30 – 18:30  COMISEF Session 7B: Genetic Algorithms

                         Chair: Mateusz Pipień

 

Francesco BATTAGLIA, Mattheos PROTOPAPAS, Time-varying thereshold model building by genetic algorithms

 

Mattheos PROTOPAPAS, Elias KOSMATOPOULOS, Genetic algorithms for Cournot games

 

19:00-21.00    Dinner

 

 

Saturday, December 6, 2008

 

8:00 – 9:00       Breakfast

 

10:00 – 11:30  Session 8A: Monetary Policy

                        Chair: Justyna Wróblewska

 

Oskar KRZESICKI, Modeling money demand in Poland

 

Krzysztof MAKARSKI, Michał GRADZEWICZ, The welfare cost of monetary policy loss after the euro adoption

 

Magdalena OSIŃSKA, In-the-sample and out-of-sample Granger casuality in the money demand for Poland

 

10:00 – 11:30  Session 8B: Methods and Applications

                        Chair: Piotr Kębłowski

 

Sheri M. MARKOSE, Optimization with regime switching dynamic weights

 

Paweł STRAWIŃSKI, What drives the unemployment rate in Poland?

 

 Renata WRÓBEL-ROTTER, Sensitivity analysis for DSGE models

 

11:30 – 12:30  Session 9A: Quantitative Finance III

                        Chair: Sheri M. Markose

 

Piotr MAĆKOWIAK, Adaptive rolling plans are good

 

Elżbieta RYCHŁOWSKA-MUSIAŁ, Sources of investment funds and the agency costs in a firm

 

11:30 – 12:30  AMFET Session 9B: Macroeconomic Modelling III

                        Chair: Władysław Welfe

 

Kazimierz KRAUZE, Anna KRAUZE, Public debt and economic growth in Poland

 

Arkadiusz WIŚNIOWSKI, Jakub BIJAK, Forecasting of immigration flows for selected European countries

 

13:00-14.00    Lunch