MACROMODELS 2008 conference programme

 

Below is the detailed programme of the conference. Abstracts or full papers are linked to the titles of the presentations.

 

 

 

Wednesday, December 3, 2008

 

from 14:00      Hotel registration

 

18:00 – 19:00 Conference registration

 

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

 

 

Thursday, December 4, 2008

 

8:00 – 9:00      Breakfast

 

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

 

10:00 – 11:00   Invited Session I

                        Chair: A. Welfe

 

Jeff CHEN, Wende DENG, David KEMME, Yuan real exchange rate undervaluation, 1997-2006. How much, how often? Not much, not often

 

11:00 – 12:30  Session 1A: Volatility Modelling I

                        Chair: A. Welfe

 

Jeff CHEN, Wende DENG, David KEMME, Yuan real exchange rate undervaluation, 1997-2006. How much, how often? Not much, not often

 

11:00 – 12:30  Session 1A: Volatility Modelling I

                        Chair: Mgdalena Osińska

 

Małgorzata DOMAN, Ryszard DOMAN, Forecasting the end-of-the-day realized variance

 

Henryk GURGUL, Tomasz WóJTOWICZ, FIGARCH models and long memory

 

Mateusz PIPIEŃ, On the empirical importance of the orthogonal transformation in copula-based M-GARCH models. Bayesian comparison

 

11:00 – 12:30  Session 1B: Labour Market Modelling

                        Chair: Reinhard Neck

 

Timo BAAS, The macroeconomic consequences of labour mobility within the enlarged EU

 

Katarzyna BUDNIK, How do economies with open labour markets work?

 

Sylwia ROSZKOWSKA, A stock-flow matching function. The case of Poland

 

12:30 – 13:00  Coffee break

 

13:00 – 14:00  Session 2A: Cointegration
                        
Chair: Michał Majsterek

 

Dimitri BLUESCHKE, Viktoria BLUESCHKE-NIKOLAEVA, P. CHEN, J. ZENG, Subscoint4

 

Błażej MAZUR, Estimation of large demand systems in VECM form

 

13:00 – 13:30  Session 2B: Bayesian Econometrics

                        Chair: Robert Kruszewski

 

Jacek OSIEWALSKI, Bayesian Value-at-Risk for large portfolios: methodological issues

  

14:00 – 15:00  Lunch

 

15:00 – 16:00  Session 3A: Currency Crises

                        Chair: Małgorzata Doman

 

Wojciech GRABOWSKI, Qual-VECM Approach in the currency crises modelling

 

Agata KLIBER, Paweł KLIBER, Interdependences among Easter and Central European currencies. A lesson from the crisis

 

15:00 – 16:00  AMFET Session 3B: Macroeconomic Modelling I

                        Chair: Francesco Battalia

 

Toshiaki HASEGAWA, Factor decomposition of  labor share in Japan

 

Władysław WELFE, Long-term macroeconometric model for Poland

 

16:00 – 17:00  COMISEF Session 4A: Heuristics Optimization

                        Chair: Peter Winker

 

Viktoria BLUESCHKE-NIKOLAEVA, Dimitri BLUESCHKE, Reinhard NECK, OPTCON5: An algorithm for the optimal control of nonlinear stochastic models

 

Marianna LYRA, Optimization heuristics for determining internal rating grading scales

 

16:00 – 17:00  Session 4B: Quantitative Finance I

                        Chair: Ryszard Doman

 

Barbara BĘDOWSKA-SÓJKA, Macroeconomic announcements and volatility of intraday WIG20 futures

 

Marc PAOLELLA, CHICAGO: A fast and accurate method for portfolio risk calculation

 

17:00 – 17:30  Coffee break

 

17:30 – 18:30  Session 5A: Game Theory and Mathematical Economics

                        Chair: Henryk Gurgul

 

Phillip HUNGERLAENDER, N-person dynamic Stackelberg difference games with open-loop information pattern

 

Robert Kruszewski, Chaotic dynamics of a Hicks-type model with expectations

 

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

                        Chair: Michal Olexa

 

Reinhard NECK, Gottfried HABER, Klaus WEYERSTRASS, Optimal exchange rate and fiscal policies for Slovenia

 

Leonid SILBERMANN, Where has all the money gone? A post-mortem examination of the “Neuer Markt” in Germany

 

19:00                    Ceremonial Dinner

 

 

Friday, December 5, 2008

 

8:00 – 9:00       Breakfast

 

8:30 – 9:00      AMFET Meeting

 

9:00 – 14:00    Sightseeing Tour

 

14:00 – 15:00  Lunch

 

15:00 – 16:00  Invited Session II

                        Chair: J. Osiewalski

 

Wojciech CHAREMZA, Svetlana MAKAROVA, Yaroslav PRYTULA, Julia RASKINA, Yulia VYMYATNINA, A small forward-looking inter-country model

 

16:00 – 17:00  COMISEF Session 6A: Quantitative Finance II

                        Chair: Anna Staszewska

 

Akwum ONWUNTA, Michael KALKBRENER, Calibration of structural credit portfolio models

 

Enrico SCHUMANN, Manfred GILLI, Gerda CABEJ, A comparison of optimisation criteria in portfolio selection: An update

 

16:00 – 17:00  AMFET Session 6B: National Economy Modelling

                        Chair: Waldemar Florczak

 

Miroslav KLUCIK, Jan HALUSKA Composite leading indicator for the Slovak economy

 

Bartosz RYBARCZYK, et al., New structural macroeconomic model of the NBP

 

17:00 – 17:30  Coffee break

 

17:30 – 18:30  COMISEF Session 7A: Econometric Methods

                        Chair: Wojciech Charemza

 

Victor BYSTROV, Structural instability in dynamic factor models

 

Anna STASZEWSKA, Confidence bands for VAR forecast paths

 

17:30 – 18:30  COMISEF Session 7B: Genetic Algorithms

                         Chair: Mateusz Pipień

 

Francesco BATTAGLIA, Mattheos PROTOPAPAS, Time-varying thereshold model building by genetic algorithms

 

Mattheos PROTOPAPAS, Elias KOSMATOPOULOS, Genetic algorithms for Cournot games

 

19:00-21.00    Dinner

 

 

Saturday, December 6, 2008

 

8:00 – 9:00       Breakfast

 

10:00 – 11:30  Session 8A: Monetary Policy

                        Chair: Justyna Wróblewska

 

Oskar KRZESICKI, Modeling money demand in Poland

 

Krzysztof MAKARSKI, Michał GRADZEWICZ, The welfare cost of monetary policy loss after the euro adoption

 

Magdalena OSIŃSKA, In-the-sample and out-of-sample Granger casuality in the money demand for Poland

 

10:00 – 11:30  Session 8B: Methods and Applications

                        Chair: Piotr Kębłowski

 

Sheri M. MARKOSE, Optimization with regime switching dynamic weights

 

Paweł STRAWIŃSKI, What drives the unemployment rate in Poland?

 

 Renata WRÓBEL-ROTTER, Sensitivity analysis for DSGE models

 

11:30 – 12:30  Session 9A: Quantitative Finance III

                        Chair: Sheri M. Markose

 

Piotr MAĆKOWIAK, Adaptive rolling plans are good

 

Elżbieta RYCHŁOWSKA-MUSIAŁ, Sources of investment funds and the agency costs in a firm

 

11:30 – 12:30  AMFET Session 9B: Macroeconomic Modelling III

                        Chair: Władysław Welfe

 

Kazimierz KRAUZE, Anna KRAUZE, Public debt and economic growth in Poland

 

Arkadiusz WIŚNIOWSKI, Jakub BIJAK, Forecasting of immigration flows for selected European countries

 

13:00-14.00    Lunch