Society for Computational Economics - Computing in Economics and Finance, 2012

Summary of All Sessions

Click here for an index of all participants

Session
ID code
Date/TimeLocationTitlePapers
70June 27, 2012
9:00-10:40
Cracow II A10: Heterogeneous Agent Models in Macroeconomics4
8June 27, 2012
9:00-10:40
Belvedere I A1: Laboratory Experiments4
11June 27, 2012
9:00-10:40
Belvedere II A2: Deep Habits and Price Setting4
26June 27, 2012
9:00-10:40
Belvedere III A3: Systemic Risk and Financial Contagion4
27June 27, 2012
9:00-10:40
Belvedere IV A4: Quantitative Methods in Finance4
32June 27, 2012
9:00-10:40
Belvedere V A5: Agent-Based Models of Financial Markets4
45June 27, 2012
9:00-10:40
Belvedere VI A6: Credit and Debt3
17June 27, 2012
9:00-10:40
Vienna I A7: Labor Markets: Macro and Business Cycle 4
53June 27, 2012
9:00-10:40
Budapest A8: Fiscal and Tax Policy4
86June 27, 2012
9:00-10:40
Cracow I A9: Time Series Models: Factor Models4
93June 27, 2012
11:10-12:50
Cracow II B10: Time Series: Theoretical Contributions4
3June 27, 2012
11:10-12:50
Belvedere I B1: Asset Prices I3
10June 27, 2012
11:10-12:50
Belvedere II B2: Computational Models of Markets4
18June 27, 2012
11:10-12:50
Belvedere III B3: Labor Markets: Welfare and Optimality4
25June 27, 2012
11:10-12:50
Belvedere IV B4: Sovereign Default Risk4
28June 27, 2012
11:10-12:50
Belvedere V B5: Methods for Solving Option Pricing and Real Option Models4
34June 27, 2012
11:10-12:50
Belvedere VI B6: Methodological Aspects of Agent-Based Models3
58June 27, 2012
11:10-12:50
Vienna I B7: Macroeconomics and Finance4
46June 27, 2012
11:10-12:50
Budapest B8: Housing Market Dynamics4
71June 27, 2012
11:10-12:50
Cracow I B9: Empirics of Models with Heterogeneous Agents3
94June 27, 2012
16:15-17:55
Cracow II C10: Application of Time Series Techniques I4
19June 27, 2012
16:15-17:55
Belvedere I C1: Labor Markets: Health and Micro4
29June 27, 2012
16:15-17:55
Belvedere II C2: Financial Econometrics4
33June 27, 2012
16:15-17:55
Belvedere III C3: Agent-Based Models of Macroeconomic Dynamics and Technological Change3
47June 27, 2012
16:15-17:55
Belvedere IV C4: Business Cycle Analysis4
57June 27, 2012
16:15-17:55
Belvedere V C5: Incomplete Markets4
73June 27, 2012
16:15-17:55
Belvedere VI C6: Models of Complexity in Economics and Finance4
79June 27, 2012
16:15-17:55
Vienna I C7: Policy Reactions to Financial Crisis4
75June 27, 2012
16:15-17:55
Budapest C8: Stochastic Control and Experimentation4
91June 27, 2012
16:15-17:55
Cracow I C9: Optimization Methods4
97June 28, 2012
9:00-10:40
Cracow II D10: Estimation and Identification of Time Series Models4
85June 28, 2012
9:00-10:40
Belvedere I D1: Macroeconomic Modeling: Selected Issues4
20June 28, 2012
9:00-10:40
Belvedere II D2: Labor Markets: Inequality and Insurance 4
36June 28, 2012
9:00-10:40
Belvedere III D3: Monetary and Fiscal Policy at the Zero Lower Bound4
31June 28, 2012
9:00-10:40
Belvedere IV D4: Learning and Price Formation with Heterogeneous Agents4
59June 28, 2012
9:00-10:40
Belvedere V D5: Dynamic Methods4
72June 28, 2012
9:00-10:40
Belvedere VI D6: Heterogeneous Agent Models of Financial Markets4
43June 28, 2012
9:00-10:40
Vienna I D7: Financial Frictions and the Business Cycle I4
76June 28, 2012
9:00-10:40
Budapest D8: Learning: Macro and Monetary Applications4
82June 28, 2012
9:00-10:40
Cracow I D9: Sovereign Debt and Macroeconomic Stability4
96June 28, 2012
11:10-12:50
Cracow II E10: Time Series: Testing and Forecasting3
2June 28, 2012
11:10-12:50
Belvedere I E1: Portfolio Analysis and Trading Strategies3
35June 28, 2012
11:10-12:50
Belvedere II E2: Social Interaction and Opinion Dynamics4
49June 28, 2012
11:10-12:50
Belvedere III E3: Forecasting with DSGE Models3
87June 28, 2012
11:10-12:50
Belvedere IV E4: Development and Growth4
66June 28, 2012
11:10-12:50
Belvedere V E5: Fiscal Policy and Financial Markets4
74June 28, 2012
11:10-12:50
Belvedere VI E6: Heterogeneous Agent Models: Recent Developments4
37June 28, 2012
11:10-12:50
Vienna I E7: The Term Structure of Interest Rates4
77June 28, 2012
11:10-12:50
Budapest E8: Learning in Games4
81June 28, 2012
11:10-12:50
Cracow I E9: Open Economy Macroeconomics4
95June 28, 2012
16:15-17:55
Cracow II F10: Application of Time Series Techniques II4
15June 28, 2012
16:15-17:55
Belvedere I F1: Inflation Expectations4
21June 28, 2012
16:15-17:55
Belvedere II F2: Banking Systems4
39June 28, 2012
16:15-17:55
Belvedere III F3: Policy with Financial and Labour Market Frictions4
48June 28, 2012
16:15-17:55
Belvedere IV F4: DSGE Models and News4
88June 28, 2012
16:15-17:55
Belvedere V F5: Solution of Dynamic Models I4
60June 28, 2012
16:15-17:55
Belvedere VI F6: Competition, Mergers, Spillovers and Credit Card Payments4
83June 28, 2012
16:15-17:55
Vienna I F7: Financial Frictions4
67June 28, 2012
16:15-17:55
Budapest F8: Fiscal Policy and External Adjustment4
78June 28, 2012
16:15-17:55
Cracow I F9: Learning and Asset Prices4
98June 29, 2012
9:00-10:40
Cracow II G10: Applications of Experimental and Agent-based Models4
89June 29, 2012
9:00-10:40
Belvedere I G1: Solution of Dynamic Models II4
22June 29, 2012
9:00-10:40
Belvedere II G2: Credit Risk4
38June 29, 2012
9:00-10:40
Belvedere III G3: Forecasting and Monetary Policy4
42June 29, 2012
9:00-10:40
Belvedere IV G4: Estimation of DSGE Models3
52June 29, 2012
9:00-10:40
Belvedere V G5: Advances in DSGE Modeling4
63June 29, 2012
9:00-10:40
Belvedere VI G6: Duopoly, Taxation and Online Markets4
5June 29, 2012
9:00-10:40
Vienna I G7: Asset Prices II4
65June 29, 2012
9:00-10:40
Budapest G8: Pension Design3
80June 29, 2012
9:00-10:40
Cracow I G9: Fiscal Policy in Open Economy4
4June 29, 2012
11:10-12:50
Belvedere I H1: Asset Prices III4
90June 29, 2012
11:10-12:50
Belvedere II H2: Information and Robustness in Macroeconomics3
13June 29, 2012
11:10-12:50
Belvedere III H3: Price Dynamics4
23June 29, 2012
11:10-12:50
Belvedere IV H4: Financial Risk Modeling4
50June 29, 2012
11:10-12:50
Belvedere V H5: Firms Dynamics4
56June 29, 2012
11:10-12:50
Belvedere VI H6: Applied Macroeconomics4
40June 29, 2012
11:10-12:50
Vienna I H7: Monetary Policy4
68June 29, 2012
11:10-12:50
Budapest H8: Fiscal Consolidation and Automatic Stabilizers4
84June 29, 2012
11:10-12:50
Cracow I H9: International Business Cycles3
14June 29, 2012
16:00-17:40
Belvedere I I1: Inflation Trend and Forecasts4
24June 29, 2012
16:00-17:40
Belvedere II I2: Financial Modeling4
41June 29, 2012
16:00-17:40
Belvedere III I3: The Dynamics of Monetary and Fiscal Policy4
51June 29, 2012
16:00-17:40
Belvedere IV I4: Open Economy Analysis4
55June 29, 2012
16:00-17:40
Belvedere V I5: Exchange Rates Learning and Beliefs2
61June 29, 2012
16:00-17:40
Belvedere VI I6: Monte Carlo Methods: Recent Developments4
44June 29, 2012
16:00-17:40
Vienna I I7: Financial Frictions and the Business Cycle II4
69June 29, 2012
16:00-17:40
Budapest I8: Taxation Theory3
92June 29, 2012
16:00-17:40
Cracow I I9: Time Series: Applications in Finance4
 

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
 

88 sessions, 337 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Disscussant
#ParticipantRoles in Conference
2Aksoy, YunusP37
3Aldrich, EricC74, P74
4Alessi, LuciaP15
5Alves Ribeiro, DuarteP92
6Amir Ahmadi, PooyanP86
7Anderson, GaryP88
8Andrle, MichalP42
9Angelopoulos, KonstantinosP53
10Anselmo, PeterP32
11Anufriev, MikhailC8, P8
12Auray, StephaneC84, P84
13Avdulaj, KrenarP27
14Bahadir, BerrakP46
15Bai, YutingP41
16Balmann, AlfonsP28
17Banbura, MartaC97, P97
18Bao, TeP8
19Barczyk, DanielP69
20Barde, SylvainP89
21Bauer, MichaelP37
22Beltran, Daniel O.P56
23Ben Abdallah, RamziC5, P5
24Berg, TimP48
25Bidder, RhysP90
26Billi, RobertoP38
27Binning, AndrewC89, P89
28Borovkova, SvetlanaP5
29Brazdik, FrantisekP42
30Bremus, FranziskaP82
31Brendon, CharlesP88
32Brorsen, WadeP31
33Bruha, JanC56, P56
34Brunetti, CelsoP24
35Brutti, FilippoP25
36Brzoza-Brzezina, MichałP44
37Buyse, TimP68
38Caggiano, GiovanniP25
39Cahn, ChristopheP50
40Cairo, IsabelP20
41Caldara, DarioP52
42Carrella, ErnestoP34
43Carroll, ChristopherP89
44Castex, GonzaloC87, P87
45Cerletti, EnzoP57
46Chang, Myong-HunP33
47Chatterjee, SantanuP80
48Chen, Shu-HengC73, P73
49Cheremukhin, AntonP18
50Chie, Bin-TzongC35, P35
51Cho, Sung-JinC91, P91
52Colombo, LucaP90
53Commendatore, PasqualeP87
54Coroneo, LauraC3, P3
55Cortesi, MaurizioP35
56Cosimano, ThomasP75
57Costain, JamesP13
58Cozzi, MarcoP74
59Creel, MichaelP56
60Da Fonseca, JoseC28, P28
61Dawid, HerbertP60
62de Blas, BeatrizP67
63De Fiore, FiorellaP45
64De-Antonio-Liedo, DavidP86
65Dennis, RichardP40
66Dey, JayaP40
67Di Guilmi, CorradoP39
68Di Pace, FedericoP20
69DiCecio, RiccardoC38, P38
70Diks, CeesC71, P71
71Diris, BartP24
72Dmitriev, AlexandreP84
73Donayre, LuiggiP93
74Dong, WeiP81
75Dorich, JoséC36, P36
76Dostál, PetrP23
77Druica, ElenaP91
78Dubin, EduardP4
79Dumitru, Ana-MariaP93
80Dupoyet, BriceP5
81Eickmeier, SandraP79
82Ekinci, MehmetP81
83Ertan Ozguzer, GulP51
84Eyquem, AurélienP80
85Fagiolo, GiorgioP23
86Förster, MarcelP50
87Femminis, GianlucaP59
88Fernandez-Gracia, JuanP35
89Ferraresi, TommasoP66
90Ferreira-Lopes, AlexandraP87
91Finicelli, AndreaP85
92Fink, FabianP82
93Fischer, ThomasP72
94Fukac, MartinP44
95Furlanetto, FrancescoP17
96Gallegati, MarcoP59
97Galuscak, KamilP94
98Gelain, PaoloP46
99Gerba, EddieC39, P39
100Goldbaum, DavidP8
101Griebsch, SusanneP28
102Grishchenko, OlesyaC15, P15
103Gross, TillP83
104Gumus, InciP83
105Haertel, ThomasP48
106Halberstadt, ArneC78, P78
107Hanaki, NobuyukiC98, P98
108Harting, PhilippP74
109He, Xue-ZhongP4
110Heijnen, PimP59
111Henckel, TimoP22
112Heylen, FreddyC65, P65
113Hillebrand, MartenP58
114Hirose, YasuoC48, P48
115Holden, TomP76
116Huang, Chia-HuiP63
117Huynh, KimP19
118Ichiue, HibikiP36
119in 't Veld, JanC66, P66
120In 't Veld, DaanP71
121Iori, GiuliaC32, P32
122Iskhakov, FedorP91
123Jackson, AntonyP73
124Jacob Leal, SandrineC72, P72
125Jafarey, SaqibP87
126Janjgava, BatlomeP77
127Jensen, ChristianC47, P47
128Jirnyi, AndreiP57
129Juillard, MichelC52, P52
130Jung, JuergenP67
131Kalantzis, YannickC23, P23
132Kang, BodaC27, P27
133Kapar, BurcuP21
134Karstanje, DennisP5
135Kasa, KennethC55, P55
136Keen, BenjaminP53
137Kendrick, DavidC75, P75
138Khalaf, LyndaC59, P59
139Kirchner, MarkusP66
140Kirsanova, TatianaC40, P40
141Kiseleva, TatianaP75
142Kitsul, YuriyC14, P14
143Kolasa, MarcinP39
144Kole, ErikP97
145Konya, IstvanC85, P85
146Kopányi, DávidP77
147Kostyshyna, OlenaP55
148Kotłowski, JacekP37
149Kovaleva, PolinaP2
150Krause, MichaelC53, P53
151Krawczyk, JacekC69, P69
152Kristoufek, LadislavC29, P29
153Kudrna, GeorgeP65
154Kuester, KeithC18, P18
155Kukacka, JiriP72
156Kumhof, MichaelP56
157Kundhi, GubhinderC61, P61
158Laczo, SaroltaP57
159Ladley, DanielP10
160Lago Alves, SergioP85
161Lambrias, KyriacosP84
162Lan, HongP88
163Lanne, MarkkuP96
164Lansing, KevinP46
165Le Guel, FabriceP60
166Lee, DaeyupP24
167Lendvai, JuliaP53
168Li, MingzhiP63
169Li, KaiP72
170Liao, YinP61
171LiCalzi, MarcoP98
172Linde, JesperC67, P67
173Lipinska, AnnaP83
174Lof, MatthijsP71
175Lombardo, GiovanniP79
176Londono, Juan M.P4
177Lubik, ThomasP92
178Machado, VicenteP78
179Makarewicz, TomaszP31
180Manahov, ViktorP35
181Marsal, AlesP51
182Martinez-Garcia, EnriqueP74
183Marx, MagaliP52
184Massaro, DomenicoP15
185Mateos-Planas, XavierP22
186Matthes, ChristianP41
187Maußner, AlfredC11, P11
188Maugeri, NovellaP61
189Mavromatis, KonstantinosP40
190McCulloch, J. HustonP63
191McNelis, PaulP68
192Meisenzahl, RalfP22
193Melina, GiovanniP66
194Mertens, ElmarP14
195Metiu, NorbertP25
196Meyer-Gohde, AlexanderC88, P88
197Montoro, CarlosP51
198Morozov, SergeiP29
199Moura, GuilhermeP27
200Mukherjee, RahulC83, P83
201Nakata, TaisukeP36
202napoletano, mauroP33
203Naraidoo, RuthiraP80
204Natvik, GisleC22, P22
205Neck, ReinhardP75
206Normandin, MichelP67
207Otrok, ChristopherP79
208Otsu, KeisukeP47
209Owyang, MichaelP41
210Paccagnini, AlessiaP49
211Paetz, MichaelC45, P45
212Pagratis, SpyrosP21
213Paiardini, PaolaC2, P2
214Pak, MaxwellP77
215Pakos, MichalP3
216Palmer, NathanP31
217Panchenko, ValentynP97
218Pancrazi, RobertoC46, P46
219Panovska, IrinaP94
220Parra Alvarez, Juan CarlosP52
221Pashchenko, SvetlanaP19
222Pedersen, MichaelP13
223Pellizzari, PaoloC10, P10
224Peng, TaoP47
225Peterman, WilliamP69
226Pfajfar, DamjanP15
227Pham-Hi, DucP26
228Pincheira, PabloP95
229Pisani, MassimilianoC80, P80
230Plasil, MiroslavC13, P13
231Popova, AnnaP8
232Porapakkarm, Ponpoje (Poe)C19, P19
233Posch, OlafC4, P4
234Pouliot, WilliamC93, P93
235Prokhorov, ArtemP93
236Quaghebeur, EwoudP78
237Queijo von Heideken, VirginiaP48
238Ramalho, JoaquimC63, P63
239Ratto, MarcoC82, P82
240Reiter, MichaelP18
241Reitz, StefanP95
242Restrepo-Echavarria, PaulinaC57, P57
243Riccetti, LucaP98
244Riedler, JesperP32
245Rifki, OmarP27
246Robinzonov, NikolayP29
247Roldan, JessicaP82
248Rondina, FrancescaP94
249Rossi, RaffaeleC68, P68
250Ruffo, HernanP20
251Russo, AlbertoC33, P33
252Sacht, StephenP70
253SAIDANE, MohamedP86
254Salakhova, DilyaraP21
255Salle, IsabelleP76
256Santoro, EmilianoC41, P41
257Santoro, SergioC70, P70
258Santos Monteiro, PauloP68
259Scharnagl, MichaelP14
260Schön, MatthiasP89
261Schlafmann, KathrinP2
262Schmidt, SebastianP36
263Schmidt, AlecP92
264Schultefrankenfeld, GuidoP38
265Schwartzman, FelipeC50, P50
266Scotti, ChiaraC86, P86
267Sedlacek, PetrP18
268Sekhposyan, TatevikP14
269Sekkel, RodrigoP96
270Semmler, WilliC21, P21
271Senegas, Marc-AlexandreP76
272Shibayama, KatsuyukiP11
273Sinha, ArunimaP78
274Sirbu, Anca IoanaP58
275Slavik, CtiradP3
276Smallwood, AaronC96, P96
277Stapf, JelenaC24, P24
278Stasiukynaite, RasaP32
279Steinbacher, MatjazP10
280Steinbacher, MitjaP26
281Stevens, ArnoudP47
282Suda, JacekC58, P58
283Sudo, NaoP58
284Suzuki, TomoyaC95, P95
285Taghawi-Nejad, DavoudP34
286Tasci, MuratP17
287Tauchen, GeorgeP28
288Teo, Wing-LeongP11
289Tesfaselassie, MewaelC76, P76
290Tetlow, RobertC26, P26
291Thoenissen, ChristophP43
292Thomadakis, ApostolosP26
293Tillmann, PeterP13
294Tonetti, ChristopherP61
295Traficante, GuidoC51, P51
296Tran, QuangP29
297Tran, ChungP65
298Tretvoll, HakonP81
299Tucci, MarcoC90, P90
300Tuinstra, JanC77, P77
301Turocy, TheodoreP91
302Tuzemen, DidemC17, P17
303Uzunoglu, BahriP97
304Valli Jorge, MarcosC60, P60
305Valori, VincenzoP70
306Vasicek, BorekC25, P25
307Vázquez, JesúsC42, P42
308Vega, MarcoC79, P79
309Verani, StephaneC43, P43
310Verhelst, BenjaminP11
311Vermeulen, PhilipC94, P94
312Villa, StefaniaP44
313Vošvrda, MiloslavP23
314Vogel, LukasC44, P44
315Walsh, TimothyP10
316Warne, AndersP49
317Waters, GeorgeP45
318Weber, HenningP38
319Wegener, MichaelP70
320Wei, MinC37, P37
321Weitzenblum, ThomasC20, P20
322Westerhoff, FrankP98
323Westermark, AndreasP39
324Winkler, RolandP50
325Wolf, SarahC34, P34
326Wolski, MarcinP73
327Wolters, MaikC49, P49
328wong, yuet-yeeP19
329Yates, TonyP43
330Yau, RueyP85
331Yeh, Chia-HsuanP73
332Yepez, CarlosP43
333Yildizoglu, MuratC31, P31
334Zadrozny, PeterP95
335Zampolli, FabrizioC81, P81
336Zedan, CamilliaP60
337Zeng, SonglinC92, P92
338Zhang, YahongP17

 

This program was last updated on 2012-11-19 17:21:20 EDT