29 sessions, 76 papers

Society for Nonlinear Dynamics and Econometrics 17th Annual Symposium
Complete List of All Sessions

Session 1: Monetary Policy I
Session Chair: Troy Davig, Federal Reserve Bank of Kansas City
Date: April 16, 2009
Time: 9:00 - 10:30
Location: Azalea
The Local Effects of Monetary Policy
By Tatevik Sekhposyan University of North Carolina, Chapel Hill Neville Francis University of North Carolina, Chapel Hill Michael T. Owyang Federal Reserve Bank of St. Louis
Presented by: Tatevik Sekhposyan, UNC-Chapel Hill
The Taylor Rule in Mixed Frequencies
By Eric Ghysels, UNC Chapel Hill Michael Owyang, Federal Reserve Bank of St. Louis Tatevik Sekhposyan, UNC Chapel Hill
Presented by: Michael Owyang, Federal Reserve Bank of St Louis

Session 2: FX I
Session Chair: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
Date: April 16, 2009
Time: 9:00 - 10:30
Location: Camellia
An Empirical Examination of Heterogeneity and Switching in Foreign Exchange Markets
By David Goldbaum, University of Technology Sydney Remco C.J. Zwinkels, Erasmus University Rotterdam
Presented by: David Goldbaum, University of Technology Sydney
Exchange Rates and Asset Prices: heterogeneous agents at work
By Giulia Piccillo, Katholieke Universiteit Leuven, Belgium
Presented by: Giulia Piccillo, Katholieke Universiteit Leuven
Nonlinear Trends in Real Exchange Rates: A Panel Unit Root Test Approach
By David O. Cushman Westminster College & University of Saskatchewan Nils Michael Health Finance Directorate, The Scottish Government
Presented by: David Cushman, Westminster College

Session 3: Finance I
Session Chair: Sebastiano Manzan, Baruch College, CUNY
Date: April 16, 2009
Time: 9:00 - 10:30
Location: Dogwood
An Empirical Analysis of the Shanghai and Shenzen Limit Order Books
By Huimin Chung, National Chiao Tung University Jie Lu, Rutgers University Bruce Mizrach, Rutgers University
Presented by: Bruce Mizrach, Rutgers University
Stock Return Predictability and Dividend-Price Ratio: A Nonlinear Approach
By David G. McMillan School of Management University of St. Andrews Fife KY16 9SS Scotland, UK Phone: 011-44-1334-46-2201 Fax: 011-44-1334-46-2444 E-mail: dgm6@st-andrews.ac.uk Mark E. Wohar* Department of Economics RH-512K University of Nebraska at Omaha Omaha, NE 68182-0286 Phone: 402-554-3712 Fax: 402-554-2853 E-mail: mwohar@mail.unomaha.edu
Presented by: Mark Wohar, University of Nebraska-Omaha
A DYNAMIC ANALYSIS OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET
By CARL CHIARELLA, University of Technology, Sydney TONY HE, University of Technology, Sydney PAOLO PELLIZZARI, University of Venice
Presented by: C Chiarella, University of Technology Sydney

Session 4: Time Series I
Session Chair: PAO-LIN Tien, Wesleyan University
Date: April 16, 2009
Time: 9:00 - 10:30
Location: Jasmine
Bootstrap Tests of Stationarity
By James Morley, Washington University in St. Louis Tara M. Sinclair, George Washington University
Presented by: Tara Sinclair, George Washington University
Marginal Likelihood Based LM Unit Root Tests Allowing Multiple Level Shifts Under both the Null and Alternative hypotheses
By Yujin Oh, Leeds School of Business, University of Colorado at Boulder, USA
Presented by: Yujin Oh, University of Colorado
Testing for a Unit Root against Transitional Autoregressive Models
By Joon Y. Park, Texas A&M University Mototsugu Shintani, Vanderbilt University
Presented by: Mototsugu Shintani, Vanderbilt University

Session 5: Monetary Policy II
Session Chair: Tatevik Sekhposyan, UNC-Chapel Hill
Date: April 16, 2009
Time: 11:00 - 12:30
Location: Dogwood
Estimating Regime-Switching Taylor Rules with Trend Inflation
By Castelnuovo Efrem (University of Padua and Bank of Finland) Luciano Greco (University of Padua) Davide Raggi (University of Bologna)
Presented by: Davide Raggi, University of Bologna
Monetary Policy Regime Shifts and Inflation Persistence
By Troy Davig, Federal Reserve Bank of Kansas City Taeyoung Doh, Federal Reserve Bank of Kansas City
Presented by: Troy Davig, Federal Reserve Bank of Kansas City
Price-Level Targeting and Risk Management in a Low-Inflation Economy
By Roberto M. Billi, FRB Kansas City
Presented by: Roberto Billi, FRB Kansas City

Session 6: FX II
Session Chair: David Goldbaum, University of Technology Sydney
Date: April 16, 2009
Time: 11:00 - 12:30
Location: Azalea
Carry Trades and Nonlinearities in the Forward Premium Anomaly
By Richard T Baillie (Michigan State University) Sanders S Chang (Michigan State University)
Presented by: Richard Baillie, Michigan State University
Real Exchange Rates and Time-Varying Trade Costs
By Efthymios G. Pavlidis Lancaster University Management School, Lancaster, LA1 4YX, UK Ivan Paya Lancaster University Management School, Lancaster, LA1 4YX, UK David Peel Lancaster University Management School, Lancaster, LA1 4YX, UK
Presented by: Ivan Paya, Lancaster University Management School
The Real Exchange Rate in Sticky Price Models: Does Investment Matter?
By Enrique Martinez-Garcia, Federal Reserve Bank of Dallas, Jens Sondergaard, Bank of England
Presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas

Session 7: Finance II
Session Chair: C Chiarella, University of Technology Sydney
Date: April 16, 2009
Time: 11:00 - 12:00
Location: Jasmine
Estimation of HAMS with a Market Maker
By Carl Chiarella, University of Technology Sydney Xue-Zhong He, University of Technology Sydney Remco C.J. Zwinkels, Erasmus University Rotterdam
Presented by: Remco Zwinkels, Erasmus University Rotterdam
Imports, Exports, Dollar Exposures, and Stock Returns
By Suparna Chakraborty, Bert W. Wasserman Dept. of Economics and Finance, Baruch College, CUNY Yi Tang, Dept. of Finance, Fordham University Liuren Wu, Bert. W. Wasserman Dept. of Economics and Finance, Baruch College, CUNY
Presented by: Suparna Chakraborty, Baruch College, CUNY

Session 8: Time Series II
Session Chair: Tara Sinclair, George Washington University
Date: April 16, 2009
Time: 11:00 - 12:00
Location: Camellia
Instrumental Variables, Simultaneous Equations and Wavelets
By James B. Ramsey (New York University) Mauro Gallegati (Università Politecnica delle Marche) Marco Gallegati (Università Politecnica delle Marche) Willi Semmler (The New School)
Presented by: James Ramsey, New York University
Explosive Roots in Level Vector Autoregressive Models
By Hammad Qureshi Department of Economics, Ohio State University
Presented by: Hammad Qureshi, The Ohio State University

Session 9: Fiscal Policy
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Date: April 16, 2009
Time: 14:00 - 15:30
Location: Camellia
The Regional Variation in the Response to Government Spending Shocks
By Michael Owyang, Federal Reserve bank of St. Louis Sarah Zubairy, Duke University
Presented by: Sarah Zubairy, Duke University
Government Spending and Consumption in the Presence of Borrowing Constraints
By M. Saifur Rahman Indiana University
Presented by: Muhammad Rahman, Indiana University
The Role of Optimal Fiscal Policy in a Currency Union
By OKANO, Eiji, Chiba Keizai University and Columbia University
Presented by: Eiji OKANO, Columbia University

Session 10: Finance III
Session Chair: Remco Zwinkels, Erasmus University Rotterdam
Date: April 16, 2009
Time: 14:00 - 15:30
Location: Azalea
Long Memory and Nonlinearity in Conditional Variances: A Smooth Transition FIGARCH Model
By Rehim Kilic, Georgia Institute of Technology
Presented by: Rehim KILIC, Georgia Institute of Technology
Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
By M Karanasos, Brunel University C Conrad, Heidelberg university
Presented by: menelaos karanasos, public
A Test of the GARCH(1,1) Specification For Daily Stock Returns
By Richard A. Ashley Economics Dept. Virginia Tech Douglas M. Patterson Finance Dept. Virginia Tech
Presented by: Richard Ashley, Virginia Tech

Session 11: State-Dependent Pricing
Session Chair: Peter Zadrozny, Bureau of Labor Statistics
Date: April 16, 2009
Time: 14:00 - 15:00
Location: Jasmine
Interest Rate Rules and State-Dependent Pricing
By James Costain, Bank of Spain Anton Nakov, Bank of Spain
Presented by: James Costain, Banco de España
Alternative Methods of Solving State-Dependent Pricing Models
By Edward S. Knotek II, Federal Reserve Bank of Kansas City Stephen Terry, Federal Reserve Bank of Kansas City
Presented by: Edward Knotek II, Federal Reserve Bank of Kansas City

Session 12: Time Series III
Session Chair: Hammad Qureshi, The Ohio State University
Date: April 16, 2009
Time: 14:00 - 15:00
Location: Dogwood
Analytic Moments for Conditional and Aggregated GARCH Variances and Returns
By Carol Alexander, ICMA Centre - The University of Reading Emese Lazar, ICMA Centre - The University of Reading Silvia Stanescu, ICMA Centre - The University of Reading
Presented by: Silvia Stanescu, ICMA Centre - The University of Reading
Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach
By Claudio Morana Universita' del Piemonte Orientale Richard Baillie Michigan State University
Presented by: Claudio Morana, Universita' del Piemonte Orientale

Session 13: Time Series IV
Session Chair: Claudio Morana, Universita' del Piemonte Orientale
Date: April 16, 2009
Time: 16:00 - 17:00
Location: Azalea
Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy
By Todd E. Clark Federal Reserve Bank of Kansas City Michael W. McCracken Federal Reserve Bank of St. Louis
Presented by: Michael McCracken, Federal Reserve Bank of St. Louis
Out-of-sample comparison of copula specifications in multivariate density forecasts
By Cees Diks (University of Amsterdam) Valentyn Panchenko (University of New South Wales) Dick van Dijk (Erasmus University Rotterdam)
Presented by: Cees Diks, University of Amsterdam

Session 14: Macro I
Session Chair: Jie Li, University of California, Riverside
Date: April 16, 2009
Time: 16:00 - 17:30
Location: Camellia
Persistent Deficit, Growth and Indeterminacy: The "Golden Rule of Public Finance" Revisited
By Alexandru Minea, University of Auvergne Patrick Villieu, University of Orleans
Presented by: Alexandru Minea, University of Orleans
Expected Utility in Models with Chaos and Backward Dynamics
By Judy Kennedy, Lamar University Brian Raines, Baylor University David Stockman, University of Delaware
Presented by: David Stockman, University of Delaware
Progressive Taxation and Macroeconomic (In)stability
By Shu-Hua Chen, National Taipei University Jang-Ting Guo, University of California, Riverside
Presented by: Jang-Ting Guo, University of California, Riverside

Session 15: Finance IV
Session Chair: Richard Ashley, Virginia Tech
Date: April 16, 2009
Time: 16:00 - 17:30
Location: Dogwood
Risk measurement incorporating conditional skewness and kurtosis: a dynamic application of the skew t-distribution
By Malcolm J Faddy (Queensland University of Technology) Rodney C Wolff (Queensland University of Technology)
Presented by: Rodney Wolff, QUT
The General Moments Expansion: an application for financial risk
By Trino-Manuel Ñíguez, University of Westminster Javier Perote, Rey Juan Carlos University
Presented by: Trino Ñíguez, Westminster Business School
Long-Run Consumption Risk and the Real Yield Curve
By Shu Wu, The University of Kansas
Presented by: Shu Wu, The University of Kansas

Session 16: Growth
Session Chair: Mohammad JAHANPARVAR, East Carolina University
Date: April 16, 2009
Time: 16:00 - 17:00
Location: Jasmine
From Riches to Rags, and Back? Explaining the Growth Trajectory of Argentina since the 1890s
By Nauro F. Campos Brunel University and CEPR nauro.campos@brunel.ac.uk Menelaos G. Karanasos Brunel University menelaos.karanasos@brunel.ac.uk Bin Tan Brunel University bin.tan@brunel.ac.uk
Presented by: menelaos karanasos, public
A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles
By Marcelle Chauvet Zeynep Senyuz
Presented by: Zeynep Senyuz, University of New Hampshire

Session 17: Macro II
Session Chair: David Stockman, University of Delaware
Date: April 17, 2009
Time: 9:00 - 10:30
Location: Azalea
The Microfoundations of Inflation Persistence in a New Keynesian Phillips Curve Model
By Marcelle Chauvet, Department of Economics, University of California, Riverside. Insu Kim, Department of Economics, University of California, Riverside
Presented by: Insu Kim, UC-Riverside
How Largely Can Commitment Beat Policy-makers' Misperception?
By Marcelle Chauvet, UC Riverside Jie Li, UC Riverside
Presented by: Jie Li, University of California, Riverside
How does a twisted beliefs shock affect the macroeconomy?
By Jacek Suda, Washington University in St. Louis
Presented by: Jacek Suda, Washington University in St. Louis

Session 18: Finance V
Session Chair: Rodney Wolff, QUT
Date: April 17, 2009
Time: 9:00 - 10:30
Location: Camellia
Separating risk due to diffusion, positive jumps, and negative jumps
By Stefan Klößner Saarland University
Presented by: Stefan Klößner, Saarland University
Semiparametric Conditional Quantile Estimation with High-Frequency Data
By Filip Zikes Imperial College London
Presented by: Filip Zikes, Imperial College London
Quasi-maximum Likelihood Estimation of Discretely Observed Diffusions
By Xiao Huang Department of Economics & Finance Kennesaw State University
Presented by: Xiao Huang, Kennesaw State University

Session 19: Time Series V
Session Chair: menelaos karanasos, public
Date: April 17, 2009
Time: 9:00 - 10:00
Location: Jasmine
Likelihood-Based Confidence Sets for the Timing of Structural Breaks
By Yunjong Eo, Washington University in St. Louis James Morley, Washington University in St. Louis
Presented by: James Morley, Washington University in St. Louis
Bootstrap Prediction Intervals for Threshold Autoregressive Models
By Jing Li South Dakota State University
Presented by: Jing Li, South Dakota State University

Session 20: Inflation I
Session Chair: Giovanni Caggiano, University of Padua
Date: April 17, 2009
Time: 9:00 - 10:30
Location: Dogwood
REAL-TIME STATE-SPACE METHOD FOR COMPUTING FILTERED ESTIMATES OF FUTURE REVISIONS OF U.S. MONTHLY CHAINED CPI
By Peter Zadrozny Bureau of Labor Statistics
Presented by: Peter Zadrozny, Bureau of Labor Statistics
Tracing the Effects of Real-Time Data Revisions in Exclusions-from-Core Measures of Inflation
By Heather L.R. Tierney College of Charleston
Presented by: Heather Tierney, College of Charleston
Reconsidering The Relationship between Inflation and Relative Price Variability
By C.Y. Choi, University of Texas at Arlington
Presented by: Chi-Young Choi, University of Texas at Arlington

Session 21: Finance VI
Session Chair: Filip Zikes, Imperial College London
Date: April 17, 2009
Time: 11:00 - 12:30
Location: Jasmine
An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
By Ai-Ru Cheng, University of California, Santa Cruz Mohammad R. Jahan-Parvar, East Carolina University Philip Rothman, East Carolina University
Presented by: Mohammad JAHANPARVAR, East Carolina University
Extended Tests for Threshold Unit Roots and Asymmetries in Lending and Deposit Rates
By Walter Enders, University of Alabama Junsoo Lee, University of Alabama Mark C. Strazicich, Appalachian State University Byung Chul Yu, Dong-A University
Presented by: Mark Strazicich, Appalachian State University
Chronicle of Large Currency Devaluations: Re-Examining the Effects on Output
By Matthieu Bussière, European Central Bank Sweta C. Saxena, Bank for International Settlements Camilo E. Tovar, Bank for International Settlements
Presented by: Matthieu Bussiere, European Central Bank

Session 22: Macro III
Session Chair: Jacek Suda, Washington University in St. Louis
Date: April 17, 2009
Time: 11:00 - 12:30
Location: Azalea
Risk Premiums and Technology Shocks
By Richard J. Dennis Federal Reserve Bank of San Francisco Kevin J. Lansing Federal Reserve Bank of San Francisco
Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco
A DSGE model of the term structure with regime shifts
By Gianni Amisano, European Central Bank and University of Brescia Oreste Tristani, European Central Bank
Presented by: Gianni Amisano, Department of Economics University of Brescia
Bayesian Analysis of DSGE Models with Regime Switching
By Yunjong Eo (Washington University in St. Louis)
Presented by: Yunjong Eo, Washington University in St. Louis

Session 23: Time Series VI
Session Chair: Jing Li, South Dakota State University
Date: April 17, 2009
Time: 11:00 - 12:30
Location: Dogwood
Reproducing Business Cycle Features: How Important is Nonlinearity versus Multivariate Information
By James Morley, Washington University in St. Louis Jeremy Piger, University of Oregon Pao-Lin Tien, Wesleyan University
Presented by: PAO-LIN Tien, Wesleyan University
Financial market volatility and the business cycle: a stochastic volatility approach
By Gianluca Moretti, Banca d'Italia
Presented by: Gianluca Moretti, Bank of Italy
Time-Varying Effects of Oil Supply Shocks on the US Economy
By Christiane Baumeister, Ghent University Gert Peersman, Ghent University
Presented by: Christiane Baumeister, Ghent University

Session 24: Inflation II
Session Chair: Heather Tierney, College of Charleston
Date: April 17, 2009
Time: 11:00 - 12:30
Location: Camellia
Heterogeneity, Aggregation, and the Dynamics of International Inflation
By Giovanni Caggiano, Efrem Castelnuovo. University of Padua.
Presented by: Giovanni Caggiano, University of Padua
Investigating Price Level Dynamics with an Unobserved Components Model
By Michael D. Bradley, George Washington University Dennis W. Jansen, Texas A&M University Tara M. Sinclair, George Washington University
Presented by: Dennis Jansen, Texas A&M University
Persistence and Instability in disaggregate inflation information
By Francesco Ravazzolo Norges Bank Shaun Vahey Melbourne Business School
Presented by: Francesco Ravazzolo, Norges Bank

Session 25: Finance VII
Session Chair: Mark Strazicich, Appalachian State University
Date: April 17, 2009
Time: 14:00 - 15:00
Location: Camellia
Vintage and Credit Rating: What matters in the ABX data during the credit crunch?
By Mardi Dungey, University of Cambridge and University of Tasmania Jerry Dwyer, Federal Reserve Bank of Atlanta and University of Carlos III, Madrid Tom Flavin, National University of Ireland, Maynooth
Presented by: Gerald Dwyer, FEDERAL RESERVE BANK OF ATLANTA
Aggregate US Merger levels: An explained markov switching analysis
By Sarah Reilly, University of Dublin, Trinity College Brian Lucey, University of Dublin, Trinity College
Presented by: Sarah Reilly, Trinity College Dublin

Session 26: International
Session Chair: Dennis Jansen, Texas A&M University
Date: April 17, 2009
Time: 14:00 - 15:30
Location: Dogwood
Are There Common Upswings and Downswings between NAFTA Countries?
By Shushanik Papanyan Department of Economics University of Texas at Arlington
Presented by: Shushanik Papanyan, University of Texas at Arlington
A Model of International Cities: Implications for Real Exchange Rates
By Mario Crucini, Vanderbilt University Hakan Yilmazkuday, Vanderbilt University
Presented by: HAKAN YILMAZKUDAY, VANDERBILT UNIVERSITY
Temporal Aggregation and Purchasing Power Parity Persistence
By Yamin Ahmad, University of Wisconsin - Whitewater William Craighead, Miami University
Presented by: Yamin Ahmad, University of Wisconsin - Whitewater

Session 27: Inflation III
Session Chair: Francesco Ravazzolo, Norges Bank
Date: April 17, 2009
Time: 14:00 - 15:30
Location: Azalea
Sources of the Great Moderation: A Time-Series Analysis of GDP Subsectors
By Walter Enders, Department of Economics, Finance and Legal Studies, University of Alabama Jun Ma, Department of Economics, Finance and Legal Studies, University of Alabama
Presented by: Jun Ma, Department of Economics, Finance and Legal Studies
Testing for Group-Wise Convergence with an Application to Euro Area Inflation
By Claude Lopez, University of Cincinnati David H. Papell, University of Houston
Presented by: Claude Lopez, University of Cincinnati
Using a Projection Method to Analyze Inflation Bias in a Micro-Founded Model
By Gary S. Anderson Federal Reserve Board Jinill Kim Federal Reserve Board Tack Yun Federal Reserve Board
Presented by: Gary Anderson, Board of Governors, Federal Reserve

Session 28: Time Series VII
Session Chair: Gianluca Moretti, Bank of Italy
Date: April 17, 2009
Time: 14:00 - 15:30
Location: Jasmine
Comparing forecast accuracy: a Monte Carlo investigation
By Fabio Busetti - Bank of Italy Juri Marcucci - Bank of Italy Giovanni Veronese - Bank of Italy
Presented by: Juri Marcucci, Bank of Italy
Forecasting US inflation: A Look Beyond the Conditional Mean
By Sebastiano Manzan (Baruch College) Dawit Zerom (Calstate Fullerton)
Presented by: Sebastiano Manzan, Baruch College, CUNY
Comparing Inflationary expectations: Do the inflationary expectations implicit in the yield curve and the Taylor Rule coincide with each other?
By Yamin Ahmad, University of Wisconsin at Whitewater Stuart Glosser, University of Wisconsin at Whitewater
Presented by: Stuart Glosser, University of Wisconsin at Whitewater

This program was last updated on 2009-04-14 22:12:18 EDT

Session 29: Craig Hiemstra Memorial Lecture
Date: April 17, 2009
Time: 16:00 - 17:00
Location: Redbud/Magnolia
Dissecting the Market Pricing of Volatility
By Torben Andersen, Northwestern University
Presented by: Torben Andersen, Northwestern University, Kellogg School