The official language of the conference is English.

Programme history



MACROMODELS 2009


 

 

Wednesday, December 2, 2009

 

from 14:00      Hotel registration

 

18:00 – 19:00 Conference registration

 

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

 

 

Thursday, December 3, 2009

 

8:00 – 9:00      Breakfast

 

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

 

10:00 – 11:00   Invited Session I

                         Chair: Aleksander Welfe

 

P.A.V.B. SWAMY, George S. TAVLAS, Stephen G. HALL and George HONDROYIANNIS, Estimation of Parameters in the Presence of Model Misspecification and Measurement Error

 

11:00 – 12:30  Session 1A: Exchange Rate and Inflation Modelling

                        Chair: Peter Winker

 

Agata KLIBER, Impact of Rating Agency Announcements on the Common Volatility of Hungarian Forint and Polish Zloty

 

Piotr KĘBŁOWSKI, Aleksander WELFE, The Risk-Driven Approach to the Equilibrium Exchange Rate

 

Robert KELM, Inflationary Consequences of Globalization in Poland in Pre-ERM2 Period

 

 

12:30 – 13:00  Coffee break

 

13:00 – 14:00  Session 2A: GARCH Models

                        Chair: Rafał Weron

 

Barbara BĘDOWSKA-SÓJKA, Interdependence between Polish, French and German Stock Markets – Evidence from Intraday Data

 

Małgorzata DOMAN, Modelling Volatility and Conditional Correlations: Do Holidays Matter?

 

13:00 – 14:00  COMISEF Session 2B: Expectations and Learning Models

                        Chair: Anna Pajor

 

Victor BYSTROV, Anna STASZEWSKA-BYSTROVA, Aleksander WELFE, Adaptive Learning and Inflationary Expectations: Polish Manufacturers

 

Tikesh RAMTOHUL, Dietmar MARINGER, A Regime-Switching Model of Recurrent Reinforcement Learning for Automated Trading

 

  

14:00 – 15:00  Lunch

 

 

15:00 – 16:00  Session 3A: Vector Error Correction Models - Applications

                        Chair: Jacek Kotłowski

 

Aleksandra ROGUT, Sylwia ROSZKOWSKA, Wages, Prices and Unemployment in Poland

 

Magdalena ZACHŁOD-JELEC, Interrelations between Consumption and Wealth in Poland

 

16:00 – 17:00  Session 4A: DSGE Models

                        Chair: Jerzy Marzec

 

Michał BRZOZA-BRZEZINA, Krzysztof MAKARSKI, The Credit Crunch in a Small Open Economy

 

Andrzej TORÓJ, Adjustment Capacity in a Monetary Union: A DSGE Evaluation of Poland and Slovakia

 

16:00 – 17:00  AMFET Session 4B: Modelling Economies in Transition I

                        Chair: Michal Olexa

 

Waldemar FLORCZAK, Macrodeterminants of Crime in Poland. An Economic Approach

 

17:00 – 17:30  Coffee break

 

17:30 – 18:30  Session 5A: Mathematical Economics - Methodological Issues

                        Chair: Marek Gruszczyński

 

Robert KRUSZEWSKI, Chaotic Dynamics of a Hicks-type Model with Expectations. Further Results

 

Piotr MAĆKOWIAK, On Equivalence of Brouwer's Fixed Point Theorem and Existence of Economic Equilibrium

  

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

                        Chair: Enrico Schumann

 

Jan GADOMSKI, Zbigniew NAHORSKI, Growth, Emission Limit and Technological Change in the Three-Sector Growth Model

 

Reinhard NECK, Dmitri BLUESCHKE, Viktoria BLUESCHKE-NIKOLAEVA, Optimal Macroeconomic Policies under Uncertainty: An Application of Stochastic Control Theory to Slovenia

 

 

19:00                    Ceremonial Dinner

 

 

Friday, December 4, 2009

 

8:00 – 9:00       Breakfast

 

8:30 – 9:00      AMFET Meeting

 

10.45 – 14:00    Sightseeing Tour

10.45 - 11.00 – Transfer to the salt mine

11.00 - 12.30 –  Godown to the mine and sightseeing

12.30 - 13.30 – Lunch at Bochnia Salt Mine Health Resort

13.30 - 14.00 – Come back to the hotel

 

 15:00 – 16:00  Invited Session II

                        Chair: Manfred Gilli

 

Ryszard DOMAN, Applying Dynamic Copulas to Modelling Inter-dependencies in Global Financial Market During Financial Crises

 

 

16:00 – 17:00  COMISEF Session 6A: Credit and Interest Rates

                        Chair: Reinhard Neck

 

Anindya BANERJEE, Victor BYSTROV, Paul MIZEN, The Response of Retail Interest Rates to Forecasts of Market Rates in the Major European Economies

 

Marianna LYRA, Akwum ONWUNTA, Peter WINKER, Threshold Accepting for Credit Risk Assessment and Validation

 

16:00 – 17:00  Session 6B: Regime-Switching Models

                        Chair: Małgorzata Doman

 

Łukasz KWIATKOWSKI, Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework

 

Rafał WERON, Joanna JANCZURA, Modelling Wholesale Electricity Spot Prices: A Review of Regime-Switching Models

 

17:00 – 17:30  Coffee break

 

17:30 – 18:30  COMISEF Session 7A Optimisation – Algorithms and Applications

                        Chair: Mateusz Pipień

 

Manfred GILLI, Enrico SCHUMANN, Optimal Enough?

 

Ivan SAVIN, Peter WINKER, Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance

 

17:30 – 18:30  AMFET Session 7B Modelling and Forecasting Polish Economy

                        Chair: Robert Kelm

 

Władysław WELFE, Waldemar FLORCZAK, Slow Down of the Polish Economy and the World Recession. Model Based Simulations

 

Emilia GOSIŃSKA, Modelling Polish Foreign Trade. Cointegration in the Presence of Structural Breakes

 

19:00-21.00    Dinner

 

 

Saturday, December 5, 2009

 

8:00 – 9:00       Breakfast

 

10:00 – 11:30  AMFET Session 8A: Modelling Economies in Transition II

                        Chair: Władysław Welfe

 

Ján HALUŠKA, Michal OLEXA, Analysis and Estimation of the Euro-Changeover Effect on the Price Development in the SR

 

Miroslav KLÚČIK, Jana JURIOVÁ, Slovakia: Slowdown or Recession? Forecasts Based on Composite Leading Indicators

 

11:30 – 12:30  Session 9A: VAR/VEC Models – Methodology

                        Chair: Michał Majsterek

 

Victor BYSTROV, Francesco BATTAGLIA, Antonietta DI SALVATORE, Structural Break and Eigenvalues of the Spectral Density Matrix

 

Peter WINKER, Dietmar MARINGER, Model Selection and Rank Estimation in Vector Error Correction Models

 

13:00-14.00    Lunch