The official language of the conference is English.

Programme history



MACROMODELS 2005



Wednesday, November 30, 2005

 
from 14:00        Hotel registration
19:00 – 20:00     Conference registration
20:00 – 24:00    Dinner and Get Together Party


Thursday, December 1, 2005

 
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


Anindya BANERJEE, Breaks, dependence and panel cointegration
 
11:00 – 12:30    Session 1: Exchange rate and monetary policy modelling
Chair: M. Doman

 
Viktors AJEVSKIS, Nadezda SINENKO, Exchange rate dynamical model with the terminal condition of joining currency area.
Robert KELM, Michał MAJSTEREK, The I(2) analysis of money demand and inflation in Poland during transition 1995 - 2005
Anna PAJOR,  Bayesian VECM – SV models for the main Polish exchange rates

12:30 – 13:00    Coffee break
13:00 – 14:00    Session 2:  Inflation modelling
Chair: P. Winker

 
Błażej MAZUR, Exogeneity of prices and total expenditure in dynamic analysis of aggregate consumer demand using cointegrated VAR model.
Justyna WRÓBLEWSKA, Bayesian analysis of cointegrated time series: an analysis of price inflation in Poland

14:00 – 15:00    Lunch
15:00 – 16:00    Invited Session II
Chair: J. Osiewalski


Władysław WELFE, Issues in Modelling Knowledge Based Economy

16:00 – 16:30    Coffee break
16:30 – 18:00    Session 3A: Financial Markets
Chair: M. Pipień


Małgorzata DOMAN, Modeling volatility of Polish stocks: the case of irregularly spaced data
Daria FIŁATOWA, Marek GRZYWACZEWSKI, Wasylij DIKUSAR, Sylwia RUDECKA, Some comments on stochastic model selection for incomplete financial markets stock prices description
Henryk GURGUL, Paweł MAJDOSZ, Market Behaviour Around Profit-Warning Announcements

16:30 – 18:00    AMFET Session 3B: Growth Modelling
Chair: N. Łapińska-Sobczak


Adam KRAWIEC, Economic Policy in the Model of Endogenous Growth – further results
Robert KRUSZEWSKI, Growth model with human capital. Complex economic dynamics.
Jerzy STELMACH, Estimating Potential Output for Poland within State-Space Framework
 
18:30            Ceremonial Dinner


Friday, December 2, 2005

 
7:30 – 8:30        Breakfast
8:30 – 9:30     AMFET Meeting
9:30 – 14:00     Sightseeing Tour
14:00 – 15:00    Lunch
15:00 – 16:00    Invited Session III
Chair: R. Doman


Peter WINKER, Dietmar MARINGER, The convergence of optimization based estimators: theory and application to a GARCH-model
 
16:00 – 17:00    Session 4A: Cointegration
            Chair: M. Majsterek


Piotr KALISZ, Testing for structural change in a long-run relationship between prices and wages in Poland
Jacek KOTŁOWSKI, Money and prices in Polish economy – seasonal cointegration approach

16:00 – 17:00    AMFET Session 4B: Economic and fiscal policy
Chair: R. Kelm


Michał MACKIEWICZ, Making The Pact More Flexible: Can It Lead to Less Flexible Fiscal Policies?
Zbigniew ŻÓŁKIEWSKI, Michał GRADZEWICZ, Labour market and the costs of fiscal tightening
 
17:00 – 17:30    Coffee break
17:30 – 19:00    Session 5A:  Econometric methods
Chair: A. Banerjee


Piotr KĘBŁOWSKI, Small sample power of Bartlett corrected likelihood ratio test of cointegration rank
Mateusz PIPIEŃ, Building Hedging Strategies under GARCH Models with Conditional Skewed-t or Stable Distribution
Aleksander WELFE, Wojciech GRABOWSKI, Error correction models for censored time series

17:30 – 19:00    AMFET Session 5B: Macroeconomic policy
Chair: H. Gurgul

 
Waldemar FLORCZAK, Macroeconomic consequences of introducing taxes on carbon dioxide emission in Poland
Jan GADOMSKI, Zbigniew NAHORSKI, Impact of charging for the gas emission on the growth of a small country economy
Rodica SANDU-LOISEL, Hardening budget constraints in the energy sector: a general equilibrium model applied to Romania
 
19:30            Dinner
 

Saturday, December 3 2005

 
7:30 – 9:00        Breakfast
9:30 – 11:00    Session 6A: Models Validation
Chair: W. Welfe


Jacek OSIEWALSKI, Anna PAJOR, Mateusz PIPIEŃ, Bayesian comparison of multivariate GARCH and SV models
Katarzyna ROSIAK, Outlier and Influential Data Detection in Linear Models
Anna STASZEWSKA, Confidence Bands for Impulse Response Paths
 
9:30 – 11:00    Session 6B: Financial markets and firm behaviour
            Chair: J. Kotłowski


Ryszard DOMAN, Modeling dependence between Polish financial returns using dynamic copula models
Elżbieta RYCHŁOWSKA-MUSIAŁ, An Optimal Capital Structure of a Firm when Ownership and Control are Separated
 
11:00 – 11:30    Coffee break
11:30 – 12:30    AMFET Session 7: Convergence in transition countries
            Chair: M. Przybyliński


Jakub KOWALSKI, Inflation Convergence: Implications for Polish Economy
Aleksandra ROGUT, Sylwia ROSZKOWSKA, Analyses of convergence in the transition countries

12:30            Lunch