The official language of the conference is English.

Programme history



MACROMODELS 2015


Monday, November 16, 2015

from 16:00     Hotel registration

19:00 – 22:00 Dinner and Get Together Party

 

Tuesday, November 17, 2015

 

7:45 – 9:00     Breakfast

9:00 – 9:45     Conference registration

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

10:00 – 11:00 Invited Session I

Chair: Aleksander Welfe

David KEMME, Kayham KOLEYNI, The impact of the U.S. financial crisis on Mexico. Saved by the float?

11:00 – 12:30 Session 1A: Cointegration analysis

Chair: Anna STASZEWSKA-BYSTROVA

Emilia GOSIŃSKA, Aleksander WELFE, Testing for structural break in cointegrated VAR model.

Robert KELM, Exports, imports and the Polish Zloty exchange rate: A cointegrated VAR perspective.

Piotr KĘBŁOWSKI, Johansen vs. Box-Tiao. Canonical Correlation Analysis in PVEC models.

 

11:00 – 12:30 Session 1B: Modelling CEE economies I

Chair: Janusz BRZESZCZYŃSKI

Marek DĄBROWSKI, Monika PAPIEŻ, Sławomir ŚMIECH, Uncovering the link between flexible exchange rate and fundamentals:  The case of Central and Eastern European economies.

Mateusz Pipień, Sylwia Roszkowska, Quarterly estimates of regional GDP in Poland – application of statistical inference of functions of parameters.

Paweł Strawiński, Paulina BRONIATOWSKA, Aleksandra MAJCHROWSKA, Returns to vocational education in Poland.

 

12:30 – 13:00 Coffee Break

 

 

 

13:00 – 14:00 Session 2A: Financial econometrics

Chair: David KEMME

Janusz Brzeszczyński, Jerzy Gajdka, Ali M. Kutan, Do investors react to surprises? Further evidence from interest rate announcements in Poland.

Michał ŁUKOWSKI, Market efficiency according to employee stock options.

 

13:00 – 14:00 Session 2B: Electricity market modelling

Chair: Justyna WRÓBLEWSKA

Katarzyna MACIEJOWSKA, Structural Vector Autoregressive Model with time varying contemporaneous effects matrix- application to the UK electricity market.

Jakub NOWOTARSKI, A hybrid model for GEFCom2014 probabilistic electricity price forecasting

 

14:00 – 15:00 Lunch

15:30 – 16:30 Invited Session II

Chair: Jacek OSIEWALSKI

George KOURETAS, Saving, Investment and Capital Mobility in EU Member Countries: A Panel Data Analysis of the Feldstein-Horioka Puzzle

16:30 – 17:00 Coffee Break

17:00 – 18:30 Session 3A: Exchange rate modelling

Chair: Robert KELM

Marek DĄBROWSKI, Justyna WRÓBLEWSKA, Flexible exchange rate as a shock absorber in Poland and the Czech Republic: Evidence from the Bayesian SVAR models.

Wojciech GRABOWSKI, Aleksander WELFE,  Qualitative Cointegrated VAR Model. An Application to the Currency Market.

Piotr KĘBŁOWSKI, Katarzyna LESZKIEWICZ-KĘDZIOR, Aleksander WELFE, The real exchange rates, the U.S. dollar and the crude oil price in a tripolar model.

 

17:00 – 18:30 Session 3B: Modelling CEE economies II

Chair: Michał RUBASZEK

                        Marta SKRZYPCZYŃSKA, Cyclical processes in the polish economy.

Liwiusz WOJCIECHOWSKI, Short and long term relationships between labour   productivity and economy openness in Visegrad Countries.

Sławomir ŚMIECH, Monika PAPIEŻ, Marek DĄBROWSKI, In search of hedges and safe havens on financial and commodity markets

 

19:00 Ceremonial Dinner

 

 

 

Wednesday, November 18, 2015

 

7:45 – 8:30     Breakfast

9:00 – 13:00   Sightseeing tour

14:00 – 15:00 Lunch

15:00 – 16:30 Session 4: DSGE models

Chair: Rafał WERON

Paweł BARANOWSKI, Zbigniew KUCHTA, Changes in nominal rigidities in Poland – A regime switching DSGE perspective.

Michele CAZORZI, Marcin KOLASA, Michał RUBASZEK, Exchange rate forecasting with DSGE models.

                           Grzegorz WESOŁOWSKI, The role of the long-term interest rate in
                       stabilizing the business cycle in a small open economy. 

 

16:30 – 17:00 Coffee Break

17:00 – 18:30 Session 5: Econometric methods

Chair: Paweł BARANOWSKI

Henryk GURGUL, Łukasz LACH, Turnpike Optimality versus Structural Change: A Polish Perspective.

Aneta MOROZEWICZ, Stochastic modeling of maximum and utilitarian policies under the veil of ignorance

Jacek OSIEWALSKI, Kamil MAKIEŁA, Justyna WRÓBLEWSKA Bayesian comparison of aggregate production functions and time series GDP models.

19:00 Dinner

 

 

 

 

 

 

Thursday, November 19, 2015

 

7:45 – 9:00      Breakfast

10:00 – 11:00 Invited Session III

Chair: Piotr KĘBŁOWSKI

Rafał WERON, Recent advances in forecasting in energy markets.

11:00 – 12:30 Session 6: Financial systems and regional economics

Chair: Henryk GURGUL

Paweł MARYNIAK,  The (Hidden) Cost of Passive Investing. Impact of ETF Funds on Financial Market Stability

Katarzyna SUM, The endogeneity of banking regulations – the case of the EU.

Andrzej TORÓJ, Reg. economic impact assessment with missing input-output    data: A spatial econometrics approach for Poland

 

12:30 – 13:30 Lunch