MACROMODELS 2011 conference programme
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