88 sessions, 337 papers, and 0 presentations with no associated papers

Society for Computational Economics - Computing in Economics and Finance, 2012
Complete List of All Sessions

Session ID 8: A1: Laboratory Experiments
Session Chair: Mikhail Anufriev, University of Technology, Sydney
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Belvedere I
Cooperation, competition and heterogeneous learning in the emergence of social order
By David Goldbaum; University of Technology Sydney
Presented by: David Goldbaum, University of Technology Sydney
Rationalizing Variations in Behavioral Decisions
By Anna Popova; UIUC Anton Cheremukhin; Federal Reserve Bank of Dallas Antonella Tutino; Federal Reserve Bank of Dallas
Presented by: Anna Popova, UIUC
Learning, Forecasting and Optimizing: an Experimental Study
By Te Bao; University of Amsterdam John Duffy; University of Pittsburgh Cars Hommes; University of Amsterdam
Presented by: Te Bao, University of Amsterdam
An Experiment on Fee Structure and Mutual Fund Choice
By Mikhail Anufriev; University of Technology, Sydney Te Bao; University of Amsterdam Angela Sutan; Burgundy School of Business Jan Tuinstra; University of Amsterdam
Presented by: Mikhail Anufriev, University of Technology, Sydney
Session ID 11: A2: Deep Habits and Price Setting
Session Chair: Alfred Maußner, University of Augsburg
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Belvedere II
Deep Habits in the New Keynesian Phillips Curve
By Thomas Lubik; Federal Reserve Bank of Richmond Wing-Leong Teo; University of Nottingham Malaysia Campus
Presented by: Wing-Leong Teo, University of Nottingham Malaysia Campus
Deep Habits in Consumption: A Spatial Panel Analysis using Supermarket Scanner Data
By Benjamin Verhelst; Ghent University Dirk Van den Poel; Ghent University
Presented by: Benjamin Verhelst, Ghent University
Inflation Bias and Stabilization Bias in Rotemberg Pricing
By Katsuyuki Shibayama; University of Kent at Canterbury Takeki Sunakawa; Ohio State University and Bank of Japan
Presented by: Katsuyuki Shibayama, University of Kent at Canterbury
The Cash-In-Advance Constraint in Monetary Growth Models
By Burkhard Heer; University of Bolzano Alfred Maußner; University of Augsburg
Presented by: Alfred Maußner, University of Augsburg
Session ID 17: A7: Labor Markets: Macro and Business Cycle
Session Chair: Didem Tuzemen, The Federal Reserve Bank of Kansas City
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Vienna I
Financial shocks, two sector labour market, and unemployment
By Yahong Zhang; Bank of Canada
Presented by: Yahong Zhang, Bank of Canada
Search Frictions and the Labor Wedge
By Andrea Pescatori; International Monetary Fund Murat Tasci; Federal Reserve Bank of Cleveland
Presented by: Murat Tasci, Federal Reserve Bank of Cleveland
Matching efficiency and business cycle fluctuations
By Francesco Furlanetto; Norges Bank Nicolas Groshenny; Reserve Bank of New Zealand
Presented by: Francesco Furlanetto, Norges Bank
Labor Market Dynamics with Endogenous Labor Force Participation and On-the-Job Search
By Didem Tuzemen; The Federal Reserve Bank of Kansas City
Presented by: Didem Tuzemen, The Federal Reserve Bank of Kansas City
Session ID 26: A3: Systemic Risk and Financial Contagion
Session Chair: Robert Tetlow, Federal Reserve Board
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Belvedere III
Measuring Financial Contagion with Extreme Coexceedances
By Apostolos Thomadakis; University of Surrey
Presented by: Apostolos Thomadakis, University of Surrey
Credit Contagion in Financial Markets: A Network-based Approach
By Mitja Steinbacher; University Donja Gorica (Montenegro) and Faculty of Business Studies (Slovenia) Matjaz Steinbacher; Faculty of Business Studies, Ljubljana Matej Steinbacher
Presented by: Mitja Steinbacher, University Donja Gorica (Montenegro) and Faculty of Business Studies (Slovenia)
Spreading contagion in a banking system with quantitative regulation: a toy model
By Duc Pham-Hi; ECE Graduate School of Engineering
Presented by: Duc Pham-Hi, ECE Graduate School of Engineering
Financial Stress and Economic Dynamics: the transmission of crises
By Kirstin Hubrich; European Central Bank Robert Tetlow; Federal Reserve Board
Presented by: Robert Tetlow, Federal Reserve Board
Session ID 27: A4: Quantitative Methods in Finance
Session Chair: Boda Kang, University of Technology, Sydney
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Belvedere IV
Dynamic factor multivariate GARCH model
By Guilherme Moura; UFSC André Santos; UFSC
Presented by: Guilherme Moura, UFSC
Dynamic Correlations in Exchange Rate Time Series: a Copula Approach
By Krenar Avdulaj; Academy of Sciences of CR-UTIA Jozef Barunik; Institute of Economic Studies, Charles U
Presented by: Krenar Avdulaj, Academy of Sciences of CR-UTIA
A survey of computational approaches to portfolio optimization by genetic algorithms
By Hirotaka Ono; Kyushu University Omar Rifki; Kyushu University
Presented by: Omar Rifki, Kyushu University
Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence
By Carl Chiarella; University of Technology Sydney Boda Kang; University of Technology, Sydney Christina Nikitopoulos Sklibosios; University of Technology Sydney Thuy Duong To; University of New South Wales
Presented by: Boda Kang, University of Technology, Sydney
Session ID 32: A5: Agent-Based Models of Financial Markets
Session Chair: Giulia Iori, City University
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Belvedere V
Prices, Debt and Market Structure in an Agent Based Model of the Financial Market
By Jesper Riedler; ZEW Mannheim Thomas Fischer; TU Darmstadt
Presented by: Jesper Riedler, ZEW Mannheim
An Artificial Financial Market with Herding in Heterogeneous Expectations: Parameter Analysis and Calibration
By Rasa Stasiukynaite; Tilburg University Hendri Adriaens; CentERdata, Tilburg University BERTRAND MELENBERG; TILBURG UNIVERSITY
Presented by: Rasa Stasiukynaite, Tilburg University
Dynamics of an Evolving Agent-Based Banking System Model
By Peter Anselmo; New Mexico Institute of Mining and Tech Max Planck; New Mexico Institute of Mining and Technology
Presented by: Peter Anselmo, New Mexico Institute of Mining and Tech
Modelling Relationship Lending in the Overnight Interbank Market
By Giulia Iori; City University Niccolo' Stamboglis; City University London
Presented by: Giulia Iori, City University
Session ID 45: A6: Credit and Debt
Session Chair: Michael Paetz, Hamburg University
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Belvedere VI
Corporate Debt Structure and the Financial Crisis
By Fiorella De Fiore; European Central Bank Harald Uhlig; University of Chicago
Presented by: Fiorella De Fiore, European Central Bank
Quantity Rationing of Credit
By George Waters; Illinois State University
Presented by: George Waters, Illinois State University
A DSGE-Based Assessment of Nonlinear Loan-to-Value Policies: Evidence from Hong Kong
By Michael Paetz; Hamburg University
Presented by: Michael Paetz, Hamburg University
Session ID 53: A8: Fiscal and Tax Policy
Session Chair: Michael Krause, Deutsche Bundesbank
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Budapest
Capital taxation, inequality and polarization under lack of commitment
By Konstantinos Angelopoulos; University of Glasgow James Malley; University of Glasgow Apostolis Philippopoulos; Athens University of Economics and Business
Presented by: Konstantinos Angelopoulos, University of Glasgow
Revisiting the Effects of Government Spending Shocks on Consumption
By Julia Lendvai; European Commission Rafal Raciborski; European Commission
Presented by: Julia Lendvai, European Commission
Monetary Policy, the Tax Code, and Energy Prices
By William Gavin; Federal Reserve Bank of St. louis Benjamin Keen; University of Oklahoma Finn Kydland
Presented by: Benjamin Keen, University of Oklahoma
Public Debt and Changing Inflation Targets
By Michael Krause; Deutsche Bundesbank
Presented by: Michael Krause, Deutsche Bundesbank
Session ID 86: A9: Time Series Models: Factor Models
Session Chair: Chiara Scotti, Federal Reserve Board
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Cracow I
Contributions to The Estimation of Latent Factorial Generalized Linear Models
By Mohamed SAIDANE; University of Carthage
Presented by: Mohamed SAIDANE, University of Carthage
Credit Shocks, Monetary Policy, and Business Cycles: Evidence from a Structural Time Varying Bayesian FAVAR
By Pooyan Amir Ahmadi; Goethe University
Presented by: Pooyan Amir Ahmadi, Goethe University
A dynamic factor model for the Belgian economy with an application to the housing market
By David De-Antonio-Liedo; National Bank of Belgium
Presented by: David De-Antonio-Liedo, National Bank of Belgium
Real-time Aggregation of Macroeconomic Surprises: a Real Activity Surprise Index
By Chiara Scotti; Federal Reserve Board
Presented by: Chiara Scotti, Federal Reserve Board
Session ID 70: A10: Heterogeneous Agent Models in Macroeconomics
Session Chair: Sergio Santoro, Bank of Italy
Date: June 27, 2012
Time: 9:00 - 10:40
Location: Cracow II
Identification of Animal Spirits in a Bounded Rationality Model: An Application to the Euro Area
By Stephen Sacht; University of Kiel Tae-Seok Jang; University of Kiel
Presented by: Stephen Sacht, University of Kiel
On the Impact of Exchange Rate Expectations on Business Cycle Fluctuations
By Michael Wegener; University of Bamberg
Presented by: Michael Wegener, University of Bamberg
Bounded rationality and parameters' uncertainty in a simple monetary policy model.
By Domenico Colucci; University of Florence Vincenzo Valori; University of Florence
Presented by: Vincenzo Valori, University of Florence
Heterogeneity and Learning with Complete Markets
By Sergio Santoro; Bank of Italy
Presented by: Sergio Santoro, Bank of Italy
Session ID 3: B1: Asset Prices I
Session Chair: Laura Coroneo, University of Manchester
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Belvedere I
Consumption, Asset Prices and Persistent Economic Uncertainty
By Michal Pakos; Center for Economic Research & Graduate Education
Presented by: Michal Pakos, Center for Economic Research & Graduate Education
Asset Prices and Business Cycles with Financial Shocks
By Ctirad Slavik; Goethe University in Frankfurt
Presented by: Ctirad Slavik, Goethe University in Frankfurt
Spanned and unspanned macro risk in the yield curve
By Laura Coroneo; University of Manchester Domenico Giannone; Université Libre de Bruxelles Michele Modugno; ECB
Presented by: Laura Coroneo, University of Manchester
Session ID 10: B2: Computational Models of Markets
Session Chair: Paolo Pellizzari, University of Venice
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Belvedere II
SIMULATING PORTFOLIOS BY USING MODELS OF SOCIAL NETWORKS
By Matjaz Steinbacher; Faculty of Business Studies, Ljubljana
Presented by: Matjaz Steinbacher, Faculty of Business Studies, Ljubljana
Behavioural Biases in a Dynamic Order Book
By Daniel Ladley; University of Leicester
Presented by: Daniel Ladley, University of Leicester
The impact of algorithmic trading in a simulated asset market
By Timothy Walsh; Connecticut College Bo Xiong; Connecticut College Purba Mukerji; Connecticut College Christine Chung; Connecticut College
Presented by: Timothy Walsh, Connecticut College
Optimal trading in a limit order book using linear strategies
By Paolo Pellizzari; University of Venice
Presented by: Paolo Pellizzari, University of Venice
Session ID 18: B3: Labor Markets: Welfare and Optimality
Session Chair: Keith Kuester, Federal Reserve Bank of Philadelphia
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Belvedere III
Firm age, business cycles and aggregate labor market dynamics
By Petr Sedlacek; Universiteit van Amsterdam
Presented by: Petr Sedlacek, Universiteit van Amsterdam
The Assignment of Workers to Jobs with Endogenous Information Selection
By Anton Cheremukhin; Federal Reserve Bank of Dallas Paulina Restrepo-Echavarria; The Ohio State University Antonella Tutino; Federal Reserve Bank of Dallas
Presented by: Anton Cheremukhin, Federal Reserve Bank of Dallas
On The Welfare Costs Of Unemployment Fluctuations
By Michael Reiter; Institute for Advanced Studies
Presented by: Michael Reiter, Institute for Advanced Studies
Optimal Labor-Market Policy in Recessions
By Philip Jung; Mannheim University Keith Kuester; Federal Reserve Bank of Philadelphia
Presented by: Keith Kuester, Federal Reserve Bank of Philadelphia
Session ID 25: B4: Sovereign Default Risk
Session Chair: Borek Vasicek, Czech National Bank
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Belvedere IV
Transmission of Sovereign Risk in the Euro Crisis
By Filippo Brutti; University of Zurich
Presented by: Filippo Brutti, University of Zurich
Debt distress in the EMU: The international transmission of sovereign bond market shocks
By Norbert Metiu; Deutsche Bundesbank
Presented by: Norbert Metiu, Deutsche Bundesbank
Sovereign Risk in the Euro Area: Is it Mostly Fiscal or Financial?
By Giovanni Caggiano; University of Padua Luciano Greco; University of Padua
Presented by: Giovanni Caggiano, University of Padua
Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News
By Peter Claeys; Universitat de Barcelona Borek Vasicek; Czech National Bank
Presented by: Borek Vasicek, Czech National Bank
Session ID 28: B5: Methods for Solving Option Pricing and Real Option Models
Session Chair: Jose Da Fonseca, Auckland University of Technology
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Belvedere V
Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
By George Tauchen; Duke University
Presented by: George Tauchen, Duke University
A Stochastic Volatility Cointegration Model in Continuous Time
By Susanne Griebsch; University of Technology Sydney Kay Pilz; not provided
Presented by: Susanne Griebsch, University of Technology Sydney
Switching between suspension and production in the presence of investment lags and uncertainty
By Alfons Balmann; IAMO Karin Kataria; Leibniz Institute of Agricultural Development in Central and Eastern Europe Lioudmila Moeller; IAMO
Presented by: Alfons Balmann, IAMO
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
By Jose Da Fonseca; Auckland University of Technology Katrin Gottschalk; Auckland University of Technology
Presented by: Jose Da Fonseca, Auckland University of Technology
Session ID 34: B6: Methodological Aspects of Agent-Based Models
Session Chair: Sarah Wolf, Potsdam Institute for Climate Impact Research
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Belvedere VI
A Multi-Threaded Economy
By Ernesto Carrella; George Mason University
Presented by: Ernesto Carrella, George Mason University
Beyond Computable General Equilibrium: Simulating non-equilibrium dynamics and money, an agent-based Computational Complete Economy
By Davoud Taghawi-Nejad; University of Turin
Presented by: Davoud Taghawi-Nejad, University of Turin
Two modes of scheduling in a simple economic agent-based model
By Sarah Wolf; Potsdam Institute for Climate Impact Research Steffen Fuerst; Potsdam Institute for Climate Impact Research Wiebke Lass; Potsdam Institute for Climate Impact Research Daniel Lincke; Potsdam Institute for Climate Impact Research Antoine Mandel; University Paris1 Pantheon-Sorbonne Carlo Jaeger; Potsdam Institute for Climate Impact Research
Presented by: Sarah Wolf, Potsdam Institute for Climate Impact Research
Session ID 46: B8: Housing Market Dynamics
Session Chair: Roberto Pancrazi, Toulouse School of Economics
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Budapest
Housing Market Dynamics with Delays in the Construction Sector
By Berrak Bahadir; University of Georgia Olena Mykhaylova; University of Richmond
Presented by: Berrak Bahadir, University of Georgia
House Prices, Expectations, and Time-Varying Fundamentals
By Paolo Gelain; Norges Bank and Centre for International Macroeconomic Studies (University of Surrey) Kevin Lansing; Federal Reserve Bank of San Francisco and Norges Bank
Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco and Norges Bank
House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macropudential Policy
By Paolo Gelain; Norges Bank and Centre for International Macroeconomic Studies (University of Surrey) Kevin Lansing; Federal Reserve Bank of San Francisco and Norges Bank Caterina Mendicino; Banco de Portugal
Presented by: Paolo Gelain, Norges Bank and Centre for International Macroeconomic Studies (University of Surrey)
Effects of Banks and Households' Optimism on Collateralized Debt: The Case of Home Equity Extraction
By Roberto Pancrazi; Toulouse School of Economics Mario Pietrunti; Toulouse School of Economics
Presented by: Roberto Pancrazi, Toulouse School of Economics
Session ID 58: B7: Macroeconomics and Finance
Session Chair: Jacek Suda, Banque de France - Paris School of Economics
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Vienna I
A Mechanism for Booms and Busts in Housing Prices
By Marten Hillebrand; Karlsruhe Institute of Technology
Presented by: Marten Hillebrand, Karlsruhe Institute of Technology
Asset Portfolio Choice of Banks and Inflation Dynamics
By Nao Sudo; Bank of Japan
Presented by: Nao Sudo, Bank of Japan
News About Taxes and Expectations-Driven Business Cycles
By Anca Ioana Sirbu; university of california in riverside
Presented by: Anca Ioana Sirbu, university of california in riverside
Learning Financial Structural Change and the Great Recession
By Patrick Pintus; Aix-Marseille University and GREQAM-IDEP Jacek Suda; Banque de France - Paris School of Economics
Presented by: Jacek Suda, Banque de France - Paris School of Economics
Session ID 71: B9: Empirics of Models with Heterogeneous Agents
Session Chair: Cees Diks, University of Amsterdam
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Cracow I
Heterogeneity in stock prices: A STAR model with multivariate transition function
By Matthijs Lof; University of Helsinki
Presented by: Matthijs Lof, University of Helsinki
Behavioural heterogeneity and the financial crisis
By Daan In 't Veld; University of Amsterdam Cars Hommes; University of Amsterdam
Presented by: Daan In 't Veld, University of Amsterdam
Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices
By Wilko Bolt; De Nederlandsche Bank N.V. Maria Demertzis; De Nederlandsche Bank Cees Diks; University of Amsterdam Marco van der Leij; University of Amsterdam
Presented by: Cees Diks, University of Amsterdam
Session ID 93: B10: Time Series: Theoretical Contributions
Session Chair: William Pouliot, University of Birmingham
Date: June 27, 2012
Time: 11:10 - 12:50
Location: Cracow II
Fiducial Distribution Confidence Intervals for Threshold Models with an Application to Credit Market Crises
By Luiggi Donayre; University of Minnesota - Duluth
Presented by: Luiggi Donayre, University of Minnesota - Duluth
Averaging tests for jumps
By Ana-Maria Dumitru; University of Surrey
Presented by: Ana-Maria Dumitru, University of Surrey
Bartlett-type Correction of Distance Metric Test
By Wanling Huang; McGill University and CIRANO Artem Prokhorov; Concordia University and CIREQ
Presented by: Artem Prokhorov, Concordia University and CIREQ
U-statistic type test to disentangle breaks in intercept from slope in stationary dynamic regression models
By William Pouliot; University of Birmingham Jose Olmo; Centro Universitario de la Defensa
Presented by: William Pouliot, University of Birmingham
Session ID 19: C1: Labor Markets: Health and Micro
Session Chair: Ponpoje (Poe) Porapakkarm, University of Macau
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Belvedere I
Macrolabor, Marriage, and Money: Does Marriage Make Cents?
By Yuet-Yee Linda Wong; Binghamton University
Presented by: yuet-yee wong, binghamton university
Post-Entry Struggle for Life and Pre-Exit Shadow of Death from a Financial Perspective
By Kim Huynh; Bank of Canada Robert Petrunia; Lakehead Universtiy
Presented by: Kim Huynh, Bank of Canada
Quantitative Analysis of Health Insurance Reform: Separating Regulation from Redistribution
By Svetlana Pashchenko; Uppsala University Ponpoje (Poe) Porapakkarm; University of Macau
Presented by: Svetlana Pashchenko, Uppsala University
Welfare costs of reclassification risk in the health insurance market
By Svetlana Pashchenko; Uppsala University Ponpoje (Poe) Porapakkarm; University of Macau
Presented by: Ponpoje (Poe) Porapakkarm, University of Macau
Session ID 29: C2: Financial Econometrics
Session Chair: Ladislav Kristoufek, Charles University
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Belvedere II
Boosting the Anatomy of Volatility
By Stefan Mittnik; Dept. of Statistics, University of Munich Nikolay Robinzonov; University of Munich Martin Spindler; University of Munich
Presented by: Nikolay Robinzonov, University of Munich
Modeling the premium in forward exchange rate by a GARCH in mean model
By Quang Tran; University of Economics, Prague
Presented by: Quang Tran, University of Economics, Prague
Stochastic Elasticity of Volatility Model
By Sergei Morozov; Morgan Stanley
Presented by: Sergei Morozov, Morgan Stanley
Persistent volatility in financial series: Fact or fiction?
By Ladislav Kristoufek; Charles University
Presented by: Ladislav Kristoufek, Charles University
Session ID 33: C3: Agent-Based Models of Macroeconomic Dynamics and Technological Change
Session Chair: Alberto Russo, Università Politecnica delle Marche
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Belvedere III
Muddling through the Gales of Creative Destruction: A Non-equilibrium Computational Model of Schumpeterian Competition
By Myong-Hun Chang; Cleveland State University
Presented by: Myong-Hun Chang, Cleveland State University
Heterogeneous Banks and Technical Change in an Evolutionary Model of Endogenous Growth and Fluctuations
By Giovanni Dosi; Sant'anna school of advanced studies Giorgio Fagiolo; Sant'Anna School of Advanced Studies mauro napoletano; OFCE Andrea Roventini; University of Verona Tania Treibich; Scuola Superiore Sant'Anna
Presented by: mauro napoletano, OFCE
Towards a stochastic macroeconomic model with heterogeneous agents and social classes
By Alberto Russo; Università Politecnica delle Marche
Presented by: Alberto Russo, Università Politecnica delle Marche
Session ID 47: C4: Business Cycle Analysis
Session Chair: Christian Jensen, University of South Carolina
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Belvedere IV
The Competition Effect in Business Cycles
By Vivien Lewis; Ghent University Arnoud Stevens; Universiteit Gent
Presented by: Arnoud Stevens, Universiteit Gent
Business Cycles and Macroeconomic Policies in China: Evidence from an Estimated DSGE Model
By Tao Peng; Southwestern University of Finance and Economics
Presented by: Tao Peng, Southwestern University of Finance and Economics
Efficiency, Distortions and Capital Utilization during the Interwar Period
By Alexander Klein; School of Economics Keisuke Otsu; University of Kent
Presented by: Keisuke Otsu, University of Kent
Price-Setting with Unobservable Elasticities of Demand: The Business-Cycle Effects of Heterogeneous Expectations
By Christian Jensen; University of South Carolina
Presented by: Christian Jensen, University of South Carolina
Session ID 57: C5: Incomplete Markets
Session Chair: Paulina Restrepo-Echavarria, The Ohio State University
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Belvedere V
Durable Goods, Borrowing Constraints and Consumption Insurance
By Enzo Cerletti; CEMFI Josep Pijoan-Mas; CEMFI
Presented by: Enzo Cerletti, CEMFI
Efficient Risk Sharing with Limited Commitment and Hidden Storage
By Arpad Abraham; European University Institute Sarolta Laczo; University of California, Los Angeles
Presented by: Sarolta Laczo, University of California, Los Angeles
A Reinforcement Learning Approach to Solving Incomplete Market Models with Aggregate Uncertainty
By Andrei Jirnyi; Northwestern University Vadym Lepetyuk; University of Alicante
Presented by: Andrei Jirnyi, Northwestern University
Endogenous Borrowing Constraints and Stagnation in Latin America
By Paulina Restrepo-Echavarria; The Ohio State University
Presented by: Paulina Restrepo-Echavarria, The Ohio State University
Session ID 73: C6: Models of Complexity in Economics and Finance
Session Chair: Shu-Heng Chen, National Chengchi University
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Belvedere VI
Social networks and asset price dynamics
By Chia-Hsuan Yeh; Yuan Ze University Chun-Yi Yang; George Mason University
Presented by: Chia-Hsuan Yeh, Yuan Ze University
On the Dynamics of Market Ecologies: The Interaction and Survival of Technical Trading Strategies
By Antony Jackson; University of Leicester Daniel Ladley; University of Leicester
Presented by: Antony Jackson, University of Leicester
Understanding Banking Sector Anomalies from a Complex Systems Perspective
By Cees Diks; University of Amsterdam Marcin Wolski; University of Amsterdam
Presented by: Marcin Wolski, University of Amsterdam
Social Networks, Social Learning and Macroeconomic Dynamics: How Much Could Ernst Ising Help DSGE?
By Shu-Heng Chen; National Chengchi University Chia-Ling Chang; NCCU Yi-Heng Tseng; Yuan Ze University, Taiwan
Presented by: Shu-Heng Chen, National Chengchi University
Session ID 79: C7: Policy Reactions to Financial Crisis
Session Chair: Marco Vega, Pontificia Universidad Catolica el Peru and Central Bank of Peru
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Vienna I
Global implications of self-oriented national unconventional policies
By Luca Dedola; European Central Bank Peter Karadi; European Central Bank Giovanni Lombardo; European Central Bank
Presented by: Giovanni Lombardo, European Central Bank
Understanding global liquidity
By Sandra Eickmeier; Deutsche Bundesbank Leonardo Gambacorta; Bank for International Settlements Boris Hofmann; Bank for International Settlements
Presented by: Sandra Eickmeier, Deutsche Bundesbank
Optimal Policy for Macro-Financial Stability
By Gianluca Benigno; London School of Economics Huigang Chen; MarketShare Partners Christopher Otrok; University of Missouri Alessandro Rebucci; Inter-American Development Bank Eric Young; University of Virginia
Presented by: Christopher Otrok, University of Missouri
Private foreign debt, asset prices and policy responses
By Paul Castillo; Central Bank of Peru Marco Vega; Pontificia Universidad Catolica el Peru and Central Bank of Peru
Presented by: Marco Vega, Pontificia Universidad Catolica el Peru and Central Bank of Peru
Session ID 91: C9: Optimization Methods
Session Chair: Sung-Jin Cho, Seoul National University
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Cracow I
Dealing with (1+1) Evolutionary Algorithms by using simple combinatorial tools
By Elena Druica; University of Bucharest
Presented by: Elena Druica, University of Bucharest
Quantal Response Equilibria as a Function of Game Parameters: A Numerical Approach to Building Intution about Common-Value All-Pay Auctions
By Theodore Turocy; University of East Anglia
Presented by: Theodore Turocy, University of East Anglia
A generalized endogenous grid method for discrete-continuous choice
By Fedor Iskhakov; University of Technology Sydney John Rust; University of Maryland Bertel Schjerning; University of Copenhagen
Presented by: Fedor Iskhakov, University of Technology Sydney
The Free Installment Puzzle
By Sung-Jin Cho; Seoul National University John Rust; University of Maryland
Presented by: Sung-Jin Cho, Seoul National University
Session ID 94: C10: Application of Time Series Techniques I
Session Chair: Philip Vermeulen, ECB
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Cracow II
What Explains the Recent Jobless Recoveries?
By Irina Panovska; Washington University in St. Louis
Presented by: Irina Panovska, Washington University in St. Louis
Time Varying SVARs, parameter histories, and the changing impact of oil prices on the US economy
By Francesca Rondina; CSIC
Presented by: Francesca Rondina, CSIC
The Impact of Capital Measurement Error Correction on Firm-Level Production Function Estimation
By Kamil Galuscak; Czech National Bank Lubomir Lizal; CERGE-EI and CNB
Presented by: Kamil Galuscak, Czech National Bank
Quantifying the qualitative responses of the output purchasing managers index in the US and the Euro area
By Philip Vermeulen; ECB
Presented by: Philip Vermeulen, ECB
Session ID 85: D1: Macroeconomic Modeling: Selected Issues
Session Chair: Istvan Konya, Magyar Nemzeti Bank and CEU
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Belvedere I
Current account benchmarks: methodological advances and some new estimates
By Andrea Finicelli; Bank of Italy
Presented by: Andrea Finicelli, Bank of Italy
Forecasting in a DSGE Model with Mixed Frequency Data
By Ruey Yau; National Central University
Presented by: Ruey Yau, National Central University
Trend Inflation and the Unemployment Volatility Puzzle
By Sergio Lago Alves; Central Bank of Brazil
Presented by: Sergio Lago Alves, Central Bank of Brazil
Interest Premium, Sudden Stop, and Adjustment in a Small Open Economy
By Istvan Konya; Magyar Nemzeti Bank and CEU Peter Benczur; Magyar Nemzeti Bank and CEU
Presented by: Istvan Konya, Magyar Nemzeti Bank and CEU
Session ID 20: D2: Labor Markets: Inequality and Insurance
Session Chair: Thomas Weitzenblum, University Lille 2 and CEPREMAP
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Belvedere II
Human Capital and Jobless Recoveries: Secular Trends and Business Cycle Implications
By Isabel Cairo; Universitat Pompeu Fabra Tomaz Cajner; Universitat Pompeu Fabra
Presented by: Isabel Cairo, Universitat Pompeu Fabra
Inequality in Unemployment Risk and in Wages
By Claudio Michelacci; CEMFI Josep Pijoan-Mas; CEMFI Hernan Ruffo; UTDT
Presented by: Hernan Ruffo, UTDT
Labour Market Frictions, Monetary Policy, and Durable Goods
By Federico Di Pace; University of Warwick Matthias Hertweck; University of Konstanz
Presented by: Federico Di Pace, University of Warwick
Time-consistent unemployment insurance
By Sumudu Kankanamge; Toulouse School of Economics and CEPREMAP Thomas Weitzenblum; University Lille 2 and CEPREMAP
Presented by: Thomas Weitzenblum, University Lille 2 and CEPREMAP
Session ID 36: D3: Monetary and Fiscal Policy at the Zero Lower Bound
Session Chair: José Dorich, Bank of Canada
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Belvedere III
Optimal Monetary and Fiscal Policy with a Zero Bound on Nominal Interest Rates
By Sebastian Schmidt; Goethe University Frankfurt
Presented by: Sebastian Schmidt, Goethe University Frankfurt
Monetary Policy and the Yield Curve at Zero Interest
By Hibiki Ichiue; Bank of Japan
Presented by: Hibiki Ichiue, Bank of Japan
Optimal Fiscal and Monetary Policy with Occasionally Binding Zero Bound Constraints
By Taisuke Nakata; New York University
Presented by: Taisuke Nakata, New York University
Quantitative Easing at the Zero Lower Bound
By José Dorich; Bank of Canada Rhys Mendes; Bank of Canada Yang Zhang; Bank of Canada
Presented by: José Dorich, Bank of Canada
Session ID 31: D4: Learning and Price Formation with Heterogeneous Agents
Session Chair: Murat Yildizoglu, Université Bordeaux IV
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Belvedere IV
Learning to Forecast with Genetic Algorithms
By Mikhail Anufriev; University of Technology, Sydney Cars Hommes; University of Amsterdam Tomasz Makarewicz; University of Amsterdam
Presented by: Tomasz Makarewicz, University of Amsterdam
Learning to Consume: Individual vs. Social Learning
By Nathan Palmer; George Mason University
Presented by: Nathan Palmer, George Mason University
Auctions versus Posted Prices when Buyers Have Common Values
By Wade Brorsen; Oklahoma State University Christopher Boyer; Oklahoma State University Tong Zhang; Southwestern University of Finance & Eco
Presented by: Wade Brorsen, Oklahoma State University
Adaptive learning with expectations to control an heterogeneous agents economy
By Murat Yildizoglu; Université Bordeaux IV Jasmina Arifovic; Simon Fraser University
Presented by: Murat Yildizoglu, Université Bordeaux IV
Session ID 43: D7: Financial Frictions and the Business Cycle I
Session Chair: Stephane Verani, Federal Reserve Board
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Vienna I
Financial and Real Estate Cycles in Business Cycles
By Carlos Yepez; Brandeis University
Presented by: Carlos Yepez, Brandeis University
Financial frictions and the role of investment specific technology shocks in the business cycle
By Gunes Kamber; Reserve Bank of New Zealand Christie Smith; Reserve Bank of New Zealand Christoph Thoenissen; Victoria University of Wellington
Presented by: Christoph Thoenissen, Victoria University of Wellington
Financial Frictions and Shocks
By Gabor Pinter; Cambridge University, Bank of England Konstantinos Theodoridis; Bank of England Tony Yates; Bank of England
Presented by: Tony Yates, Bank of England
Aggregate Consequences of Firms' Financing Constraints
By Stephane Verani; Federal Reserve Board
Presented by: Stephane Verani, Federal Reserve Board
Session ID 59: D5: Dynamic Methods
Session Chair: Lynda Khalaf, Carleton University
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Belvedere V
Risk aversion heterogeneity and the investment-uncertainty relationship
By Gianluca Femminis; Università Cattolica, Milano
Presented by: Gianluca Femminis, Università Cattolica, Milano
Productivity and unemployment scale-by-scale relationship
By Marco Gallegati; Università Politecnica delle Marche Mauro Gallegati; Universita' Politecnica Delle Marche James Ramsey; New York University Willi Semmler; New School for Social Research
Presented by: Marco Gallegati, Università Politecnica delle Marche
Optimal environmental policy in the presence of ecological thresholds
By Ben Heijdra; University of Groningen Pim Heijnen; University of Groningen
Presented by: Pim Heijnen, University of Groningen
Structural multi-equation macroeconomic models: complete versus limited-information identification-robust estimation and fit
By Jean-Marie Dufour; McGill University Lynda Khalaf; Carleton University Maral Kichian; Bank of Canada
Presented by: Lynda Khalaf, Carleton University
Session ID 72: D6: Heterogeneous Agent Models of Financial Markets
Session Chair: Sandrine Jacob Leal, ICN Business School
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Belvedere VI
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
By Jiri Kukacka; Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic Jozef Barunik; Institute of Economic Studies, Charles University in Prague
Presented by: Jiri Kukacka, Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Profitability of Contrarian and Momentum Strategies and Market Stability
By Kai Li; University of Technology, Sydney
Presented by: Kai Li, University of Technology, Sydney
Passive Investment Strategies and Financial Bubbles
By Thomas Fischer; TU Darmstadt
Presented by: Thomas Fischer, TU Darmstadt
Fundamentalists, Chartists and Asset Pricing Anomalies
By Sandrine Jacob Leal; ICN Business School
Presented by: Sandrine Jacob Leal, ICN Business School
Session ID 76: D8: Learning: Macro and Monetary Applications
Session Chair: Mewael Tesfaselassie, Kiel Institute for World Economy
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Budapest
Modeling Social Learning in an Agent-Based New Keynesian Macroeconomic Model
By Marc-Alexandre Senegas; University Bordeaux IV
Presented by: Marc-Alexandre Senegas, University Bordeaux IV
Learning from learners
By Thomas Holden; University of Surrey
Presented by: Tom Holden, University of Surrey
Inflation Targeting in a Learning Economy: an ABM perspective
By Isabelle Salle; Université Bordeaux IV
Presented by: Isabelle Salle, Université Bordeaux IV
Trend Growth and Learning About Monetary Policy Rules in a Two-Block World Economy
By Mewael Tesfaselassie; Kiel Institute for World Economy Eric Schaling; Wits Business School
Presented by: Mewael Tesfaselassie, Kiel Institute for World Economy
Session ID 82: D9: Sovereign Debt and Macroeconomic Stability
Session Chair: Marco Ratto, European Commission
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Cracow I
A Quantitative Model of Sovereign Debt, Bailouts and Conditionality
By Fabian Fink; University of Konstanz Almuth Scholl; University of Konstanz
Presented by: Fabian Fink, University of Konstanz
Default risk and economic activity: A small open economy model with sovereign debt and default
By Jessica Roldan; Banco de Mexico
Presented by: Jessica Roldan, Banco de Mexico
Financial Integration and Macroeconomic Stability: What Role for Large Banks?
By Franziska Bremus; DIW Berlin
Presented by: Franziska Bremus, DIW Berlin
Imbalances and rebalancing scenarios in an estimated structural model for Spain
By Jan in 't Veld; European Commission Andrea Pagano; European Commission - Joint Research Centre Rafal Raciborski; European Commission Marco Ratto; European Commission Werner Roeger; European Commission
Presented by: Marco Ratto, European Commission
Session ID 97: D10: Estimation and Identification of Time Series Models
Session Chair: Marta Banbura, European Central Bank
Date: June 28, 2012
Time: 9:00 - 10:40
Location: Cracow II
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
By Cees Diks; University of Amsterdam Valentyn Panchenko; UNSW Oleg Sokolinskiy; Tinbergen Institute, Erasmus University Dick van Dijk; Erasmus University Rotterdam
Presented by: Valentyn Panchenko, UNSW
How to identify and predict bull and bear markets?
By Erik Kole; Erasmus University Rotterdam Dick van Dijk; Erasmus University Rotterdam
Presented by: Erik Kole, Erasmus University Rotterdam
Analysis of financial impact of wind speeds in wind farms using ANOVA, AR and ARMA and six sigma processes
By Bahri Uzunoglu; Gotland University
Presented by: Bahri Uzunoglu, Gotland University
Nowcasting with daily Data
By Marta Banbura; European Central Bank Domenico Giannone; Université Libre de Bruxelles Michele Modugno; ECB Lucrezia Reichlin; London Business School
Presented by: Marta Banbura, European Central Bank
Session ID 2: E1: Portfolio Analysis and Trading Strategies
Session Chair: Paola Paiardini, Queen Mary, University of London
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Belvedere I
Portfolio Choice and Self Control
By Kathrin Schlafmann; University of Munich
Presented by: Kathrin Schlafmann, University of Munich
Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity
By Polina Kovaleva; City University London Giulia Iori; City University
Presented by: Polina Kovaleva, City University London
Probability of Informed Trading and Volatility for an ETF
By Paola Paiardini; Queen Mary, University of London
Presented by: Paola Paiardini, Queen Mary, University of London
Session ID 35: E2: Social Interaction and Opinion Dynamics
Session Chair: Bin-Tzong Chie, Tamkang University
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Belvedere II
Opinion diffusion shaped by human mobility
By Juan Fernandez-Gracia; IFISC (UIB-CSIC) Jose Ramasco; IFISC (UIB-CSIC) Victor Eguiluz; IFISC (CSIC-UIB)
Presented by: Juan Fernandez-Gracia, IFISC (UIB-CSIC)
Trust: A Game of Evolving Beliefs and Preferences
By Maurizio Cortesi; University of Luxembourg
Presented by: Maurizio Cortesi, University of Luxembourg
Herd Behaviour Experimental Testing in Laboratory Artificial Stock Market Settings. Behavioural Foundations of Stylised Facts of Financial Returns.
By Viktor Manahov; Newcastle University
Presented by: Viktor Manahov, Newcastle University
Agent-Based Prediction Market: Market Mechanism, Social Network, and Social Intelligence
By Bin-Tzong Chie; Tamkang University Shu-Heng Chen; National Chengchi University
Presented by: Bin-Tzong Chie, Tamkang University
Session ID 37: E7: The Term Structure of Interest Rates
Session Chair: Min Wei, Federal Reserve Board of Governors
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Vienna I
Measuring the Natural Yield Curve
By Jacek Kotłowski; National Bank of Poland Michał Brzoza-Brzezina; National Bank of Poland
Presented by: Jacek Kotłowski, National Bank of Poland
Liquidity, Term Spreads and Monetary Policy
By Yunus Aksoy; Birkbeck, University of London Henrique Basso; University of Warwick
Presented by: Yunus Aksoy, Birkbeck, University of London
The Signaling Channel of Federal Reserve Bond Purchases
By Michael Bauer; Federal Reserve Bank of San Francisco Glenn Rudebusch; Federal Reserve Bank of San Francisco
Presented by: Michael Bauer, Federal Reserve Bank of San Francisco
Term Structure Modelling with Supply Factors and Federal Reserve's Large Scale Asset Purchase Programs
By Canlin Li; Federal Reserve Board Min Wei; Federal Reserve Board of Governors
Presented by: Min Wei, Federal Reserve Board of Governors
Session ID 49: E3: Forecasting with DSGE Models
Session Chair: Maik Wolters, Goethe University Frankfurt
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Belvedere III
Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
By Stelios Bekiros; European University Institute (EUI) Alessia Paccagnini; Bicocca University
Presented by: Alessia Paccagnini, Bicocca University
Predictive Likelihood Comparisons with DSGE and DSGE-VAR Models
By Anders Warne; European Central Bank Günter Coenen; European Central Bank Kai Christoffel; European Central Bank
Presented by: Anders Warne, European Central Bank
Forecasting and policy making
By Volker Wieland; Goethe University of Frankfurt Maik Wolters; Goethe University Frankfurt
Presented by: Maik Wolters, Goethe University Frankfurt
Session ID 87: E4: Development and Growth
Session Chair: Gonzalo Castex, Central Bank of Chile
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Belvedere IV
Social Infrastructure and the Preservation of Physical Capital: Equilibria and Transitional Dynamics
By Tiago Sequeira; Univ. Beira Interior/Univ. Nova de Lisboa Orlando Gomes; ISCAL Alexandra Ferreira-Lopes; ISCTE - IUL (University Institute of Lisbon)
Presented by: Alexandra Ferreira-Lopes, ISCTE - IUL (University Institute of Lisbon)
The footloose capital model with first nature firms: the asymemetric case
By Anna Agliari; Catholic University Pasquale Commendatore; Universita' di Napoli 'Federico II' Ilaria Foroni; Universit� di Urbino Ingrid Kubin; Wirtschaftsuniversität Wien
Presented by: Pasquale Commendatore, Universita' di Napoli 'Federico II'
Pollution, mortality and optimal environmental policy
By Saqib Jafarey; City University, London
Presented by: Saqib Jafarey, City University, London
Accounting for Changes in College Attendance Profile: A Quantitative Life-cycle Analysis
By Gonzalo Castex; Central Bank of Chile
Presented by: Gonzalo Castex, Central Bank of Chile
Session ID 66: E5: Fiscal Policy and Financial Markets
Session Chair: Jan in 't Veld, European Commission
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Belvedere V
Fiscal policy and lending relationships
By Giovanni Melina; University of Surrey Stefania Villa; K.U. Leuven
Presented by: Giovanni Melina, Aarhus University
Fiscal Multipliers and Credit Crunches: A TVAR Approach
By Tommaso Ferraresi; Università di Pisa Andrea Roventini; University of Verona Giorgio Fagiolo; Sant'Anna School of Advanced Studies
Presented by: Tommaso Ferraresi, Università di Pisa
Fiscal Deficits, Financial Fragility, and the Effectiveness of Government Policies
By Markus Kirchner; Central Bank of Chile
Presented by: Markus Kirchner, Central Bank of Chile
Banks, Fiscal Policy and the Financial Crisis
By Jan in 't Veld; European Commission Robert Kollmann; ECARES, Université Libre de Bruxelles a Marco Ratto; European Commission Werner Roeger; European Commission
Presented by: Jan in 't Veld, European Commission
Session ID 74: E6: Heterogeneous Agent Models: Recent Developments
Session Chair: Eric Aldrich, Federal Reserve Bank of Atlanta
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Belvedere VI
Risk Aversion Heterogeneity, Risky Jobs and Wealth Inequality
By Marco Cozzi; Queen's University
Presented by: Marco Cozzi, Queen's University
Spatial labor market frictions and economic convergence: policy implications from a heterogeneous agent model
By Herbert Dawid; University of Bielefeld Philipp Harting; Bielefeld University Michael Neugart; Free University Bozen
Presented by: Philipp Harting, Bielefeld University
Credit Uncertainty Cycle
By Enrique Martinez-Garcia; Federal Reserve Bank of Dallas Zheng Zeng; Bowling Green State University Nathan Balke; Southern Methodist University and Federal Reserve Bank of Dallas
Presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
Trading Volume in General Equilibrium with Complete Markets
By Eric Aldrich; Federal Reserve Bank of Atlanta
Presented by: Eric Aldrich, Federal Reserve Bank of Atlanta
Session ID 77: E8: Learning in Games
Session Chair: Jan Tuinstra, University of Amsterdam
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Budapest
Duopoly Competition, Escape Dynamics and Non-cooperative Collusion
By Batlome Janjgava; CERGE-EI Sergey Slobodyan; CERGE-EI
Presented by: Batlome Janjgava, CERGE-EI
Generalized Reinforcement Learning in Perfect-Information Games
By Maxwell Pak; Southwestern Univ of Finance & Economics Bing Xu; Southwestern Univ of Finance & Economics
Presented by: Maxwell Pak, Southwestern Univ of Finance & Economics
Learning Cycles in Bertrand Competition with Differentiated Commodities and Competing Learning Rules
By Mikhail Anufriev; University of Technology, Sydney Dávid Kopányi; University of Amsterdam Jan Tuinstra; University of Amsterdam
Presented by: Dávid Kopányi, University of Amsterdam
On the Stability of the Cournot Equilibrium under Competing Learning Rules
By Jan Tuinstra; University of Amsterdam Marius-Ionut Ochea; Hebrew University Cars Hommes; University of Amsterdam
Presented by: Jan Tuinstra, University of Amsterdam
Session ID 81: E9: Open Economy Macroeconomics
Session Chair: Fabrizio Zampolli, Bank for International Settlements
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Cracow I
The Sensitivity of Producer Prices to Exchange Rates: Insights from Micro Data
By Shutao Cao; Bank of Canada Wei Dong; Bank of Canada Ben Tomlin; Bank of Canada
Presented by: Wei Dong, Bank of Canada
Inattentive Consumers and Exchange Rate Volatility
By Mehmet Ekinci; Central Bank of the Republic of Turkey
Presented by: Mehmet Ekinci, Central Bank of the Republic of Turkey
Real exchange rate variability in a two country business cycle model
By Hakon Tretvoll; New York University
Presented by: Hakon Tretvoll, New York University
Macroeconomic stability and the real interest rate: a cross-country analysis
By Fabrizio Zampolli; Bank for International Settlements
Presented by: Fabrizio Zampolli, Bank for International Settlements
Session ID 96: E10: Time Series: Testing and Forecasting
Session Chair: Aaron Smallwood, University of Texas Arlington
Date: June 28, 2012
Time: 11:10 - 12:50
Location: Cracow II
Testing for Predictability in a Noninvertible ARMA Model
By Markku Lanne; University of Helsinki Mika Meitz Pentti Saikkonen; University of Helsinki
Presented by: Markku Lanne, University of Helsinki
Forecasting with Large Datasets: Trimming Predictors and Forecast Combination
By Rodrigo Sekkel; Johns Hopkins University Jon Samuels; Johns Hopkins University
Presented by: Rodrigo Sekkel, Johns Hopkins University
But what if I am wrong? A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching and nonlinear data
By Aaron Smallwood; University of Texas Arlington
Presented by: Aaron Smallwood, University of Texas Arlington
Session ID 15: F1: Inflation Expectations
Session Chair: Olesya Grishchenko, Federal Reserve Board
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Belvedere I
News on Inflation and the Epidemiology of Inflation Expectations
By Damjan Pfajfar; CentER, EBC, University of Tilburg Emiliano Santoro; University of Copenhagen
Presented by: Damjan Pfajfar, CentER, EBC, University of Tilburg
Behavioral Heterogeneity in U.S. Inflation Dynamics
By Adriana Cornea; Imperial College London Cars Hommes; University of Amsterdam Domenico Massaro; University of Amsterdam
Presented by: Domenico Massaro, University of Amsterdam
Assessing shocks to inflation expectations in a data rich environment
By Lucia Alessi; European Central Bank Luca Onorante; European Central Bank
Presented by: Lucia Alessi, European Central Bank
The informational content of the embedded deflation option in TIPS
By Olesya Grishchenko; Federal Reserve Board Joel Vanden; Penn State University Jianing Zhang; Penn State University
Presented by: Olesya Grishchenko, Federal Reserve Board
Session ID 21: F2: Banking Systems
Session Chair: Willi Semmler, New School for Social Research
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Belvedere II
Systemic Risk in the French banking system: a network approach
By Dilyara Salakhova; Banque de France & Univ of Paris West Nanterre Valère Fourel; Banque de France Jean-Cyprien Heam; Autorité de Contrôle Prudentiel and CREST Santiago Tavolaro; Autorité de Contrôle Prudentiel
Presented by: Dilyara Salakhova, Banque de France & Univ of Paris West Nanterre
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation
By Burcu Kapar; City University Giulia Iori; City University Jose Olmo; Centro Universitario de la Defensa
Presented by: Burcu Kapar, City University
Stochastic dominance and bank liquidity risk: Evidence from the Lehman crisis
By Spyros Pagratis; Athens University of Economics and Business Nikolas Topaloglou; Athens University of Economics and Business
Presented by: Spyros Pagratis, Athens University of Economics and Business
Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR
By Stefan Mittnik; Dept. of Statistics, University of Munich Willi Semmler; New School for Social Research
Presented by: Willi Semmler, New School for Social Research
Session ID 39: F3: Policy with Financial and Labour Market Frictions
Session Chair: Eddie Gerba, University of Kent
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Belvedere III
Financial Instability and Endogenous Money: Can Monetary Policy Be Effective?
By Carl Chiarella; University of Technology Sydney Corrado Di Guilmi; University of Technology, Sydney
Presented by: Corrado Di Guilmi, University of Technology, Sydney
Occasionally binding credit constraints
By Michał Brzoza-Brzezina; National Bank of Poland Marcin Kolasa; National Bank of Poland Krzysztof Makarski; National Bank of Poland
Presented by: Marcin Kolasa, National Bank of Poland
Labor-Market Frictions and Optimal Inflation
By Mikael Carlsson; Sveriges Riksbank Andreas Westermark; Sveriges Riksbank
Presented by: Andreas Westermark, Sveriges Riksbank
Monetary Policy, the Financial Accelerator Model and Asset Price Bubbles
By Eddie Gerba; University of Kent Jagjit Chadha; University of Kent at Canterbury
Presented by: Eddie Gerba, University of Kent
Session ID 48: F4: DSGE Models and News
Session Chair: Yasuo Hirose, Keio University
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Belvedere IV
Technology news and the U.S. economy: Time variation and structural changes
By Tim Berg; ifo Institute for Economic Research at the University of Munich
Presented by: Tim Berg, ifo Institute for Economic Research at the University of Munich
Fiscal policy in contemporary DSGE models
By Ferre De Graeve; Sveriges Riksbank Virginia Queijo von Heideken; Sveriges Riksbank
Presented by: Virginia Queijo von Heideken, Sveriges Riksbank
Handling Nonfundamentalness in the Presence of News Shocks
By Thomas Haertel; University of Hamburg
Presented by: Thomas Haertel, University of Hamburg
Identifying News Shocks with Forecast Data
By Yasuo Hirose; Keio University Takushi Kurozumi; Bank of Japan
Presented by: Yasuo Hirose, Keio University
Session ID 88: F5: Solution of Dynamic Models I
Session Chair: Alexander Meyer-Gohde, Humboldt University Berlin
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Belvedere V
Toward Generic Software Tools for Computing Optimal Policies in Nonlinear DSGE Models With Occasionally Binding Constraints
By Gary Anderson; Board of Governors, Federal Reserve
Presented by: Gary Anderson, Board of Governors, Federal Reserve
Applying perturbation analysis to dynamic optimal tax problems
By Charles Brendon; Oxford University
Presented by: Charles Brendon, Oxford University
Solving DSGE Models with a Nonlinear Moving Average
By Hong Lan; Humboldt University Berlin Alexander Meyer-Gohde; Humboldt University Berlin
Presented by: Hong Lan, Humboldt University Berlin
Existence and Uniqueness of Perturbation Solutions to DSGE Models
By Hong Lan; Humboldt University Berlin Alexander Meyer-Gohde; Humboldt University Berlin
Presented by: Alexander Meyer-Gohde, Humboldt University Berlin
Session ID 60: F6: Competition, Mergers, Spillovers and Credit Card Payments
Session Chair: Marcos Valli Jorge, Central Bank of Brazil
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Belvedere VI
Competition, Cascades and Connectivity: A Multi-Market Model of Endogenous Mergers
By Camillia Zedan; Institute for Complex Systems Simulation
Presented by: Camillia Zedan, Institute for Complex Systems Simulation
Strategic Location Choice under Dynamic Oligopolistic Competition and Spillovers
By Luca Colombo; Università Cattolica del Sacro Cuore Herbert Dawid; University of Bielefeld
Presented by: Herbert Dawid, University of Bielefeld
ARTHUR’S MODEL OF COMPETING TECHNOLOGIES WHEN SOME CHOICES ARE NON-EXCLUSIVE
By Fabrice Le Guel; ADIS
Presented by: Fabrice Le Guel, ADIS
Price Differentiation and Menu Costs in Credit Card Payments
By Marcos Valli Jorge; Central Bank of Brazil Wilfredo Fernando Maldonado; Catholic University of Brasilia
Presented by: Marcos Valli Jorge, Central Bank of Brazil
Session ID 67: F8: Fiscal Policy and External Adjustment
Session Chair: Jesper Linde, Federal Reserve Board
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Budapest
Fiscal Policy and External Adjustment: New Evidence
By Michel Normandin; HEC Montreal
Presented by: Michel Normandin, HEC Montreal
Smoothing shocks and balancing budgets in a currency union
By James Costain; Bank of Spain Beatriz de Blas; Universidad Autonoma de Madrid
Presented by: Beatriz de Blas, Universidad Autonoma de Madrid
Fiscal Austerity Measures: Spending Cuts vs. Tax Increases
By Gerhard Glomm; Indiana University Juergen Jung; Towson University Chung Tran; Australian National University
Presented by: Juergen Jung, Towson University
Fiscal Consolidation in an Open Economy
By Jesper Linde; Federal Reserve Board
Presented by: Jesper Linde, Federal Reserve Board
Session ID 83: F7: Financial Frictions
Session Chair: Rahul Mukherjee, Graduate Institute
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Vienna I
Credit Decomposition and Business Cycles
By Berrak Bahadir; University of Georgia Inci Gumus; Sabanci University
Presented by: Inci Gumus, Sabanci University
Financing Constraints, Firm Dynamics, and International Trade
By Till Gross; Carleton University Stephane Verani; Federal Reserve Board
Presented by: Till Gross, Carleton University
Capital Controls in a Small Open Economy
By Anna Lipinska; Federal Reserve Board Bianca De Paoli; Federal Reserve Bank of NY
Presented by: Anna Lipinska, Federal Reserve Board
Institutions, Corporate Governance and Capital Flows
By Rahul Mukherjee; Graduate Institute
Presented by: Rahul Mukherjee, Graduate Institute
Session ID 95: F10: Application of Time Series Techniques II
Session Chair: Tomoya Suzuki, Kansai University
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Cracow II
Are Inflation Forecast Combinations Efficient?
By Pablo Pincheira; Central Bank of Chile
Presented by: Pablo Pincheira, Central Bank of Chile
A Cholesky Factorization Method for Estimating a VARMA Volatility Model for Single- or Multi-Frequency Data
By Stefan Mittnik; Dept. of Statistics, University of Munich Klaus Wohlrabe; Ifo Institute for Economic Research Peter Zadrozny; Bureau of Labor Statistics
Presented by: Peter Zadrozny, Bureau of Labor Statistics
Nonlinear Expectations in Speculative Markets -- Evidence from the ECB Survey of Professional Forecasters
By Stefan Reitz; University of Kiel
Presented by: Stefan Reitz, University of Kiel
A Finite-Time-Horizon Model of Suicide when a Person's Income is at Risk
By Tomoya Suzuki; Kansai University
Presented by: Tomoya Suzuki, Kansai University
Session ID 5: G7: Asset Prices II
Session Chair: Ramzi Ben Abdallah, UQAM School of Management
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Vienna I
Economic Valuation of Liquidity Timing
By Dennis Karstanje; Erasmus University Rotterdam Elvira Sojli; Erasmus University of Rotterdam Wing Wah Tham; Erasmus University of Rotterdam Michel van der Wel; Erasmus University Rotterdam
Presented by: Dennis Karstanje, Erasmus University Rotterdam
Interest Rates and Credit Spread Dynamics
By Brice Dupoyet; Florida International University Xiaoquan Jiang; Florida International University Robert Neal; Indiana University Douglas Rolph; Nanyang Technological University
Presented by: Brice Dupoyet, Florida International University
News, volatility and jumps: the case of Natural Gas futures
By Svetlana Borovkova; Vrije Universiteit Amsterdam
Presented by: Svetlana Borovkova, Vrije Universiteit Amsterdam
Investigating Delivery Risk in the U.S. Interest-Rate Futures Market
By Ramzi Ben Abdallah; UQAM School of Management Michèle Breton; HEC Montréal
Presented by: Ramzi Ben Abdallah, UQAM School of Management
Session ID 89: G1: Solution of Dynamic Models II
Session Chair: Andrew Binning, Norges Bank
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Belvedere I
Back to the future: economic rationality and maximum entropy prediction
By Sylvain Barde; University of Kent
Presented by: Sylvain Barde, University of Kent
Endogenous Grid Methods in Higher Dimensions: Hybrid Methods and Delaunay Interpolation
By Alexander Ludwig; CMR, University of Cologne Matthias Schön; University of Cologne
Presented by: Matthias Schön, University of Cologne
The "Method of Moderation" for Solving Dynamic Stochastic Optimization Problems
By Christopher Carroll; The Johns Hopkins University
Presented by: Christopher Carroll, The Johns Hopkins University
Third-order approximation of dynamic models without the use of tensors
By Andrew Binning; Norges Bank
Presented by: Andrew Binning, Norges Bank
Session ID 22: G2: Credit Risk
Session Chair: Gisle Natvik, Norges Bank
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Belvedere II
Verifying the State of Financing Constraints: Evidence from U.S. Business Credit Contracts
By Ralf Meisenzahl; Federal Reserve Board
Presented by: Ralf Meisenzahl, Federal Reserve Board
Formal versus Informal Default in Consumer Credit
By Xavier Mateos-Planas; Queen Mary University of London David Benjamin; SUNY Buffalo
Presented by: Xavier Mateos-Planas, Queen Mary University of London
A Boom-Bust Business Cycle Model with Heterogeneous Expectations in the Credit Market
By Carl Chiarella; University of Technology Sydney Corrado Di Guilmi; University of Technology, Sydney Timo Henckel; Australian National University
Presented by: Timo Henckel, Australian National University
Rating agencies as coordination device: The logic of self-defeating optimism
By Steinar Holden; University of Oslo Gisle Natvik; Norges Bank Adrien Vigier; CORE and University of Cambridge
Presented by: Gisle Natvik, Norges Bank
Session ID 38: G3: Forecasting and Monetary Policy
Session Chair: Riccardo DiCecio, Federal Reserve Bank of St. Louis
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Belvedere III
Money Demand as an Indicator of the Natural Interest Rate
By Henning Weber; Kiel Institute for the World Economy
Presented by: Henning Weber, Kiel Institute for the World Economy
Output Gaps and Robust Monetary Policy Rules
By Roberto Billi; Sveriges Riksbank
Presented by: Roberto Billi, Sveriges Riksbank
The Empirical (Ir)Relevance of the Interest Rate Assumption for Central Bank Forecasts
By Malte Knüppel; Deutsche Bundesbank Guido Schultefrankenfeld; Deutsche Bundesbank
Presented by: Guido Schultefrankenfeld, Deutsche Bundesbank
The Federal Reserve’'s Forecast Asymmetries Over the Business Cycle
By Julieta Caunedo; Washington University in St. Louis Riccardo DiCecio; Federal Reserve Bank of St. Louis Ivana Komunjer; University of California, San Diego Michael Owyang; Federal Reserve Bank of St Louis
Presented by: Riccardo DiCecio, Federal Reserve Bank of St. Louis
Session ID 42: G4: Estimation of DSGE Models
Session Chair: Jesús Vázquez, Universidad del País Vasco
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Belvedere IV
Decomposing the effects of the data updates in the DSGE model framework for forecasting
By Zuzana Antonicova; Czech National Bank Frantisek Brazdik; Czech National Bank Frantisek Kopriva; Czech National Bank
Presented by: Frantisek Brazdik, Czech National Bank
Estimating Dynamic Models with Stochastic Singularity using Likelihood-based Dimensionality Reduction
By Michal Andrle; IMF
Presented by: Michal Andrle, IMF
Data Revisions in the Estimation of DSGE models
By Miguel Casares; Universidad Publica de Navarra Jesús Vázquez; Universidad del País Vasco
Presented by: Jesús Vázquez, Universidad del País Vasco
Session ID 52: G5: Advances in DSGE Modeling
Session Chair: Michel Juillard, Banque de France
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Belvedere V
A comparison of numerical methods for the solution of continuous-time DSGE models
By Juan Carlos Parra Alvarez; University of Aarhus
Presented by: Juan Carlos Parra Alvarez, University of Aarhus
Markov Switching linear rational expectations models : new elements
By Magali Marx; banque de france Jean Barthelemy; Banque de France
Presented by: Magali Marx, banque de france
Business Cycle Accounting and Misspecified DSGE Models
By Dario Caldara; Federal Reserve Board of Governors Richard Harrison; Bank of England Anna Lipinska; Federal Reserve Board
Presented by: Dario Caldara, Federal Reserve Board of Governors
Risky steady state and portefolio problem
By Michel Juillard; Banque de France
Presented by: Michel Juillard, Banque de France
Session ID 63: G6: Duopoly, Taxation and Online Markets
Session Chair: Joaquim Ramalho, Universidade de Evora
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Belvedere VI
Tax Policy and Firms’ Productivity in Emerging Economies:Evidence from Taiwan
By Chia-Hui Huang; Aletheia University Tony Chieh-Tse Hou; National Dong Hwa University
Presented by: Chia-Hui Huang, Aletheia University
PQ-Nash Duopoly: A Computational Characterization
By J. Huston McCulloch; Ohio State University
Presented by: J. Huston McCulloch, Ohio State University
Factors Affecting Buyers in Leaving Feedbacks in Online Marketplaces: Evidence from China’s Taobao.com
By Jianqing Chen; The University of Texas at Dallas Ming Fan; University of Washington Mingzhi Li; Tsinghua University
Presented by: Mingzhi Li, Tsinghua University
Hedonic functions, hedonic methods, estimation methods and Dutot and Jevons house price indexes: are there any links?
By Esmeralda Ramalho; Universidade de Evora Joaquim Ramalho; Universidade de Evora
Presented by: Joaquim Ramalho, Universidade de Evora
Session ID 65: G8: Pension Design
Session Chair: Freddy Heylen, Ghent University
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Budapest
Progressive Tax Changes To Private Pensions in a Life-Cycle Framework
By George Kudrna; UNSW Alan Woodland; University of New South Wales
Presented by: George Kudrna, UNSW
Trade-Offs in Means Tested Pension Design
By Chung Tran; Australian National University Alan Woodland; University of New South Wales
Presented by: Chung Tran, Australian National University
Pension reform, employment by age, long-run growth, and income at old-age in an OLG model with heterogeneous abilities
By Tim Buyse; Ghent University Freddy Heylen; Ghent University Renaat Van de Kerckhove; Ghent University
Presented by: Freddy Heylen, Ghent University
Session ID 80: G9: Fiscal Policy in Open Economy
Session Chair: Massimiliano Pisani, Bank of Italy
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Cracow I
Fiscal Policy and the Real Exchange Rate
By Santanu Chatterjee; University of Georgia Azer Mursagulov; International Monetary Fund
Presented by: Santanu Chatterjee, University of Georgia
Fiscal Policy in a Two Country Open Economy
By Ruthira Naraidoo; University of Pretoria Eric Schaling; Wits Business School Mewael Tesfaselassie; Kiel Institute for World Economy
Presented by: Ruthira Naraidoo, University of Pretoria
Government Spending, Monetary Policy, and the Real Exchange Rate
By Hafedh Bouakez; HEC Montreal Aurélien Eyquem; Ecole Normale Supérieure de Lyon
Presented by: Aurélien Eyquem, Ecole Normale Supérieure de Lyon
Green Fiscal Reforms, Electricity Generation and Macroeconomic Performance in the European Union. A Model-Based Approach
By Massimiliano Pisani; Bank of Italy anna bartocci; banca d'italia
Presented by: Massimiliano Pisani, Bank of Italy
Session ID 98: G10: Applications of Experimental and Agent-based Models
Session Chair: Nobuyuki Hanaki, Aix-Marseille University, GREQAM, IUF
Date: June 29, 2012
Time: 9:00 - 10:40
Location: Cracow II
An Agent-Based Decentralised Matching Macroeconomic Model
By Luca Riccetti; Università Politecnica delle Marche Alberto Russo; Università Politecnica delle Marche Mauro Gallegati; Universita' Politecnica Delle Marche
Presented by: Luca Riccetti, Università Politecnica delle Marche
Agent-based models for economic policy design
By Frank Westerhoff; University of Bamberg Reiner Franke; University of Kiel
Presented by: Frank Westerhoff, University of Bamberg
Grooming individual talent to improve team problem-solving
By Marco LiCalzi; Università Ca' Foscari Venezia Lucia Milone; University LUISS Guido Carli
Presented by: Marco LiCalzi, Università Ca' Foscari Venezia
Individual irrationality and lack of common knowledge of rationality in experimental asset markets
By Eizo Akiyama; University of Tsukuba Nobuyuki Hanaki; Aix-Marseille University, GREQAM, IUF Ryuichiro Ishikawa; University of Tsukuba
Presented by: Nobuyuki Hanaki, Aix-Marseille University, GREQAM, IUF
Session ID 4: H1: Asset Prices III
Session Chair: Olaf Posch, Aarhus University
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Belvedere I
Habit formation heterogeneity: Implications for aggregate asset pricing
By Eduard Dubin; Goethe University Frankfurt Olesya Grishchenko; Federal Reserve Board Vasily Kartashov; unaffiliated
Presented by: Eduard Dubin, Goethe University Frankfurt
Cumulative Prospect Theory and The Variance Risk Premium
By Lieven Baele; Tilburg University Joost Driessen; Tilburg University - Faculty of Economi Juan M. Londono; Federal Reserve Board Oliver Spalt; Tilburg University
Presented by: Juan M. Londono, Federal Reserve Board
Heterogeneous Beliefs and Prediction Market Accuracy
By Xue-Zhong He; University of Technology Sydney
Presented by: Xue-Zhong He, University of Technology Sydney
Risk of Rare disasters, Euler equation errors and the Performance of the C-CAPM
By Olaf Posch; Aarhus University Andreas Schrimpf; Bank for International Settlements
Presented by: Olaf Posch, Aarhus University
Session ID 90: H2: Information and Robustness in Macroeconomics
Session Chair: Marco Tucci, Univ. di Siena
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Belvedere II
Robust Self-Insurance
By Rhys Bidder; Federal Reserve Bank of San Francisco Matthew Smith; Federal Reserve Board
Presented by: Rhys Bidder, Federal Reserve Bank of San Francisco
Endogenous Information and Welfare
By Luca Colombo; Università Cattolica del Sacro Cuore Gianluca Femminis; Università Cattolica, Milano Alessandro Pavan; Northwestern University
Presented by: Luca Colombo, Università Cattolica del Sacro Cuore
Some new evidence on the robustness of robust control
By Marco Tucci; Univ. di Siena
Presented by: Marco Tucci, Univ. di Siena
Session ID 13: H3: Price Dynamics
Session Chair: Miroslav Plasil, Czech National Bank
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Belvedere III
The changing dynamics of US inflation persistence: a quantile regression approach
By Peter Tillmann; Justus Liebig University Giessen Maik Wolters; Goethe University Frankfurt
Presented by: Peter Tillmann, Justus Liebig University Giessen
Propagation of shocks to food and energy prices: An international comparison
By Michael Pedersen; Central Bank of Chile
Presented by: Michael Pedersen, Central Bank of Chile
Logit price dynamics
By James Costain; Bank of Spain Anton Nakov; Federal Reserve Board
Presented by: James Costain, Bank of Spain
Changes in Inflation Dynamics under Inflation Targeting? Evidence from Central European Countries
By Jaromir Baxa; Academy of Sciences of the Czech Rep. Miroslav Plasil; Czech National Bank Borek Vasicek; Czech National Bank
Presented by: Miroslav Plasil, Czech National Bank
Session ID 23: H4: Financial Risk Modeling
Session Chair: Yannick Kalantzis, Banque de France
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Belvedere IV
Fuzzy Logic and Risk Evaluation
By Petr Dostál; Brno University of Technology
Presented by: Petr Dostál, Brno University of Technology
Measuring capital market efficiency: Correlations structure, crowd behavior and uncertainty
By Ladislav Kristoufek; Charles University Miloslav Vošvrda; Academy of Sciences of the Czech Republic
Presented by: Miloslav Vošvrda, Academy of Sciences of the Czech Republic
Post-Mortem Examination of the International Financial Network
By Matteo Chinazzi; Sant'Anna School of Advanced Studies Giorgio Fagiolo; Sant'Anna School of Advanced Studies Javier Reyes; University of Arkansas, Stefano Schiavo; Università di Trento
Presented by: Giorgio Fagiolo, Sant'Anna School of Advanced Studies
Financial fragility in emerging markets: firm balance sheets and the sectoral structure
By Yannick Kalantzis; Banque de France
Presented by: Yannick Kalantzis, Banque de France
Session ID 40: H7: Monetary Policy
Session Chair: Tatiana Kirsanova, University of Glasgow
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Vienna I
Forward-Guidance, Imperfect Credibility, and Robust Monetary Policy
By Richard Dennis; Australian National University
Presented by: Richard Dennis, Australian National University
Markov-switching Monetary Policy in a two-country DSGE Model
By Konstantinos Mavromatis; University of Warwick and WBS
Presented by: Konstantinos Mavromatis, University of Warwick and WBS
Evaluating Monetary Policy under Preferences with Near-Zero Wealth Effect: A Bayesian Approach
By Jaya Dey; Oklahoma State University
Presented by: Jaya Dey, Oklahoma State University
Escaping Expectations Traps: How Much Commitment is Required?
By Christoph Himmels; University of Exeter Tatiana Kirsanova; University of Glasgow
Presented by: Tatiana Kirsanova, University of Glasgow
Session ID 50: H5: Firms Dynamics
Session Chair: Felipe Schwartzman, FRB - Richmond
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Belvedere V
Fiscal Stimulus in a Business Cycle Model with Firm Entry
By Alexander Totzek; CAU Kiel Roland Winkler; TU Dortmund University
Presented by: Roland Winkler, TU Dortmund University
Bayesian Estimation of a DSGE Model with Inventories
By Marcel Förster; University of Gießen
Presented by: Marcel Förster, University of Gießen
COMPETITION, INNOVATION, AND THE BUSINESS CYCLE
By Christophe Cahn; Banque de France
Presented by: Christophe Cahn, Banque de France
A Unified Theory of Changes in Labor Productivity and Inventory Dynamics
By Felipe Schwartzman; FRB - Richmond
Presented by: Felipe Schwartzman, FRB - Richmond
Session ID 56: H6: Applied Macroeconomics
Session Chair: Jan Bruha, Czech National Bank
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Belvedere VI
Estimating dynamic macroeconomic models: How informative are the data?
By Daniel O. Beltran; Federal Reserve Board of Governors
Presented by: Daniel O. Beltran, Federal Reserve Board of Governors
Econometric applications of general purpose computations on graphical processing units (GPUs)
By Michael Creel; Universitat Autonoma de Barcelona Mohammad Zubair; Old Dominion University
Presented by: Michael Creel, Universitat Autonoma de Barcelona
Income Inequality and Current Account Imbalances
By Michael Kumhof; International Monetary Fund
Presented by: Michael Kumhof, International Monetary Fund
What can go wrong with time-varying parameter estimates of monetary policy rules?
By Jan Bruha; Czech National Bank Tibor Hledik; Czech National Bank
Presented by: Jan Bruha, Czech National Bank
Session ID 68: H8: Fiscal Consolidation and Automatic Stabilizers
Session Chair: Raffaele Rossi, University of Milano-Bicocca
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Budapest
Why and How do Tax Cuts Matter for Fiscal Consolidation
By Guay Lim; University of Melbourne Paul McNelis; Fordham University
Presented by: Paul McNelis, Fordham University
Towards a quantitative theory of automatic stabilizers: the role of demographics.
By Paulo Santos Monteiro; University of Warwick
Presented by: Paulo Santos Monteiro, University of Warwick
Macroeconomic Effects of Fiscal Consolidation: a General Equilibrium Approach.
By Tim Buyse; Ghent University Freddy Heylen; Ghent University
Presented by: Tim Buyse, Ghent University
Should Financially Constrained Consumers Ask for High Public Spending?
By Raffaele Rossi; University of Milano-Bicocca Giorgio Motta; University of Milano-Bicocca
Presented by: Raffaele Rossi, University of Milano-Bicocca
Session ID 84: H9: International Business Cycles
Session Chair: Stephane Auray, CREST-Ensai
Date: June 29, 2012
Time: 11:10 - 12:50
Location: Cracow I
Time Separability, Wealth Effects and International Business Cycles
By Alexandre Dmitriev; University of New South Wales Ivan Roberts; Reserve Bank of Australia
Presented by: Alexandre Dmitriev, University of New South Wales
Wars as Large Depreciation Shocks
By Stephane Auray; CREST-Ensai Aurélien Eyquem; Ecole Normale Supérieure de Lyon Frederic Jouneau-Sion; Universités de Lille
Presented by: Stephane Auray, CREST-Ensai
News Shocks and Terms of Trade: A Quantitative Investigation
By Kyriacos Lambrias; Toulouse School of Economics
Presented by: Kyriacos Lambrias, Toulouse School of Economics
Session ID 14: I1: Inflation Trend and Forecasts
Session Chair: Yuriy Kitsul, Federal Reserve Board
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Belvedere I
Evaluating Predictive Densities for U.S. Output Growth and In‡flation in a Large Macroeconomic Data Set
By Barbara Rossi; Duke University Tatevik Sekhposyan; Bank of Canada
Presented by: Tatevik Sekhposyan, Bank of Canada
Finding good predictors for inflation by shotgun stochastic search
By Michael Scharnagl; Deutsche Bundesbank
Presented by: Michael Scharnagl, Deutsche Bundesbank
Measuring the Level and Uncertainty of Trend Inflation
By Elmar Mertens; Federal Reserve Board
Presented by: Elmar Mertens, Federal Reserve Board
The Economics of Options-Implied Inflation Probability Density Functions
By Yuriy Kitsul; Federal Reserve Board Jonathan Wright; Johns Hopkins University
Presented by: Yuriy Kitsul, Federal Reserve Board
Session ID 24: I2: Financial Modeling
Session Chair: Jelena Stapf, Deutsche Bundesbank
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Belvedere II
Permutation entropies(PEs) of international short-term interest rates and interest rate spreads before the financial crisis of 2007-09
By Daeyup Lee; Bank of Korea
Presented by: Daeyup Lee, Bank of Korea
Model instability and long-term investors
By Bart Diris; Erasmus University Rotterdam
Presented by: Bart Diris, Erasmus University Rotterdam
Commodity Index Trading and Hedging Costs
By Celso Brunetti; Federal Reserve Board
Presented by: Celso Brunetti, Federal Reserve Board
An affine multifactor model with macro factors for the German term structure: changing results during the recent crises'
By Jelena Stapf; Deutsche Bundesbank Arne Halberstadt; Deutsche Bundesbank
Presented by: Jelena Stapf, Deutsche Bundesbank
Session ID 41: I3: The Dynamics of Monetary and Fiscal Policy
Session Chair: Emiliano Santoro, University of Copenhagen
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Belvedere III
Two-sided Learning in New Keynesian Models: Dynamics, Convergence and the Value of Information
By Christian Matthes; Universitat Pompeu Fabra Francesca Rondina; CSIC
Presented by: Christian Matthes, Universitat Pompeu Fabra
Taylor-type Monetary Policy Rules with Financial Market Expectations
By Michael Owyang; Federal Reserve Bank of St Louis
Presented by: Michael Owyang, Federal Reserve Bank of St Louis
Infrequent Fiscal Stabilization
By Yuting Bai; University of Exeter Tatiana Kirsanova; University of Glasgow
Presented by: Yuting Bai, University of Exeter
Monetary Policy with Input-output Interactions between Durable and Non-durable Goods Sectors
By Emiliano Santoro; University of Copenhagen
Presented by: Emiliano Santoro, University of Copenhagen
Session ID 44: I7: Financial Frictions and the Business Cycle II
Session Chair: Lukas Vogel, European Commission
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Vienna I
Bayesian evaluation of DSGE models with financial frictions
By Michał Brzoza-Brzezina; National Bank of Poland Marcin Kolasa; National Bank of Poland
Presented by: Michał Brzoza-Brzezina, National Bank of Poland
On the nature of the financial system in the Euro Area: a Bayesian DSGE approach
By Stefania Villa; K.U. Leuven
Presented by: Stefania Villa, K.U. Leuven
Financial Innovations and Interest Rate Policy
By Martin Fukac; Federal Reserve Bank of Kansas City
Presented by: Martin Fukac, Federal Reserve Bank of Kansas City
Securities Transaction Tax: Macroeconomic Implications in a General-Equilibrium Model
By Julia Lendvai; European Commission Lukas Vogel; European Commission
Presented by: Lukas Vogel, European Commission
Session ID 51: I4: Open Economy Analysis
Session Chair: Guido Traficante, Università Europea di Roma and LUISS Guido Carli
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Belvedere IV
Capital Account Liberalization: The Case of Turkey
By Gul Ertan Ozguzer; Izmir University of Economics
Presented by: Gul Ertan Ozguzer, Izmir University of Economics
Foreign exchange intervention and monetary policy design: a market microstructure analysis
By Carlos Montoro; Bank for International Settlements Marco Ortiz; Banco Central de Reserva del Peru
Presented by: Carlos Montoro, Bank for International Settlements
The Term Structure of Interest Rates in Small Open Economy DSGE Model with Markov Switching and Epstein Zin preferences
By Ales Marsal; Charles University in Prague
Presented by: Ales Marsal, Charles University in Prague
Uncertain potential output: implications for monetary policy in small open economy
By Guido Traficante; Università Europea di Roma and LUISS Guido Carli
Presented by: Guido Traficante, Università Europea di Roma and LUISS Guido Carli
Session ID 61: I6: Monte Carlo Methods: Recent Developments
Session Chair: Gubhinder Kundhi, Carleton University
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Belvedere VI
parametric conditional monte carlo density estimation
By Yin Liao; Australian National University
Presented by: Yin Liao, Australian National University
A Bayesian Approach to Imputing a Consumption-Income Panel Using the PSID and CEX
By Christopher Tonetti; New York University Matthew Smith; Federal Reserve Board
Presented by: Christopher Tonetti, New York University
Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study
By Novella Maugeri; Università di Siena
Presented by: Novella Maugeri, Università di Siena
Saddlepoint expansions for GEL estimators
By Gubhinder Kundhi; Carleton University Paul Rilstone; York University
Presented by: Gubhinder Kundhi, Carleton University
Session ID 69: I8: Taxation Theory
Session Chair: Jacek Krawczyk, Victoria University of Wellington
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Budapest
Viable economic states in a dynamic model of taxation
By Jacek Krawczyk; Victoria University of Wellington Kenneth Judd; Hoover Institution
Presented by: Jacek Krawczyk, Victoria University of Wellington
An Extensive Look at Taxes: How does endogenous retirement affect optimal taxation?
By William Peterman; Federal Reserve Board of Governors
Presented by: William Peterman, Federal Reserve Board of Governors
Deficits, Gifts, and Bequests: Ricardian Equivalence Revisited
By Daniel Barczyk; McGill University
Presented by: Daniel Barczyk, McGill University
Session ID 92: I9: Time Series: Applications in Finance
Session Chair: Songlin Zeng, Université de Cergy Pontoise and ESSEC Business School
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Cracow I
VAR analysis of market impact in the institutional spot FX market
By Alec Schmidt; ICAP Electronic Broking Olivia Yao; ICAP Electronic Broking
Presented by: Alec Schmidt, ICAP Electronic Broking
Extremal correlation in international stock returns: Facts and Tails
By Duarte Alves Ribeiro; UCP Católica Lisbon JOSE FAIAS; Catolica Lisbon - School of Business and Economics
Presented by: Duarte Alves Ribeiro, UCP Católica Lisbon
Sales, Inventories, and Real Interest Rates: A Century of Stylized Facts
By Thomas Lubik; Federal Reserve Bank of Richmond
Presented by: Thomas Lubik, Federal Reserve Bank of Richmond
Are Southeast Asian Real Exchange Rates Mean Reverting?
By Frederique Bec; University of Cergy-Pontoise Songlin Zeng; Université de Cergy Pontoise and ESSEC Business School
Presented by: Songlin Zeng, Université de Cergy Pontoise and ESSEC Business School
Session ID 75: C8: Stochastic Control and Experimentation
Session Chair: David Kendrick, University of Texas
Date: June 27, 2012
Time: 16:15 - 17:55
Location: Budapest
Executive Compensation in a Changing Environment: Cautious Investors and Sticky Contracts
By Thomas Cosimano; University of Notre Dame Hayong Yun; University of Notre Dame Adam Speight
Presented by: Thomas Cosimano, University of Notre Dame
Stochastic Control of Nonlinear and Linear Econometric Models with Applications to Slovenia
By Dmitri Blueschke; Klagenfurt University Viktoria Blueschke-Nikolaeva; Klagenfurt University Reinhard Neck; Klagenfurt University
Presented by: Reinhard Neck, Klagenfurt University
Regime Shifts in Nonlinear Stochastic Optimal Control Problems
By Tatiana Kiseleva; VU University Amsterdam Florian Wagener; University of Amsterdam
Presented by: Tatiana Kiseleva, VU University Amsterdam
Quarterly Fiscal Policy in a Multiplier-Accelerator Model: Monte Carlo Results
By David Kendrick; University of Texas George Shoukry; University of Texas at Austin
Presented by: David Kendrick, University of Texas
Session ID 78: F9: Learning and Asset Prices
Session Chair: Arne Halberstadt, Deutsche Bundesbank
Date: June 28, 2012
Time: 16:15 - 17:55
Location: Cracow I
Effectiveness of Fiscal Policy in a DSGE Model with Adaptive Learning
By Ewoud Quaghebeur; Ghent University
Presented by: Ewoud Quaghebeur, Ghent University
Expectations from the Yield Curve
By Arunima Sinha; Santa Clara University
Presented by: Arunima Sinha, Santa Clara University
Monetary policy rules, asset prices and adaptive learning
By Vicente Machado; Central Bank of Brazil
Presented by: Vicente Machado, Central Bank of Brazil
The Term Structure of Interest Rates and the Macroeconomy: Learning about Economic Dynamics from a FAVAR
By Arne Halberstadt; Deutsche Bundesbank
Presented by: Arne Halberstadt, Deutsche Bundesbank
Session ID 55: I5: Exchange Rates Learning and Beliefs
Session Chair: Kenneth Kasa, Simon Fraser University
Date: June 29, 2012
Time: 16:00 - 17:40
Location: Belvedere V
Statistical properties of exchange rates in a simple monetary model with constant gain least squares learning
By Olena Kostyshyna; Portland State University
Presented by: Olena Kostyshyna, Portland State University
Robustness and Exchange Rate Volatility
By Kenneth Kasa; Simon Fraser University Edouard Djeutem; Simon Fraser University
Presented by: Kenneth Kasa, Simon Fraser University