Society of Computational Economics, 2004 Meetings |
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Summary of All Sessions |
80 sessions, 274 papers |
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Society of Computational Economics, 2004 Meetings |
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Complete List of All Sessions |
Session 1: A6 - Perturbation Methods and Rational Expectations Computations |
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| Session Chair: Kenneth Judd, Hoover Institution |
| Date: July 8, 2004 |
| Time: 9:00 - 10:40 |
| Location: 102 |
| Some Practical Considerations for Applying Perturbation Methods to |
| Presented by: Gary Anderson, Board of Governors, Federal Reserve |
| Solving SDGE Models: A New Algorithm for Sylvester Equation |
| Presented by: Ondra Kamenik, Czech National Bank |
| Approximate Versus Exact Equilibria |
| Presented by: Karl Schmedders, Kellogg School of Management |
| The short-run dynamics of optimal growth models with delays |
| Presented by: Luis Puch, Universidad Complutense |
Session 2: A3 - Exchange Rate and Nonlinear Modeling |
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| Session Chair: Jerry Coakley, Essex University |
| Date: July 8, 2004 |
| Time: 9:00 - 10:40 |
| Location: C |
| Uncovered interest parity tests and exchange rate expectations |
| Presented by: Philip Marey, Maastricht University |
| The overvaluation of PPP in Europe? |
| Presented by: Jerry Coakley, Essex University |
| Exchange rate overshooting and the costs of floating |
| Presented by: Michele Cavallo, Federal Reserve Bank of San Francisco |
| The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics |
| Presented by: Bruce Mizrach, Rutgers University |
Session 3: A1 - Topics in Growth |
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| Session Chair: Stephen Turnovsky, University of Washington |
| Date: July 8, 2004 |
| Time: 9:00 - 10:40 |
| Location: A |
| Fiscal Policy in a Two-Sector Economy with Public Capital and Congestion |
| Presented by: Mihaela Pintea, Florida International University |
| DURABLE CONSUMPTION AS A STATUS GOOD: A STUDY OF NEOCLASSICAL CASES |
| Presented by: WALTER FISHER, INSTITUTE FOR ADVANCED STUDIES |
| Bureaucratic corruption and macroeconomic performance |
| Presented by: Ingrid Ott, University of Lueneburg |
| Tied Versus Untied Foreign Aid: Consequences for a Growing Economy |
| Presented by: Santanu Chatterjee, University of Georgia |
Session 4: A7 - Applied Macroeconometrics |
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| Session Chair: Christopher Baum, Boston College |
| Date: July 8, 2004 |
| Time: 9:00 - 10:40 |
| Location: 108 |
| Are European business cycles close enough to be just one? |
| Presented by: Maximo Camacho, Universidad de Murcia |
| Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity |
| Presented by: Aaron Smallwood, University of Oklahoma |
| Are New Keynesian Phillips Curves Identified ? |
| Presented by: Maral Kichian, Bank of Canada |
| Financial Liberalization and Emerging Stock Market Volatility |
| Presented by: Fernando Perez de Gracia, Universidad de Navarra |
Session 5: A5 - Heterogeneous agents I |
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| Session Chair: Stefan Reitz, Justus-Liebig-University Giessen |
| Date: July 8, 2004 |
| Time: 9:00 - 10:40 |
| Location: E |
| Community structure and labour market segmentation in a stochastic model of |
| Presented by: Davide Fiaschi, University of Pisa |
| Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model |
| Presented by: Serge Hayward, Ecole Superieure de Commerce de Dijon |
| Multi-agent modeling and simulation of a sequential monetary production economy |
| Presented by: Marco Raberto, University of Genoa |
| Target Zone Interventions and Coordination of Expectations |
| Presented by: Stefan Reitz, Justus-Liebig-University Giessen |
Session 6: A8 - Time Series Macroeconomic Modeling |
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| Session Chair: Luca Guerrieri, Federal Reserve Board |
| Date: July 8, 2004 |
| Time: 9:00 - 10:40 |
| Location: 303 |
| Forecasting inflation: An art as well as a science! |
| Presented by: Peter Vlaar, De Nederlandsche Bank |
| A Steady State Approach to Trend / Cycle Decomposition |
| Presented by: Jeremy Piger, Federal Reserve Bank of St. Louis |
| A DSGE-VAR for the Euro Area |
| Presented by: Marco Del Negro, Atlanta Fed |
| Can Long-Run Restrictions Identify Technology Shocks? |
| Presented by: Luca Guerrieri, Federal Reserve Board |
Session 7: A4 - Learning and Monetary Policy I |
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| Session Chair: Klaus Adam, CEPR and European Central Bank |
| Date: July 8, 2004 |
| Time: 9:00 - 10:40 |
| Location: D |
| Learning and Shifts in Long-Run Growth |
| Presented by: Rochelle Edge, Federal Reserve Board |
| Does the Term Spread Play a Role in the Fed's Reaction Function? An Empirical Investigation |
| Presented by: Jesus Vazquez, Universidad del Pais Vasco |
| The magnitude and Cyclical Behavior of Financial Market Frictions |
| Presented by: Egon Zakrajsek, |
| Should macroeconomists consider restricted perception equilibria? Evidence from the experimental laboratory |
| Presented by: Klaus Adam, CEPR and European Central Bank |
Session 8: A2 - Empirical and quantitative analysis of nonlinear macromodels |
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| Session Chair: Peter Flaschel, |
| Date: July 8, 2004 |
| Time: 9:00 - 10:40 |
| Location: B |
| The U.S. Phillips-curve by time scale using waveletsMarco |
| Presented by: Marco Gallegati, University of Ancona |
| Keynesian Dynamics and the wage price spiral. A baseline disequilibrium approach |
| Presented by: Peter Flaschel, |
| Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach |
| Presented by: pu chen, university bielefeld |
| Stepwise calibration of a higher-order Keynes-Metzler-Goodwin model |
| Presented by: Reiner Franke, |
Session 9: B6 - Dynamic Games |
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| Session Chair: Kenneth Judd, Hoover Institution |
| Date: July 8, 2004 |
| Time: 11:10 - 12:50 |
| Location: 102 |
| Markovian Optimal Taxation |
| Presented by: Salvador Ortigueira, European University Institute |
| Advertising Dynamics and Competitive Advantage |
| Presented by: Ulrich Doraszelski, Hoover Institution |
| Solving Continuous-Time Markov-Perfect Nash Equilibria |
| Presented by: Kenneth Judd, Hoover Institution |
| Occasionally Binding Collateral Constraints in RBC Models |
| Presented by: Thomas Hintermaier, Institute for Advanced Studies (IHS) |
Session 10: B3 - Forecasting/ Modeling Financial Markets |
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| Session Chair: Christopher Baum, Boston College |
| Date: July 8, 2004 |
| Time: 11:10 - 12:50 |
| Location: C |
| Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models |
| Presented by: Thomas Lux, University of Kiel |
| Elements in the Design of an Early Warning System for Sovereign Default |
| Presented by: Elena Kalotychou, Cass Business School |
| On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures |
| Presented by: Min-Hsien Chiang, National Cheng Kung University |
| The second moments matter: The response of bank lending behavior to macroeconomic uncertainty |
| Presented by: Christopher Baum, Boston College |
Session 11: B1 - Investment and Productivity |
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| Session Chair: Arpad Abraham, Duke University |
| Date: July 8, 2004 |
| Time: 11:10 - 12:50 |
| Location: A |
| Does Employment Protection Inhibit Technical Diffusion? |
| Presented by: Roberto Samaniego, George Washington University |
| Learning-by-Doing, Hi-Tech Consumption and Productivity Resurgence |
| Presented by: Francesco Venturini, Universita' Politecnica delle Marche |
| Bayesian Estimation of Total Investment Expenditures For Romanian Economy using DYNARE |
| Presented by: Marco Ratto, European Commission - JRC |
| Optimal Capital Tax and Debt Policy Under Incomplete Asset Markets |
| Presented by: Arpad Abraham, Duke University |
Session 12: B5 - Statistical Mechanics Approaches in Finance and Economics |
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| Session Chair: Jamsheed Shorish, Institute for Advanced Studies |
| Date: July 8, 2004 |
| Time: 11:10 - 12:50 |
| Location: E |
| Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation |
| Presented by: Taisei Kaizoji, International Christian University |
| Heterogeneity and feedback in an agent based market model. |
| Presented by: Francois Ghoulmie, ENS Paris, Ecole Polytechnique. |
| Turnover Activity in Wealth Portfolios |
| Presented by: Carolina Castaldi, ECIS, Eindhoven Technology University |
| On the Dynamics of Finite Memory Distributed Systems |
| Presented by: Jamsheed Shorish, Institute for Advanced Studies |
Session 13: B4 - Learning and Monetary Policy II |
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| Session Chair: Robert Tetlow, Federal Reserve Board |
| Date: July 8, 2004 |
| Time: 11:10 - 12:50 |
| Location: D |
| Monetary Policy, Endogenous Inattention, and the Output-Inflation Variance Tradeoff |
| Presented by: William Branch, College of William and Mary |
| Performance of Inflation Targeting Based on constant Interest Rate Projections |
| Presented by: Seppo Honkapohja, University of Cambridge |
| Inflation in the 1970s in the U.S.: Misspecification, Learning and Sunspots |
| Presented by: Robert Tetlow, Federal Reserve Board |
| The Decline of Activist Stabilization Policy: Natural Rate Misperceptions, Learning, and Expectations |
| Presented by: Athanasios Orphanides, Federal Reserve Board |
Session 14: B7 - Macro Modelling I: Macroeconometrics |
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| Session Chair: Michael Binder, Johann Wolfgang Goethe University |
| Date: July 8, 2004 |
| Time: 11:10 - 12:50 |
| Location: 108 |
| Domestic and International Determinants of the Sustainability of Public Debt |
| Presented by: Michael Binder, Johann Wolfgang Goethe University |
| PERTURBED POLYNOMIAL PATH METHOD FOR ACCURATELY COMPUTING AND EMPIRICALLY EVALUATING TOTAL FACTOR PRODUCTIVITY |
| Presented by: Baoline Chen, Bureau of Economic Analysis |
| Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy? |
| Presented by: Kirstin Hubrich, European Central Bank |
| Codependence in Cointegrated Autoregressive Models |
| Presented by: Christoph Schleicher, Bank of England |
Session 15: B8 - Time Series; Hypothesis testing |
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| Session Chair: Cees Diks, |
| Date: July 8, 2004 |
| Time: 11:10 - 12:50 |
| Location: 303 |
| Test for long memory processes. A bootstrap approach |
| Presented by: Pilar Grau-Carles, Universidad Rey Juan Carlos |
| Modified Hiemstra-Jones Test for Granger Non-causality |
| Presented by: Valentyn Panchenko, UvA |
| Testing multivariate hypotheses with positive definite bilinear forms |
| Presented by: Cees Diks, |
Session 16: B2 - Empirical and Quantitative Analysis of Nonlinear Macromodels |
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| Session Chair: Miloslav Vosvrda, Academy of Sciences |
| Date: July 8, 2004 |
| Time: 11:10 - 12:50 |
| Location: B |
| The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model |
| Presented by: Nicolas Million, EUREQua Université Paris I |
| Nonlinear Growth and the Productivity Slowdown |
| Presented by: Davide Fiaschi, University of Pisa |
| The Malaysian Balance of Payments:Keynesian Approach Versus Monetary Approach |
| Presented by: Jarita Duasa, University of Sheffield, United Kingdom |
| Dynamics of an Extended Kaldor Model with Rational Expectation of Capital Efficiency and Adaptive Expectation of Inflation |
| Presented by: Miloslav Vosvrda, Academy of Sciences |
Session 17: Poster session I |
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| Date: July 8, 2004 |
| Time: 13:30 - 14:30 |
| Location: Hall |
| Price Formation and Asset Allocations of the Electronic Trading System Xetra |
| Presented by: Xihao Li, University of Bielefeld |
| Portfolio choice, life-cycle and idiosyncratic income risk : the semi-external habit formation approach |
| Presented by: Thomas Weitzenblum, University Paris-Dauphine |
| Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies |
| Presented by: Efrem Castelnuovo, University of Padua |
| Financing Constraints and Corporate Growth |
| Presented by: Winston Moore, Central Bank of Barbados |
Session 18: Poster session II |
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| Date: July 8, 2004 |
| Time: 13:30 - 14:30 |
| Location: Hall |
| Empirical Calibration of Simulation Models |
| Presented by: Thomas Brenner, Max Planck Institute |
| Targeting Inflation by Forecast Feedback Rules in Small Open Economies |
| Presented by: Kai Leitemo, Norwegian School of Management (BI) |
Session 19: Poster session III |
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| Date: July 8, 2004 |
| Time: 13:30 - 14:30 |
| Location: Hall |
| The Optimality of the US and Euro Area Taylor Rule |
| Presented by: ferhat mihoubi, Université d'Evry |
| APPLICATION OF THE KALMAN FILTER FOR ESTIMATING CONTINUOUS TIME TERM STRUCTURE MODELS: EVIDENCE FROM THE UK AND GERMANY |
| Presented by: Rana Chatterjee, University of Glasgow |
Session 20: Poster session IV |
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| Date: July 8, 2004 |
| Time: 13:30 - 14:30 |
| Location: Hall |
| An endogenous growth model with concave consumption functions |
| Presented by: Vera Kipiatkova, St. Petersburg Institute for Economics and Mathematics RAS |
| A multiple matching model with endogenous participation : what's new about the supply-side policies? |
| Presented by: Etienne Campens, EUREQua University of Paris-1, Cepremap |
Session 21: Poster session V |
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| Date: July 8, 2004 |
| Time: 13:30 - 14:30 |
| Location: Hall |
| Dividend and Stock Repurchase Policy with Transaction Costs |
| Presented by: Motoh Tsujimura, Kyoto University |
| Habit Persistence in Consumption in a Sticky Price Model of the Business Cycle |
| Presented by: Michael Gail, Universität Siegen |
Session 22: Poster session VI |
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| Date: July 8, 2004 |
| Time: 13:30 - 14:30 |
| Location: Hall |
| Experiments in a Software Aided Multiagent System |
| Presented by: Chung-Ching Tai, National Chengchi University |
| The Manufacturing Flexibility to Switch Products: Valuation and Optimal Strategy |
| Presented by: Sorin Tuluca, Fairleigh Dickinson University |
| Escape Dynamics: A Continuous Time Approximation |
| Presented by: Sergey Slobodyan, CERGE-EI |
Session 23: C3 - Financial modeling |
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| Session Chair: Christopher Baum, Boston College |
| Date: July 8, 2004 |
| Time: 16:15 - 17:55 |
| Location: C |
| Forecasting sovereign default using panel models: A comparative analysis |
| Presented by: Ana-Maria Fuertes, Cass Business School (formerly City University Business School) |
| Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison |
| Presented by: Mikael PETITJEAN, FUNDP, University of Namur |
| The Inflation Aversion of the Bundesbank: A State Space Approach |
| Presented by: Vladimir Kuzin, Goethe-University Frankfurt |
| Time Series Filtering through Chebyshev Polynomials |
| Presented by: Serdar Sayan, Bilkent University |
Session 24: C1 - Economic Fluctuations |
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| Session Chair: Stephen Turnovsky, University of Washington |
| Date: July 8, 2004 |
| Time: 16:15 - 17:55 |
| Location: A |
| International Capital Mobility and Aggregate Volatility: the Case of Credit-Rationed Open Economies |
| Presented by: Patrick Pintus, GREQAM and Universite de la Mediterranee |
| Endogenous Redistributive Cycles |
| Presented by: Maik Heinemann, University of Lueneburg |
| Bounded Rationality, Learning, and Business Cycles in a Standard Neoclassical Growth Model |
| Presented by: Laurent Cellarier, University of Guelph |
| Robust control, Regime Switching Risk and Asset Prices |
| Presented by: Turalay Kenc, Imperial College |
Session 25: C5 - Heterogeneous agents II |
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| Session Chair: Chia-Hsuan Yeh, Yuan Ze University |
| Date: July 8, 2004 |
| Time: 16:15 - 17:55 |
| Location: E |
| Model Evolution of Heterogeneous Beliefs in an Network Economy |
| Presented by: Jie-Shin Lin, I-Shou University |
| Can Intelligence Help Improve Market Performance? |
| Presented by: Chia-Hsuan Yeh, Yuan Ze University |
| Modelling the effect of learning and evolving rules on the use of common-pool resources |
| Presented by: Alexander Smajgl, CSIRO |
| Discussing the Survivability Issue in Agent-Based Artificial Stock Market |
| Presented by: Ya-Chi Huang, National Chengchi University |
Session 26: C2 - Optimal Policy in Dynamic Macroeconomics |
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| Session Chair: Jinill Kim, Federal Reserve Board |
| Date: July 8, 2004 |
| Time: 16:15 - 17:55 |
| Location: B |
| Conditional Welfare Comparisons of Monetary Policy Rules |
| Presented by: Jinill Kim, Federal Reserve Board |
| Optimal Monetary Policy in an Imperfect World |
| Presented by: Andrew Levin, Federal Reserve Board |
| A rational expectatons critque of the Hahn-Solow critique of rational expectations |
| Presented by: Richard Hawkins, Penn State Dubois |
Session 27: C7 - Economic Dynamics |
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| Session Chair: John Rust, University of Maryland |
| Date: July 8, 2004 |
| Time: 16:15 - 17:55 |
| Location: 108 |
| Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions with Asymmetric Bidders |
| Presented by: Harry Paarsch, University of Iowa |
| Can Social Security be welfare improving when there is demographic uncertainty? |
| Presented by: Alfonso Sánchez MartÃn, Imperial College London |
| The Dynamics of Plant-level Productivity in U.S. Manufacturing |
| Presented by: Arpad Abraham, Duke University |
Session 28: C8 - Time Series; Nonlinear time series analysis |
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| Session Chair: Sebastiano Manzan, University of Amsterdam |
| Date: July 8, 2004 |
| Time: 16:15 - 17:55 |
| Location: 303 |
| Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series |
| Presented by: Costas Vorlow, University of Durham |
| Forecasting Chilean Industrial Production and Sales with Automated Procedures |
| Presented by: Romulo Chumacero, University of Chile and Central Bank of Chile |
| Nonlinear Mean Reversion in Stock Prices |
| Presented by: Sebastiano Manzan, University of Amsterdam |
| Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements |
| Presented by: SiemJan Koopman, Free University Amsterdam |
Session 29: C6 - Control, games and applications to ecology |
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| Session Chair: Florian Wagener, UvA |
| Date: July 8, 2004 |
| Time: 16:15 - 17:55 |
| Location: 102 |
| A Stochastic Lake Game |
| Presented by: W. Dechert, University of Houston |
| An algorithmic solution to the interval Kyoto game |
| Presented by: Christophe Deissenberg, Université d'Aix-Marseille |
| Intertemporal and Spatial Location of Disposal Facilities |
| Presented by: Francisco Andre, Universidad Pablo de Olavide |
| Structural analysis of optimal investment for firms with non-concave revenues |
| Presented by: Florian Wagener, UvA |
Session 30: C4 - Monetary Policy |
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| Session Chair: Bruce McGough, Oregon State University |
| Date: July 8, 2004 |
| Time: 16:15 - 17:55 |
| Location: D |
| Monetary policy and the transition to rational expectations |
| Presented by: Giuseppe Ferrero, Bank of Italy |
| Inflation Targeting and Nonlinear Policy Rules: the Case of Asymmetric Preferences |
| Presented by: Paolo Surico, Bocconi University |
| Monetary Rules, Indeterminacy, and the Business-Cycle Stylised Facts |
| Presented by: Luca Benati, Bank of England |
| Optimal Constrained Interest Rate Rules |
| Presented by: Bruce McGough, Oregon State University |
Session 31: D2 - Teaching Computational Economics |
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| Session Chair: David Kendrick, University of Texas |
| Date: July 9, 2004 |
| Time: 9:00 - 10:40 |
| Location: B |
| Computational Economics: Help for the Underestimated Undergraduate |
| Presented by: David Kendrick, University of Texas |
| Teaching Numerical Methods to Economics Students |
| Presented by: Kenneth Judd, Hoover Institution |
| Teaching Numerical Methods in an Applied Economics Department |
| Presented by: Mario Miranda, The Ohio State University |
Session 32: D1 - Macro Modelling II: Asymmetric Information |
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| Session Chair: Willi Semmler, CEM Bielefeld and New School University |
| Date: July 9, 2004 |
| Time: 9:00 - 10:40 |
| Location: A |
| Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve |
| Presented by: Hans Dewachter, Katholieke Universiteit Leuven |
| Does Central Bank Transparency Matter for Economic Stability |
| Presented by: stefano eusepi, New York University |
| Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information |
| Presented by: Sharon Kozicki, FEDERAL RESERVE BANK OF KANSAS CITY |
| Monetary policy with endogenous Nairu |
| Presented by: Wenlang Zhang, Bielefeld University |
Session 33: D3 - computational Finance I |
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| Session Chair: Giuliano De Rossi, Cambridge University |
| Date: July 9, 2004 |
| Time: 9:00 - 10:40 |
| Location: C |
| Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management |
| Presented by: Dietmar Leisen, McGill University |
| Pricing a Path-dependent American Option by Monte Carlo Simulation |
| Presented by: Masaaki Kijima, Kyoto University |
| The Impacts of Fragmented Volatilities by Learning about Predictability in the Real Options Approach |
| Presented by: Takashi Shibata, Kyoto University, Japan |
| Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters |
| Presented by: Giuliano De Rossi, Cambridge University |
Session 34: D4 - Macroeconomic Dynamics and the Term Structure of Interest Rates |
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| Session Chair: Oreste Tristani, |
| Date: July 9, 2004 |
| Time: 9:00 - 10:40 |
| Location: D |
| Volatility and the Term Structure: Evidence from Interest Rate Derivatives |
| Presented by: Fabio Fornari, Bank for International Settlements |
| Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates |
| Presented by: iryna kaminska, IGIER, Universita Bocconi |
| Why are long rates sensitive to monetary policy? |
| Presented by: Ulf Soderstrom, Universita' Bocconi |
| Monetary policy and the expectations hypothesis |
| Presented by: Oreste Tristani, |
Session 35: D6 - Information Technology in Economic Dynamics |
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| Session Chair: Ric Herbert, University of Newcastle, Australia |
| Date: July 9, 2004 |
| Time: 9:00 - 10:40 |
| Location: 102 |
| Using systems engineering software to build a model of the monetary circuit |
| Presented by: Steve Keen, University of Western Sydney |
| Distributed Technology Techniques for Solving Dynamic Models |
| Presented by: Paul Turton, Institute Technology Brunei |
| Negotiating over Bundles and Prices Using Aggregate Knowledge |
| Presented by: Tomas Klos, Center for Math. and Comp. Sci. (CWI) |
| Comparison of Optimal Control Solutions in a Labor Market Model |
| Presented by: Ric Herbert, University of Newcastle, Australia |
Session 36: D8 - Expectations and Learning |
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| Session Chair: Maik Heinemann, University of Lueneburg |
| Date: July 9, 2004 |
| Time: 9:00 - 10:40 |
| Location: 303 |
| Learning with Heterogeneous Expectations in an Evolutionary World |
| Presented by: Eran Guse, University of Helsinki/ Bank of Finland |
| Adaptive Learning in Practice |
| Presented by: Eva Carceles Poveda, SUNY at Stony Brook |
| Inflation Targeting and Q Volatility in Small Open Economies |
| Presented by: Paul McNelis, Georgetown University |
| Strongly rational expectations equilibria with endogenous acquisition of information |
| Presented by: Maik Heinemann, University of Lueneburg |
Session 37: D7 - Computational Econometrics and Statistics: Gibbs Sampling/Neural Networks |
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| Session Chair: Giuseppe Bruno, Bank of Italy |
| Date: July 9, 2004 |
| Time: 9:00 - 10:40 |
| Location: 108 |
| Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling |
| Presented by: Lennart Hoogerheide, |
| Efficiency in Public Sector: A Neural Network Approach |
| Presented by: Francisco J. Delgado, University of Oviedo |
| Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling |
| Presented by: Michiel de Pooter, Erasmus University Rotterdam |
| Limited dependent panel data models: a comparative analysis of classical and Bayesian inference among econometric packages |
| Presented by: Giuseppe Bruno, Bank of Italy |
Session 38: D5 - Heterogeneous agents III |
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| Session Chair: jasmina arifovic, Simon Fraser University |
| Date: July 9, 2004 |
| Time: 9:00 - 10:40 |
| Location: E |
| On the real impact of money in an economy with spatially differentiated agents |
| Presented by: Petia Manolova, GREQAM, Universite de la Mediterranee |
| An Adverse Selection Model of Optimal Unemployment Insurance |
| Presented by: Tim Mennel, University of Bonn |
| Asset price and wealth dynamics in a financial market with heterogeneous agents |
| Presented by: Carl Chiarella, |
| Changes in the Environment and Individual Learning |
| Presented by: jasmina arifovic, Simon Fraser University |
Session 39: E1 - Macro Modelling III: Systems Analysis |
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| Session Chair: Sharon Kozicki, FEDERAL RESERVE BANK OF KANSAS CITY |
| Date: July 9, 2004 |
| Time: 11:10 - 12:50 |
| Location: A |
| Data Uncertainty in General Equilibrium |
| Presented by: S. Boragan Aruoba, University of Pennsylvania |
| On the Indeterminacy of New-Keynesian Economics |
| Presented by: Andreas Beyer, European Central Bank |
| New Phenomena Identified in a Stochastic Dynamic Macroeconometric Model: A Bifurcation Perspective |
| Presented by: William Barnett, University of Kansas |
Session 40: E3 - Computational Finance II |
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| Session Chair: Willi Semmler, CEM Bielefeld and New School University |
| Date: July 9, 2004 |
| Time: 11:10 - 12:50 |
| Location: C |
| Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming |
| Presented by: Chih-ying Hsiao, University Bielefeld |
| A Dynamic Programming Approach for Pricing Options Embedded in Bonds |
| Presented by: Hatem Ben-Ameur, HEC Montréal |
| Asset Pricing with Delayed Consumption Decisions |
| Presented by: Willi Semmler, CEM Bielefeld and New School University |
Session 41: E4 - Welfare Analysis in DSGE Models and the Use of Higher-Order Approximations |
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| Session Chair: Rafael Wouters, Belguim National Bank |
| Date: July 9, 2004 |
| Time: 11:10 - 12:50 |
| Location: D |
| Welfare Maximizing Monetary and Fiscal Policy Rules |
| Presented by: Robert Kollmann, University of Bonn and CEPR |
| Inflation targeting |
| Presented by: Harris Dellas, University of Bern |
| Strucural change and DSGE models |
| Presented by: Michel Juillard, CEPREMAP |
| Welfare analysis of non-fundamental asset price and investment shocks: Implications for monetary policy |
| Presented by: Rafael Wouters, Belguim National Bank |
Session 42: E6 - Robust Decisions |
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| Session Chair: Volker Wieland, Goeth University |
| Date: July 9, 2004 |
| Time: 11:10 - 12:50 |
| Location: 102 |
| Robust investment policies with bound forecasts |
| Presented by: Nalan Gulpinar, Imperial College |
| A Strategy for Including Odd and Even-Numbered Higher Moments in Portfolio Selection |
| Presented by: Renato Flores, |
| Stochastic Optimisation and Worst Case Analysis in Monetary Policy Design |
| Presented by: Volker Wieland, Goeth University |
Session 43: E2 - Computational Industrial Economics I: Industry and Patents |
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| Session Chair: Thomas Brenner, Max Planck Institute |
| Date: July 9, 2004 |
| Time: 11:10 - 12:50 |
| Location: B |
| Distribution and Fluctuation of Firm Size in the Long-Run |
| Presented by: Hideaki Aoyama, Kyoto University |
| Technological and Social Costs and Benefits of Patent Systems |
| Presented by: Murat Yildizoglu, IFREDE-E3i |
| A formal model of modularity |
| Presented by: Koen Frenken, Utrecht University |
Session 44: E5 - Heterogeneous agents IV |
|---|
| Session Chair: David Goldbaum, Rutgers |
| Date: July 9, 2004 |
| Time: 11:10 - 12:50 |
| Location: E |
| Extending the CAPM model |
| Presented by: Hendri Adriaens, Tilburg University |
| The Econometric Analysis of Microscopic Simulation Models |
| Presented by: Youwei Li, Tilburg University |
| Forming Price Expectations in Positive and Negative Feedback Systems |
| Presented by: Peter Heemeijer, |
| On the Possibility of Informationally Efficient Markets |
| Presented by: David Goldbaum, Rutgers |
Session 45: E7 - Computational Econometrics and Statistics: Long Memory and Filtering |
|---|
| Session Chair: ALESSANDRA IACOBUCCI, OFCE |
| Date: July 9, 2004 |
| Time: 11:10 - 12:50 |
| Location: 108 |
| Semi-parametric procedures for Unit root and fractional cointegration tests |
| Presented by: Valderio Reisen, UFES-Stat-Padova |
| Estimation of the fractionally integrated process with Missing Values: Simulation and Application |
| Presented by: Valderio Reisen, UFES-Stat-Padova |
| A Frequency-selective Filter for Short-Length Time Series |
| Presented by: ALESSANDRA IACOBUCCI, OFCE |
Session 46: E8 - Learning |
|---|
| Session Chair: Jan Tuinstra, University of Amsterdam |
| Date: July 9, 2004 |
| Time: 11:10 - 12:50 |
| Location: 303 |
| Price Reaction to Momentum Trading and Market Equilibrium |
| Presented by: Katsumasa Nishide, Kyoto University |
| Generalised Fading Memory Learning in a Cobweb Model: some evidence |
| Presented by: Domenico Colucci, University of Florence |
| An evolutionary approach to the El Farol game |
| Presented by: Pietro Dindo, University of Amsterdam |
| On Learning Equilibria |
| Presented by: Jan Tuinstra, University of Amsterdam |
Session 47: F8 - Stochastic and robust policies |
|---|
| Session Chair: Marco Tucci, Univ. di Siena |
| Date: July 9, 2004 |
| Time: 16:15 - 17:55 |
| Location: 303 |
| Robust Control: A Note on the Response of the Control to Changes in the |
| Presented by: Fidel Gonzalez, Centro de Investigacion y Docencia Economica |
| Robust Control: A Note on the Timing of Model Uncertainty |
| Presented by: Arnulfo Rodriguez, Centro de Investigacion y Docencia Economicas (CIDE) |
| Comparing robust control with optimal control with time-varying parameters |
| Presented by: Marco Tucci, Univ. di Siena |
Session 48: F1 - Macro Modelling IV: DSGE dynamics |
|---|
| Session Chair: Peter Tinsley, George Washington University |
| Date: July 9, 2004 |
| Time: 16:15 - 17:55 |
| Location: A |
| Can New Open Economy Macroeconomic Models Explain Business Cycle Facts? |
| Presented by: Jagjit Chadha, University of Cambridge |
| Habit formation and Interest-Rate Smoothing |
| Presented by: Sean Holly, Cambridge University |
| On-the-job Search and Business Cycle Dynamics |
| Presented by: Michael Krause, Tilburg University |
| Lumpy Investment, Sectoral Propagation, and Business Cycles |
| Presented by: Makoto Nirei, Santa Fe Institute |
Session 49: F4 - Monetary Policy and Macroeconomic Dynamics |
|---|
| Session Chair: Jinill Kim, Federal Reserve Board |
| Date: July 9, 2004 |
| Time: 16:15 - 17:55 |
| Location: D |
| Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation |
| Presented by: Jeannine Bailliu, Bank of Canada |
| Monetary and Fiscal Policy Switching |
| Presented by: Troy Davig, College of William and Mary |
| Demand Side Shocks and Macroeconomic Policy |
| Presented by: Maciej Dudek, National Bank of Poland and Main School of Commerce |
| Monetary Policy, Taxes, and the Business Cycle |
| Presented by: William Gavin, Federal Reserve Bank of St. Louis |
Session 50: F5 - Computable General Equilibrium: Environmental Applications |
|---|
| Session Chair: Seung-Rae Kim, Princeton University |
| Date: July 9, 2004 |
| Time: 16:15 - 17:55 |
| Location: E |
| Modelling the health related benefits of environmental policies and their feedback effects, a CGE analysis for the EU countries with GEM-E3 |
| Presented by: Denise Van Regemorter, KULeuven |
| Pollution abatement in the Netherlands: a dynamic applied general equilibrium assessment |
| Presented by: Rob Dellink, Wageningen University |
| Performing an Environmental Tax Reform in a Regional Economy: A Computable General Equilibrium Approach |
| Presented by: Francisco Andre, Universidad Pablo de Olavide |
| Optimal Technological Portfolios for Climate-Change Policy under Uncertainty: A Computable General Equilibrium Approach |
| Presented by: Seung-Rae Kim, Princeton University |
Session 51: F2 - Computational Industrial Economics II: Firm Dynamics |
|---|
| Session Chair: Thomas Brenner, Max Planck Institute |
| Date: July 9, 2004 |
| Time: 16:15 - 17:55 |
| Location: B |
| How much can firms know? |
| Presented by: paul ormerod, Volterra Consulting |
| Understanding the Variations in Gibrat's Law with a Markov-Perfect Dynamic Industry Model |
| Presented by: Christopher Laincz, Drexel University |
| Recessions Leave “Scarsâ€: the Cleansing of Potentially Good Firms |
| Presented by: Min Ouyang, University of Maryland at College Park |
| "Weird Ties? : Growth, Cycles and Firms Dynamics in an Agent Based-Model with Financial Market Imperfections" |
| Presented by: Mauro Napoletano, Sant'Anna School of Advanced Studies |
Session 52: F6 - Nonlinear Economic Dynamics |
|---|
| Session Chair: Alfredo Medio, University of Udine |
| Date: July 9, 2004 |
| Time: 16:15 - 17:55 |
| Location: 102 |
| Complex dynamics in a Pasinetti-Solow model of Growth and distribution |
| Presented by: Pasquale Commendatore, Universita' di Napoli 'Federico II' |
| Computing Center Manifolds: A Macroeconomic Example |
| Presented by: Pedro Gomis-Porqueras, University of Miami |
| One Sector Models, Indeterminacy, and Productive Public Spending |
| Presented by: Sergey Slobodyan, CERGE-EI |
| Backward dynamics, inverse limits and global sunspots |
| Presented by: Alfredo Medio, University of Udine |
Session 53: F7 - Computational Econometrics and Statistics: Distributions |
|---|
| Session Chair: Paola Palmitesta, University of Siena |
| Date: July 9, 2004 |
| Time: 16:15 - 17:55 |
| Location: 108 |
| Density Estimation and Combination under Model Ambiguity |
| Presented by: stefania d'amico, Columbia University |
| Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices |
| Presented by: Daniela Hristova, City University London |
| Aggregation of Dependent Risks with Specific Marginals by the Family of Koehler-Symanowski Distributions |
| Presented by: Paola Palmitesta, University of Siena |
Session 54: F3 - Computational finance III |
|---|
| Session Chair: Svetlana Boyarchenko, University of Texas |
| Date: July 9, 2004 |
| Time: 16:15 - 17:55 |
| Location: C |
| CHOOSING VARIABLES WITH A GENETIC ALGORITHM FOR ECONOMETRIC MODELS BASED ON NEURAL NETWORKS LEARNING AND ADAPTATION |
| Presented by: Daniel Ramirez Avila, UNAM |
| Speculative option valuation: A supercomputing approach |
| Presented by: Guido Germano, Philipps-University Marburg |
| Practical guide to real options in discrete time |
| Presented by: Svetlana Boyarchenko, University of Texas |
Session 55: G1 - Applications in Time Series Macroeconomics |
|---|
| Session Chair: Simon van Norden, HEC Montréal |
| Date: July 10, 2004 |
| Time: 9:00 - 10:40 |
| Location: A |
| On Asymmetric Business Cycle Effects on Convergence Rates: Some European Evidence |
| Presented by: Israel Sancho, |
| Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates |
| Presented by: Peter Tillmann, University of Bonn |
| International evidence on monetary neutrality under broken trend stationary models |
| Presented by: Antonio Noriega, University of Guanajuato |
| How Precise are Our Estimates of the Current Output Gap? New Evidence from Multivariate Estimates for the Euro-Zone |
| Presented by: Simon van Norden, HEC Montréal |
Session 56: G3 - Computational finance IV |
|---|
| Session Chair: Sergey Nagornii, ABP Investments |
| Date: July 10, 2004 |
| Time: 9:00 - 10:40 |
| Location: C |
| Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors |
| Presented by: SADEFO KAMDEM JULES, UNIVERSITE DE REIMS/UNIVERSITE D'EVRY |
| Asymmetric Jump Processes: Option Pricing Implications |
| Presented by: Brice Dupoyet, Florida International University |
| Extending the OLAP framework for automated explanatory tasks |
| Presented by: Emiel Caron, Erasmus University Rotterdam |
| Portfolio & Risk Management: Asset Allocation and Risk Budgeting Optimization |
| Presented by: Sergey Nagornii, ABP Investments |
Session 57: G7 - Computation and Experimental Economics |
|---|
| Session Chair: Thomas Brenner, Max Planck Institute |
| Date: July 10, 2004 |
| Time: 9:00 - 10:40 |
| Location: 108 |
| Coordination Dynamics under Collective and Random Fining Systems for Controlling Non-Point Source Pollution: A Simulation Approach with Genetic Algorithms |
| Presented by: Eleni Samanidou, University of Kiel |
| Competition as a Coordination Device |
| Presented by: Thomas Riechmann, University of Magdeburg |
| (The Evolution of) Post-Secondary Education: A Computational Model and Experiments |
| Presented by: Andreas Ortmann, Charles University-Academy of Sciences |
| Cognitive Learning and the Emergence of Cooperation - An Simulation Approach |
| Presented by: Thomas Brenner, Max Planck Institute |
Session 58: G2 - Innovation and Technological Change |
|---|
| Session Chair: Herbert Dawid, University of Bielefeld |
| Date: July 10, 2004 |
| Time: 9:00 - 10:40 |
| Location: B |
| Sectoral Specialisation and Growth Rate DIfferences Among Integrated Economies |
| Presented by: André Lorentz, University Louis Pasteur |
| Animal Spirits, Lumpy Investment, and the Business Cycle |
| Presented by: Andrea Roventini, Sant'Anna School of Advanced Studies |
| An agent-based model of directed advertising on a social network |
| Presented by: Floortje Alkemade, CWI |
| Product Preannouncement in New Markets: A Strategic Analysis |
| Presented by: Herbert Dawid, University of Bielefeld |
Session 59: G6 - Labor Markets, Interaction Networks, and Aggregate Outcomes |
|---|
| Session Chair: Marji Lines, University of Udine |
| Date: July 10, 2004 |
| Time: 9:00 - 10:40 |
| Location: 102 |
| Towards an Evolutionary Interpretation of Aggregate Labor Market Regularities |
| Presented by: Giorgio Fagiolo, Sant'Anna School of Advanced Studies |
| Job Contact Networks, Inequality and Aggregate Economic Performance |
| Presented by: Andrea Lavezzi, Università di Pisa |
| Review of Pension Schemes Under Segmented and Asymmetric Labor Market |
| Presented by: Renginar Dayangac, Galatasaray University |
| Working women and their fertility choices |
| Presented by: Marji Lines, University of Udine |
Session 60: G4 - Issues with Modeling Monetary Policy |
|---|
| Session Chair: Jinill Kim, Federal Reserve Board |
| Date: July 10, 2004 |
| Time: 9:00 - 10:40 |
| Location: D |
| Monetary Policy, Fiscal Policy and Automatic Stabilizers: Welfare and Macroeconomic Stability |
| Presented by: MASSIMILIANO MARZO, FACOLTA' DI ECONOMIA |
| Which order is too much? An application to a model with staggered price and wage contratcs |
| Presented by: PELGRIN Florian, Bank of Canada |
| Should East Asia's Currencies Be Pegged to the Yen? The Role of Pricing Behavior and Currency Invoicing |
| Presented by: Wing-Leong Teo, Johns Hopkins University |
| State-Dependent or Time-Dependent Pricing: Does It Matter For Recent U.S. Inflation? |
| Presented by: Oleksiy Kryvtsov, University of Minnesota |
Session 61: G8 - Time Series; Estimation |
|---|
| Session Chair: Roy van der Weide, CeNDEF, University of Amsterdam |
| Date: July 10, 2004 |
| Time: 9:00 - 10:40 |
| Location: 303 |
| Optimal Lag Structure Selection in VEC-Models |
| Presented by: Peter Winker, University of Erfurt |
| A Specification Search Algorithm for Cointegrated Systems |
| Presented by: Michal Kurcewicz, Warsaw University |
| Fitting and comparing stochastic volatility models through Monte Carlo simulations |
| Presented by: Davide Raggi, University of Verona |
| Wake me up before you GO-GARCH |
| Presented by: Roy van der Weide, CeNDEF, University of Amsterdam |
Session 62: G5 - Heterogeneous agent V |
|---|
| Session Chair: Cristian Wieland, University of Osnabrueck |
| Date: July 10, 2004 |
| Time: 9:00 - 10:40 |
| Location: E |
| Public Opinion Formation in Policy Issues. An evolutionary approach. |
| Presented by: Francisco Fatas-Villafranca, University of Zaragoza |
| Big fortunes, aggregate saving and growth |
| Presented by: Michael Reiter, Universitat Pompeu Fabra |
| Uninsurable Investment Risk |
| Presented by: Cesaire Meh, Bank of Canada |
| A behavioral cobweb model with heterogeneous speculators |
| Presented by: Cristian Wieland, University of Osnabrueck |
Session 63: H1 - New Approaches to Applied Macroeconomics |
|---|
| Session Chair: Thomas Lubik, Johns Hopkins University |
| Date: July 10, 2004 |
| Time: 11:10 - 12:50 |
| Location: A |
| Why Does Private Consumption Rise After a Government Spending Shock? |
| Presented by: Nooman Rebei, Bank of Canada |
| How Large Are Returns to Scale in the U.S.? A View Across the Boundary |
| Presented by: Thomas Lubik, Johns Hopkins University |
| Human Capital Accumulation, Time to Build, and Business Cycles |
| Presented by: Toshiya Ishikawa, Kyushu Kyoritsu University |
| Business Cycle Implications of Habit Formation |
| Presented by: Takashi Kano, Bank of Canada |
Session 64: H7 - Agent-based Computational Economics |
|---|
| Session Chair: Jan Edman, Penn State University |
| Date: July 10, 2004 |
| Time: 11:10 - 12:50 |
| Location: 108 |
| Cournot Competition and Endogenous Firm Size |
| Presented by: Jason Barr, Rutgers University, Newark |
| Complexity, ambivalences and paradoxes of imitative behaviour |
| Presented by: Bertrand Gobillard, Cepremap and University of Paris X |
| An agent based approach to analysis of Capital structure and industry dynamics: The role of policy |
| Presented by: roberto gabriele, università di trento |
| The Use of a Simple Decision Rule in Repeated Oligopoly Games |
| Presented by: Jan Edman, Penn State University |
Session 65: H8 - Organization and Local Interaction |
|---|
| Session Chair: Li Zhang, Hewlett Packard |
| Date: July 10, 2004 |
| Time: 11:10 - 12:50 |
| Location: 303 |
| Network properties of trading |
| Presented by: Ilija Zovko, Santa Fe Institute, University of Amster |
| Minority Games, Local Interactions, and Endogenous Networks |
| Presented by: Giorgio Fagiolo, Sant'Anna School of Advanced Studies |
| Neighborhood models of minority opinion spreading |
| Presented by: Claudio Tessone, Institut Mediterrani d'Estudis Avançats |
| Games and Queues |
| Presented by: Li Zhang, Hewlett Packard |
Session 66: H2 - Consumer Markets with Sequential Interaction Effects |
|---|
| Session Chair: Margo Bergman, Penn State Worthington Scranton |
| Date: July 10, 2004 |
| Time: 11:10 - 12:50 |
| Location: B |
| Optimal marketing decisions in a micro-level framework |
| Presented by: Andrea Di Liddo, Università di Foggia |
| Credit and Cash-in-Advance in Disequilibrium Models |
| Presented by: Sander van der Hoog, |
| I'll buy that: The Schelling Model of Segregation in an Owner Occupied Housing Market |
| Presented by: Margo Bergman, Penn State Worthington Scranton |
Session 67: H3 - Financial Market Dynamics |
|---|
| Session Chair: Tony He, University of Technology, Sydney |
| Date: July 10, 2004 |
| Time: 11:10 - 12:50 |
| Location: C |
| The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach |
| Presented by: Frank Westerhoff, University of Osnabrueck |
| From Heterogeneous expectations to exchange rate dynamic: |
| Presented by: Luc Neuberg, Fortis Investments |
| A double-auction artificial market with time-irregularly spaced orders |
| Presented by: Enrico Scalas, East Piedmont University |
| A Dynamical Analysis of Moving Average Rules |
| Presented by: Tony He, University of Technology, Sydney |
Session 68: H6 - Monetary Policy and Deflation |
|---|
| Session Chair: Klaus Adam, CEPR and European Central Bank |
| Date: July 10, 2004 |
| Time: 11:10 - 12:50 |
| Location: 102 |
| The Great Depression and the Friedman-Schwartz Hypothesis |
| Presented by: Roberto Motto, |
| Exchange Rate Policy and the Zero Bound on Nominal Interest Rates |
| Presented by: Guenter Coenen, European Central Bank |
| Money makes the world go round ... about the necessity of nonlinear techniques in interest rate forecasting |
| Presented by: Stefan Fink, Raiffeisenlandesbank Oberoesterreich |
| Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates |
| Presented by: Klaus Adam, CEPR and European Central Bank |
Session 69: H4 - Modelling Nominal Rigidities |
|---|
| Session Chair: Nicoletta Batini, International Monetary Fund |
| Date: July 10, 2004 |
| Time: 11:10 - 12:50 |
| Location: D |
| The New Keynesian Phillips Curve: An Empirical Assessment |
| Presented by: PELGRIN Florian, Bank of Canada |
| A Search for a Structural Phillips Curve |
| Presented by: Argia Sbordone, Rutgers University |
| Exchange Rate Pass-Through in a Structural Small Open Economy Model: How Important is the Conduct of Monetary Policy |
| Presented by: Stephen Murchison, Bank of Canada |
| Inflation Dynamics in Seven Industrialised Open Economies |
| Presented by: Ryan Banerjee, Bank of England |
Session 70: H5 - Heterogeneous agents VI |
|---|
| Session Chair: Cars Hommes, University of Amsterdam |
| Date: July 10, 2004 |
| Time: 11:10 - 12:50 |
| Location: E |
| Equilibrium Properties of Finite Binary Choice Games |
| Presented by: Adriaan Soetevent, University of Groningen |
| Critical behaviour and system size in agent-based models: an explanation |
| Presented by: Simone Alfarano, University of Kiel |
| Heterogeneous Investment Horizons in a Simple Asset Pricing Model |
| Presented by: Mikhail Anoufriev, Scuola Superiore Sant'Anna |
| Do hedging instruments stabilize markets? |
| Presented by: Cars Hommes, University of Amsterdam |
Session 71: I2 - Heterogeneous agents VII |
|---|
| Session Chair: J. Rosser, |
| Date: July 10, 2004 |
| Time: 15:45 - 17:25 |
| Location: B |
| The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices |
| Presented by: Marten Hillebrand, Bielefeld University |
| On the performance of efficient portfolios |
| Presented by: Jan Wenzelburger, University of Bielefeld |
| Price and Wealth Dynamics in an Agent-Based Model with Heterogeneous Evolving Strategies |
| Presented by: Mikhail Anoufriev, Scuola Superiore Sant'Anna |
| Market Dynamics and Stock Price Volatility |
| Presented by: J. Rosser, |
Session 72: I4 - Forecasting and Trading with Evolutionary Computation (I) |
|---|
| Session Chair: Chueh-Yung Tsao, Chang-Gung University |
| Date: July 10, 2004 |
| Time: 15:45 - 17:25 |
| Location: D |
| Statistical Evidences for the Influence of GP's Representation on Forecasting |
| Presented by: Shu-Heng Chen, |
| Using Genetic Programming with Lambda Abstraction to Find Technical Trading Rules |
| Presented by: Tzu-Wen Kuo, National Chengchi University |
| Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money |
| Presented by: Jane Binner, Aston Business School |
| Discovering Financial Patterns in the Foreign Exchange Markets |
| Presented by: Chueh-Yung Tsao, Chang-Gung University |
Session 73: I3 - Option Pricing |
|---|
| Session Chair: Manfred Gilli, University of Geneva |
| Date: July 10, 2004 |
| Time: 15:45 - 17:25 |
| Location: C |
| The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion |
| Presented by: J. Huston McCulloch, Ohio State University |
| Option Pricing under different uncertainty regimes |
| Presented by: Emmanuel Haven, University of Essex |
| Valuation of American Continuous-Installment Options |
| Presented by: Pierangelo Ciurlia, |
| Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions |
| Presented by: Andrew Ziogas, School of Finance and Economics, UTS |
Session 74: I1 - Monetary Policy in General Equilibrium |
|---|
| Session Chair: Nicoletta Batini, International Monetary Fund |
| Date: July 10, 2004 |
| Time: 15:45 - 17:25 |
| Location: A |
| Optimal Taylor Rules in an Estimated Model of a Small Open Economy |
| Presented by: Nooman Rebei, Bank of Canada |
| Search in Financial Markets, and Monetary Policy |
| Presented by: Kevin Moran, Bank of Canada |
| Optimal monetary policy in a regime-switching economy |
| Presented by: Fabrizio Zampolli, Bank of England |
| Robust Control Rules to Shield Against Indeterminacy |
| Presented by: Nicoletta Batini, International Monetary Fund |
Session 75: --- |
|---|
| Date: July 10, 2004 |
| Time: 18:30 - 18:30 |
Session 76: --- |
|---|
| Date: July 10, 2004 |
| Time: 18:30 - 18:30 |
Session 77: --- |
|---|
| Date: July 10, 2004 |
| Time: 18:30 - 18:30 |
Session 78: H8 - Time series; Model estimation |
|---|
| Date: July 10, 2004 |
| Time: 24:10 - 24:50 |
| Location: 303 |
Session 79: F8 - Expectations and Indeterminacy |
|---|
| Date: July 10, 2004 |
| Time: 24:15 - 24:55 |
| Location: 303 |
Session 80: I1 - Open Economy Macro and Finance |
|---|
| Session Chair: Jeannine Bailliu, Bank of Canada |
| Date: July 10, 2004 |
| Time: 24:45 - 24:25 |
| Location: A |