The official language of the conference is English.

Publication history



MACROMODELS 2002


29th Macromodels 2002
Wladyslaw Welfe, Aleksander Welfe
Wydawnictwo Uniwersytetu Lodzkiego, Lodz 2003, ISBN:83-7171-801-2
Contents
Preface 3
Macroeconometric Models of the Transition Economies
Władysław Welfe, Waldemar Florczak, Leszek Sabanty, Aleksander Welfe, The W8-2000 Medium-Term Macroeconometric Model of the Polish Economy 11
Emilian Dobrescu, Macromodel Estimations for the 2002 Version of the Romanian „Pre Accession Economic Programme” 35
Issues in the Theory of Growth
Tomasz Tokarski, Long-Run Monetary Policy Rules in the Domar-Solow Type of Economy 59
Adam Krawiec, Marek Szydłowski, Investment Delay in a Growth Cycle Model 81
Labour Econometrics
Sara Andersson, Andreas Blomquist, Claes-Håkan Gustafson, Jan-Olof Lidström, Are Men Worth More? Evidence About Gender Wage Differences from Official Swedish Data 2001 101
Karsten J. Adamski, Götz Uebe, Activity and Pension Profiles from the GSOEP 119
Applied Econometrics Monetary and Fiscal Policies
Christoph Pasternak, The Signals Approach as an Early Warning System for Currency Crises an Application to Transition Economies–with Special Emphasis on Poland 135
Victor Ajevsky, Nadezhda Sinenko, Evija Liepa, VAR Modeling of Latvian Interest Rates 161
Victor Ajevsky, Vladimirs Jansons, Konstantins Kozlovskis, Testing the Expectations Theory for Latvian Money Market 167
Financial Models
Robert Engle, Lorenzo Capiello, Kevin Sheppard, Asymmetric Dynamic Correlations of Global Equity and Bond Returns 185
Martin T. Bohl, Pierre L. Siklos, The Present Value Model of US Stock Prices Redux: A New Testing Strategy and Some Evidence 187
ARCH and GARCH Models
Janusz Brzeszczyński, Robert Kelm, Short-Term Dependencies between Volatility of Currency, Money and Capital Markets. The Case of Poland 209
Małgorzata Doman, Modeling Volatility of Warsaw Stock Indices with GARCH and SV Models 225
Ryszard Doman, Forecasting the Polish Stock Market Volatility: a Comparison between GARCH and SV Models' Abilities 237
Econometric Methodology
Kazimierz Krauze, Further Extension of the Test Procedures for Cointegration in the Presence of Structural Breaks in the Marginal Process 255
Michał Zienkiewicz, Kalman Filtering Approach to Modelling Average Wages in Polish Economy 269
Mariusz Plich, Wojciech Zatoń, DEMS – Software for Estimation, Model Building and Simulation in Excel 287