38 sessions, 111 papers

19th Annual Symposium Society for Nonlinear Dynamics and Econometrics
Complete List of All Sessions

Session 1: 1. Stationarity & Cointegration
Session Chair: Jun Ma, University of Alabama
Date: March 17, 2011
Time: 9:00 - 10:30
Location: 111
A Likelihood Ratio Test of Stationarity
By James Morley; University of New South Wales Irina Panovska; Washington University in St. Louis Tara M. Sinclair; George Washington University
Presented by: James Morley, University of New South Wales
More Powerful Cointegration Tests with Non-normal Errors
By Kyungso Im; Federal deposit Insurance Corporation (FDIC) Hyejin Lee; University of Alabama Junsoo Lee (corresponding author)*; University of Alabama
Presented by: Junsoo Lee, University of Alabama
Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency
By Robinson Kruse; Aarhus University and CREATES Rickard Sandberg; Stockholm School of Economics
Presented by: Robinson Kruse, CREATES, Aarhus University

Session 2: 2. Long Memory & Persistence
Session Chair: Mark Fisher, Federal Reserve Bank of Atlanta
Date: March 17, 2011
Time: 9:00 - 10:30
Location: 112
Nonlinear Dynamics and the Profitability of Carry Trades in Currency Markets
By Richard T. Baillie; Michigan State University Dooyeon Cho; Michigan State University
Presented by: Richard Baillie, Michigan State University
Persistence in Convergence
By Thanasis Stengos; University of Guelph Ege Yazgan; Istanbul Bilgi University
Presented by: M. Ege Yazgan, Istanbul Bilgi University
Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks
By Claudio Morana Università del Piemonte Orientale
Presented by: Claudio Morana, Universita' del Piemonte Orientale

Session 3: 3. Forecasting and Financial Shocks
Session Chair: James Mitchell, NIESR
Date: March 17, 2011
Time: 9:00 - 10:30
Location: 211
Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence
By Heather L.R. Tierney; College of Charleston
Presented by: Heather Tierney, College of Charleston
Two Dimension of Forecast Evaluation: Vintages and Sub-Samples
By Dean Croushore; University of Richmond
Presented by: Dean Croushore, University of Richmond
Financial Sector Shocks and G-7 Business-Cycle Fluctuations
By David Rapach; Saint Louis University Jack Strauss; Saint Louis University
Presented by: Jack Strauss, St. Louis University

Session 4: 4. Monetary Policy & Business Cycles
Session Chair: Rehim Kilic, Koc University
Date: March 17, 2011
Time: 9:00 - 10:30
Location: 212
The Dynamic Relationships Among Medium of Exchange, Monetary Index Numbers, and the Macroeconomy
By Richard G. Anderson; Federal Reserve Bank of St. Louis Marcelle Chauvet; University of California Riverside Barry Jones; Binghamton University (SUNY), Binghamton, NY
Presented by: Marcelle Chauvet, University of California
Monetary Policy and the Great Inflation: A Multi-Country Time-Varying Analysis Using the Taylor Rule
By Jacek Suda; Bank of France and PSE Anastasia Zervou; Texas A&M University
Presented by: Jacek Suda, Banque de France - Paris School of Economics
Can Hong Kong Business Cycles be Explained by the U.S. Disturbances? Some Evidence from SOE DSGE
By Mi Lu Economics Department University of California, Riverside
Presented by: Mi Lu, UC-Riverside

Session 5: 5. Forecasting
Session Chair: Philip Rothman, East Carolina University
Date: March 17, 2011
Time: 9:00 - 10:30
Location: 214
Nonlinear forecasting of macroeconomic variables using automated model selection techniques
By Anders Bredahl Kock; CREATES and Aarhus University Timo Teräsvirta; CREATES and Aarhus University
Presented by: Anders Kock, Aarhus University
Forecasting under Model Uncertainty
By Maik H. Wolters; Goethe University Frankfurt
Presented by: Maik Wolters, Goethe University Frankfurt
Forecasting performance of three automated modelling techniques
By Anders Bredahl Kock; CREATES, Aarhus University Timo Teräsvirta; CREATES, Aarhus University
Presented by: Timo Terasvirta, Aarhus University

Session 6: 6. Applied Econometrics
Session Chair: Heather Tierney, College of Charleston
Date: March 17, 2011
Time: 11:00 - 12:30
Location: 111
How Much Do Expected Returns and Expected Dividend Growth Contribute To Movements in Stock Returns? Issues of Weak Identification Make Existing Estimates Unreliable
By Jun Ma: University of Alabama Mark E. Wohar; University of Nebraska at Omaha
Presented by: Mark Wohar, University of Nebraska-Omaha
Long-Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework
By Jun Ma; University of Alabama
Presented by: Jun Ma, University of Alabama
Risk-Return Trade-Off in the Pacific-Basin Equity Markets
By Ai-ru Cheng; University of California at Santa Cruz Mohammad Jahan-Parvar; East Carolina University
Presented by: Mohammad Jahan-Parvar, East Carolina University

Session 7: 7. Nonlinearity, Asymmetry, and Oil
Session Chair: Timo Terasvirta, Aarhus University
Date: March 17, 2011
Time: 11:00 - 12:30
Location: 112
Oil and US GDP: A Real-Time Out-of-Sample Examination
By Francesco Ravazzolo: Norges Bank Philip Rothman: East Carolina University
Presented by: Philip Rothman, East Carolina University
Do Nonlinear Oil Price Models Help Forecast U.S. Activity?
By Lutz Kilian; University of Michigan Robert Vigfusson; Federal Reserve Board
Presented by: Robert Vigfusson, Federal Reserve Board
Reference-dependent Preferences and the Transmission of Monetary Policy
By - Edoardo Gaffeo; Department of Economics, University of Trento - Ivan Petrella; Center for Economic Studies, Faculty of Business & Economics, Katholieke Universiteit Leuven - Damjan Pfajfar; EBC, CentER, Department of Economics, Faculty of Economics and Business Administration, University of Tilburg - Emiliano Santoro; ITEMQ, Catholic University of Milan and Department of Economics, University of Copenhagen
Presented by: Emiliano Santoro, University of Copenhagen

Session 8: 8. Density Forecasting
Session Chair: Patrick Coe, Carleton University
Date: March 17, 2011
Time: 11:00 - 12:30
Location: 211
Combining Predictive Densities using Bayesian Filtering with Applications to Economics and Finance
By Monica Billio; University of Venice. Roberto Casarin; University of Brescia. Francesco Ravazzolo; Norges Bank. Herman K. van Dijk; Erasmus University Rotterdam.
Presented by: Francesco Ravazzolo, Norges Bank
Real-time Inflation Forecast Densities from Ensemble Phillips Curves with Copula
By Anthony Garratt; Birkbeck College London James Mitchell; NIESR, London Shaun P. Vahey; Australian National University
Presented by: James Mitchell, NIESR
Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach
By Domenico Giannone, ECARES-ULB Michele Lenza, European Central Bank Daphne Momferatou, European Central Bank Luca Onorante, European Central Bank
Presented by: Michele Lenza, European Central Bank

Session 9: Open session
Date: March 17, 2011
Time: 11:00 - 12:30

Session 10: 9. Nonlinear Modeling
Session Chair: Junsoo Lee, University of Alabama
Date: March 17, 2011
Time: 11:00 - 12:30
Location: 212
Exchange-rate pass-through to import prices: nonlinearities and exchange rate and inflationary regimes
By Rehim Kilic; Koc University
Presented by: Rehim Kilic, Koc University
Interpreting U.S. Monetary Policy Using the Taylor Rule: A Regime-Switching Approach
By King Banaian; St. Cloud State University Ming Chien Lo; St. Cloud State University
Presented by: Ming Lo, St. Cloud State University
Sources of the Commodity Price Boom: A Time-Series Analysis of Agricultural Sectors
By Matt Holt; University of Alabama Walter Enders; University of Alabama
Presented by: Walter Enders, University of Alabama

Session 11: I. Invited Speaker: Dr. James Bullard, President, FRB St. Louis
Date: March 17, 2011
Time: 13:30 - 14:00
Location: 6th Floor Commons

Session 12: Open Session
Date: March 17, 2011
Time: 14:30 - 16:00

Session 13: 11. Forecasting with Opinion Pools
Session Chair: Francesco Ravazzolo, Norges Bank
Date: March 17, 2011
Time: 14:30 - 16:00
Location: 112
Nowcasting GDP in Real-Time: A Density Combination Approach
By Knut Are Aastveit; Norges Bank Karsten R. Gerdrup; Norges Bank Anne Sofie Jore; Norges Bank Leif Anders Thorsrud; Norges Bank
Presented by: Knut Are Aastveit, Norges Bank
The non-linear argumentation of economic historians
By Patrick J. Coe; Carleton University Shaun P. Vahey; Australian National University
Presented by: Patrick Coe, Carleton University
Optimal Prediction Pools with Macroeconometric Models
By Gianni Amisano; European Central Bank, Universita di Brescia John Geweke
Presented by: Gianni Amisano, Department of Economics University of Br

Session 14: 12. Financial Econometrics
Session Chair: Richard Baillie, Michigan State University
Date: March 17, 2011
Time: 14:30 - 16:00
Location: 211
Option Implied Volatilities and Corporate Bond Yields: A Dynamic Factor Approach
By Jian Hua; Baruch College CUNY
Presented by: Jian Hua, Baruch College
Indirect estimation of AR-ARCH, GARCH-M and EGARCH models
By Bent Jesper Christensen; Aarhus University Christian Moeller Dahl; University of Southern Denmark Emma M. Iglesias; University of Essex
Presented by: Christian Dahl, University of Southern Denmark
What Does Realized Volatility Tell Us About Macroeconomic Fluctuations?
By Marcelle Chauvet, University of California, Riverside Zeynep Senyuz, University of New Hampshire Emre Yoldas, Bentley University
Presented by: Zeynep Senyuz, University of New Hampshire

Session 15: 13. Learning and Applications
Session Chair: Jack Strauss, St. Louis University
Date: March 17, 2011
Time: 14:30 - 16:00
Location: 212
On the Stability of Least Squares Learning
By Chetan Dave; New York University James Feigenbaum: Utah State University
Presented by: James Feigenbaum, Utah State University
Learning Collateral Price
By Patrick A. Pintus; Aix-Marseille University and GREQAM-IDEP Jacek Suda, Banque de France and Paris School of Economics
Presented by: Jacek Suda, Banque de France - Paris School of Economics
Robust Out-of-Sample Forecast Tests
By Barbara Rossi, Duke University Atsushi Inoue, NC State
Presented by: Barbara Rossi, Duke University

Session 16: 14. Financial Instability & Forecasting
Session Chair: Michael Binder, Goethe University Frankfurt
Date: March 17, 2011
Time: 14:30 - 16:00
Location: 214
Concave Consumption Function under Borrowing Constraints
By Richard M. H. Suen University of California, Riverside
Presented by: Richard M. H. Suen, University of California, Riverside
The Instability of the Banking Sector and Macrodynamics: Theory and Empirics
By Stefan Mittnik (Dept. of Statistics, University of Munich) and Willi Semmler (Dept of Economics, New School for Social Research)
Presented by: Willi Semmler, New School for social Research
Forecasting Output Using Interest Rate Spreads: A Wavelet Decomposition Analysis
By Marco Gallegati; Universita Politecnica delle Marche, Ancona, Italy Willi Semmler; New School, New York, US James B. Ramsey; New York University, New York, US
Presented by: James Ramsey, New York University

Session 17: 15. Expectations, Learning & Asset Prices
Session Chair: James Feigenbaum, Utah State University
Date: March 17, 2011
Time: 16:30 - 18:00
Location: 111
Monetary Policy and Near-Rational Bubbles in a DSGE model
By Marco, Airaudo Roberta, Cardani Kevin, Lansing
Presented by: Roberta Cardani, Università degli Studi di Parma
Globalization and Volatility under Alternative Trade Structures
By Yunfang Hu; Tohoku Univdersity Kazuo Mino; Kyoto University
Presented by: Yunfang Hu, Tohoku University
Computational Methods for Production-Based Asset Pricing Models with Recursive Utility
By Eric M. Aldrich; Duke University Howard Kung; Duke University
Presented by: Eric Aldrich, Duke University

Session 18: 16. Exchange Rates
Session Chair: Agnieszka Markiewicz, Erasmus University Rotterdam
Date: March 17, 2011
Time: 16:30 - 18:00
Location: 112
A Macro-Finance Approach to Exchange Rate Determination
By Yu-chin Chen; University of Washington Kwok Ping Tsang; Virginia Tech
Presented by: Kwok Ping Tsang, Virginia Tech
The dynamics of real exchange rates - A reconsideration
By Florian Heinen; Leibniz University of Hannover Hendrik Kaufmann; Leibniz University of Hannover Philipp Sibbertsen; Leibniz University of Hannover
Presented by: Hendrik Kaufmann, Leibniz Universität Hannover
EXTREME RETURNS: The Case of Currencies
By Carol Osler; Brandeis University Tanseli Savaser; Williams College
Presented by: Tanseli Savaser, Williams College

Session 19: 17. Expectations
Session Chair: Ivan Paya, Lancaster University Management School
Date: March 17, 2011
Time: 16:30 - 18:00
Location: 211
Dynamic expectation formation in the foreign exchange market
By Saskia ter Ellen; Erasmus School of Economics Willem F.C. Verschoor; Erasmus School of Economics Remco C.J. Zwinkels; Erasmus School of Economics
Presented by: Saskia Ellen, Erasmus University Rotterdam
A Model of Autoregressive Conditional Exuberance for Detecting and Predicting Rational Asset Price Bubbles
By Anurag Banerjee; Durham Business School Guillaume Chevillon; Essec Business School and CREST-INSEE Marie Kratz; Essec Business School and MAP5 (UMR8145), Univ. Paris Descartes
Presented by: Guillaume Chevillon, ESSEC Business School & CREST-INSEE, Paris
Noncausality and Asset Pricing
By Matthijs Lof; University of Helsinki and HECER
Presented by: Matthijs Lof, University of Helsinki

Session 20: 18. Trends & Price Adjustment
Session Chair: Claudio Morana, Universita' del Piemonte Orientale
Date: March 17, 2011
Time: 16:30 - 18:00
Location: 212
Signal Extraction for multivariate nonstationary time series
By Thomas M. Trimbur; Federal Reserve Board Tucker S. McElroy; Census Bureau
Presented by: Thomas Trimbur, Federal Reserve Board
Trend Inflation and the New Keynesian Phillips Curve
By Pym Manopimoke; University of Kansas
Presented by: Pym Manopimoke, University of Kansas

Session 21: 19. Bayesian Methods
Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
Date: March 17, 2011
Time: 16:30 - 18:00
Location: 214
On the Long Run Volatility of Stocks: Time-Varying Predictive Systems
By Carlos M. Carvalho; University of Texas at Austin Hedibert F. Lopes; University of Chicago Robert E. McCulloch; University of Texas at Austin
Presented by: Hedibert Lopes, The University of Chicago
The distribution of the future value a portfolio: Incorporating uncertainty about the returns process
By Mark Fisher; Federal Reserve Bank of Atlanta Mark Jensen; Federal Reserve Bank of Atlanta
Presented by: Mark Fisher, Federal Reserve Bank of Atlanta
Bayesian semiparametric multivariate GARCH modeling
By Mark J. Jensen; Federal Reserve Bank of Atlanta John M. Maheu; University of Toronto
Presented by: John Maheu, University of Toronto

Session 22: II. Invited Speaker: Tao Zha, Federal Reserve Bank of Atlanta
Date: March 17, 2011
Time: 18:15 - 19:00

Session 23: 20. Policy & Financial Markets I
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Date: March 18, 2011
Time: 8:30 - 10:10
Location: 111
Financial Stress and Economic Dynamics: the transmission of crises
By Kirstin Hubrich; European Central Bank Robert J. Tetlow; Federal Reserve Board
Presented by: Kirstin Hubrich, European Central Bank
Informationally insensitive assets, market freezes, and monetary policy
By David Andolfatto; Federal Reserve Bank of St. Louis Alesander Berentsen; University of Basel
Presented by: David Andolfatto, Federal Reserve Bank of St. Louis
Credit and economic recovery: Demystifying Phoenix Miracles
By Michael Biggs; Deutsche Bank Thomas Mayer; Deutsche Bank Andreas Pick; Erasmus University Rotterdam
Presented by: Andreas Pick, Erasmus School of Economics (ESE)
Credit Crunch in a Small Open Economy
By Michal Brzoza-Brzezina; National Bank of Poland, Warsaw School of Economics; Krzysztof Makarski; National Bank of Poland, Warsaw School of Economics
Presented by: Krzysztof Makarski, National Bank of Poland

Session 24: 21. Asset Prices, Bubbles & Excess Volatility
Session Chair: Guillaume Chevillon, ESSEC Business School & CREST-INSEE, Paris
Date: March 18, 2011
Time: 8:30 - 10:10
Location: 112
The spirit of capitalism and complex stock price dynamics
By Marco Airaudo, Drexel University
Presented by: Marco Airaudo, Drexel University, LeBow Business School
Two Trees the EZ Way
By Nicole Branger; University of Muenster Ioana Dumitrescu; Goethe University Frankfurt Christian Schlag; Goethe University Frankfurt Vesela Ivanova; Goethe University Frankfurt
Presented by: Nicole Branger, University of Münster
Testing for asset price bubbles: the role of fat tails and endogeneity
By Ivan Paya; Economics Department Lancaster University, UK. David A. Peel; Economics Department Lancaster University, UK. Efthymios G. Pavlidis; Economics Department Lancaster University, UK.
Presented by: Ivan Paya, Lancaster University Management School
Understanding Hedge Fund Contagion: A Markov-switching Dynamic Factor Approach
By Ozgur (Ozzy) Akay; Texas Tech University Zeynep Senyuz; University of New Hampshire Emre Yoldas; Bentley University
Presented by: Emre Yoldas, Bentley University

Session 25: 22. Policy and Financial Markets II
Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco
Date: March 18, 2011
Time: 8:30 - 10:10
Location: 211
How Does Monetary Policy Respond to Financial Stress?
By Jaromír Baxa; Charles University Roman Horvath; Charles University Borek Vasicek; Universitat Autonoma de Barcelona
Presented by: Roman Horvath, Charles University
Financial Frictions and Credit Spreads
By Ke Pang; Wilfrid Laurier University Pierre Siklos; Wilfrid Laurier University
Presented by: Pierre Siklos, Wilfrid Laurier University
Forecaster-Perceived Monetary Policy Rules
By Jinill Kim; Federal Reserve Board Seth Pruitt; Federal Reserve Board
Presented by: Jinill Kim, Federal Reserve Board
News and Sovereign Default Risk in Emerging Economies
By Bora Durdu, Federal Reserve Board Ricardo Nunes, Federal Reserve Board Horacio Sapriza, Federal Reserve Board & Rutgers University
Presented by: Bora Durdu, Federal Reserve Board

Session 26: 23. Bubbles & Crashes
Session Chair: Renee Fry, Australian National University
Date: March 18, 2011
Time: 8:30 - 10:10
Location: 212
Financial market globalization and endogenous rise and fall of nations ∗
By Tomoo Kikuchi; National University of Singapore George Vachadze; College of Staten Island/City University of New York
Presented by: George Vachadze, Department of Economics
A Nonlinear Dynamic Model of Bubbles and Crashes
By Taisei Kaizoji; International Christian University
Presented by: Taisei Kaizoji, International Christian University
A Robust Model of Bubbles with Multidimensional Uncertainty
By Antonio Doblas-Madrid; Michigan State University
Presented by: Antonio Doblas-Madrid, Michigan State University
The Logistic Equation Application to Bubble-Build up (Information Complexity) Regime in the Stock Market; Synchronization of trading
By Rossitsa Yalamova; University of Lethbridge
Presented by: Rossitsa Yalamova, University of Lethbridge

Session 27: 24. Econometric Methodology
Session Chair: Christian Dahl, University of Southern Denmark
Date: March 18, 2011
Time: 8:30 - 10:10
Location: 214
Using transfer entropy to measure information flows from and to the CDS market
By Franziska Julia Peter; University of Tuebingen
Presented by: Franziska Peter, University of Tuebingen
Alternative versions of the RESET test for binary response index models: a comparative study
By Esmeralda A. Ramalho; Universidade de Evora Joaquim J.S. Ramalho; Universidade de Evora
Presented by: Joaquim Ramalho, Universidade de Evora
Estimating Behavioral Heterogeneity under Regime Switching
By Carl Chiarella; University of Technology, Sydney Xue-Zhong He; University of Technology, Sydney Weihong Huang; Nanyang Technological University Huanhuan Zheng; Nanyang Technological University
Presented by: Carl Chiarella, University of Technology Sydney

Session 28: 25. Dynamic Dependence
Session Chair: Daniel Henderson, State Univeristy of New York at Binghamt
Date: March 18, 2011
Time: 10:30 - 12:10
Location: 111
A nonparametric constancy test for copulas under mixing conditions
By Maarten van Kampen; Ruhr Graduate School and TU Dortmund Dominik Wied; TU Dortmund
Presented by: Maarten van Kampen, TU Dortmund
Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence
By Tom De Groote; Ghent University, Sherppa Gerdie Everaert; Ghent University, Sherppa
Presented by: Tom De Groote, Ghent University
A New Model for Dynamic Correlations under Skewness and Fat Tails
By Xin Zhang; VU University Amsterdam and Tinbergen Institute Drew Creal; University of Chicago Siem Jan Koopman; VU University Amsterdam and Tinbergen Institute Andre Lucas; VU University Amsterdam and Tinbergen Institute
Presented by: Xin Zhang, Tinbergen Institute / VU Amsterdam
Yes, This Time is Different
By Renée Fry; ANU Yu Hsiao; ANU Chrismin Tang; Latrobe University
Presented by: Renee Fry, Australian National University

Session 29: 26. Environmental Economics
Session Chair: Robert Vigfusson, Federal Reserve Board
Date: March 18, 2011
Time: 10:30 - 12:10
Location: 112
How Nonlinear Dynamics Complicate Global Warming
By J. Barkley Rosser, Jr.: James Madison University
Presented by: Barkley Rosser, James Madison University
The Market Microstructure of the European Climate Exchange
By Bruce Mizrach; Rutgers University Yoichi Otsubo; Rutgers University
Presented by: Bruce Mizrach, Rutgers University
The Dynamic Relationship between Carbon Returns, Trading Volume and Volatility - A high frequency perspective
By Daniel Rittler; University of Heidelberg
Presented by: Daniel Rittler, University of Heidelberg
Evaluating the carbon-macroeconomy relationship: Evidence from threshold error-correction and Markov-switching VAR models
By Julien Chevallier; University Paris Dauphine
Presented by: Julien Chevallier, University Paris Dauphine

Session 30: 27. Markov Switching
Session Chair: James Morley, University of New South Wales
Date: March 18, 2011
Time: 10:30 - 12:10
Location: 211
Human Capital, Institutions and Transitions Between Growth Regimes
By Christina Steiger
Presented by: Christina Steiger, Northeastern University
BUBBLES OR VOLATILITY: A MARKOV-SWITCHING UNIT ROOT TEST WITH REGIME-VARYING ERROR VARIANCE
By Shu-Ping SHI; Research School of Economics, The Australian National University
Presented by: shuping shi, The Australian National University
Business Cycle Comovements in Industial Subsectors
By Michael Owyang; Federal Reserve Bank of St. Louis James Hamilton; University of California, San Diego
Presented by: Michael Owyang, Federal Reserve Bank of St Louis
Does Bootstrap Testing Perform Well for Markov Switching Models?
By Zohra Rabah; Nancy University
Presented by: zohra rabah, Nancy University (BETA)

Session 31: 28. Business Cycles
Session Chair: Mark Wohar, University of Nebraska-Omaha
Date: March 18, 2011
Time: 10:30 - 12:10
Location: 212
The Effect of the Stance of Monetary Policy on the Transmission Mechanism
By Ana Beatriz Galvao; Queen Mary University of London Massimiliano Marcellino; European University Institute
Presented by: Ana Beatriz Galvao, Queen Mary, University of London
Dating U.S. Business Cycles with Macro Factors
By Sebastian Fossati; University of Alberta
Presented by: Sebastian Fossati, University of Alberta
An Endogenous Clustered Factor Approach to International Business Cycles
By Neville R. Francis; University of North Carolina at Chapel Hill Michael T. Owyang; Federal Reserve Bank of St. Louis Ozge Savascin; University of North Carolina at Chapel Hill
Presented by: Ozge Savascin, UNC-CH
Asymmetric Phase Shifts in the U.S. Industrial Production Cycles
By Yongsung Chang; University of Rochester Sunoong Hwang; Korea Institute for Industrial Economics and Trade
Presented by: Sunoong Hwang, KIET

Session 32: 29. Monetary & Fiscal Policy
Session Chair: Kirstin Hubrich, European Central Bank
Date: March 18, 2011
Time: 10:30 - 12:10
Location: 214
Unconventional Monetary Policy and the Great Recession
By Christiane Baumeister; Bank of Canada Luca Benati; Banque de France
Presented by: Christiane Baumeister, Bank of Canada
On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model
By Sarah Zubairy; Bank of Canada
Presented by: Sarah Zubairy, Bank of Canada
The macroeconomic effects of unstable monetary policy objectives
By Davide Debortoli; UC San Diego Ricardo Nunes; Federal Reserve Board
Presented by: Ricardo Nunes, Federal Reserve Board
On the Effects of Monetary Policy Shocks on Exchange Rates
By Michael Binder; Goethe University Frankfurt and Center for Financial Studies Qianying Chen; Hong Kong Monetary Authority and Goethe University Frankfurt Xuan Zhang; Goethe University Frankfurt
Presented by: Michael Binder, Goethe University Frankfurt

Session 33: 30. Aggregation
Session Chair: Tara Sinclair, George Washington University
Date: March 18, 2011
Time: 13:30 - 15:10
Location: 111
The Role of Aggregation in the Nonlinear Relationship Between Monetary Policy and Output
By Luiggi Donayre; Indiana University
Presented by: Luiggi Donayre, Washington University in St. Louis
The Stickiness of Aggregate Consumption Growth in OECD Countries: A Panel Data Analysis
By Gerdie Everaert; SHERPPA, Ghent University
Presented by: Gerdie Everaert, Ghent University
A new model-based approach to measuring financial market integration
By Tino Berger, University of Muenster Lorenzo Pozzi, University of Rotterdam and Tinbergen Institute
Presented by: Tino Berger, Westfaelische Wilhelms-Universitaet Muen
Temporal Biases of Unit Root Processes and Implications for Asset Prices
By Yamin Ahmad; University of Wisconsin - Whitewater Ivan Paya; Lancaster University Management School
Presented by: Yamin Ahmad, University of Wisconsin - Whitewater

Session 34: 31. Structural Breaks and Nonlinearity
Session Chair: Seth Pruitt, Federal Reserve Board of Governors
Date: March 18, 2011
Time: 13:30 - 15:10
Location: 112
Testing for and Estimating Structural Breaks and Other Nonlinearities in a Dynamic Monetary Sector
By Neil R. Ericsson; Federal Reserve Board
Presented by: Neil R Ericsson, Federal Reserve Board
Testing for Short-Run Threshold Effects in a Vector Error-Correction Framework: A Reappraisal of the Stability of the U.S. Money Demand
By Bertrand Candelon; Maastricht University Lenard Lieb; Maastricht University
Presented by: Lenard Lieb, Maastricht University
Persistence and Non-Linearity of Simulated DSGE Real Exchange Rates
By Yamin Ahmad; University of Wisconsin - Whitewater Ming Chien Lo; St. Cloud State University Olena Mykhaylova; University of Richmond
Presented by: Olena Mykhaylova, University of Richmond
Structural Breaks of Inflation Dynamics in Intercept, Persistence, or Conditional Variance
By Yunjong Eo; University of Sydney
Presented by: Yunjong Eo, University of Sydney

Session 35: 32. Productivity & Growth
Session Chair: Carl Chiarella, University of Technology Sydney
Date: March 18, 2011
Time: 13:30 - 15:10
Location: 211
Technological Diffusion and Its Effects on Social Inequalities
By Manuela Magalhaes; University of Warwick Christian Hellstrom; University of Turku
Presented by: Manuela Magalhaes, University of Warwick
Training or Search? Evidence and an Equilibrium Model
By Jun Nie; Federal Reserve Bank of Kansas City
Presented by: Jun Nie, Federal Reserve Bank of Kansas City
Technology Diffusion, Capital Intensity, and Asset Prices
By Kevin Lansing; Federal Reserve Bank of San Francisco; Agnieszka Markiewicz; Erasmus University Rotterdam
Presented by: Agnieszka Markiewicz, Erasmus University Rotterdam

Session 36: 33. Financial Markets & Macro
Session Chair: Willi Semmler, New School for social Research
Date: March 18, 2011
Time: 13:30 - 15:10
Location: 212
Credit Termination and the Technology Bubbles
By Yu Jin; Iowa State University
Presented by: Yu Jin, Iowa State University
Collateral Constraints and Growth Thresholds in an Open Economy
By Philip L. Brock; University of Washington
Presented by: Philip Brock, University of Washington
Imperfect Knowledge about Asset Prices and Credit Cycles
By Pei Kuang Goethe University Frankfurt
Presented by: Pei Kuang, Goethe University Frankfurt
The anatomy of standard DSGE models with financial frictions
By Michal Brzoza-Brzezina; National Bank of Poland and Warsaw School of Economics Marcin Kolasa; National Bank of Poland and Warsaw School of Economics Krzysztof Makarski; National Bank of Poland and Warsaw School of Economics
Presented by: Krzysztof Makarski, National Bank of Poland

Session 37: 34. Financial Topics
Session Chair: Marco Airaudo, Drexel University, LeBow Business School
Date: March 18, 2011
Time: 13:30 - 15:10
Location: 214
Bond premia and monetary policy over 40 years
By Peter Hoerdahl; Bank for International Settlements Oreste Tristani; European Central Bank
Presented by: Peter Hördahl, Bank for International Settlements
GDP Growth Predictions through the Yield Spread. Time-Variation and Structural Breaks
By Pierangelo De Pace; Pomona College
Presented by: Pierangelo De Pace, Pomona College
On the (ir)relevance of financial development on economic growth
By Daniel J. Henderson; State University of New York at Binghamton Chris Papageorgiou; International Monetary Fund Christopher F. Parmeter; University of Miami
Presented by: Daniel Henderson, State Univeristy of New York at Binghamt
Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation
By Jinzhao CHEN; EconomiX, University of Paris West - Nanterre la Défense
Presented by: Jinzhao Chen, University Paris West - Nanterre la Défense

This program was last updated on 2011-03-14 16:10:27 EDT

Session 38: III. Craig Hiemstra Memorial Session: Enrique Mendoza, University of Maryland; John C.Williams, President and CEO, Federal Reserve Bank of San Francisco
Date: March 18, 2011
Time: 15:30 - 17:00
Location: 6th Floor Commons