The official language of the conference is English.

Programme history



MACROMODELS 2007



Wednesday, December 5, 2007


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


Thursday, December 6, 2007


8:00 – 9:00        Breakfast
9:45 – 10:00    Opening of the conference – Władysław Welfe
10:00 – 11:00    Invited Session I
Chair: P.Winker

STEPHEN G. HALL, GEORGE HONDROYIANNIS, P.A.V.B. SWAMY, GEORGE S. TAVLAS, A portfolio balance approach to euro-area money demand in a time-varying environment

11:00 – 12:30    AMFET Session 1A: National Economy Modelling I
Chair: S. Hall


EMILIAN DOBRESCU, BIANCA PAUNA, Stochastic simulations on the Romanian macroeconomic model
STELIAN STANCU, GABRIELA SAVA, D. Romer adjusted model of economic growth, based on the R. M. Solow one. Evolution scenarios at the Romanian economy level
WALDEMAR Florczak, WŁADYSŁAW Welfe, Knowledge-based macroeconometric model of Poland. Key equations

11:00 – 12:30    Session 1B: Financial Market Modelling I
Chair: L. Overbeck

MAŁGORZATA DOMAN, Between the U.S. dollar and the euro: some aspects of  the Central European currencies dynamics
RYSZARD DOMAN, Conditional dependence between financial returns. A regime switching copula approach
HENRYK GURGUL, ROLAND MESTEL, ROBERT SYREK, Polish stock market and some foreign markets – dependence analysis by copula

11:00 – 12:30    Session 1C: Business Cycles
Chair: M. Plich

JAN HAGEMEJER, MICHAŁ GRADZEWICZ, Impact of competition and business cycles on the behaviour of monopolistic markups in the Polish economy
IMED MEDHIOUB, A Markov switching three regime model of Tunisian business cycle
HULYA SAYGILI, MESUT SAYGILI, Investigating structural change in Turkish exports. The role of Turkey-EU custom union and economic crises

12:30 – 13:00    Coffee break
13:00 – 14:00    COMISEF Session 2A: Computational Econometrics
Chair: M. Gilli


ROBERTO BARAGONA, FRANCESCO BATTAGLIA, Meta-heuristic methods in detecting outliers in time series
MARKUS KRÄTZIG, Solving and estimating nonlinear DSGE models

13:00 – 14:00    Session 2B: Econometric Methods and Applications
Chair: R. Doman


MICHAŁ MAJSTEREK, ALEKSANDER WELFE, Price-wage system with taxation. Sources of I(2) shocks
UMBERTO TRIACCA, Testing for infinite-step noncausality in infinite order VAR processes on large samples of financial data

13:00 – 14:00    Session 2C: Macroeconomic Analyses
Chair: N. Sinenko

JAKUB BORATYŃSKI, Structural decomposition analysis of changes in income distribution in Poland, 1995-2002
ROBERT KRUSZEWSKI, Dynamics of the discrete nonlinear Hicksian model with investment floor and income ceiling

14:00 – 15:00    Lunch
15:00 – 16:30    COMISEF Session 3A: Quantitative Finance
Chair: M. Krätzig


MANFRED GILLI, GERDA CABEJ, ENRICO SCHUMANN, Comparison of optimization criteria in portfolio selection
LUDGER OVERBECK, Correlation credit portfolio models
NIKOLAUS HAUTSCH, YANGGUOYI OU, Yield curve factors, yield volatility and the predictability of bond excess returns

15:00 – 16:30    Session 3B: Financial Market Modelling II
Chair: J. Kotłowski


BARBARA BĘDOWSKA-SÓJKA, Announcement effect in intraday price and volume data
JEROME LAHAYE, SEBASTIEN LAURENT, CHRISTOPHER J. NEELY, Jumps, cojumps and macro announcements
JOHANNES JAENICKE, PU CHEN, The structure of German short-term bank interest rates

15:00 – 16:30    AMFET Session 3C: Growth Modelling I
Chair: W. Welfe


SYLWIA ROSZKOWSKA, Human capital and economic growth in Poland. The regional approach
JAN GADOMSKI, ZBIGNIEW NAHORSKI, Modelling greenhouse gas emissions limits, technology change and economic growth
JULIA GWIZDAŁA, Determinants of investments attractiveness – their significance in regional analysis

16:30 – 17:00    Coffee break
17:00 – 18:00    AMFET Session 4A: Input-Output Modelling
Chair: W. Florczak


PAWEŁ MAJDOSZ, Layers of technology and empirical relation between intermediate usage and output in an input-output model
MARIUSZ PLICH, Environmental extension of the analytical framework of W8D model

17:00 – 18:00    Session 4B: Labour Market Modelling
Chair: E. Syczewska


KATARZYNA BUDNIK, Do those who stay work less?
MICHAŁ GRADZEWICZ, The sources of medium term fluctuations in the labour market

17:00 – 18:00    Session 4C: Inflation and Monetary Policy Modelling
Chair: M. Majsterek


JACEK KOTŁOWSKI, Forecasting inflation with dynamic factor model: A case of Poland
KRZYSZTOF MAKARSKI, Dollarization as a signaling device

19:00            Ceremonial Dinner


Friday, December 7, 2007


7:30 – 8:30        Breakfast
8:00 – 9:30         AMFET Meeting
8:00 – 9.30        COMISEF Fellows Meeting
9:30 – 13:30     Sightseeing Tour
13:30 – 14:30    Lunch
14:30 – 15:30    Invited Session II
Chair: A. Welfe


HASHEM PESARAN, TIL SCHUERMANN, VANESSA SMITH, Forecasting Macroeconomic and Financial Variables with a GVAR

15:30 – 17:00    COMISEF Session 5A: Exchange rate modelling
Chair: R. Baragona


MANFRED GILLI, VAHIDIN JELESKOVIC, PETER WINKER, An objective function for simulation based inference on exchange rate data
WOJCIECH GRABOWSKI, ALEKSANDER WELFE, Foreign exchange interventions modelling. QUAL-VECM approach
VAHIDIN JELESKOVIC, Optimal bootstrap block length for an unknown data generating process. An empirical assessment for exchange rate data

15:30 – 17:00    Session 5B: National Economy Modelling II
Chair: R. Neck


KONG CHYONG CHI, Aggregate production function for Ukraine
VALERY HEYETS, MARIA SKRYPNYCHENKO, Extended production function for Ukraine
ION GHIZDEANU, VERONICA TUDORESCU, ANA ILEANA PÂRVU, Evaluation of potential GDP in Romania

17:00 – 17:30    Coffee break
17:30 – 19:00    Session 6A: Growth Modelling II
Chair: J. Osiewalski


JAN GADOMSKI, Evaluation of development of territorial units and the concept of sustainable growth
ARKADIUSZ WIŚNIOWSKI, Bayesian analysis of growth using stochastic frontier model
ŁUKASZ WOŹNY, JAKUB GROWIEC, Intergenerational interactions in human capital accumulation

17:30 – 18:30    AMFET Session 6B: Economies in Transition and EU Enlargement Issues
Chair: V. Heyets


VIKTORS AJEVSKIS, NADEZHDA SINENKO, Cointegration modelling of credits and property prices for Latvia
EWA SYCZEWSKA, Economic policy and performance of latest accessing states

19:30            Dinner
20:30            COMISEF Members Meeting
Saturday, December 8, 2007

8:00 – 9:30        Breakfast
9:30 – 11:00    COMISEF Session 7A: Macroeconometrics and Policy Analysis
Chair: M. Gruszczyński


MATTHAIOS PROTOPAPAS, Simulation and use of heuristics for peripheral economic policy
REINHARD NECK, KLAUS WEYERSTRASS, A simulation of the macroeconometric effects of introducing the euro in Slovenia
VICTOR BYSTROV, Factor Augmented Error Correction Models

9:30 – 10:30    AMFET Session 7B: Foreign Direct Investment and Foreign Trade
Chair: Z. Nahorski


DALINA MARIA ANDREI, The foreign direct investment (FDI) in Romania and the rest of the new EU member countries
CHRISTOPHE RAULT, ROBERT SOVA, ANA MARIA SOVA, The impact of EU trade policies on transition countries

11:00 – 11:30    Coffee break
11:30 – 12:30    Session 8A: Econometric Theory
Chair: M. Doman


WOJCIECH GRABOWSKI, Unstable Poisson autoregressive processes
JACEK KWIATKOWSKI, Bayesian analysis of random coefficient autoregressive models

11:30 – 12:30    Session 8B: Macroeconomics
Chair: R. Kruszewski


TIMO BAAS, The macroeconomic effects of migration: evidence from a CGE model of Poland and the UK
JAKUB GROWIEC, Production functions and distributions of unit factor productivities: uncovering the link

12:30 – 13:30    Lunch