15th International Conference on Computing in Economics and Finance

Summary of All Sessions

#Date/TimeLocationTitlePapersOrganizer
1July 15, 2009
9:20-11:00
C1.20 A6: Economics of Sustainability4Jacek Krawczyk
2July 15, 2009
9:20-11:00
B1.14 A1: Social Networks, Innovation and Imitation3David Goldbaum
3July 15, 2009
9:20-11:00
B1.13 A2: Computational Econometrics & Statistics4David Belsley
4July 15, 2009
9:20-11:00
B1.11 A4: Quantitative Models of Labor Market Dynamics3Michel Juillard
5July 15, 2009
9:20-11:00
C1.19 A5: Asset Pricing4Bruce Mizrach
6July 15, 2009
9:20-11:00
B1.12 A3: Issues in Business Cycle Analysis4Michel Juillard
7July 15, 2009
9:20-11:00
C1.21 A7: Models of Price Dynamics4Sharon Kozicki
8July 15, 2009
14:00-15:40
C1.21 B7: Fraud, Criminality and Regulation4David Goldbaum
9July 15, 2009
14:00-15:40
B1.13 B2: Time Series I: Modelling & Forecasting4Cees Diks
10July 15, 2009
14:00-15:40
B1.14 B1: Cognitive Psychology in Agent-based Economic Models4Shu-Heng Chen
11July 15, 2009
14:00-15:40
B1.11 B4: Explorations in Bounded Rationality 4Robert Tetlow
12July 15, 2009
14:00-15:40
C1.20 B6: Learning and Evolution4Christophe Deissenberg
13July 15, 2009
14:00-15:40
C1.19 B5: Computational Finance I4Carl Chiarella
14July 15, 2009
14:00-15:40
B1.12 B3: Fiscal Policy4Michel Juillard
15July 15, 2009
16:20-18:00
B1.13 C2: Computational Intelligence in Economics and Finance I4Shu-Heng Chen
16July 15, 2009
16:20-18:00
B1.14 C1: Agent-based Models for Policy-making4Christophe Deissenberg
17July 15, 2009
16:20-18:00
B1.12 C3: Monetary Issues in Open Economies4Paul McNelis
18July 15, 2009
16:20-18:00
B1.11 C4: Dynamic Macroeconomics3Willi Semmler
19July 15, 2009
16:20-18:00
C1.20 C6: Energy Markets and Tradeable Permits4Carl Chiarella
20July 15, 2009
16:20-18:00
C1.19 C5: Risk Management4Carl Chiarella
21July 16, 2009
9:00-10:40
B1.14 D1: Markets and Policy4David Goldbaum
22July 16, 2009
9:00-10:40
C1.21 D7: Equilibrium Models4Karl Schmedders
23July 16, 2009
9:00-10:40
B1.11 D4: Issues in Price Setting and Monetary Policy4Robert Tetlow
24July 16, 2009
9:00-10:40
B1.13 D2: Time Variation in Macro Economies: Evidence4Robert Tetlow
25July 16, 2009
9:00-10:40
C1.19 D5: Risk Management and Interaction in Financial Markets3Thomas Lux
26July 16, 2009
9:00-10:40
B1.12 D3: Forecast and Trends4Michel Juillard
27July 16, 2009
9:00-10:40
C1.20 D6: Financial Market Modelling I3Xue-Zhong (Tony) He
28July 16, 2009
13:45-15:25
B1.13 E2: Time Series II: Unit Roots & Long Memory4Cees Diks
29July 16, 2009
13:45-15:25
C1.21 E7: Dynamic Games4Karl Schmedders
30July 16, 2009
13:45-15:25
B1.14 E1: Computational Intelligence in Economics and Finance II4Shu-Heng Chen
31July 16, 2009
13:45-15:25
B1.12 E3: Labor Markets and DSGE Modelling3Michel Juillard
32July 16, 2009
13:45-15:25
B1.11 E4: Monetary Policy Issues4Sharon Kozicki
33July 16, 2009
13:45-15:25
C1.20 E6: Economic Growth I3Willi Semmler
34July 16, 2009
13:45-15:25
C1.19 E5: Corporate Valuation3Carl Chiarella
35July 16, 2009
15:50-17:30
B1.13 F2: Agent-based Decision Making4Christophe Deissenberg
36July 16, 2009
15:50-17:30
B1.12 F3: Fiscal Issues in Open Economies4Paul McNelis
37July 16, 2009
15:50-17:30
B1.14 F1: Heterogeneous Agents4Taisei Kaizoji
38July 16, 2009
15:50-17:30
B1.11 F4: Finance & Macro I4Willi Semmler
39July 16, 2009
15:50-17:30
C1.20 F6: Financial Markets; Empirical Analysis4Carl Chiarella
40July 16, 2009
15:50-17:30
C1.19 F5: Computational Finance II4Carl Chiarella
41July 17, 2009
9:00-10:40
B1.14 G1: Agent-based Computational Economics3Nicolaas Vriend
42July 17, 2009
9:00-10:40
B1.13 G2: Time Series III: Latent Variable Models4Cees Diks
43July 17, 2009
9:00-10:40
B1.11 G4: Learning and Uncertainty in Macroeconomics4Robert Tetlow
44July 17, 2009
9:00-10:40
C1.20 G6: Financial Market Modelling II4Xue-Zhong (Tony) He
45July 17, 2009
9:00-10:40
C1.19 G5: Computational Finance III4Carl Chiarella
46July 17, 2009
9:00-10:40
B1.12 G3: Forecasting and Empirical Studies in Macro Economics4Paul McNelis
47July 17, 2009
13:45-15:25
B1.13 H2: Nonlinear Time Series4Bruce Mizrach
48July 17, 2009
13:45-15:25
B1.14 H1: Agent-based Modelling of Financial Markets3Shu-Heng Chen
49July 17, 2009
13:45-15:25
B1.11 H4: Dynamic Macro, Asset Markets and Monetary Policy4Willi Semmler
50July 17, 2009
13:45-15:25
C1.20 H6: Economic Growth II4Willi Semmler
51July 17, 2009
13:45-15:25
C1.19 H5: Interest Rate Models4Carl Chiarella
52July 17, 2009
13:45-15:25
B1.12 H3: DSGE Modelling4Michel Juillard
53July 17, 2009
15:50-17:30
B1.12 I3: International Transmission of Shocks4Paul McNelis
54July 17, 2009
15:50-17:30
B1.14 I1: Multi-agent Economics4Akira Namatame
55July 17, 2009
15:50-17:30
B1.11 I4: Finance & Macro II4Willi Semmler
56July 17, 2009
15:50-17:30
C1.19 I5: Portfolio Optimisation4Carl Chiarella
57July 17, 2009
15:50-17:30
B1.13 I2: Advanced Methods in Economic Dynamics4Michel Juillard
58July 17, 2009
15:50-17:30
C1.20 I6: Advanced Solution Techniques 3Michel Juillard
 

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