MACROMODELS 2019 conference programme
Monday, November 18, 2019
from 15:00 Hotel registration
19:30 – 22:00 Dinner and Get Together Party
Tuesday, November 19, 2019
7:30 – 9:00 Breakfast
9:15 – 9:45 Conference registration
9:45 – 10:00 Opening of the conference – Aleksander WELFE
10:00 – 11:00 Invited Session I
Chair: Aleksander WELFE
Søren JOHANSEN, Weak exogeneity in a common trends causal model
11:00 – 12:30 Session 1: Modelling of Nonstationary Data I
Chair: Søren JOHANSEN
Leopold SÖGNER, Martin WAGNER, Monitoring structural breaks of the cointegration rank in error correction models
Oliver STYPKA, Martin WAGNER, Peter GRABARCZYK, Rafael KAWKA, The asymptotic validity of “standard” fully modified OLS estimation and inference in cointegrating polynomial regressions
Justyna WRÓBLEWSKA, Bayesian analysis of seasonal cointegration - corrigendum
12:30 – 13:00 Break
13:00 – 14:00 Session 2: Modelling of Nonstationary Data II
Chair: Martin Wagner
Łukasz KWIATKOWSKI, Anna PAJOR, Justyna WRÓBLEWSKA, Jacek OSIEWALSKI, Predictive power comparison of VEC models featuring various structures of time-varying conditional covariance matrix
Piotr KĘBŁOWSKI, Panel or global? A VAR perspective of nonstationary panel data
14:00 – 15:00 Lunch
15:00 – 16:00 Invited Session II
Chair: Yongcheol SHIN
Anindya BANERJEE, Developments in testing for panel cointegration in the presence of structural breaks
16:00 – 17:00 Session 3: Econometric Methods
Chair: Jakub BORATYŃSKI
Grzegorz MARCJASZ, Artificial neural networks in EPF: Are deep structures beneficial?
Henryk GURGUL, Łukasz LACH, Composite indicators of eco-efficiency in generalized IO models
17:00 – 17:30 Break
17:30 – 18:30 Session 4: Regional Analyses
Chair: Marek DĄBROWSKI
Tomáš MIKLOŠOVIČ, Ivan LICHNER, Marek RADVANSKÝ, Sensitivity analysis of parameters of regional model HERMIN in case of Slovakia
Mateusz PIPIEŃ, Sylwia ROSZKOWSKA, Forecasting regional quarterly GDP. Do interregional cross dependencies matter?
19:30 Ceremonial Dinner
Wednesday, November 20, 2019
7:30 – 8:45 Breakfast
9:00 – 10:00 Invited Session III
Chair: Robert KAUFMANN
Katarina JUSELIUS, Financial deregulation and the real economy: the case of Denmark
10:00 – 11:00 Invited Session IV
Chair: Anindya BANERJEE
Robert KAUFMANN, A unified world oil market: divergences between the price of Brent and WTI
11:00 – 11:30 Break
11:30 – 13:00 Session 5A: Labour Market Modelling
Chair: Sylwia ROSZKOWSKA
Dorota CIOŁEK, Determinants of the spatial wage structure in Polish poviats in the light of the NEG models
Aleksandra MAJCHROWSKA, Paweł STRAWIŃSKI, Heterogeneous effects of minimum wage increases. The case of Poland
Paweł STRAWIŃSKI, Paulina BRONIATOWSKA, Does international firm come to bring technology or explore cheap labour? Study on wage gap due to foreign firm ownership
11:30 – 13:00 SMEthod Session 5B: Innovations in SMEs
Chair: Anna STASZEWSKA-BYSTROVA
Paweł NOWAKOWSKI, Dawid KRYSIŃSKI, SME innovativeness and economic development of regions
Wojciech GRABOWSKI, Anna STASZEWSKA-BYSTROVA, The role of public support in improving innovativeness and enhancing its effects for employment in SMEs
Katarzyna STACHURSKA-KADZIAK, Joanna SYRDA, SMEthod methodology of segmenting innovating SMEs: clusters, their characteristics and optimal support measures
13:00 – 14:30 Lunch
14:30 – 15:30 Invited Session V
Chair: Jacek OSIEWALSKI
Tomohiro ANDO, Matthew GREENWOOD-NIMMO, Yongcheol SHIN, Quantile connectedness: Modelling tail behaviour in the topology of financial networks
15:30 – 16:30 Session 6A: Quantile regression
Chair: Michał ŁUKOWSKI
Katarzyna MACIEJOWSKA, Assessing the impact of renewable energy sources on the electricity price level and variability - a quantile regression approach
Bartosz UNIEJEWSKI, Regularization for quantile regression averaging: A new approach to constructing probabilistic forecasts
15:30 – 16:30 SMEthod Session 6B: Policy analyses
Chair: Wojciech GRABOWSKI
Ageliki ANAGNOSTOU, Paweł GAJEWSKI, Eric TCHOUAMOU NJOYA, A CGE analysis of policy effects on the regions of the Polish economy
Rumiana GÓRSKA, Impact of the “500 plus” policy on the Polish economy using CGE model
16:30 – 17:00 Break
17:00 – 18:30 Session 7: Macromodelling
Chair: Paweł STRAWIŃSKI
Jakub BORATYŃSKI, Bayesian estimation of a consumption system
Marek A. DĄBROWSKI, Jakub JANUS, Does the uncovered interest parity puzzle hold in Central European economies?
Andrzej KACPRZYK, Do we really need more IPR protection?
19:30 Dinner
The SMEthod project has received funding from the European Union’s Horizon 2020 research and innovation programme under grant agreement No 777491
Thursday, November 21, 2019
7:30 – 8:45 Breakfast
9:00 – 10:00 Invited Session VI
Chair: Katarina JUSELIUS
Helmut LÜTKEPOHL, Mika MEITZ, Aleksei NETSUNAJEV, Pentti SAIKKONEN, Testing identification via heteroskedasticity in structural vector autoregressive models
10:00 – 11:00 Session 8: Financial Markets Modelling
Chair: Ewa RATUSZNY
Michał ŁUKOWSKI, Equity premium puzzle
Tomasz WÓJTOWICZ, Changes in the impact of macroeconomic news from the US and EU on stock prices on the WSE
11:00 – 11:30 Break
11:30 – 12:30 Session 9: Risk analyses
Chair: Anna PAJOR
Olga KUTERA, Is fine wine hedge against turmoil on Chinese market?
Ewa RATUSZNY, Vine copula in risk measurement
12:30 – 13:30 Lunch
12:00 Check out