The official language of the conference is English.

Programme history



MACROMODELS 2013


MACROMODELS 2013

 

Monday, October 21, 2013


from 15:00      Hotel registration

from 18:00      Conference registration

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

 

Tuesday, October 22, 2013


7:45 – 9:00      Breakfast

9:00 – 9:10      Welcome – Aleksander Welfe

9:10 – 9:30      Opening of the conference – Marek Belka, President of Narodowy Bank

                        Polski

 

9:30 – 10:15 Invited Session I

Chair: Aleksander Welfe

Badi H. BALTAGI, Peter H. EGGER, Michaela KESINA, Firm-level productivity spillovers in China's chemical industry: A spatial Hausman-Taylor approach

 

10:15 – 10:30 Coffee Break

 

10:30 – 12:00 Invited Session II

Chair: Badi H. Baltagi

Helmut LÜTKEPOHL, Identifying structural vector autoregressions via changes in volatility

Timo TERÄSVIRTA, Specification, estimation and evaluation of vector smooth transition autoregressive models with applications

 

12:00 – 13:30 AMFET Session 1a: Exchange rate modelling

Chair: Katarina Juselius

Marek A. DĄBROWSKI, Justyna WRÓBLEWSKA, Sources of real exchange rate fluctuations in Poland – results from the Bayesian structural VAR models

Wojciech GRABOWSKI, Aleksander WELFE, An exchange rate model with market pressures and contagion effects

Robert KELM, Rational expectations vs. imperfect knowledge economics: What does really drive Polish zloty?

 

Session 1b: Econometric theory

Chair: Helmut Lütkepohl

Katarzyna ŁASAK, Carlos VELASCO, Fractional cointegration rank estimation

Katarzyna MACIEJOWSKA, Assessing the number of components in a normal mixture: an alternative approach

Łukasz LENART, Mateusz PIPIEŃ, Seasonality revisited - statistical testing for almost periodically correlated stochastic processes

 

13:30 – 14:30 Lunch

 

14:30 – 16:00 Invited Session III

Chair: Søren Johansen

Stephen HALL, Generalised Cointegration

Martin WAGNER, Some Generalizations of Regression Based Cointegration Analysis

 

16:00 – 17:30  Session 2a: International macroeconomics

Chair: Paul Mizen

Marcin HUMANICKI, Robert KELM, Krzysztof OLSZEWSKI, Foreign Direct Investment and Foreign Portfolio Investment in the contemporary globalized world: should they be still treated separately?

Aleksandra PARTEKA,  Joanna WOLSZCZAK-DERLACZ, Integrated sectors - diversified earnings: the (missing) impact of offshoring on wages and wage convergence in the EU27

Yulia V. VYMYATNINA, Common economic area of Russia, Kazakhstan and Belarus: Spillover effects

 

Session 2b: Business cycle modeling I

Chair: Robert Kruszewski

Łukasz LENART, Mateusz PIPIEŃ, Detecting almost periodicity in mean function with application to business cycle co-movement

Marta SKRZYPCZYŃSKA, The cyclical processes of Polish economic activity

Magdalena OSIŃSKA, Tadeusz KUFEL, Marcin BŁAŻEJOWSKI, Paweł KUFEL, Business cycle synchronization in the EU after the crisis 2007-2009

 

17:30 – 18:00 Coffee Break

 

18:00 – 19:30 Session 3a: Inference in cointegration models

 Chair: Magdalena Osińska

Łukasz GĄTAREK, Multiperiod hedging in cointegrated system

Emilia GOSIŃSKA, Testing for structural break in vector error correction models

Anna PAJOR, Justyna WRÓBLEWSKA, VEC-SV models in Bayesian analysis of short- and long-run relationships

 

Session 3b: Business cycle modelling II

Chair: Mateusz Pipień

Robert KRUSZEWSKI, Expectations in a Kaldor-like business cycle model

Wiesław ŁUCZYŃSKI, Volatility of economic dynamics of Germany (1947-2013)

Piotr PIĘKOŚ, Identification of relationship between business cycle and monetary sphere of the economy

 

20:00 Ceremonial Dinner

 

Wednesday, October 23, 2013


7:45 – 9:00   Breakfast

 

9:00 – 9:45 Invited Session IV

Chair: Ryszard Doman

Søren JOHANSEN, Katarina JUSELIUS, An Asymptotic Invariance Property 
of the Common Trends under Linear Transformations of the Data

 

9:45 – 11:15 AMFET Session 4a: Modelling Central and Eastern European economies

Chair: Anindya Banerjee

Victor BYSTROV, A factor-augmented model of markup on mortgage loans in Poland

Agata KLIBER, Hungary or Greece - what drives the sCDS dynamics in Central Europe

Karolina KONOPCZAK, Aleksander WELFE, The Balassa-Samuelson effect and the channels of its absorption in the Central and Eastern European Countries

                       

Session 4b: Modelling and forecasting of exchange rates and inflation

Chair: Robert Kelm

Michele CA' ZORZI, Jakub MUĆK, Michał RUBASZEK, Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk

Błażej MAZUR, Are periodic effects in other macroeconomic variables relevant to inflation forecasts? The case of Poland

Victor SHEVCHUK, Exchange rate flexibility as a stabilization tool in Poland

 

11:15 – 11:30 Coffee Break

 

11:30 – 13:00 Invited Session V

Chair: Peter Winker

Karim ABADIR, Lies, Damned Lies, and Statistics? Examples From Finance and Economics

Anindya BANERJEE, Massimiliano MARCELLINO, Igor MASTEN, Structural FECM: Cointegration in Large-scale Structural FAVAR Models

 

13:00-14:00 Lunch

 

14:00 – 15:30 Invited Session VI

Chair: Martin Wagner

Paul MIZEN, Michael BLEANEY, Veronica VELEANU, Bond Spreads as Predictors of Economic Activity in Eight European Economies

Peter WINKER, Helmut LÜTKEPOHL, Anna STASZEWSKA-BYSTROVA, Constructing Joint Confidence Bands for Impulse Response Functions and Forecast Paths

 

15:30 – 17:00  Session 5a: Financial econometrics

Chair: Karim Abadir

Barbara BĘDOWSKA-SÓJKA, News effects on intraday volatility in good and bad times

Katarzyna BIEŃ-BARKOWSKA, Timing of Order Submissions and Cancellations in the Reuters Dealing 3000 Spot Matching System

Małgorzata DOMAN, Ryszrd DOMAN, A competitive influence of the USD and the EUR on the patterns of currency co-movement

 

Session 5b: Policy and input-output analysis

Chair: Krzysztof Makarski

Jakub BORATYŃSKI, Magdalena ZACHŁOD-JELEC, Uncertainty of climate policy effects in a global CGE model

Miroslav KĽÚČIK, Econometric model for fiscal policy analysis

Jean-François EMMENEGGER, Helmut KNOLLE, Daniel CHABLE, Sraffa and Leontief revisited: ‘Production of Commodities by Means of Commodities’

 

17:00 – 17:30 Coffee Break

 

17:30 – 19:00 Session 6a: Bayesian econometrics

Chair: Herman van Dijk

Roman HUPTAS, The UHF-GARCH model in analysis of intraday volatility and durations – Bayesian approach and example from the Polish stock market

Jacek OSIEWALSKI, Krzysztof OSIEWALSKI, Long-run relations among daily prices on several markets: Bayesian VAR(2) – GMSF-SBEKK model

Justyna WRÓBLEWSKA, Common trends and common cycles – Bayesian approach


Session 6b: Modelling and estimation

Chair: Miroslav Kľúčik

Jan ACEDAŃSKI, Adaptive learning and approximate aggregation in heterogeneous agent models

Daniel KOSIOROWSKI, Małgorzata SNARSKA, Robust procedures for multivariate location and scatter monitoring in economic data stream

 

20:00 Dinner

 

Thursday, October 24, 2013


7:45 – 9:00      Breakfast

 

9:00 – 9:45      Invited Session VII

Chair: Jacek Osiewalski

Herman VAN DIJK, Combining Forecast Densities in Macroeconomic and Financial Models


9:45 – 11:15 AMFET Session 7a: Macroeconometrics

Chair: Timo Teräsvirta

Michał BRZOZA-BRZEZINA, Marcin KOLASA, Krzysztof MAKARSKI, A penalty function approach to occasionally binding credit constraints

Kamil MAKIEŁA, Investigating the structure of aggregated production

function

Frauke SCHLEER, Willi SEMMLER, Financial sector-output dynamics in the euro area: Non-linearities reconsidered


Session 7b: Panel data analysis

Chair: Stephen Hall

Ewa LECHMAN, Technology-driven competitiveness of selected OECD countries. A macroeconomic evidence for the period 2000-2011

Agnieszka CHŁOŃ-DOMIŃCZAK, Paweł STRAWIŃSKI, Labour market entry of young people in Poland

Katarzyna SUM, Banking regulation and bank performance in the EU-countries

 

11:15-11:30 Break

 

11:30 – 12:15 Invited Session VIII

Chair: Małgorzata Doman

Katarina JUSELIUS,  Mikael JUSELIUS, Balance sheet recessions and time-varying coefficients in a Phillips curve relationship: An application to Finnish data

 

12:00            Hotel check-out


12:15-13:15 Lunch

 

13:30-17:00 Sightseeing