42nd Annual Conference of the MONEY, MACRO AND FINANCE RESEARCH GROUP

Summary of All Sessions

Click here for an index of all participants

#Date/TimeLocationTypeJELTitlePapers
1September 1, 2010
9:30-11:00
LEMESOS contributed   Money and finance in Asian economies2
2September 1, 2010
9:30-11:00
Kyrenia contributed   Portfolio choice2
3September 1, 2010
9:30-11:00
Ammochostos contributed   Banking Risk2
4September 1, 2010
9:30-11:00
LEFKOSIA contributed   Money, output and inflation3
5September 1, 2010
9:30-11:00
LARNACA contributed   Bond markets3
6September 1, 2010
9:30-11:00
PAPHOS contributed   Central banks and quantitative easing3
7September 1, 2010
11:30-12:30
Pefkios invited   Keynote address by Marcus Miller0
8September 1, 2010
13:30-15:30
Lemesos contributed   Time series econometrics2
9September 1, 2010
13:30-15:30
Lefkosia contributed   Money and inflation4
10September 1, 2010
13:30-15:30
Larnaca contributed   Fiscal policy4
11September 1, 2010
13:30-15:30
Paphos contributed   Consumption and saving3
12September 1, 2010
13:30-15:30
Kyrenia contributed   Emerging markets4
13September 1, 2010
13:30-15:30
Ammochostos contributed   Economic growth I3
14September 1, 2010
13:30-15:30
Pefkios contributed   Investment and Pensions4
15September 1, 2010
16:00-17:30
Pefkios invited   Special JAE session on Applied Econometrics 0
16September 1, 2010
16:00-17:30
Lefkosia contributed   Middle East economies3
17September 2, 2010
9:00-11:00
Lefkosia contributed   Stock markets4
18September 2, 2010
9:00-11:00
Larnaca contributed   Economic growth II4
19September 2, 2010
9:00-11:00
Kyrenia contributed   Business cycles3
20September 2, 2010
9:00-11:00
Ammochostos contributed   Unemployment and Macro Models4
21September 2, 2010
9:00-11:00
Pefkios contributed   Exchange rates4
22September 2, 2010
9:00-11:00
Lemesos contributed   Monetary Policy4
23September 2, 2010
9:00-11:00
Paphos contributed   Fluctuations and Business Cycles4
24September 2, 2010
11:30-12:30
Pefkios invited   The Future of Macroeconomics0
25September 2, 2010
13:30-15:30
Lemesos contributed   Banking Risk and Monetary Policy4
26September 2, 2010
13:30-15:30
Lefkosia contributed   Securities markets4
27September 2, 2010
13:30-15:30
Kyrenia contributed   Inflation3
28September 2, 2010
13:30-15:30
Larnaca contributed   Financial crises4
29September 2, 2010
13:30-15:30
Paphos contributed   International financial markets2
30September 2, 2010
13:30-15:30
TBC contributed   Monetary Policy Models4
31September 2, 2010
13:30-15:30
Pefkios contributed   European Financial Markets & Insttitutions4
32September 2, 2010
13:30-15:30
Kyrenia contributed   Forecasting4
33September 2, 2010
16:00-17:30
Pefkios invited   Special session on Finance and Development1
34September 2, 2010
16:00-17:30
N/A invited   CUT Special session on macroeconomics and finance3
35September 3, 2010
9:00-11:00
Ammochostos contributed   Finance and development4
36September 3, 2010
9:00-11:00
LEMESOS contributed   Monetary policy experience4
37September 3, 2010
9:00-11:00
Lefkosia contributed   Fiscal policy II4
38September 3, 2010
9:00-11:00
Larnaca contributed   Investment4
39September 3, 2010
9:00-11:00
Kyrenia contributed   Learning and forecasting4
40September 3, 2010
9:00-11:00
Pefkios contributed   Inflation II4
41September 3, 2010
9:00-11:00
Paphos contributed   Banking3
42September 3, 2010
9:00-11:00
TBC contributed   Exchange Rates and Monetary Policy4
43September 3, 2010
11:30-12:30
Pefkios invited   Keynote address by Charles Calomiris0
44September 3, 2010
14:00-16:00
Pefkios invited   Special Central Bank of Cyprus Session on Monetary Policy0
 

44 sessions, 133 papers


 

42nd Annual Conference of the MONEY, MACRO AND FINANCE RESEARCH GROUP

Complete List of All Sessions

  

Session 1: Money and finance in Asian economies

Session type: contributed
Date: September 1, 2010
Time: 9:30 - 11:00
Location: LEMESOS
 

The role of bond finance in firms' survival during the Asian crisis
JEL codes: F32, F34, G15
By Marina-Eliza Spaliara; Loughborough University
Serafeim Tsoukas; University of Nottingham
   Presented by: Marina-Eliza Spaliara, University of Loughborough
 

Measuring the Monetary Policy Stance of the People’s Bank of China: an Ordered Probit Analysis.
By Weibo Xiong; Heriot-Watt University
   Presented by: Weibo Xiong, Heriot-Watt University
  

Session 2: Portfolio choice

Session type: contributed
Date: September 1, 2010
Time: 9:30 - 11:00
Location: Kyrenia
 

Pairs Trading in the UK Equity Market
By David Bowen; University College of Cork
Mark Hutchinson; University College of Cork
Niall O'Sullivan; University College of Cork
   Presented by: David Bowen, University College Cork
 

Beliefs shock and the macroeconomy
By Jacek Suda; Banque de France - Paris School of Economics
   Presented by: Jacek Suda, Banque de France - Paris School of Economics
  

Session 3: Banking Risk

Session type: contributed
Date: September 1, 2010
Time: 9:30 - 11:00
Location: Ammochostos
 

Predicting Financial Distress in a High-Stress Financial World
JEL codes: G21; G28
By Jerome Jerome; Banque de France
Adrian Pop; University of Nantes
Muriel Tiesset; Banque de France
   Presented by: Jerome Coffinet, Banque de France
 

Information sharing and cross-border entry in European banking
By Caterina Giannetti; GSBC Jena, University of Siena
Nicola Jentzsch; DIW Berlin, Technische Universität Berlin
Giancarlo Spagnolo; 3University of Tor Vergata, SITE Stockholm, EIEF
   Presented by: Caterina Giannetti, GSBC Jena
  

Session 4: Money, output and inflation

Session type: contributed
Date: September 1, 2010
Time: 9:30 - 11:00
Location: LEFKOSIA
 

Imperfectly-Credible Disinflation of Small Inflations
JEL codes: E20, E32, F32
By Lynne Evans; Newcastle University
Anamaria Nicolae; Durham University
   Presented by: Anamaria Nicolae, University of Durham
 

Optimal Monetary Policy with Durable Consumption Goods and Factor Demand Linkages
By Ivan Petrella,
Catholic University of Leuven
Emiliano Santoro
University of Copenhagen
   Presented by: Ivan Petrella, Faculty of Business & Economics
 

When money matters
By Marcus Miller; University of Warwick
John Driffill; Birkbeck College
   Presented by: Marcus Miller, University of Warwick
  

Session 5: Bond markets

Session type: contributed
Date: September 1, 2010
Time: 9:30 - 11:00
Location: LARNACA
 

Long-run Behaviour of Long-term Sovereign Bond Yields
JEL codes: C23, E43, E62
By António Afonso, ECB and ISEG/UTL
Christophe Rault, University of Orléans
   Presented by: Antonio Afonso, ECB
 

The UK Economy and the Term Sructure of Interest Rates
By Peter Spencer
University of York
   Presented by: Peter Spencer, University of York
 

nformation Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets
By Eric GIRARDIN; GREQAM, University Aix-Marseille, France ;
Dijun TAN; UESTC, Chengdu, China;
Woon T. WONG; Bristol University, UK;
   Presented by: Eric Girardin, GREQAM, Université de la Méditerranée
  

Session 6: Central banks and quantitative easing

Session type: contributed
Date: September 1, 2010
Time: 9:30 - 11:00
Location: PAPHOS
 

Liquidity, Bank Credit and Money
JEL codes: E50,E58
By Alistair Milne; Cass Business School, City University London and Monetary Policy and Research Department, Bank of Finland
   Presented by: Alistair Milne, Cass Business School
 

Central Bank Forecast Transparency, Incentives, and Inflation Targets
By Georgios E. Chortareas; University of Athens
and
Kalliopi-Maria Zekente; University of Athens
   Presented by: George Chortareas,
 

New Evidence on the Effectiveness of 'Quantitative Easing' in Japan
By Konstantinos Voutsinas; University of Southampton
Richard Werner; University of Southampton
   Presented by: Richard Werner, University of Southampton
  

Session 7: Keynote address by Marcus Miller

Session Chair: Peter Smith, UNIVERSITY OF YORK
Session type: invited
Date: September 1, 2010
Time: 11:30 - 12:30
Location: Pefkios
  

Session 8: Time series econometrics

Session type: contributed
Date: September 1, 2010
Time: 13:30 - 15:30
Location: Lemesos
 

Fractional pair-wise convergence
By Giovanni Caggiano, University of Padua
Leone Leonida, Queen Mary University of London
   Presented by: Giovanni Caggiano, University of Padua
 

A bayesian panel data unit root test: re-examining the economic convergence hypothesis
By Meligkotsidou Loukia ; University of AThens
Tzavalis Elias; Athens University of Economics & Business
Vrontos Ioannis; Athens University of Economics & Business
   Presented by: Elias Tzavalis, Athens University of Economics @ Busine
  

Session 9: Money and inflation

Session type: contributed
Date: September 1, 2010
Time: 13:30 - 15:30
Location: Lefkosia
 

Sectoral Money Demand and the Great Disinflation in the US
JEL codes: E31; E41
By Alesssandro Calza; European Central Bank
Andrea Zaghini; Banca 'Italia
   Presented by: Andrea Zaghini, bank of Italy
 

On the importance of sectoral shocks for price-setting
By Guenter W. Beck; University of Mainz and CFS
Kirstin Hubrich; European Central Bank
Massimiliano Marcellino; European University Institute and CEPR
   Presented by: Guenter Beck, Goethe University Frankfurt
 

Testing the Asymmetry of the New Keynesian Phillips Curve: Evidence from the Euro Area
By Georgios Chortareas; University of Athens
George Magonis; University of Athens
Theodore Panagiotidis; University of Macedonia
   Presented by: George Magonis, University of Athens
 

Aggregate Evidence of Nominal Rigidities and the Inflation-Output Trade-Off: The Relationship between the Income Share of Labor and the Rate of Inflation
By Christian Jensen, Moore School of Business, U. of South Carolina
   Presented by: Christian Jensen, Moore School of Business, University of South Carolina
  

Session 10: Fiscal policy

Session type: contributed
Date: September 1, 2010
Time: 13:30 - 15:30
Location: Larnaca
 

Fiscal Policy, Governance, and Growth
JEL codes: O23, O43, E62
By Leonor Coutinho;University of Cyprus and Europrism Research
Luc De Wulf;Center for Social and Economic Research (CASE)
Santiago Florez;World Bank
Cyrus Sassanpour;Center for Social and Economic Research (CASE)
   Presented by: Leonor Coutinho, University of Cyprus
 

Political Budget Cycles in the European Union and the Impact of Political Pressures: A dynamic panel regression analysis
[slides]
By Georgios Efthyvoulou; Birkbeck, University of London
   Presented by: Georgios Efthyvoulou, Birkbeck College, University of London
 

The Effectiveness of Government Expenditures During Crisis: Evidence from Regional Government Spending in Japan 1990-2000
By Markus Bruckner; Universitat Pompeu Fabra
Anita Tuladhar; IMF
   Presented by: Markus Bruckner, Universitat Pompeu Fabra
 

Fiscal Risk in a Monetary Union
By Betty C. Daniel; University at Albany -SUNY
Christos Shiamptanis; Central Bank of Cyprus
   Presented by: Christos Shiamptanis, Central Bank of Cyprus
  

Session 11: Consumption and saving

Session Chair: Peter Smith, UNIVERSITY OF YORK
Session type: contributed
Date: September 1, 2010
Time: 13:30 - 15:30
Location: Paphos
 

The effect of a cut in the interest rate on consumption and saving
JEL codes: D91; E21; D12
By Erlend Eide Bø; Statistics Norway
Elin Halvorsen; Statistics Norway
   Presented by: Elin Halvorsen, Statistics Norway
 

Saving For Retirement And Retirement Investment Choices
By Monica Paiella; University of Naples “Parthenope”, Department of Economic Studies
Andrea Tiseno; Bank of Italy, Research Department
   Presented by: Andrea Tiseno, Banca d'Italia
 

Durable Consumption, Long-Run Risk and The Equity Premium
By Na Guo; University of York
Peter N Smith; University of York
   Presented by: Peter Smith, UNIVERSITY OF YORK
  

Session 12: Emerging markets

Session Chair: Maria Matsi, University of Cyprus
Session type: contributed
Date: September 1, 2010
Time: 13:30 - 15:30
Location: Kyrenia
 

Characterizing the Business Cycles of Emerging Economies
JEL codes: E32, F41
By Cesar Calderon; World Bank
J. Rodrigo Fuentes; Pontificia Universidad Católica de Chile
   Presented by: Rodrigo Fuentes, Pontificia Universidad Católica de Chile
 

On inflation, wealth inequality and welfare in emerging economies
By Enes Sunel; University of Maryland, College Park, Department of Economics
   Presented by: Enes Sunel, University of Maryland
 

What Effect Has Bond Market Development in Emerging Asia Had on the Issuance of Corporate Bonds?
By Paul Mizen; University of Nottingham
Serafeim Tsoukas; University of Nottingham
   Presented by: Serafeim Tsoukas, University of Nottingham
 

Stock Market and Foreign Exchange Volatility in Emerging Economies
By Elena Andreou; University of Cyprus
Maria Matsi; University of Cyprus
Andreas Savvides; Cyprus University of Technology
   Presented by: Maria Matsi, University of Cyprus
  

Session 13: Economic growth I

Session Chair: Kyriakos Neanidis, University of Manchester
Session type: contributed
Date: September 1, 2010
Time: 13:30 - 15:30
Location: Ammochostos
 

Growth, Cycles, and Environmental Preservation
JEL codes: O41; Q56
By Theodore Palivos; University of Macedonia
Dimitrios Varvarigos;University of Leicester
   Presented by: Dimitrios Varvarigos, University of Leicester
 

ADOPTION TECHNOLOGY TARGETS AND KNOWLEDGE DYNAMICS: CONSEQUENCES FOR LONG-RUN PROSPECTS
By Mies, Verónica; P. Universidad Católica de Chile
   Presented by: Verónica Mies, P. Universidad Católica de Chile
 

Innovation, Public Capital, and Growth
By Pierre-Richard Agénor; University of Manchester
Kyriakos C. Neanidis; University of Manchester
   Presented by: Kyriakos Neanidis, University of Manchester
  

Session 14: Investment and Pensions

Session type: contributed
Date: September 1, 2010
Time: 13:30 - 15:30
Location: Pefkios
 

Are investors prudent? An empirical analysis of the risk-return trade-off using intraday data
JEL codes: G20; C22
By Benoît Sévi ;
London Business School
   Presented by: Benoît Sévi, London Business School
 

Pensions in Spain: A Reform that Backfires
By Javier Díaz-Giménez - IESE (Spain)
Julián Díaz-Saavedra - Universidad de Granada (Spain)
   Presented by: Julián Díaz Saavedra, Universidad de Granada
 

Momentum or Contrarian Investment Strategies: Evidence from Dutch institutional investors
By Leo de Haan; De Nederlandsche Bank
Jan Kakes; De Nederlandsche Bank
   Presented by: Leo de Haan, De Nederlandsche Bank
 

Are There Any Spillovers between Household and Firm Financing Frictions? A Dynamic General Equilibrium Analysis
By Daniel Solomon, University of Montreal and CIREQ
   Presented by: daniel solomon, universite de montreal
  

Session 15: Special JAE session on Applied Econometrics

Hashem Pesaran: Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model Elias Tzavalis: Non-linear models of monetary policy rules Badi Baltagi: Spatial panels
Session type: invited
Date: September 1, 2010
Time: 16:00 - 17:30
Location: Pefkios
  

Session 16: Middle East economies

Session type: contributed
Date: September 1, 2010
Time: 16:00 - 17:30
Location: Lefkosia
 

A macroeconomic narrative for the Palestinian economy, 1995-2008
JEL codes: E50, E60, E65,
By David Cobham; Heriot-Watt University
   Presented by: David Cobham, Heriot-Watt University
 

Assessing inflation and output variability using a New Keynesian model: an application to Egypt
By Rania Al-Mashat; Central Bank of Egypt
   Presented by: David Cobham, Heriot-Watt University
 

Do growth determinants differ between countries in the MENA region?
By Yacine Belarbi; CREAD, University of Bouzareah, Algeria
Abdallah Zouache; GATE Lyon St Etienne
   Presented by: Abdallah ZOUACHE, UMR CNRS 5824, Gate Lyon-St-Etienne
  

Session 17: Stock markets

Session type: contributed
Date: September 2, 2010
Time: 9:00 - 11:00
Location: Lefkosia
 

On monetary policy and stock market anomalies
JEL codes: E44, E58, G12
By Alexandros Kontonikas; University of Glasgow
Alexandros Kostakis; University of Glasgow
   Presented by: Alexandros Kontonikas, University of Glasgow
 

Monetary Policy and Return Volatility in Equity Markets: The Case of Japan
By Ming-Jen Chang; National Dong Hwa University
   Presented by: MING-JEN CHANG, National Dong Hwa University
 

Asset returns with earnings management
By Bo Sun; Federal Reserve Board
   Presented by: Bo Sun, University of Virginia
 

Asset Pricing in the Presence of Background Risk
By Andrei Semenov; York University
   Presented by: Andrei Semenov, York University
  

Session 18: Economic growth II

Session type: contributed
Date: September 2, 2010
Time: 9:00 - 11:00
Location: Larnaca
 

A Contribution to the Empirics of Welfare Growth
JEL codes: O50, O11, I0
By Konstantinos Vrachimis ; University of Cyprus
Marios Zachariadis ; University of Cyprus
   Presented by: Konstantinos Vrachimis, University of Cyprus
 

Wage bargaining and inter-firm labour mobility: their effects on economic growth through the entry of heterogeneous entrepreneur-firms
By Mark A. Roberts
University of Nottingham
   Presented by: Mark Roberts, University of Nottingham
 

Contracting Institutions and Growth
By Alex Trew, University of St Andrews
   Presented by: Alex Trew, University of St Andrews
 

The Optimum Growth Rate for Population under Critical-Level Utilitarianism
By THOMAS I. RENSTRÖM; Durham University
LUCA SPATARO; University of Pisa and CHILD
   Presented by: Thomas Renstrom, University of Durham and CEPR
  

Session 19: Business cycles

Session type: contributed
Date: September 2, 2010
Time: 9:00 - 11:00
Location: Kyrenia
 

Sources of Fluctuations in Output and Inflation in the U.S.A between 1960 and 2008: A Sign Restriction Approach
JEL codes: C32,E32,E58
By Charbel Bassil; Cergy Pontoise University
   Presented by: Charbel Bassil, University of Cergy Pontoise
 

Financial innovation and risk: the role of information
By Roberto Piazza; International Monetary Fund
   Presented by: Roberto Piazza, University of Minnesota
 

Business Cycle Implicatons of Banks' Maturity Transformation
By Marcelo Ferman; London School of Economics
Martin Andreasen; Bank of England
Pawel Zabczyk; Bank of England
   Presented by: Pawel Zabczyk, Bank of England
  

Session 20: Unemployment and Macro Models

Session type: contributed
Date: September 2, 2010
Time: 9:00 - 11:00
Location: Ammochostos
 

Deep Habits and the Cyclical Behaviour of Equilibrium Unemployment and Vacancies
JEL codes: E21;E24;J41;J46
By Federico Di Pace; Birkbeck College
Renato Faccini; Bank of England
   Presented by: Federico Di Pace, Birkbeck College
 

Aggregate Shocks, Heterogeneous Private Sector Information, and Stabilization Policy
By Jonathan G. James; Swansea University
Phillip Lawler; Swansea University
   Presented by: Jonathan James,
 

A New Keynesian Model with a Cost Channel and Relative Price Effects
By William J. Tayler; The University of Manchester
George J. Bratsiotis; The University of Manchester
   Presented by: William Tayler, The University of Manchester
 

Relative Capital Accumulation with Heterogeneous Individuals
By LAURA MARSILIANI; Durham Business School
THOMAS I. RENSTRÖM; Durham Business School
   Presented by: Laura Marsiliani, University of Durham
  

Session 21: Exchange rates

Session type: contributed
Date: September 2, 2010
Time: 9:00 - 11:00
Location: Pefkios
 

A new solution to the purchasing power parity puzzles: Risk-aversion, exchange rate uncertainty and the law of one price
JEL codes: F31; F41
By Michael G. Arghyrou; Cardiff Business School Andros Gregoriou; Norwich Business School Panayiotis M. Pourpourides; Cardiff Business School
   Presented by: Michael Arghyrou, Cardiff University
 

Predictability and Good Deals in Currency Markets
[slides]
By Richard Levich
Valerio Potì
   Presented by: Valerio Poti, Dublin City University Business School
 

Stock market information and the real exchange rate - real interest rate parity
By Juha Junttila; University of Oulu
Marko Korhonen; University of Oulu
   Presented by: Juha Junttila, University of Oulu
 

Do jumps mislead the FX Market?
By Jean-Yves Gnabo - University of Namur
Jérôme Lahaye - University of Namur
Sébastien Laurent - University of Maastricht
Christelle Lecourt - University of Namur
   Presented by: Lecourt Christelle, University of Namur
  

Session 22: Monetary Policy

Session type: contributed
Date: September 2, 2010
Time: 9:00 - 11:00
Location: Lemesos
 

Are Long-Term Inflation Expectations Well-Anchored? Evidence from Euro area’s professional forecasters
JEL codes: E 52; E 31
By Tsvetomira Tsenova; Bulgarian National Bank
   Presented by: Tsvetomira Tsenova, Bulgarian National Bank
 

Prospect Theory and Inflation Perceptions - An Empirical Assessment
By Vogel, Lena; University of Hamburg and ETH Zurich
Menz, Jan-Oliver; University of Hamburg
Fritsche, Ulrich; University of Hamburg
   Presented by: Jan-Oliver Menz, University of Hamburg
 

Interest rates and bank risk-taking
By Manthos D. Delis; University of Ioannina
Georgios P. Kouretas, Athens University of Economics and Business
   Presented by: Georgios Kouretas, Athens University of Economics and Business
 

The Fed's perceived Phillips curve: Evidence from individual FOMC forecasts
By University of Giessen
   Presented by: Peter Tillmann, Justus Liebig University Giessen
  

Session 23: Fluctuations and Business Cycles

Session type: contributed
Date: September 2, 2010
Time: 9:00 - 11:00
Location: Paphos
 

On the role of financial sector shock to aggregate fluctuations
JEL codes: E32, E44, G10
By Hongru Zhang; Cardiff Business School
   Presented by: Hongru Zhang, Cardiff University
 

Oilgopoly: a general equilibrium model of the oil-macroeconomy nexus
By anton nakov; banco de españa
galo nuño; banco de españa
   Presented by: Galo Nuno, Banco de España
 

Advertising and Business Cycle Fluctuations
By Benedetto Molinari; Universidad Pablo de Olavide
Francesco Turino; Universitat d'Alacant and Università di Bologna
   Presented by: Benedetto Molinari, UPF
 

Trend agnostic one step estimation of DSGE models
By Filippo Ferroni; Banque de France
   Presented by: Filippo Ferroni, Banque de France
  

Session 24: The Future of Macroeconomics

Session Chair: John Driffill, Birkbeck, University of London
Session type: invited
Date: September 2, 2010
Time: 11:30 - 12:30
Location: Pefkios
  

Session 25: Banking Risk and Monetary Policy

Session type: contributed
Date: September 2, 2010
Time: 13:30 - 15:30
Location: Lemesos
 

Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
JEL codes: C22, E01, E21
By Olli Castrén; ECB
Ilja Kavonius; ECB
   Presented by: Olli Castren, European Central Bank
 

The Effect of Banking Crises on Human Capital
By Davide Furceri;OECD and University of Palermo.
Aleksandra Zdzienicka;GATE-CNRS, University of Lyon
   Presented by: Aleksandra Zdzienicka, GATE-CNRS
 

Monetary Policy and Excessive Bank Risk Taking
By Itai Agur
De Nederlandsche Bank
Maria Demertzis
De Nederlandsche Bank
   Presented by: Itai Agur, Dutch Central Bank
 

Analysis of Monetary Policy Rules:Some Lessons from Risk Management
By Brian Byrne; Dublin Institue of Technology
Liam A. Gallagher; Dublin City University
   Presented by: Brian Byrne, Dublin Institute of Technology
  

Session 26: Securities markets

Session type: contributed
Date: September 2, 2010
Time: 13:30 - 15:30
Location: Lefkosia
 

Who needs market makers for illiquid securities? New evidence from the FTSE Aim Index.
JEL codes: G10, G14.
By Andros Gregoriou, University of East Anglia
   Presented by: Andros Gregoriou, University of East Anglia
 

The Price Impact of Economic News, Private Information and Trading Intensity
By Department of Economics Mathematics and Statistics, Birkbeck College,University of London
   Presented by: Paola Paiardini, Birkbeck College, University of London
 

Expected Returns Across Time Scales
By Christophe BOUCHER; A.A.Advisors-QCG (ABN AMRO); Variances and University of Paris-1 (CES/CNRS).
Christophe BOUCHER; A.A.Advisors-QCG (ABN AMRO), Variances and University of Paris-1 (CES/CNRS and EIF).
   Presented by: Christophe Boucher, Université Paris-1
 

Futures trading and market microstructure of the underlying security: A high frequency experiment at the single stock future level
By Kate Phylaktis;
Cass Business School
London
Gikas Manalis;
Athens Stock Exchange
Athens
Athens
   Presented by: Kate Phylaktis, Cass Business School
  

Session 27: Inflation

Session type: contributed
Date: September 2, 2010
Time: 13:30 - 15:30
Location: Kyrenia
 

Calvo vs. Rotemberg in a Trend Inflation World: An Empirical Investigation
JEL codes: E31, E52
By Guido Ascari; University of Pavia and IfW
Efrem Castelnuovo; University of Padua and Bank of Finland
Lorenza Rossi; University of Pavia
   Presented by: Guido Ascari, Universita degli Studi di Pavia
 

Can the Fiscal Theory of the Price Level explain UK inflation in the 1970s?
By Jingwen Fan;Cardiff University
Patrick Minford; Cardiff University and CEPR
   Presented by: Jingwen Fan, Cardiff University
 

An estimated DSGE model of energy, costs and inflation in the United Kingdom
By Stephen Millard; Bank of England
   Presented by: Stephen Millard, Bank of England
  

Session 28: Financial crises

Session type: contributed
Date: September 2, 2010
Time: 13:30 - 15:30
Location: Larnaca
 

Quantifying the Distortionary Fiscal Cost of ‘The Bailout’
JEL codes: E21, E62, G12
By Francisco Gomes;LBS
Alexander Michaelides;Central bank of Cyprus and LSE
Valery Polkovnichenko;UT Dallas
   Presented by: Alexander Michaelides, London School of Economics
 

The Great Recession: US dynamics and spillovers to the world economy
By F.C. Bagliano; University of Torino, Italy
C. Morana; University of Piemonte Orientale, Italy
   Presented by: Claudio Morana, Universita' del Piemonte Orientale
 

Central Banking After the Financial Crisis: Taking Account of Quantitative Easing in a DSGE Model
By Richard Anderson; Federal Reserve Bank St Louis
Paul Mizen; Nottingham University
   Presented by: Richard Anderson, Federal Reserve Bank of St. Louis
 

Collateralizable Wealth, Asset Returns and Systemic Risk: International Evidence
By Ricardo M. Sousa; University of Minho, NIPE, London School of Economics, and FMG
   Presented by: Ricardo Sousa, University of Minho, NIPE, London School of Economics, and FMG
  

Session 29: International financial markets

Session type: contributed
Date: September 2, 2010
Time: 13:30 - 15:30
Location: Paphos
 

Investor protection and foreign stakeholders
JEL codes: G11; G15; G30
By Maela Giofré; University of Torino and CeRP-CCA
   Presented by: Maela Giofré, CeRP-CCA
 

A study of the causal relationship between soveriegn CDS spreads, risk-free interest rates and exchange rates
By Yang Liu;Departement of Economics,University of Bath
Bruce Morley;Departement of Economics,University of Bath
John Hudson;Departement of Economics,University of Bath
   Presented by: Yang Liu, Bath University
  

Session 30: Monetary Policy Models

Session type: contributed
Date: September 2, 2010
Time: 13:30 - 15:30
Location: TBC
 

Borrowing Constraints and Monetary Policy: The Inflation Tax-Net Worth Channel
By Tiziana Assenza
Catholic University of Milan and CeNDEF, University of Amsterdam
Domenico Delli Gatti
Catholic University of Milan
   Presented by: Tiziana Assenza, Catholic University of Milan
 

Heterogeneous Expectations, Learning and Monetary Policy Rules in A Two-country Model
By Qinwei Wang; University of Cambridge
   Presented by: Qinwei Wang, University of Cambridge
 

Policy Games with Liquidity Constrained Consumers
By Alice Albonico; University of Pavia (Italy)
   Presented by: Alice Albonico, University of Pavia
 

Asset Prices and Monetary Policy: A New View of the Cost Channel
By Tiziana Assenza
Catholic University of Milan and CeNDEF, Univesrity of Amsterdam
Michele Berardi
University of Manchester
Domenico Delli Gatti
Catholic University of Milan
   Presented by: Domenico Delli Gatti, Universita Cattolica
  

Session 31: European Financial Markets & Insttitutions

Session type: contributed
Date: September 2, 2010
Time: 13:30 - 15:30
Location: Pefkios
 

Compatibility Between European Securities Settlement Systems: A Spatial Competition Approach
JEL codes: D43, G29, G19,
By Marie-Noëlle Calès; University Lyon 2
Dominique Chabert; University Lyon 2
Walid Hichri; University Lyon 2
Nadège Marchand; University Lyon 2
   Presented by: Marie-Noëlle Calès, University Lyon 2
 

Stress testing French banks' profitability
By Coffinet Jerome; Banque de France
Lin Surong; Banque de France
Martin Clément; Banque de France
   Presented by: surong lin, Commission Bancaire
 

Volatility Transmission in Central European Foreign Exchange Markets
By Vit Bubak; Charles University in Prague and Université Paris 1 Panthéon-Sorbonne
Evzen Kocenda; CERGE-EI, Charles University in Prague and the Academy of Sciences, Prague, Czech Republic
Filip Zikes; Imperial College London, Business School
   Presented by: Vit Bubak, Université de Paris I. Panthéon-Sorbonne
 

The portfolio balance effect and reserve diversification: An empirical analysis
By Costas J. Karfakis;
University of Macedonia
   Presented by: J. Costas Karfakis,
  

Session 32: Forecasting

Session type: contributed
Date: September 2, 2010
Time: 13:30 - 15:30
Location: Kyrenia
 

An Estimated Boundedly Rational Multi-Country Model with Learning Expectations
By Alistair Dieppe; European Central Bank
Alberto González Pandiella; European Central Bank
Stephen Hall; National Institute of Economic and Social Research and University of Leicester
Alpo Willman; European Central Bank
   Presented by: Alistair Dieppe, European Central Bank
 

Putting the New Keynesian DSGE model to the real-time forecasting test
By Marcin Kolasa; National Bank of Poland and Warsaw School of Economics
Michał Rubaszek; National Bank of Poland and Warsaw School of Economics
Paweł Skrzypczyński; National Bank of Poland
   Presented by: Michal Rubaszek, National Bank of Poland
 

Time horizons and smoothing in the Bank of England’s reaction function:the contrast between the GMM and ex ante forecast approaches
By David Cobham;Heriot-Watt University
Yue Kang;Heriot-Watt University
   Presented by: Yue Kang, Heriot-Watt University
 

Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real Time Data Are Available
By Kevin Lee; University of Leicester
Nilss Olekals; University of Melbourne
Kalvinder Shields; University of Melbourne
   Presented by: Kevin Lee, University of Leicester
  

Session 33: Special session on Finance and Development

Simon Deakin: "An end to consensus: the (non) impact of legal reform on financial development' Peter Rousseau: "Governments, Trade and Financial Development" Panicos Demetriades: "The African Credit Trap"
Session Chair: Panicos Demetriades, University of Leicester
Session type: invited
Date: September 2, 2010
Time: 16:00 - 17:30
Location: Pefkios
 

The African Credit Trap
By Svetlana Andrianova
Badi H. Baltagi
Panicos O. Demetriades
David Fielding
   Presented by: Panicos Demetriades, University of Leicester
  

Session 34: CUT Special session on macroeconomics and finance

Session type: invited
Date: September 2, 2010
Time: 16:00 - 17:30
 

A Volatility Smirk that Defaults: The Case of the S&P 500 Index Options
JEL codes: G12,
By Panayiotis C. Andreou; Cyprus University of Technology & Durham Business School
   Presented by: Panayiotis Andreou, Cyprus University of Technology & Durham Business School
 

Macroeconomic Uncertainty, Inflation and Growth:Regime-Dependent Effects in the G7
By Kyriakos C. Neanidis;
Economics, University of Manchester and Centre for Growth and Business Cycle Research, Manchester, United Kingdom
Christos S. Savva;
Department of Commerce, Finance and Shipping, Cyprus University of Technology, Cyprus
   Presented by: Christos Savva, Cyprus University of Technology
 

The Relative Efficiency of Firms in Shipping Markets
By Dr. Photis M. Panayides, Associate Professor in Shipping Economics, Department of Commerce, Finance and Shipping, Cyprus University of Technology
Dr. Neophytos Lambertides, Lecturer in Finance, Aston Business School, Aston University, UK
Dr. Christos Savva, Lecturer in Econometrics, Department of Commerce, Finance and Shipping, Cyprus University of Technology
   Presented by: Photis Panayides, Cyprus University of Technology
  

Session 35: Finance and development

Session type: contributed
Date: September 3, 2010
Time: 9:00 - 11:00
Location: Ammochostos
 

Institutional Factors and Financial Sector Development: Evidence from Sub Saharan Africa
JEL codes: C61,G21,G28,O16
By George Anayiotos; IMF
Hovhannes Toroyan; Binghampton University
   Presented by: George Anayiotos, IMF/George Washington University
 

Financial development, openness and competition in the Euro Area and the US
By Marianthi Anastasatou;University of Bristol
Philip Vermeulen;European Central Bank
   Presented by: MARIANTHI ANASTASATOU, UNIVERSITY OF BRISTOL
 

Empirical Assessment of Feldstein-Horioka literature
By Faculty of economics, University Lille 1, 59655 Villeneuve d’Ascq, France.
ph. : +33 (0)3 20 33 63 58; fax.: +33 (0)3 28 77 84 44.
   Presented by: Bineau Yannick,
 

Financial Development and Economic Growth: The Role of R&D
By Arshad Ali Bhatti; Centre for Growth and Business Cycle Research (CGBCR) and Economics, University of Manchester, UK
Denise R. Osborn;Centre for Growth and Business Cycle Research (CGBCR) and Economics, University of Manchester, UK
M. Emranul Haque; Centre for Growth and Business Cycle Research (CGBCR) and Economics, University of Manchester, UK
   Presented by: Arshad Bhatti, University of Manchester
  

Session 36: Monetary policy experience

Session type: contributed
Date: September 3, 2010
Time: 9:00 - 11:00
Location: LEMESOS
 

Credit controls did matter. An evaluation of monetary policy during France’s Golden Age, 1945-1973
JEL codes: E42 E52 E58 N14
By Eric Monnet ; Paris School of Economics & EHESS
   Presented by: Eric Monnet, Paris School of Economics
 

Assessing Spill-Over Effects of U.S. Monetary Policy and Macroeconomic Announcements on Financial Markets in Argentina
By Bernd Hayo; Philipps-University Marburg
Matthias Neuenkirch; Philipps-University Marburg
   Presented by: Bernd Hayo, Philipps-University Marburg
 

How Does Monetary Policy Change? Evidence on Inflation Targeting Countries
By Jaromír Baxa; Charles University, Prague
Roman Horvath; Czech National Bank
and Charles University, Prague
Borek Vasicek; Universitat Autonoma de Barcelona
   Presented by: Roman Horvath, Czech National Bank and Charles University, Prague
 

Taking Personalities out of Monetary Policy Decision Making? Interactions, Heterogeneity and Committee Decisions in the Bank of England’s MPC
By Arnab Bhattacharjee; University of St Andrews
Sean Holly; University of Cambridge
   Presented by: Arnab Bhattacharjee, University of St Andrews
  

Session 37: Fiscal policy II

Session type: contributed
Date: September 3, 2010
Time: 9:00 - 11:00
Location: Lefkosia
 

The Effects of Fiscal Shocks in SVAR Models: A Graphical Modelling Approach
JEL codes: E62, C32
By Matteo Fragetta; University of Salerno
Giovanni Melina; Birkbeck College, University of London
   Presented by: Matteo Fragetta, University of Salerno
 

“The Impact of Government Spending on the Private Sector:Crowding-out versus Crowding-in Effects”
By Davide Furceri;OECD and University of Palermo
Ricardo M. Sousa;University of Minho, NIPE, London School of Economics, and FMG.
   Presented by: Davide Furceri, OECD
 

How Important is the Optimal Fiscal Policy in a Currency Union?: The Role of Nontradable Goods
By OKANO, Eiji; Chiba Keizai University
   Presented by: Eiji OKANO, Chiba Keizai University
 

Optimal Fiscal Rules When Unemployment Matters
By Stéphane Moyen; Deutsche Bundesbank
Nikolai Stähler; Deutsche Bundesbank
   Presented by: Stéphane Moyen, Deutsche Bundesbank
  

Session 38: Investment

Session type: contributed
Date: September 3, 2010
Time: 9:00 - 11:00
Location: Larnaca
 

Tax Avoidance and Ownership
JEL codes: G32, G34, H26
By Jean-Bernard Chatelain; CES, Centre d’Economie de la Sorbonne, University Paris 1 Pantheon Sorbonne, Paris, e-mail: jean-bernard.chatelain@univ-paris1.fr
Kirsten Ralf; Ecole Suprieure du Commerce Extrieur, Paris, e-mail: kirsten.ralf@esce.fr
   Presented by: Kirsten Ralf, Ecole Superieure de Commerce Exterieure
 

Why Do Companies Go Public? An Empirical Analysis of IPOs on the LSE Main Market and AIM
By Fei Jiang; Department of Economics, Loughborough University
Christopher J. Green; Department of Economics, Loughborough University
   Presented by: Faye Jiang, Loughborough University
 

Shareholding Structure and Corporate Performance: Further Evidence from Listed Greek Companies
By Mohamed Sherif; Heriot Watt University
Iordanis Kalaitzoglou: Heriot Watt University
   Presented by: Iordanis Kalaitzoglou, Heriot-Watt University
 

Corporate Liquidity Management and Future Investment Expenditures
By Christopher F Baum
Department of Economics, Boston College and DIW Berlin
Mustafa Caglayan
Department of Economics, University of Sheffield
Oleksandr Talavera
School of Economics, University of East Anglia
   Presented by: Mustafa Caglayan, University of Sheffield
  

Session 39: Learning and forecasting

Session type: contributed
Date: September 3, 2010
Time: 9:00 - 11:00
Location: Kyrenia
 

Heterogeneity in Consumers' Learning about Inflation
JEL codes: C53,D84,E31,E37
By Robert D. J. Anderson; Business School - Economics, Newcastle University
Ralf Becker; Centre for Growth and Business Cycle Research, University of Manchester
Denise R. Osborn; Centre for Growth and Business Cycle Research, University of Manchester
   Presented by: Robert Anderson, Newcastle University
 

Measuring Output Gap Uncertainty
By Anthony Garratt; Birkbeck
James Mitchell; NIESR
Shaun P. Vahey; ANU
   Presented by: Shaun Vahey, Australian National University
 

Uncertainty and Disagreement in Forecasting Inflation: Evidence from the Laboratory
By Damjan Pfajfar; Unviersity of Tilburg
Blaz Zakelj; Universitat Pompeu Fabra
   Presented by: Blaz Zakelj, Universitat Pompeu Fabra
 

Forecast Combinations in Volatility: An Application in Value at Risk and Expected Shortfall
By Elena Andreou; University of Cyprus
Constantinos Kourouyiannis; University of Cyprus
Andros Kourtellos; University of Cyprus
   Presented by: Constantinos Kourouyiannis, University of Cyprus
  

Session 40: Inflation II

Session type: contributed
Date: September 3, 2010
Time: 9:00 - 11:00
Location: Pefkios
 

Monetary Policy and Inflation Persistence with Imperfect Credit Markets
JEL codes: E31, E44, E52.
By Pierre-Richard Agénor; University of Manchester
George Bratsiotis; University of Manchester
Damjan Pfajfar; University of Tilburg
   Presented by: Damjan Pfajfar, University of Tilburg
 

Reference-dependent Preferences and the Transmission of Monetary Policy
By Edoardo Gaffeo; University of Trento
Ivan Petrella; Catholic University of Leuven
Damjan Pfajfar; University of Tilburg
Emiliano Santoro; University of Copenhagen
   Presented by: Emiliano Santoro, University of Copenhagen
 

Precautionary Price Stickiness
By Anton Nakov, Banco de España
James Costain, Banco de España
   Presented by: Anton Nakov, Banco de España
 

Micro-data on Nominal Rigidity, Inflation Persistence and Optimal Monetary Policy
By Engin Kara; University of Bristol
   Presented by: Engin Kara, University of Bristol
  

Session 41: Banking

Session type: contributed
Date: September 3, 2010
Time: 9:00 - 11:00
Location: Paphos
 

Market Discipline and Russian Market for Personal Deposits: Ask-a-Depositor Methodology
JEL codes: G21, O16, P2
By Maria Semenova; Laboratory for Institutional Analysis of Economic Reforms, State University – Higher School of Economics, Moscow, Russia
   Presented by: Maria Semenova, State University - Higher School of Economics
 

Why does the Interest Rate Decline Over the Day?
By Angelo Baglioni; Catholic University, Milan
Andrea Monticini; Catholic University, Milan
   Presented by: Andrea Monticini, Catholic University of Milan
 

Parliamentary Election Cycles and the Turkish Banking Sector
By Christopher F. Baum; Boston College
Mustafa Caglayan; University of Sheffield
Oleksandr Talavera; University of East Anglia
   Presented by: Oleksandr Talavera, University of East Anglia
  

Session 42: Exchange Rates and Monetary Policy

Session type: contributed
Date: September 3, 2010
Time: 9:00 - 11:00
Location: TBC
 

Taylor rules and the Canadian-US equilibrium exchange rate
JEL codes: c32, f31
By Tino Berger; University of Muenster
Bernd, Kempa, University of Muenster
   Presented by: Tino Berger, University of Muenster
 

Exchange rates and asset prices: heterogeneous expectations at work
By Giulia Piccillo; Catholic University of Leuven
   Presented by: Giulia Piccillo, Katholieke Universiteit Leuven
 

Aggregation Bias in Dynamic Exchange Rate Pass-Through Regressions
By Raphael Brun-Aguerre; Birkbeck College, University of London.
   Presented by: Raphael Brun, Birkbeck College
 

Disaggregating Real Exchange Rate Dynamics: A Structural Approach
By JACOB,Punnoose; Ghent University, Belgium.
   Presented by: Punnoose Jacob, Ghent University
  

Session 43: Keynote address by Charles Calomiris

Session Chair: Panicos Demetriades, University of Leicester
Session type: invited
Date: September 3, 2010
Time: 11:30 - 12:30
Location: Pefkios
  
Index of Participants

Legend: C=chair, P=Presenter, D=Disscussant

Session 44: Special Central Bank of Cyprus Session on Monetary Policy

Organised and chaired by Athanasios Orphanides, Jose Manuel Gonzalez-Paramo: tbc Seppo Honkapohja: tbc Jan Qvigstad: tbc Athanasios Orphanides: tbc
Session type: invited
Date: September 3, 2010
Time: 14:00 - 16:00
Location: Pefkios
#ParticipantRoles in Conference
1Afonso, AntonioP5
2Agur, ItaiP25
3Albonico, AliceP30
4ANASTASATOU, MARIANTHIP35
5Anayiotos, GeorgeP35
6Anderson, RobertP39
7Anderson, RichardP28
8Andreou, PanayiotisP34
9Arghyrou, MichaelP21
10Ascari, GuidoP27
11Assenza, TizianaP30
12Bassil, CharbelP19
13Beck, GuenterP9
14Berger, TinoP42
15Bhattacharjee, ArnabP36
16Bhatti, ArshadP35
17Boucher, ChristopheP26
18Bowen, DavidP2
19Bruckner, MarkusP10
20Brun, RaphaelP42
21Bubak, VitP31
22Byrne, BrianP25
23Caggiano, GiovanniP8
24Caglayan, MustafaP38
25Calès, Marie-NoëlleP31
26Castren, OlliP25
27CHANG, MING-JENP17
28Chortareas, GeorgeP6
29Christelle, LecourtP21
30Cobham, DavidP16, P16
31Coffinet, JeromeP3
32Coutinho, LeonorP10
33Díaz Saavedra, JuliánP14
34de Haan, LeoP14
35Delli Gatti, DomenicoP30
36Demetriades, PanicosC33, P33, C43
37Di Pace, FedericoP20
38Dieppe, AlistairP32
39Driffill, JohnC24
40Efthyvoulou, GeorgiosP10
41Fan, JingwenP27
42Ferroni, FilippoP23
43Fragetta, MatteoP37
44Fuentes, RodrigoP12
45Furceri, DavideP37
46Giannetti, CaterinaP3
47Giofré, MaelaP29
48Girardin, EricP5
49Gregoriou, AndrosP26
50Halvorsen, ElinP11
51Hayo, BerndP36
52Horvath, RomanP36
53Jacob, PunnooseP42
54James, JonathanP20
55Jensen, ChristianP9
56Jiang, FayeP38
57Junttila, JuhaP21
58Kalaitzoglou, IordanisP38
59Kang, YueP32
60Kara, EnginP40
61Karfakis, J. CostasP31
62Kontonikas, AlexandrosP17
63Kouretas, GeorgiosP22
64Kourouyiannis, ConstantinosP39
65Lee, KevinP32
66lin, surongP31
67Liu, YangP29
68Magonis, GeorgeP9
69Marsiliani, LauraP20
70Matsi, MariaC12, P12
71Menz, Jan-OliverP22
72Michaelides, AlexanderP28
73Mies, VerónicaP13
74Millard, StephenP27
75Miller, MarcusP4
76Milne, AlistairP6
77Molinari, BenedettoP23
78Monnet, EricP36
79Monticini, AndreaP41
80Morana, ClaudioP28
81Moyen, StéphaneP37
82Nakov, AntonP40
83Neanidis, KyriakosC13, P13
84Nicolae, AnamariaP4
85Nuno, GaloP23
86OKANO, EijiP37
87Paiardini, PaolaP26
88Panayides, PhotisP34
89Petrella, IvanP4
90Pfajfar, DamjanP40
91Phylaktis, KateP26
92Piazza, RobertoP19
93Piccillo, GiuliaP42
94Poti, ValerioP21
95Ralf, KirstenP38
96Renstrom, ThomasP18
97Roberts, MarkP18
98Rubaszek, MichalP32
99Santoro, EmilianoP40
100Savva, ChristosP34
101Sévi, BenoîtP14
102Semenov, AndreiP17
103Semenova, MariaP41
104Shiamptanis, ChristosP10
105Smith, PeterC7, C11, P11
106solomon, danielP14
107Sousa, RicardoP28
108Spaliara, Marina-ElizaP1
109Spencer, PeterP5
110Suda, JacekP2
111Sun, BoP17
112Sunel, EnesP12
113Talavera, OleksandrP41
114Tayler, WilliamP20
115Tillmann, PeterP22
116Tiseno, AndreaP11
117Trew, AlexP18
118Tsenova, TsvetomiraP22
119Tsoukas, SerafeimP12
120Tzavalis, EliasP8
121Vahey, ShaunP39
122Varvarigos, DimitriosP13
123Vrachimis, KonstantinosP18
124Wang, QinweiP30
125Werner, RichardP6
126Xiong, WeiboP1
127Yannick, BineauP35
128Zabczyk, PawelP19
129Zaghini, AndreaP9
130Zakelj, BlazP39
131Zdzienicka, AleksandraP25
132Zhang, HongruP23
133ZOUACHE, AbdallahP16

 

This program was last updated on 2010-07-23 5:54:11 EDT