58 sessions, 221 papers

15th International Conference on Computing in Economics and Finance
Complete List of All Sessions

Session 1: A6: Economics of Sustainability
Session Organizer: Jacek Krawczyk, Victoria University of Wellington
Session Chair: Manju Agrawal, University of South Australia
Date: July 15, 2009
Time: 9:20 - 11:00
Location: C1.20
How to use Rosen's normalised equilibrium to enforce a socially desirable Pareto efficient solution
[slides]
Presented by: Jacek Krawczyk, Victoria University of Wellington
Impacts of CAP Reform Health Check on China’s agricultural production and rural poverty
[slides]
Presented by: Hai Lin, IAMO
A Longitudinal Analysis of the Network Complexity of the World Trade Web
[slides]
Presented by: Nicholas Foti, Dartmouth College
On Production and Abatement Time scales in Sustainable Development. Can we loosen the Sustainability Screw?
[slides]
Presented by: Manju Agrawal, University of South Australia

Session 2: A1: Social Networks, Innovation and Imitation
Session Organizer: David Goldbaum, University of Technology Sydney
Session Chair: David Goldbaum, University of Technology Sydney
Date: July 15, 2009
Time: 9:20 - 11:00
Location: B1.14
Endogenous Social Networks and Job Matching in an Artificial Economy
[slides]
Presented by: Melt Van Schoor, Stellenbosch University
Evolution of industrial heuristics: costly innovators versus cheap imitators
[slides]
Presented by: Paolo Zeppini, University of Amsterdam
Follow the Leader: Steady State analysis of a Dynamic Social Network
[slides]
Presented by: David Goldbaum, University of Technology Sydney

Session 3: A2: Computational Econometrics & Statistics
Session Organizer: David Belsley, Boston College
Session Chair: Peter Zadrozny, Bureau of Labor Statistics
Date: July 15, 2009
Time: 9:20 - 11:00
Location: B1.13
Diagnostic checking using subspace methods
[slides]
Presented by: Alfredo Garcia-Hiernaux, Universidad Carlos III de Madrid
Fast Iterated Bootstrap Bias Correction
[slides]
Presented by: rachida Ouysse, Australian School of Business
Modelling Bank Loan LGD of Corporate and SME Segments, A case study
[slides]
Presented by: Juraj Kopecsni, Charles University
Cost of Living Index Based on an Estimated Generalized CES Utility Function, Computed Using Multi-Step Perturbation
Presented by: Peter Zadrozny, Bureau of Labor Statistics

Session 4: A4: Quantitative Models of Labor Market Dynamics
Session Organizer: Michel Juillard, Banque de France
Session Chair: Makoto Nakajima, Federal Reserve Bank of Philadelphia
Date: July 15, 2009
Time: 9:20 - 11:00
Location: B1.11
The (Un)importance of Unemployment Fluctuations for Welfare
Presented by: Keith Kuester, Federal Reserve Bank of Philadelphia
Sticky Prices and Wages Vs. Sticky Information: Results from an Estimated DSGE Model
[slides]
Presented by: Benjamin Keen, University of Oklahoma
Worker Flows and Job Flows: A Quantitative Investigation
[slides]
Presented by: Makoto Nakajima, Federal Reserve Bank of Philadelphia

Session 5: A5: Asset Pricing
Session Organizer: Bruce Mizrach, Rutgers University
Session Chair: Hardy Hulley, University of Technology, Sydney
Date: July 15, 2009
Time: 9:20 - 11:00
Location: C1.19
Asset Return Dynamics under Bad Environment-Good Environment Fundamentals
[slides]
Presented by: Eric Engstrom, Federal Reserve Board of Governors
Using Credit Default Swaps Information in Stock Trading
[slides]
Presented by: Raymond Elmahdaoui, University of Montreal
Analysis of the Superior Predictive Ability of the HAR and MIDAS Models: Evidence from Realized Range- based Volatility
[slides]
Presented by: Erh-Yin Sun, Overseas Chinese Institute of Technology
Means-tested benefits and retirement decumulation: evidence from Australian public pensioners.
[slides]
Presented by: Hardy Hulley, University of Technology, Sydney

Session 6: A3: Issues in Business Cycle Analysis
Session Organizer: Michel Juillard, Banque de France
Session Chair: Ali Dib, Bank of Canada
Date: July 15, 2009
Time: 9:20 - 11:00
Location: B1.12
Firm Entry and Labor Market Dynamics
[slides]
Presented by: Enchuan Shao, Bank of Canada
Endogenous Market Structures and the Business Cycle
[slides]
Presented by: Andrea Colciago, University of Milano Bicocca
Dynamics of Fiscal Financing in the United States
[slides]
Presented by: Nora Traum, Indiana University Bloomington
Banks, Credit Market Frictions and Business Cycles
[slides]
Presented by: Ali Dib, Bank of Canada

Session 7: A7: Models of Price Dynamics
Session Organizer: Sharon Kozicki, Bank of Canada
Session Chair: Ozer Karagedikli, Reserve Bank of New Zealand
Date: July 15, 2009
Time: 9:20 - 11:00
Location: C1.21
The Roles of Menu Costs and Nine-Ending Prices in Price Rigidity
Presented by: Edward Knotek II, Federal Reserve Bank of Kansas City
Reconciling Micro-data and Macro Estimates of Price Setting
[slides]
Presented by: Allen Tran, Reserve Bank of Australia
Real Effects of Price Stability with Endogenous Nominal Indexation
[slides]
Presented by: Yaz Terajima, Bank of Canada
Do international factors also explain the relative price (co-)movements?
[slides]
Presented by: Ozer Karagedikli, Reserve Bank of New Zealand

Session 8: B7: Fraud, Criminality and Regulation
Session Organizer: David Goldbaum, University of Technology Sydney
Session Chair: Behrooz Hassani Mahmooei, Monash University
Date: July 15, 2009
Time: 14:00 - 15:40
Location: C1.21
On tax competition, public good provision and jurisdictions' size
[slides]
Presented by: Skerdilajda Zanaj, University of Luxembourg
The Social Welfare Cost of Fraud: Insights from an Agent-based Model
Presented by: Abigail Brown, University of Technology, Sydney
Dynamic Moral Hazard with History-Dependent Participation Constraints. The Case of CEO Pay
[slides]
Presented by: Stanimir Morfov, State University - Higher School of Economics
The Good, the Bad or the Ugly: An agent based model of economic conflicts and artificial transfers
[slides]
Presented by: Behrooz Hassani Mahmooei, Monash University

Session 9: B2: Time Series I: Modelling & Forecasting
Session Organizer: Cees Diks, University of Amsterdam
Session Chair: Gareth Peters, UNSW Statistics / CSIRO CMIS
Date: July 15, 2009
Time: 14:00 - 15:40
Location: B1.13
Time series factorial models with uncertainty measures: applications to ARMA processes and financial data
[slides]
Presented by: Carole Toque, University of Luxembourg
Grouped Variable Approximate Factor Analysis
[slides]
Presented by: Chris Heaton, Macquarie University
Combining Derivative and Historical Prices to Track Value at Risk over Time
Presented by: Simon Hill, University of Cambridge
Dynamic operational risk: modelling dependence and combining different sources of information
[slides]
Presented by: Gareth Peters, UNSW Statistics / CSIRO CMIS

Session 10: B1: Cognitive Psychology in Agent-based Economic Models
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Nai-Shing Yen, National Chengchi University
Date: July 15, 2009
Time: 14:00 - 15:40
Location: B1.14
Statistical Reasoning and Working Memory
[slides]
Presented by: Lee-Xieng Yang, National Chengchi University
Cognitive Capacity and Economic Decisions: Bidding Behavior in Double Auction Experiments
[slides]
Presented by: Chung-Ching Tai, National Chengchi University
Artificial Economic Agents with Heterogeneous Cognitive Capacity and Their Economic Consequences: Study Based on Agent-Based Double Auction Market Simulations
[slides]
Presented by: Shu-Heng Chen, National Chengchi University
Decision Making and Modeling: Computational Model in Different Iowa Gambling Task
[slides]
Presented by: Nai-Shing Yen, National Chengchi University

Session 11: B4: Explorations in Bounded Rationality
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: Tiziana Assenza, University of Amsterdam
Date: July 15, 2009
Time: 14:00 - 15:40
Location: B1.11
Endogenous Switching of Volatility Regimes: Rational Expectations and Behavioral Sunspots
[slides]
Presented by: Gaetano Gaballo, University of Siena
Viable Solutions to an Open Economy Monetary Policy Problem
[slides]
Presented by: Jacek Krawczyk, Victoria University of Wellington
Interest Rate Rules and Macroeconomic Stability in a New Keynesian Model with Heterogeneous Expectations
[slides]
Presented by: Domenico Massaro, University of Amsterdam
Experimenting with Expectations: From Individual Behavior in the Lab to Aggregate Macro Behavior
Presented by: Tiziana Assenza, University of Amsterdam

Session 12: B6: Learning and Evolution
Session Organizer: Christophe Deissenberg, GREQAM and Universite d'Aix-Marseille II
Session Chair: Valentyn Panchenko, UNSW
Date: July 15, 2009
Time: 14:00 - 15:40
Location: C1.20
Is it better to be selfish or altruistic in everyday human interactions?
[slides]
Presented by: Nipun Agarwal, Victoria University
Decentralized Price Adjustment in 2x2 Replica Economies
[slides]
Presented by: Maxwell Pak, Queen's University
The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients
[slides]
Presented by: Ron Bird, University of Technology Sydney
Individual evolutionary learning in the continuous double auction with full and limited information
[slides]
Presented by: Valentyn Panchenko, UNSW

Session 13: B5: Computational Finance I
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Xiaolin Luo, CSIRO
Date: July 15, 2009
Time: 14:00 - 15:40
Location: C1.19
A Closed-Form pricing formula for Multivariate contingent claims with stochastic volatility
Presented by: Ji Hee Yoon, KAIST
Valuation of Continuous Barrier Options under Heston's Stochastic Volatility Dynamics
[slides]
Presented by: Kay Pilz, University of Technology Sydney
Numerical Evaluation of American Options Written on Two Underlying Assets using the Fourier Transform Approach
[slides]
Presented by: Jonathan Ziveyi, UTS
Efficient Numerical Inversion of Characteristic Functions for Computing Tails of Compound Distributions
[slides]
Presented by: Xiaolin Luo, CSIRO

Session 14: B3: Fiscal Policy
Session Organizer: Michel Juillard, Banque de France
Session Chair: Marcos Valli Jorge, Banco Central do Brasil
Date: July 15, 2009
Time: 14:00 - 15:40
Location: B1.12
Fiscal policy, employment per age group and economic growth in OECD economies
[slides]
Presented by: Renaat Van de Kerckhove, Ghent University
Fiscal Policy in an Estimated DSGE Model of the Japanese Economy: Do Non-Ricardian Households Explain All?
[slides]
Presented by: Yasuharu Iwata, Cabinet Office, Government of Japan
Disinflation in a DSGE Perspective: Sacrifice Ratio or Welfare Gain Ratio?
[slides]
Presented by: Tiziano Ropele, Bank of Italy
Fiscal and monetary policy interaction: a simulation based analysis of a two-country New Keynesian DSGE model with heterogeneous households
[slides]
Presented by: Marcos Valli Jorge, Banco Central do Brasil

Session 15: C2: Computational Intelligence in Economics and Finance I
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Kun-Huang Huarng, Feng Chia University
Date: July 15, 2009
Time: 16:20 - 18:00
Location: B1.13
Equity Evaluation on Different Situations of Corporate Governance : Neuro-Fuzzy Applications
Presented by: Hui-Sung Kao, Feng Chia University
The integration of Neural Nerworks with Fuzzy Time Series Model for Forecasting
Presented by: Hui-Kuang Yu, Feng Chia University
Ex-Post Optimal Strategy for the Trading of a Single Financial Asset. Definition of an Absolute Distance to the Best Behavior
[slides]
Presented by: Olivier BRANDOUY, Université des Sciences et Technologies
The Approach to Forecasting Multiple Observations by Using Fuzzy Time Series
Presented by: Kun-Huang Huarng, Feng Chia University

Session 16: C1: Agent-based Models for Policy-making
Session Organizer: Christophe Deissenberg, GREQAM and Universite d'Aix-Marseille II
Session Chair: Simon Gemkow, Bielefeld University
Date: July 15, 2009
Time: 16:20 - 18:00
Location: B1.14
Forward Contract Effects in the Italian Wholesale Electricity Market
Presented by: Mohammad Ali Rastegar, University of Genoa
Integrating Agent-Based Modeling and Life Cycle Analyses to Enhance Environmental Policy-Making
[slides]
Presented by: Christopher Ruebeck, Lafayette College
Credit crunches and depression in an agent-based economy
[slides]
Presented by: Christophe Deissenberg, GREQAM and Universite d'Aix-Marseille II
How to design policies for physical and human capital improvement: a spatial agent-based anaylsis
[slides]
Presented by: Simon Gemkow, Bielefeld University

Session 17: C3: Monetary Issues in Open Economies
Session Organizer: Paul McNelis, Fordham University
Session Chair: Mika Kortelainen, Bank of Finland
Date: July 15, 2009
Time: 16:20 - 18:00
Location: B1.12
Liquidity Constraints and Tax Policy in Small Open Economies
[slides]
Presented by: Markus Kirchner, University of Amsterdam and Tinbergen Institute
Is Exchange Rate Stabilization an Appropriate Cure for the Dutch Disease?
[slides]
Presented by: Ruy Lama, International Monetary Fund
The Credit Channel of Monetary Policy and Exchange Rate Flexibility in a Small Open Economy
[slides]
Presented by: Yu-Ning Hwang, National Chengchi University
International economic spillovers and the liquidity trap
[slides]
Presented by: Mika Kortelainen, Bank of Finland

Session 18: C4: Dynamic Macroeconomics
Session Organizer: Willi Semmler, New School University
Session Chair: Luis Aguiar-Conraria, Nipe, Universidade do Minho
Date: July 15, 2009
Time: 16:20 - 18:00
Location: B1.11
Macroeconomic Fluctuations and Corporate Financial Fragility
[slides]
Presented by: Catherine Bruneau, Universite Paris X
Variable Selection in a Dynamic Factor Model
[slides]
Presented by: pu chen, University of Melbourne
Business Cycle Synchronization Across the Euro Area: a Wavelet Analysis
[slides]
Presented by: Luis Aguiar-Conraria, Nipe, Universidade do Minho

Session 19: C6: Energy Markets and Tradeable Permits
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Katsumasa Nishide, Yokohama National University
Date: July 15, 2009
Time: 16:20 - 18:00
Location: C1.20
Electricity Markets: EaR
Presented by: Nino Kordzakhia, Macquarie University
Modelling Spot Price of Electricity in NSW
[slides]
Presented by: Hilary Green, Macquarie University
Modelling and Estimating Forward price curves in the Energy Market
[slides]
Presented by: Boda Kang, University of Technology, Sydney
Equilibrium Pricing of Contingent Claims in Tradable Permit Markets
[slides]
Presented by: Katsumasa Nishide, Yokohama National University

Session 20: C5: Risk Management
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Jose da Fonseca, Ecole Superieure Leonard de Vinci
Date: July 15, 2009
Time: 16:20 - 18:00
Location: C1.19
Fitting Weibull ACD Models to High Frequency Transactions Data:
[slides]
Presented by: Kok Haur Ng, University of Malaya
Jump Diffusion Processes and their applications to Insurance and Finance
[slides]
Presented by: Jiwook Jang, Macquarie University
Reconciling the System of National Accounts for the U.S. and Structural Distribution of the Aggregate Statistical Discrepancy
[slides]
Presented by: Baoline Chen, Bureau of Economic Analysis
The deviance's finite sample size when testing the reduction of (G)ARCH(1,1) to a Gaussian random walk: Results from MATLAB vs. the R-Project.
[slides]
Presented by: Ian Gregory, University of Sydney

Session 21: D1: Markets and Policy
Session Organizer: David Goldbaum, University of Technology Sydney
Session Chair: Leanne Ussher, Queens College CUNY
Date: July 16, 2009
Time: 9:00 - 10:40
Location: B1.14
Modelling a pure credit economy with a new approach to systems
[slides]
Presented by: Steve Keen, University of Western Sydney
A Hedonic Approach to Product Innovation in an Agent-Based Macroeconomic Model
[slides]
Presented by: Christophre Georges, Hamilton College
Issues in validating agent-based models
[slides]
Presented by: Robert Marks, University of New South Wales
Monetary Policy Reform with Zero Intelligent Agents
[slides]
Presented by: Leanne Ussher, Queens College CUNY

Session 22: D7: Equilibrium Models
Session Organizer: Karl Schmedders, Kellogg School of Management
Session Chair: Sergei Morozov, Morgan Stanley
Date: July 16, 2009
Time: 9:00 - 10:40
Location: C1.21
Computation of Markov Equilibria of economies with market imperfections: An implementation of the Miao-Santos algorithm
[slides]
Presented by: Panayiotis Stavrinides, University of Pennsylvania
Let the Games Begin
Presented by: Maria Cristina Matos, Escola Superior de Tecnologia de Viseu
Using Grid Distributions to Test for Affiliation in Models of First-Price Auctions with Private Values
Presented by: Harry Paarsch, University of Melbourne
Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control
[slides]
Presented by: Sergei Morozov, Morgan Stanley

Session 23: D4: Issues in Price Setting and Monetary Policy
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: José Dorich, Bank of Canada
Date: July 16, 2009
Time: 9:00 - 10:40
Location: B1.11
Long-run Phillips Curve and Disinflation Dynamics: Calvo vs. Rotemberg Price Setting
Presented by: Guido Ascari, Universita degli Studi di Pavia
More or less aggressive? Robust monetary policy in a New Keynesian model with financial distress
[slides]
Presented by: Felix Hammermann, Deutsche Bundesbank
Optimal Monetary Policy with Sticky Office Rents
[slides]
Presented by: Wing-Leong Teo, National Taiwan University
Testing for Rule of Thumb Price Setting
[slides]
Presented by: José Dorich, Bank of Canada

Session 24: D2: Time Variation in Macro Economies: Evidence
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: Chris Bloor, Reserve Bank of New Zealand
Date: July 16, 2009
Time: 9:00 - 10:40
Location: B1.13
Detecting a Change in Inflation Persistence in the Presence of Long Memory: a New Test
[slides]
Presented by: Barbara Meller, Goethe University Frankfurt
Changes in the Transmission of Monetary Policy: Evidence from a Time-Varying Factor-Augmented VAR
[slides]
Presented by: Christiane Baumeister, Ghent University
The Role of Term Structure in the U.S. Monetary Policy Rule: Revised and Real-Time Data
[slides]
Presented by: Juan-Miguel Londoño, Universidad del Pais Vasco
Real-time conditional forecasts with Bayesian VARs: An application to New Zealand
[slides]
Presented by: Chris Bloor, Reserve Bank of New Zealand

Session 25: D5: Risk Management and Interaction in Financial Markets
Session Organizer: Thomas Lux, University of Kiel
Session Chair: Min Zheng, University of Technology Sydney
Date: July 16, 2009
Time: 9:00 - 10:40
Location: C1.19
Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
[slides]
Presented by: Christian-Oliver Ewald, University of St.Andrews
A Binomial Model of Asset and Option pricing with Heterogeneous beliefs
[slides]
Presented by: Lei Shi, University of Technology, Sydney
Consensus Investor and Intertemporal Asset Pricing with Heterogeneous Beliefs
[slides]
Presented by: Min Zheng, University of Technology Sydney

Session 26: D3: Forecast and Trends
Session Organizer: Michel Juillard, Banque de France
Session Chair: Michel Juillard, Banque de France
Date: July 16, 2009
Time: 9:00 - 10:40
Location: B1.12
Conditional Forecasts in DSGE Models
[slides]
Presented by: Junior Maih, Norges Bank
A Forecasting Metric for Evaluating DSGE Models
[slides]
Presented by: Abhishek Gupta, Johns Hopkins University
Log-Linear Approximation of Balanced Growth Path Models: Why scratch the right ear with the left hand?
[slides]
Presented by: Martin fukac, Resereve Bank of New Zealand
Estimating DSGE models in levels
[slides]
Presented by: Michel Juillard, Banque de France

Session 27: D6: Financial Market Modelling I
Session Organizer: Xue-Zhong (Tony) He, University of Technology, Sydney
Session Chair: George Waters, Illinois State University
Date: July 16, 2009
Time: 9:00 - 10:40
Location: C1.20
The Impact of Short-Selling Constraints on Financial Market Stability
[slides]
Presented by: Mikhail Anufriev, University of Amsterdam
A Robust Semiparametric Inference of Dynamic Discrete Games
Presented by: Zhengyuan Gao, University of Amsterdam and Tinbergen Institute
Chaos in the Cobweb Model with a New Learning Dynamic
[slides]
Presented by: George Waters, Illinois State University

Session 28: E2: Time Series II: Unit Roots & Long Memory
Session Organizer: Cees Diks, University of Amsterdam
Session Chair: Pui Sun Tam, University of Macau
Date: July 16, 2009
Time: 13:45 - 15:25
Location: B1.13
A Unit Root Test for Nonlinear ESTAR(2) Process
[slides]
Presented by: Heni Puspaningrum, University of Wollongong
True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data
Presented by: Giovanni Urga, Cass Business School
Testing Weak Form Efficiency on the Toronto Stock Exchange
[slides]
Presented by: Vitali Alexeev, University of Guelph
On panel unit root tests with lag optimization
[slides]
Presented by: Pui Sun Tam, University of Macau

Session 29: E7: Dynamic Games
Session Organizer: Karl Schmedders, Kellogg School of Management
Session Chair: Pablo Andrés-Domenech, HEC Montreal
Date: July 16, 2009
Time: 13:45 - 15:25
Location: C1.21
An Optimal Control Approach to Non Cooperative Dynamic Games
[slides]
Presented by: Stuart McDonald, California Institute of Technology
Policy Coordination, Equilibrium Selection, and Aggregate Fluctuations
Presented by: Richard Dennis, Federal Reserve Bank of San Francisco
Asymmetric play in a linear quadratic differential game
[slides]
Presented by: Colin Rowat, University of Birmingham
Towards a Sustainable and Time consistent use of the Forest: a differential game
Presented by: Pablo Andrés-Domenech, HEC Montreal

Session 30: E1: Computational Intelligence in Economics and Finance II
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Mak Kaboudan, University of Redlands
Date: July 16, 2009
Time: 13:45 - 15:25
Location: B1.14
An Intelligent Dynamic Portfolio Theory in Stock Markets
[slides]
Presented by: Heping Pan, University of Electronic S & T of China
Efficient Market Hypothesis or Adaptive Market Hypothesis? A Test with the Combination of Technical and Fundamental Analysis.
[slides]
Presented by: Yiyi Jiang, Instituto de Empresa
Particle Swarm Optimization Algorithm for Agent-Based Artificial Markets
[slides]
Presented by: Tong Zhang, Southwestern University of Fin & Econ
A Forecast of the S&P/Case-Shiller Home Price Index for Los Angeles by Use of Genetic Programming-/Neural Network-Multi-Agent System
[slides]
Presented by: Mak Kaboudan, University of Redlands

Session 31: E3: Labor Markets and DSGE Modelling
Session Organizer: Michel Juillard, Banque de France
Session Chair: Nicolas Groshenny, Reserve Bank of New Zealand
Date: July 16, 2009
Time: 13:45 - 15:25
Location: B1.12
The unemployment correlation puzzle
[slides]
Presented by: Francesco Furlanetto, Norges Bank
Unions Power, Collective Bargaining and Optimal Monetary Policy
[slides]
Presented by: lorenza rossi, University of Pavia
Towards an equilibrium model of the euro area business cycle
[slides]
Presented by: Nicolas Groshenny, Reserve Bank of New Zealand

Session 32: E4: Monetary Policy Issues
Session Organizer: Sharon Kozicki, Bank of Canada
Session Chair: William Gavin, Federal Reserve Bank of St. louis
Date: July 16, 2009
Time: 13:45 - 15:25
Location: B1.11
Monetary Policy, Housing Booms, and Financial (Im)Balances in the U.S.
Presented by: Sandra Eickmeier, Deutsche Bundesbank
Adopting Price-Level Targeting under Imperfect Credibility in ToTEM
[slides]
Presented by: Gino Cateau, Bank of Canada
Optimal Monetary Policy in a Multi-Sector Small Open Economy Model: which Conventional Wisdom?
[slides]
Presented by: Carlos de Resende Junior, Bank of Canada
Taylor-Type Rules and Permanent Shifts in Productivity Growth
[slides]
Presented by: William Gavin, Federal Reserve Bank of St. louis

Session 33: E6: Economic Growth I
Session Organizer: Willi Semmler, New School University
Session Chair: Minchung Hsu, National Grad Institute Policy Studies
Date: July 16, 2009
Time: 13:45 - 15:25
Location: C1.20
Dynamic Effects of Financial Openness on Economic Growth and Macroeconomic Uncertainty
[slides]
Presented by: Yu-Bo Suen, Aletheia University
Resurrecting Harrod: Growth and Cycles in Less Developed Economies
Presented by: Gang Gong, Nankai University
China’s Real Business Cycles between 1954 – 2006: Productivity and Fiscal Policy Changes
[slides]
Presented by: Minchung Hsu, National Grad Institute Policy Studies

Session 34: E5: Corporate Valuation
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Takashi Shibata, Tokyo Metropolitan University
Date: July 16, 2009
Time: 13:45 - 15:25
Location: C1.19
Corporate Valuation when the Firm Receives Trade Credits under Uncertain Interest Rates
[slides]
Presented by: Po-yuan Chen, Jinwen University of Science and Technology
An Optimal Investment Policy in Equity-Debt Financed Firms with Finite and Infinite Maturities
[slides]
Presented by: Kyoko Yagi, The University of Tokyo
Investment timing and capital structure under soft and hard budget constraints
[slides]
Presented by: Takashi Shibata, Tokyo Metropolitan University

Session 35: F2: Agent-based Decision Making
Session Organizer: Christophe Deissenberg, GREQAM and Universite d'Aix-Marseille II
Session Chair: Benteng Zou, University of Luxembourg
Date: July 16, 2009
Time: 15:50 - 17:30
Location: B1.13
Genetic Operators and Market Selection: An Agent-Based Modeling Approach
[slides]
Presented by: Bin-Tzong Chie, Tamkang University
Calculating the Expectation in a Labor Division Model
[slides]
Presented by: Zhangang Han, Beijing Normal University
Investment under Ambiguity and Regime-Switching Environment
[slides]
Presented by: Kwangmoon Kim, KAIST
Optimal Foreign Investment Dynamics in the Presence of Technological Spillovers
[slides]
Presented by: Benteng Zou, University of Luxembourg

Session 36: F3: Fiscal Issues in Open Economies
Session Organizer: Paul McNelis, Fordham University
Session Chair: Guay Lim, University of Melbourne
Date: July 16, 2009
Time: 15:50 - 17:30
Location: B1.12
Fiscal Storms: Public Spending and Revenues in the Aftermath of Natural Disasters
Presented by: Aekkanush Nualsri, University of Hawaii at Manoa
Impact of temporary fiscal shocks on the Canadian Economy
[slides]
Presented by: Helene Desgagnes, Bank of Canada
Nominal and Real Wage Rigidities. In Theory and in Europe.
[slides]
Presented by: Markus Knell, Oesterreichische Nationalbank
Cyclical Government Spending, Income Inequality and Welfare in Small Open Economies
[slides]
Presented by: Guay Lim, University of Melbourne

Session 37: F1: Heterogeneous Agents
Session Organizer: Taisei Kaizoji, International Christian University
Session Chair: Taisei Kaizoji, International Christian University
Date: July 16, 2009
Time: 15:50 - 17:30
Location: B1.14
Agent interaction and information flows within small worlds and financial prices
[slides]
Presented by: Mark Bowden, Victoria University
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
[slides]
Presented by: Xue-Zhong (Tony) He, University of Technology, Sydney
Switching Agent Based Models and Random Coefficient Auto-Regressive Models.
Presented by: Mamadou Konte, University Pantheon Sorbonne
A Mechanism of Collapsing Bubble
[slides]
Presented by: Taisei Kaizoji, International Christian University

Session 38: F4: Finance & Macro I
Session Organizer: Willi Semmler, New School University
Session Chair: Luca Colombo, Università Cattolica del Sacro Cuore
Date: July 16, 2009
Time: 15:50 - 17:30
Location: B1.11
Financial System Architecture and Systematic Risk
[slides]
Presented by: José Jorge, Universidade do Porto
Financial Integration in a Small Open Economy
[slides]
Presented by: Sahibe Cakici, University of Bonn
A General Equilibrium Analysis of the Australian Means-Tested Age Pension
[slides]
Presented by: George Kudrna, UNSW
The Welfare Implications of Costly Information Provision
[slides]
Presented by: Luca Colombo, Università Cattolica del Sacro Cuore

Session 39: F6: Financial Markets; Empirical Analysis
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Hursit Gunes, Marmara University
Date: July 16, 2009
Time: 15:50 - 17:30
Location: C1.20
Data Analysis for Hedge Fund Returns Using the ICSFA Textile Plot
[slides]
Presented by: Daisuke Yokouchi, Hitotsubashi University
An Empirical Analysis of Traditional and Nontraditional Banking Actitivies Using Seemingly Unrelated Regressions and Panel Generalized Method of Moments Estimation
Presented by: James Nguyen, Johnson C. Smith University
Effects of the Asian Financial Crisis on the Korean Economy: Some Further Empirical Evidence
[slides]
Presented by: Mosayeb pahlavani, The University of Sistan & Baluchestan
Consumer Confidence and Financial Market Variables in an Emerging Economy: The Case of Turkey
[slides]
Presented by: Hursit Gunes, Marmara University

Session 40: F5: Computational Finance II
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Stephen Chin, University of Melbourne
Date: July 16, 2009
Time: 15:50 - 17:30
Location: C1.19
Portfolio Selection with Narrow Framing: Probability Weighting Matters
[slides]
Presented by: Shane Legg, University of Lugano
Rank Estimation and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR models.
[slides]
Presented by: B. K. Kannan, Boronia Capital Pty Ltd
Density Forecasts of Crude-Oil Prices using Option-Implied and ARCH-Type Models
[slides]
Presented by: Leonidas Tsiaras, Aarhus School of Business, University of Aarhus
A Markov Regime Switching Model in Option Pricing
[slides]
Presented by: Stephen Chin, University of Melbourne

Session 41: G1: Agent-based Computational Economics
Session Organizer: Nicolaas Vriend, Queen Mary, University of London
Session Chair: Nicolaas Vriend, Queen Mary, University of London
Date: July 17, 2009
Time: 9:00 - 10:40
Location: B1.14
Algorithmic Trading with Human Agents and Computer Agents in an Artificial Stock Market
[slides]
Presented by: Daniel Paraschiv, National University of Ireland, Galway
Exploring economic models using evolutionary algorithms: lessons from experimental economics and Markov theory
Presented by: Janice Gaffney, University of Adelaide
On the Role of Non-equilibrium Focal Points as Coordination Devices
Presented by: Nicolaas Vriend, Queen Mary, University of London

Session 42: G2: Time Series III: Latent Variable Models
Session Organizer: Cees Diks, University of Amsterdam
Session Chair: Ruipeng Liu, Deakin University.
Date: July 17, 2009
Time: 9:00 - 10:40
Location: B1.13
Comparing estimation procedures for stochastic volatility models of short-term interest rates
[slides]
Presented by: Damien Lee, The University of NSW
Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics
[slides]
Presented by: Katja Ignatieva, Goethe University Frankfurt
Unplanned Inventories and the Decline in GDP Volatility
[slides]
Presented by: Aarti Singh, University of Sydney
Long Memory In Financial Time Series: Estimation Of The Bivariate Multi-fractal Model And Its Application To Value-at-Risk
[slides]
Presented by: Ruipeng Liu, Deakin University.

Session 43: G4: Learning and Uncertainty in Macroeconomics
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: Jarkko Jaaskela, Reserve Bank of Australia
Date: July 17, 2009
Time: 9:00 - 10:40
Location: B1.11
Indeterminacy and E-stability in Real Business Cycle Models with Factor-Generated Externalities
[slides]
Presented by: Jianpo Xue, The Chinese University of Hong Kong
Real-time Model Uncertainty in the United States: 'Robust' Policies Put to the Test
Presented by: Robert Tetlow, Federal Reserve Board
Rogoff meets Sargent: Changing central bank mandates and escapes from Nash inflation∗
[slides]
Presented by: Alina Barnett, University of Warwick
Learning in an Estimated Small Open Economy Model
[slides]
Presented by: Jarkko Jaaskela, Reserve Bank of Australia

Session 44: G6: Financial Market Modelling II
Session Organizer: Xue-Zhong (Tony) He, University of Technology, Sydney
Session Chair: Barkley Rosser, James Madison University
Date: July 17, 2009
Time: 9:00 - 10:40
Location: C1.20
An Evolutionary Game Model of Financial Market with Momentum and Contrarian Players
[slides]
Presented by: Honggang Li, Beijing Normal University
Financial Crises and Market Structure
Presented by: Huanhuan Zheng, Nanyang Technological Univ.
The effect of regulatory capture on financial stability
[slides]
Presented by: Daniel Ladley, University of Leicester
Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?
[slides]
Presented by: Barkley Rosser, James Madison University

Session 45: G5: Computational Finance III
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Jose da Fonseca, Ecole Superieure Leonard de Vinci
Date: July 17, 2009
Time: 9:00 - 10:40
Location: C1.19
Applying Filtered Historical Simulation to American Options: Evidence form S&P 100 Index Options
[slides]
Presented by: Chueh-Yung Tsao, Chang Gung University
Modelling Default Correlations in a Two-Firm Model Driven by Dynamic Leverage Ratios Following Jump Diffusion Processes
[slides]
Presented by: Ming Xi Huang, University of Technology, Sydney
On Computations in An Asymptotic Expansion Approach
[slides]
Presented by: Kohta Takehara, the University of tokyo
Riding on the Smiles.
[slides]
Presented by: Jose da Fonseca, Ecole Superieure Leonard de Vinci

Session 46: G3: Forecasting and Empirical Studies in Macro Economics
Session Organizer: Paul McNelis, Fordham University
Session Chair: Jean-Marc Fournier, INSEE
Date: July 17, 2009
Time: 9:00 - 10:40
Location: B1.12
Habit Persistence and International Co-movements
[slides]
Presented by: Alexandre Dmitriev, University of New South Wales
Investment and Real Exchange Rates in Sticky Price Models
Presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
Temptation and Social Security in a Dynastic Framework
[slides]
Presented by: Cagri Kumru, University of New South Wales
How to forecast ECB and Fed interest rate
[slides]
Presented by: Jean-Marc Fournier, INSEE

Session 47: H2: Nonlinear Time Series
Session Organizer: Bruce Mizrach, Rutgers University
Session Chair: Aaron Smallwood, University of Texas-Arlington
Date: July 17, 2009
Time: 13:45 - 15:25
Location: B1.13
Assessing the Importance of Transaction Costs in Option Pricing: Evidence from the Australian Index Option Market
[slides]
Presented by: Mimi Abdullah, University of South Australia
The Asymmetric Business Cycle
[slides]
Presented by: James Morley, Washington University in St. Louis
Edgeworth and Saddlepoint Approximations for Nonlinear Estimators
Presented by: Gubhinder Kundhi, Carleton University
Persistence in the real interest rate and the effects of calculating expecting inflation
[slides]
Presented by: Aaron Smallwood, University of Texas-Arlington

Session 48: H1: Agent-based Modelling of Financial Markets
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Ryuichi Yamamoto, National Chengchi University
Date: July 17, 2009
Time: 13:45 - 15:25
Location: B1.14
Empirical Puzzles or Aggregation Problems ? A View of Agent-Based Model Simulation
[slides]
Presented by: Chia-Ling Chang, National Chengchi University
Significance of Heterogeneity in Financial Markets: Empirical Studies from Simple Agent-Based Financial Models
[slides]
Presented by: Ying-Fang Kao, AI-Econ Research Center
Transparency in a Foreign Exchange Market
[slides]
Presented by: Ryuichi Yamamoto, National Chengchi University

Session 49: H4: Dynamic Macro, Asset Markets and Monetary Policy
Session Organizer: Willi Semmler, New School University
Session Chair: Domenico Delli Gatti, Universita Cattolica
Date: July 17, 2009
Time: 13:45 - 15:25
Location: B1.11
Asset Markets and Monetary Policy
[slides]
Presented by: Eckhard Platen, University of Technology, Sydney
Risk Premiums, Curvature and Technology Shocks
[slides]
Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
Financial Instability Hypothesis: a Stochastic Microfoundation
[slides]
Presented by: Corrado Di Guilmi, University of Technology, Sydney
Modelling Asset Price Dynamics in a New Keynesian Model of Optimal Monetary Policy
[slides]
Presented by: Domenico Delli Gatti, Universita Cattolica

Session 50: H6: Economic Growth II
Session Organizer: Willi Semmler, New School University
Session Chair: Laurent Cellarier, University of Guelph
Date: July 17, 2009
Time: 13:45 - 15:25
Location: C1.20
Financial Development, Institutional Quality and Maximizing-Growth Trade-Off in Government Finance
[slides]
Presented by: Alexandru Minea, University of Orleans
Beggar-thy-parents? A Lifecycle Model of Intergenerational Altruism
[slides]
Presented by: Sang-Wook (Stanley) Cho, University of New South Wales
A General Equilibrium Model for Energy Shortages
Presented by: Romulo Chumacero, University of Chile and Central Bank of Chile
A Family Production Overlapping Generations Economy
[slides]
Presented by: Laurent Cellarier, University of Guelph

Session 51: H5: Interest Rate Models
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Keiichi Tanaka, Tokyo Metropolitan University
Date: July 17, 2009
Time: 13:45 - 15:25
Location: C1.19
Predicting the Term Structure of Interest Rates in Australia
[slides]
Presented by: Vijay Murik, Australian National University
Defaultable Bond pricing within the HJM Term structure model with Stochastic volatility.
[slides]
Presented by: Samuel Maina, UTS
Dependent hidden Markov model of credit quality
[slides]
Presented by: Malgorzata Korolkiewicz, University of South Australia
Dynamic Asset Allocation under Stochastic Interest Rate and Market Price of Risk
[slides]
Presented by: Keiichi Tanaka, Tokyo Metropolitan University

Session 52: H3: DSGE Modelling
Session Organizer: Michel Juillard, Banque de France
Session Chair: Julia Lendvai, European Commission
Date: July 17, 2009
Time: 13:45 - 15:25
Location: B1.12
Financial Factors and Labor Market Fluctuations
[slides]
Presented by: Yahong Zhang, Bank of Canada
TFP Growth Slowdown and the Japanese Labor Market in the 1990s
[slides]
Presented by: Julen Esteban-Pretel, University of Tokyo
Solving Models with Off-the-Shelf Software: An Example of Potential Pitfalls Associated with the Use and Abuse of Default Parameter Settings
[slides]
Presented by: Peter Stemp, Monash University
External Deficits in the Baltics 1995 - 2007: Catching-up or Imbalances?
[slides]
Presented by: Julia Lendvai, European Commission

Session 53: I3: International Transmission of Shocks
Session Organizer: Paul McNelis, Fordham University
Session Chair: Philip Liu, Bank of England
Date: July 17, 2009
Time: 15:50 - 17:30
Location: B1.12
US-Global Net Equity Flows: Profit Seeking Motives amidst Long Memory
[slides]
Presented by: Stephen Miller, Monash University
How Foreign Shocks Affect the Canadian Economy: A Factor-Augmented VAR Approach
Presented by: Garima Vasishtha, Bank of Canada
Predicting the Asian Currency Crises with Artificial Neural Networks: What Role of Function Approximation?
Presented by: Saktinil Roy, Athabasca University
International transmission of shocks: A time-varying Factor Augmented VAR approach to the Open Economy
[slides]
Presented by: Philip Liu, Bank of England

Session 54: I1: Multi-agent Economics
Session Organizer: Akira Namatame, National Defense Academy
Session Chair: Philippe Mathieu, Lille 1 University and CNRS
Date: July 17, 2009
Time: 15:50 - 17:30
Location: B1.14
How will the Difference in People’s Network Structure Have Impact on Japanese Public Pension System?
[slides]
Presented by: Masatoshi Murakami, RCSS Kansai University
Evolutionary Dynamics of Consumption in an Overlapping Generations Model
[slides]
Presented by: James Feigenbaum, University of Pittsburgh
Dynamics of Market Structure Driven by the Degree of Consumer's Rationality
[slides]
Presented by: Tamotsu Onozaki, Aomori Public College
Calibrating Agent-Based Models of financial markets
[slides]
Presented by: Philippe Mathieu, Lille 1 University and CNRS

Session 55: I4: Finance & Macro II
Session Organizer: Willi Semmler, New School University
Session Chair: Manoj Atolia, Florida State University
Date: July 17, 2009
Time: 15:50 - 17:30
Location: B1.11
The Macroeconomics of Universal Health Insurance Vouchers
[slides]
Presented by: Chung Tran, University of New South Wales
Health Investment over the Life-Cycle
[slides]
Presented by: Hao Zhang, University of Hawaii at Manoa
Risk premia in general equilibrium
[slides]
Presented by: Olaf Posch, Aarhus University
Relative Wealth Concerns and Entrepreneurship
[slides]
Presented by: Manoj Atolia, Florida State University

Session 56: I5: Portfolio Optimisation
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Dirk Nuyens, University of New South Wales
Date: July 17, 2009
Time: 15:50 - 17:30
Location: C1.19
Dynamic Consumption and Portfolio Decisions with Estimated Low Frequency Movements of Asset Returns
[slides]
Presented by: Chih-Ying Hsiao, University of Technology Sydney
Optimal Investment and Consumption Decision of Family with Life Insurance
[slides]
Presented by: Minsuk Kwak, KAIST
Adaptive Control and different parameter sets: A Monte Carlo experiment
[slides]
Presented by: Marco Paolo Tucci, Università di Siena
An analysis of faster convergence in certain finance applications for quasi-Monte Carlo
[slides]
Presented by: Dirk Nuyens, University of New South Wales

Session 57: I2: Advanced Methods in Economic Dynamics
Session Organizer: Michel Juillard, Banque de France
Session Chair: John Stachurski, Kyoto University
Date: July 17, 2009
Time: 15:50 - 17:30
Location: B1.13
Enforcing Inequality Constraints in Computing Optimal Discretionary Policy in a Micro-founded Macro Model: A Zero Lower Bound on the Nominal Interest Rate
[slides]
Presented by: Gary Anderson, Board of Governors, Federal Reserve
Finite State Markov-Chain Approximations to Highly Persistent Processes
[slides]
Presented by: Richard M. H. Suen, University of California, Riverside
Bayesian Analysis of DSGE Models with Regime Switching
Presented by: Yunjong Eo, University of Sydney
Computing Densities in Stochastic Recursive Economies: Generalized Look-Ahead Techniques
[slides]
Presented by: John Stachurski, Kyoto University

This program was last updated on 2009-11-10 12:53:30 EDT

Session 58: I6: Advanced Solution Techniques
Session Organizer: Michel Juillard, Banque de France
Session Chair: Jose Cao, Universidad de Puerto Rico
Date: July 17, 2009
Time: 15:50 - 17:30
Location: C1.20
Solving Dynamic Models with Heterogeneous Agents and Aggregate Uncertainty with Dynare or Dynare++
[slides]
Presented by: Tarik Ocaktan, Paris School of Economics
Estimating and solving CGE models with DYNARE
Presented by: Oleg Lugovoy, Environmental Defense Fund
Solving for a Cash-in-Advance economy using a Finite Element Method, and a Note on Velocity
[slides]
Presented by: Jose Cao, Universidad de Puerto Rico