The official language of the conference is English.

Programme history



MACROMODELS 2011


 

Wednesday, November 30, 2011

 

from 14:00      Hotel registration

 

18:00 – 19:00  Conference registration

 

19:30 – 21:30  Dinner and Get Together Party

 

 

Thursday, December 1, 2011

 

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

 

Rafał WERON, The European CO2 Emissions Trading System (EU-ETS): the Good, the Bad and the Interesting

 

 11:00 – 12:30  Session 1: Macroeconomics

                         Chair: Rafał Weron

 

Barbora VOLNÁ KALIČINSKÁ, Potential Existence of Devaney, Li-York and Distributional Chaos in two Modifications of Macroeconomic IS-LM Model

 

Robert KRUSZEWSKI, The Role of Endogenous Government Spending in the Hicksian Model with Investment Floor and Income Ceiling

  

Michał BURZYŃSKI, The Investors` Risk Aversion and the Log-term Economic Growth in a Schumpeterian Framework

 

12:30 – 13:00  Break

 

13:00 – 14:00  Session 2: Bayesian Econometrics I

                        Chair: Mateusz Pipień

 

Łukasz KWIATKOWSKI, Bayesian Regime Switching SV Models in Market Risk Evaluation

Anna PAJOR, A Bayesian Analysis of Exogeneity in Models with Latent Variables

14:00 – 15:00  Lunch

  

15:00 – 16:00  Session 3: Bayesian Econometrics II

                        Chair: Ryszard Doman

 

Jacek OSIEWALSKI, Krzysztof OSIEWALSKI, General Hybrid MSV-MGARCH Models of Multivariate Volatility. Bayesian Approach

 

Łukasz GĄTAREK, Lennart F. HOOGERHEIDE, Koen HOONING, Herman K. VAN DIJK, Censored Posterior and Censored Predictive Likelihood in Left-tail Prediction

 

16:00 – 17:00  Session 4: Stock Market

                        Chair: Małgorzata Doman

  

Eliza BUSZKOWSKA, Linear Combinations of Volatility Forecasts for the  WIG20 and Polish Exchange Rates

 

Barbara BĘDOWSKA-SÓJKA, American versus German Macro Announcements: the Comparison of the Intraday Effects on the German and the French Stock Markets

 

 

17:00 – 17:30  Break

 

17:30 – 19:00  Session 5: Financial Econometrics

                        Chair: Jacek Osiewalski

 

Magdalena OSIŃSKA, Dettecting risk transfer at financial markets using different risk measures

 

Łukasz LENART, Mateusz PIPIEŃ, Almost Periodically Correlated Time Series in Business Fluctuations Analysis

 

Piotr PŁUCIENNIK, The Impact of the World Financial Crisis on the Polish Interbank Market: a Swap Spread Approach

 

 

19:30               Ceremonial Dinner

 

 

Friday, December 2, 2011

 

 

8:00 – 8:45     Breakfast

 

8.45 – 9.45    Session 6: Economic Growth Modelling

                      Chair: Barbora Volná Kaličinská

 

    Emilia GOSIŃSKA, Władysław WELFE, Business Investment Functions

 

  Michał KONOPCZYŃSKI, Investment In Human Capital As The Best Source     Of Economic Growth After The Adoption Of The Euro

 

 

10:00-14:00    Sightseeing Tour

 

14:00 – 15:00  Lunch

 

15.00 – 15.30  AMFET Meeting

 

15:30 – 16:30  Invited Session II

                        Chair: Władysław Welfe

 

Dawn HOLLAND, Modelling the Euro Area Debt Crisis

 

16:30 – 17:30  Session 7: Applied Econometrics I

                        Chair: Dawn Holland

 

 

Dorota CIOŁEK, External Effects of Industrial Clustering in Poland

 

Jan GADOMSKI, Time-Varying Distributed Lag Models in the Flow Systems

 

17:30 – 18:00  Break

 

18:00 – 19:00  Session 8: Financial Crises

                        Chair: Magdalena Osińska

 

Małgorzata DOMAN, Ryszard DOMAN, Linkages in Global Stock Market During the Recent Crisis: A Comparison of Acute and Creeping Phases

 

Agata KLIBER, Dynamics of the Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Central Europe

 

 

19:30-21.00    Dinner

 

 

Saturday, December 3, 2011

 

8:00 – 9:00      Breakfast

 

 9:00 – 10:30   Session 9: Bayesian Econometrics III

                        Chair: Marek Gruszczyński

 

Justyna WRÓBLEWSKA, Bayesian Analysis of Common Cyclical Features in VEC Models

 

Roman HUPTAS, Bayesian Analysis of the ACD Models for Financial UHF Data: Some Specifications and Empirical Results

 

Krzysztof OSIEWALSKI, Jacek OSIEWALSKI, Missing Observations in Volatility Contagion Analysis. Bayesian Approach Using the MSV-MGARCH Framework

 

10:30 – 12:30  Session 10: Applied Econometrics II

                        Chair: Waldemar Florczak

 

Marta SKRZYPCZYŃSKA, Transition Dynamics and the Business Cycle Phases in Poland

 

Katarzyna LESZKIEWICZ-KĘDZIOR, Władysław WELFE, Consumption Function for Poland. Is Life-cycle Hypothesis Legitimate?

 

Andrzej TORÓJ, Excessive Imbalance Procedure in the EU: a Welfare Evaluation

 

Michał BRZOZA-BRZEZINA, Jacek KOTŁOWSKI, Measuring the Natural Yield Curve

 

13:00-14.00    Lunch