19th Annual Symposium Society for Nonlinear Dynamics and Econometrics

Summary of All Sessions

#Date/TimeLocationTitlePapers
1March 17, 2011
9:00-10:30
111 1. Stationarity & Cointegration3
2March 17, 2011
9:00-10:30
112 2. Long Memory & Persistence3
3March 17, 2011
9:00-10:30
211 3. Forecasting and Financial Shocks3
4March 17, 2011
9:00-10:30
212 4. Monetary Policy & Business Cycles3
5March 17, 2011
9:00-10:30
214 5. Forecasting3
6March 17, 2011
11:00-12:30
111 6. Applied Econometrics3
7March 17, 2011
11:00-12:30
112 7. Nonlinearity, Asymmetry, and Oil3
8March 17, 2011
11:00-12:30
211 8. Density Forecasting3
9March 17, 2011
11:00-12:30
N/A Open session0
10March 17, 2011
11:00-12:30
212 9. Nonlinear Modeling3
11March 17, 2011
13:30-14:00
6th Floor Commons I. Invited Speaker: Dr. James Bullard, President, FRB St. Louis0
12March 17, 2011
14:30-16:00
N/A Open Session0
13March 17, 2011
14:30-16:00
112 11. Forecasting with Opinion Pools3
14March 17, 2011
14:30-16:00
211 12. Financial Econometrics3
15March 17, 2011
14:30-16:00
212 13. Learning and Applications3
16March 17, 2011
14:30-16:00
214 14. Financial Instability & Forecasting3
17March 17, 2011
16:30-18:00
111 15. Expectations, Learning & Asset Prices3
18March 17, 2011
16:30-18:00
112 16. Exchange Rates3
19March 17, 2011
16:30-18:00
211 17. Expectations3
20March 17, 2011
16:30-18:00
212 18. Trends & Price Adjustment2
21March 17, 2011
16:30-18:00
214 19. Bayesian Methods3
22March 17, 2011
18:15-19:00
N/A II. Invited Speaker: Tao Zha, Federal Reserve Bank of Atlanta0
23March 18, 2011
8:30-10:10
111 20. Policy & Financial Markets I4
24March 18, 2011
8:30-10:10
112 21. Asset Prices, Bubbles & Excess Volatility4
25March 18, 2011
8:30-10:10
211 22. Policy and Financial Markets II4
26March 18, 2011
8:30-10:10
212 23. Bubbles & Crashes4
27March 18, 2011
8:30-10:10
214 24. Econometric Methodology3
28March 18, 2011
10:30-12:10
111 25. Dynamic Dependence4
29March 18, 2011
10:30-12:10
112 26. Environmental Economics4
30March 18, 2011
10:30-12:10
211 27. Markov Switching4
31March 18, 2011
10:30-12:10
212 28. Business Cycles4
32March 18, 2011
10:30-12:10
214 29. Monetary & Fiscal Policy4
33March 18, 2011
13:30-15:10
111 30. Aggregation4
34March 18, 2011
13:30-15:10
112 31. Structural Breaks and Nonlinearity4
35March 18, 2011
13:30-15:10
211 32. Productivity & Growth3
36March 18, 2011
13:30-15:10
212 33. Financial Markets & Macro4
37March 18, 2011
13:30-15:10
214 34. Financial Topics4
38March 18, 2011
15:30-17:00
6th Floor Commons III. Craig Hiemstra Memorial Session: Enrique Mendoza, University of Maryland; John C.Williams, President and CEO, Federal Reserve Bank of San Francisco0
 

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