The official language of the conference is English.

Programme history



MACROMODELS 2006



Wednesday, November 29, 2006

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


Thursday, November 30, 2006

 
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


Timo Teräsvirta, Modelling Autoregressive Processes with a Shifting Mean (abstract)
 
11:00 – 12:30    Session 1A: Exchange Rate Modelling
Chair: K. M. Abadir


Viktors AJEVSKIS, Nadezda SINENKO, A Non-Stationary Monetary Exchange Rate Model with the Fundamental Driven by Ornstein-Uhlenbeck Stochastic Process (abstract)
Robert Kelm, Do the FEERs Provide an Useful Information about the Polish Zloty/Euro Equilibrium Exchange Rate? The Trade Balance Model for Poland 1995-2005 (abstract)
Piotr Kębłowski, Aleksander Welfe, The Equilibrium Exchange Rate: VEqCM Approach  (abstract)
 
11:00 – 12:30    AMFET Session 1B: National Economy Modelling I
Chair: Z. Gelmanova

 
Bulent Acma, Structural Reforms for Sustainable Growth in Emerging Market Economies: Turkish Public Economy As a Case Study (abstract)
Jean-Louis Brillet, Thomas Le Barbanchon, Sławomir Dudek, Dawid Pachucki, Econometric model PFMOD - structure and properties
Waldemar Florczak, Władysław Welfe, Modelling Sustainable Growth: the Case of Poland
 
12:30 – 13:00    Coffee break
13:00 – 14:00    Session 2A: Insurance and Financial Market Modelling
Chair: T. Hasegawa

 
Agata Kliber, Volatility Transmission along the Yield Curve in Polish Financial Market (abstract)
Mariusz Plich, Problems of Modeling Polish Insurance Industry (abstracts)
 
13:00 – 14:00    Session 2B: Mark-up and Growth Modelling
Chair: M. Grzywaczewski


Michał Gradzewicz, Jan Hagemejer, Monopolistic Markups and Returns to Scale in the Polish Economy. Firm-Level Evidence
Stanisław Matusik, Demographic Factors in Economic Development Model of the Malopolskie Communes (abstract)

14:00 – 15:00    Lunch
15:00 – 16:30    Session 3A: Inflation Modelling
Chair: M. Zili


Piotr Bórawski, Jacek Kwiatkowski, The Impact of European Union Integration on Volatility of Polish Agriculture Commodity Price
Robert Kelm, Michał Majsterek, The Relationship Between Wages and Prices in the Polish Economy. An I(2) Approach
Justyna Wróblewska, Bayesian Analysis of Cointegration: An Analysis of Price Inflation in Poland (abstract)
 
15:00 – 16:30    Session 3B: Technological Changes and Growth Modelling
Chair: R. Kelm


Jakub    Growiec, Ingmar Schumacher, Technological Opportunity, Human Capital, and Balanced Growth (abstracs)
Paweł Kliber, Analysis of Convergence and Changes in the Technology in OECD Countries with Panel Methods (abstract)
Dorota Świeczewska, Łucja Tomaszewicz, Intersectional Diffusion of Innovation
 
16:30 – 17:00    Coffee break
17:00 – 18:30    Session 4A: Financial Market Modelling I
Chair: D. Filatova


Jędrzej Białkowski, Jacek Jakubowski, Stock Index Futures Arbitrage in Emerging Markets: Polish Evidence (abstract)
Małgorzata Doman, Modeling the Realized Volatility with Regime Switching Models: Results from the Polish Financial Market (abstract)
Piotr Płuciennik, Modeling and Forecasting the Implied Volatility of the WIG20 Index (abstract)

17:00 – 18:30    AMFET Session 4B: Macroeconomic Policy Modelling I
Chair: A. Pajor


Jan Gadomski, Zbigniew Nahorski, Can Greenhouse Gas Emission Permits Scheme Induce Technological Change? (abstract)
Toshiaki Hasegawa, Fiscal Policy, Private Investment Behaviors and Economic Growth in JAPAN in a Context of Interindustry-Based Approach
Anna Staszewska, Learning about the Shape of Impulse Response Paths
 
19:00            Ceremonial Dinner


Friday, December 1, 2006

 
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 II
Chair: M. Doman


Karim M. Abadir, The Memory of Financial Markets and Macroeconomic Series (abstract)

16:00 – 17:00    Session 5A: Financial Market Modelling II
Chair: R. Doman


Jędrzej Białkowski, Serge Darolles, Gaëlle Le Fol, Improving VWAP Strategies: A Dynamical Volume Approach (abstract)
Jacek Osiewalski, Anna Pajor, Mateusz Pipień, Bivariate GARCH, SV and Hybrid Models

16:00 – 17:00    Session 5B: Monetary Policy and Growth Modelling
Chair: Ł. Tomaszewicz


Ján Haluška, Michal Olexa, Using Business and Consumer Survey Results for GDP Flash Estimates in Slovakia (An econometric approach) (abstract)
Krisztina Molnar, Sergio Santoro, Optimal Monetary Policy When Agents are Learning (abstract)
 
17:00 – 17:30    Coffee break
17:30 – 19:00    Session 6A: Financial Market Modelling III
Chair: J. Osiewalski

 
Ryszard Doman, Modeling Conditional Dependence between Polish Financial Returns Using Copula-Based Dependence Measures (abstract)
Daria Filatova, Marek Grzywaczewski, Mounir Zili, Principle Maximum in a Task of Portfolio Optimization of Mertons' Market Model Driven by a Fractional Brownian Motion with Short-Range Dependence (abstract)
Anna Pajor, Bayesian Option Pricing with Stochastic Volatility and Stochastic Interest Rate (abstracs)

17:30 – 19:00    Session 6B: Growth Modelling
Chair: M. Pipień


Paweł Kliber, Sensivity of Optimal Growth Trajectories in a Continuous Setting (abstract)
Robert Kruszewski, Deterministic Chaos and Cyclical Behaviour in a Modified Samuelson-Hicks Model (abstract)
Ingmar Schumacher, On Endogenous Discounting and Capital Accumulation (abstract)

19:30            Dinner


Saturday, December 2, 2006

 
7:30 – 9:00        Breakfast
9:00 – 10:30    Session 7A: Labour Market Modelling
Chair: M. Plich


Henryk Gurgul, Paweł Majdosz, Spatial Division of Labour: An Empirical Evidence from Poland (abstract)
Katerina Lisenkova, Population Ageing Effect on Earnings in Ukraine (abstract)
Sylwia Roszkowska, Aleksandra Rogut, Wages and Human Capital in Poland - the Regional Approach of Mincerian Equation (abstract)

9:00 – 10:30    AMFET Session 7B: Macroeconomic Policy Modelling II
Chair: T. Teräsvirta


Igor Eromenko, Ukraine's Accession to the WTO, Computable General Equilibrium Model (abstract)
Jan Hagemejer, Michał Gradzewicz, Zbigniew Żółkiewski, Globalization and the Polish Economy: Stylized Facts and Some CGE Model Simulations
Renata Wróbel-Rotter, Dynamic Stochastic General Equilibrium Models: Structure and Estimation (abstract)

10:30 – 11:00    Coffee break
11:00 – 12:00    Session 8A: Non-Stationary Series Modelling
Chair: M. Majsterek


Wojciech Grabowski, Nonstationary Discrete Choice Models (abstract)
Błażej Mazur, On the Use of Inverse Demand Systems in VECM Form (abstract)

11:00 – 12:30    AMFET Session 8B: National Economy Modelling II
Chair: W. Welfe

 
Kamil Durdu, Sukru Inan, Turkish Trade Relations with the Balkan Transition Economies 1980-2005 (abstract)
Zoya Gelmanova, Baurzhan Karimov, Model of Regional Socio-Economic System on an Example of the Republic of Kazakhstan (abstract)
Stelian Stancu, Gabriela Sava, Elaboration and Analysis of a Macroeconomic Model at the Level of the Romanian Economy (abstract)

12:30 – 13:30    Lunch