Society for Nonlinear Dynamics and Econometrics 21st Annual Symposium

University of Milano-Bicocca, Milan, Italy

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Session
ID code
Date/TimeLocationTitlePapers
1March 28, 2013
8:55-9:45
Martini, U6-4 Welcoming Plenary Session with Prof. Gary Koop, University of Strathclyde0
2March 28, 2013
9:45-11:15
1a Forecast Rationality/Optimality3
3March 28, 2013
9:45-11:15
1b Financial Economics3
4March 28, 2013
9:45-11:15
1c Tools for Macroeconometric Analysis3
5March 28, 2013
9:45-11:15
1e Autoregressive Processes3
6March 28, 2013
9:45-11:15
1f Economic Growth3
7March 28, 2013
9:45-11:15
1d Long Memory3
8March 28, 2013
11:45-13:15
1a Forecasting and Volatility3
9March 28, 2013
11:45-13:15
1b Theoretical Finance3
10March 28, 2013
11:45-13:15
1c Noise, Stress, and Uncertainty3
11March 28, 2013
11:45-13:15
1e Testing Predictability2
12March 28, 2013
11:45-13:15
1f Fiscal Policy and Growth3
13March 28, 2013
11:45-13:15
1d Commodities and Financial Markets3
14March 28, 2013
14:30-16:00
1a VARs and Forecasting3
15March 28, 2013
14:30-16:00
1b Financial Market Volatility3
16March 28, 2013
14:30-16:00
1c Monetary and Fiscal Policy3
17March 28, 2013
14:30-16:00
1e Copulas3
18March 28, 2013
14:30-16:00
1f International Macro I3
20March 28, 2013
16:30-18:00
1a Forecasting I3
21March 28, 2013
16:30-18:00
1b Financial Market Volatility and Speculation3
22March 28, 2013
16:30-18:00
1c International Macro II3
23March 28, 2013
16:30-18:00
1e Multivariate Modeling3
24March 28, 2013
16:30-18:00
1f Learning3
25March 28, 2013
16:30-18:00
1d Macro-Finance Linkages3
26March 29, 2013
9:00-10:30
1a Forecasting II2
27March 29, 2013
9:00-10:30
1b Financial Econometrics I3
28March 29, 2013
9:00-10:30
1c Oil Price Shocks3
29March 29, 2013
9:00-10:30
1e Structural Breaks3
30March 29, 2013
9:00-10:30
1f Financial Frictions I3
31March 29, 2013
9:00-10:30
1d Purchasing Power Parity and Interest Rate Parity3
32March 29, 2013
11:00-12:30
1a Oil Prices and Financial Markets3
33March 29, 2013
11:00-12:30
1b Financial Econometrics II2
34March 29, 2013
11:00-12:30
1c 1c 1c Macroeconometrics I3
35March 29, 2013
11:00-12:30
1e Skewness3
36March 29, 2013
11:00-12:30
1f Financial Frictions II3
38March 29, 2013
14:00-15:30
1a Oil Prices and the Macroeconomy2
39March 29, 2013
14:00-15:30
1b Financial Econometrics III3
40March 29, 2013
14:00-15:30
1c Macroeconometrics II3
41March 29, 2013
14:00-15:30
1f Macroeconomics and Growth3
42March 29, 2013
16:00-17:30
U6-4 Craig Hiemstra Memorial Lecture with Prof. Sir David F. Hendry, University of Oxford, "Deciding between Alternative Approaches in Macroeconomics"0
 

40 sessions, 110 papers, and 0 presentations with no associated papers


 

Society for Nonlinear Dynamics and Econometrics 21st Annual Symposium

Detailed List of Sessions

 
Session ID 1: Welcoming Plenary Session with Prof. Gary Koop, University of Strathclyde
March 28, 2013 8:55 to 9:45
Martini, U6-4
 
Session Chair: James Morley, University of New South Wales
 
Session ID 2: Forecast Rationality/Optimality
March 28, 2013 9:45 to 11:15
1a
 
Session Chair: Francesco Ravazzolo, Norges Bank
 

Conservatism in Inflation Forecasts
By Monica Jain; Bank of Canada
   Presented by: Monica Jain, Bank of Canada
 

The Federal Reserve'’s Forecast Asymmetries Over the Business Cycle
By Julieta Caunedo; Washington University in St. Louis
Riccardo DiCecio; Federal Reserve Bank of St. Louis
Ivana Komunjer; University of California, San Diego
Michael Owyang; Federal Reserve Bank of St Louis
   Presented by: Riccardo DiCecio, Federal Reserve Bank of St. Louis
 

Forecast Optimality Tests in the Presence of Instabilities
By Barbara Rossi; ICREA-UPF and BGSE
Tatevik Sekhposyan; Bank of Canada
   Presented by: Tatevik Sekhposyan, Bank of Canada
 
Session ID 3: Financial Economics
March 28, 2013 9:45 to 11:15
1b
 
Session Chair: Gaetano Antinolfi, Washington University and Federal Reserve Board
 

Linear Predictability Vs. Bull and Bear Market Models in Strategic Asset Allocation Decisions: Evidence from UK Data
By Massimo Guidolin; Bocconi University
   Presented by: Massimo Guidolin, Bocconi University
 

Testing the Economic Value of Asset Return Predictability
By Michael McCracken; Federal Reserve Bank of St. Louis
   Presented by: Michael McCracken, Federal Reserve Bank of St. Louis
 

The Economics of Options-Implied In Probability Density Functions
By Yuriy Kitsul; Federal Reserve Board
Jonathan Wright; Johns Hopkins University
   Presented by: Yuriy Kitsul, Federal Reserve Board
 
Session ID 4: Tools for Macroeconometric Analysis
March 28, 2013 9:45 to 11:15
1c
 
Session Chair: Sarah Zubairy, Bank of Canada
 

On the Estimation of Dynamic Stochastic General Equilibrium Models: An Empirical Likelihood Approach
By Sara Riscado; Universidad Carlos III
   Presented by: Sara Riscado, Universidad Carlos III
 

Mixed Frequency Structural Models: Identification, Estimation, and Policy Analysis
By Claudia Foroni; Norges Bank
Massimiliano Marcellino; European University Institute
   Presented by: Claudia Foroni, Norges Bank
 

A Unified Theory for Time Varying Models with Applications to Economics and Finance (and some results on companion and continuant matrices)
By menelaos karanasos; public
Stavros Dafnos; Brunel University
Alexandros Paraskevopoulos
   Presented by: menelaos karanasos, public
 
Session ID 5: Autoregressive Processes
March 28, 2013 9:45 to 11:15
1e
 
Session Chair: Timo Teräsvirta, Aarhus University
 

A Gaussian Mixture Autoregressive Model for Univariate Time Series
By Leena Kalliovirta; University of Helsinki
Mika Meitz; Koc University
Pentti Saikkonen; University of Helsinki
   Presented by: Leena Kalliovirta, University of Helsinki
 

Bias-Corrected Estimation in Potentially Mildly Explosive Autoregressive Models
By Hendrik Kaufmann; Leibniz Universität Hannover
Robinson Kruse; Leibniz University Hannover
   Presented by: Hendrik Kaufmann, Leibniz Universität Hannover
 

Generalizing Smooth Transition Autoregressions
By Emilio Zanetti Chini; University of Rome
   Presented by: Emilio Zanetti Chini, University of Rome
 
Session ID 6: Economic Growth
March 28, 2013 9:45 to 11:15
1f
 
Session Chair: Daniel Henderson, University of Alabama
 

On the Determinants of Distribution Dynamics: a New Method and an Application to a Cross-Section of Countries
By Davide Fiaschi; University of Pisa
Andrea Mario Lavezzi; Università di Palermo
Angela Parenti; Università di Pisa
   Presented by: Angela Parenti, Università di Pisa
 

Top Incomes, Rising Inequality, and Welfare
By Kevin Lansing; Federal Reserve Bank of San Francisco and Norges Bank
Agnieszka Markiewicz; Erasmus University Rotterdam
   Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco and Norges Bank
 

Growth and Convergence with a Normalized CES Production Function and Additive Human Capital
By Gerald Daniels; University of California, Riverside
   Presented by: Gerald Daniels, University of California, Riverside
 
Session ID 7: Long Memory
March 28, 2013 9:45 to 11:15
1d
 
Session Chair: M. Ege Yazgan, Istanbul Bilgi University
 

Variance Ratio Testing for Fractional Cointegration in the Presence of Trends and Trendbreaks
By Andreas Dechert; Julius-Maximilians-University Wuerzburg
   Presented by: Andreas Dechert, Julius-Maximilians-University Wuerzburg
 

Fractional Integration Versus Level Shifts: The Case of Realized Asset Correlations
By Philip Bertram; University of Hanover
Robinson Kruse; Leibniz University Hannover
Philipp Sibbertsen; Leibniz Universitaet Hannover
   Presented by: Philipp Sibbertsen, Leibniz Universitaet Hannover
 

Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS Spreads Term Structure
By Claudio Morana; Department of Economics
   Presented by: Claudio Morana, Department of Economics
 
Session ID 8: Forecasting and Volatility
March 28, 2013 11:45 to 13:15
1a
 
Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
 

Do We Need Intra-Daily Data to Forecast Daily Volatility?
By GEORGIANA DENISA BANULESCU; Univ of Orléans and Maastricht Univ
Bertrand Candelon; Maastricht University
Christophe Hurlin; University of Orléans
Sébastien Laurent; Maastricht University
   Presented by: GEORGIANA DENISA BANULESCU, Univ of Orléans and Maastricht Univ
 

Common Drifting Volatility in Large Bayesian Vars
By Andrea Carriero; Queen Mary Univerity of London
   Presented by: Andrea Carriero, Queen Mary Univerity of London
 

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
By Todd Clark; Federal Reserve Bank of Cleveland
Francesco Ravazzolo; Norges Bank
   Presented by: Francesco Ravazzolo, Norges Bank
 
Session ID 9: Theoretical Finance
March 28, 2013 11:45 to 13:15
1b
 
Session Chair: Saskia Ellen, Erasmus University Rotterdam
 

Using Pigouvian Taxes To Correct Banking Externalities: A Cautionary Tale
By Enzo Dia; Università degli Studi di Milano-Bicocca
David VanHoose; Baylor University
   Presented by: Enzo Dia, Università degli Studi di Milano-Bicocca
 

Life-Cycle Portfolio Choice with Liquid and Illiquid Financial Assets
By Claudio Campanale; University of Alicante
Carolina Fugazza; Università Milano Bicocca; CeRP-Collegio Carlo Alberto
Francisco Gomes; London Business School
   Presented by: Claudio Campanale, University of Alicante
 

Monetary Policy and Debt Deflation: Some Computational Experiments
By Carl Chiarella; University of Technology Sydney
Corrado Di Guilmi; University of Technology, Sydney
Timo Henkel; Australian National University
   Presented by: Carl Chiarella, University of Technology Sydney
 
Session ID 10: Noise, Stress, and Uncertainty
March 28, 2013 11:45 to 13:15
1c
 
Session Chair: TengTeng Xu, Bank of Canada
 

Identifying Noise Shocks: a VAR with Data Revisions
By Riccardo Maria Masolo; Bank of England
Alessia Paccagnini; Bicocca University
   Presented by: Riccardo Maria Masolo, Bank of England
 

Measuring Economic Stress with a Factor-Augmented Smooth Transition Model
By Ana Beatriz Galvao; Queen Mary, University of London
Michael Owyang; Federal Reserve Bank of St Louis
   Presented by: Michael Owyang, Federal Reserve Bank of St Louis
 

Non-Linear Macroeconomic Reactions to Uncertainty Shocks in the U.S.
By Giovanni Caggiano; University of Padua
Efrem Castelnuovo; University of Padova
Nicolas Groshenny; Reserve Bank of New Zealand
   Presented by: Efrem Castelnuovo, University of Padova
 
Session ID 11: Testing Predictability
March 28, 2013 11:45 to 13:15
1e
 
Session Chair: Richard Baillie, Michigan State University
 

The Cross-Quantilogram and Testing Directional Predictability between Time Series
By Heejoon Han; Kyung Hee University
Tatsushi Oka; National University of Singapore
Yoon-Jae Whang; Seoul National University
   Presented by: Tatsushi Oka, National University of Singapore
 

Nonlinear Granger Causality: Guidelines for Multivariate Analysis
By Cees Diks; University of Amsterdam
Marcin Wolski; University of Amsterdam
   Presented by: Marcin Wolski, University of Amsterdam
 
Session ID 12: Fiscal Policy and Growth
March 28, 2013 11:45 to 13:15
1f
 
Session Chair: Gerald Daniels, University of California, Riverside
 

Endogenous Growth with Public Capital and Progressive Taxation
By Constantine Angyridis; Ryerson University
   Presented by: Constantine Angyridis, Ryerson University
 

Government Debt and Economic Growth: Threshold Estimation in Nonparametric Regression
By Daniel Henderson; University of Alabama
   Presented by: Daniel Henderson, University of Alabama
 

Balanced Budget, Patterns of Aggregate Fluctuations and an Overlapping Generations Model with Externalities
By Yoichi Gokan; Ritsumeikan University
   Presented by: Yoichi Gokan, Ritsumeikan University
 
Session ID 13: Commodities and Financial Markets
March 28, 2013 11:45 to 13:15
1d
 
Session Chair: Ivan Paya, Lancaster University Management School
 

Ethanol and Field Crops in the U.S.: Predictability Beyond the Mean?
By Andrea Bastianin; University of Milan-Bicocca
Marzio Galeotti; Università degli studi di Milano
Matteo Manera; University of Milano-Bicocca
   Presented by: Matteo Manera, University of Milano-Bicocca
 

Biofuels or Financialization: Explaining the Increased Correlation between Grains and Crude Oil Prices
By Harriet Mugera; University of Trento
Christopher Gilbert; University of Trento
   Presented by: Harriet Mugera, University of Trento
 

Testing for Bubbles in LME Metals Prices
By Isabel Figuerola-Ferretti; Universidad Carlos III de Madrid
Christopher Gilbert; University of Trento
Roderick McCrorie; University of St Andrews
   Presented by: Isabel Figuerola-Ferretti, Universidad Carlos III de Madrid
 
Session ID 14: VARs and Forecasting
March 28, 2013 14:30 to 16:00
1a
 
Session Chair: Christiane Baumeister, Bank of Canada
 

Forecasting with a Noncausal VAR Model
By Henri Nyberg; University of Helsinki
Pentti Saikkonen; University of Helsinki
   Presented by: Henri Nyberg, University of Helsinki
 

A New Index of Financial Conditions
By Gary Koop; University of Strathclyde
Dimitris Korobilis; University of Glasgow
   Presented by: Dimitris Korobilis, University of Glasgow
 

Forecasting with Bayesian Multivariate Vintage-Based VARs
By Andrea Carriero; Queen Mary Univerity of London
Michael Clements; UNIVERSITY OF WARWICK
Ana Beatriz Galvao; Queen Mary, University of London
   Presented by: Ana Beatriz Galvao, Queen Mary, University of London
 
Session ID 15: Financial Market Volatility
March 28, 2013 14:30 to 16:00
1b
 
Session Chair: Drew Creal, University of Chicago
 

A Stochastic Volatility Jump Model: Market Induced or Stock Specific Jumps?
By Serda Ozturk; Istanbul Bilgi University
   Presented by: Serda Ozturk, Istanbul Bilgi University
 

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Pocess Mixture
By Mark Jensen; Atlanta Federal Reserve Bank
   Presented by: Mark Jensen, Atlanta Federal Reserve Bank
 

Rational Speculators, Contrarians and Excess Volatility
By Matthijs Lof; University of Helsinki
   Presented by: Matthijs Lof, University of Helsinki
 
Session ID 16: Monetary and Fiscal Policy
March 28, 2013 14:30 to 16:00
1c
 
Session Chair: Irina Panovska, Washington University in St. Louis
 

Financial Instability and Monetary Policy
By Venoo Kakar; University of California, Riverside
   Presented by: Venoo Kakar, University of California, Riverside
 

Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison
By Anna Kormilitsina; Southern Methodist University
Sarah Zubairy; Bank of Canada
   Presented by: Sarah Zubairy, Bank of Canada
 

The Changing Transmission Mechanism of U.S. Monetary Policy
By Norhana Endut; Central Bank of Malaysia
James Morley; University of New South Wales
Pao-Lin Tien; Wesleyan University
   Presented by: Pao-Lin Tien, Wesleyan University
 
Session ID 17: Copulas
March 28, 2013 14:30 to 16:00
1e
 
Session Chair: Svetlana Borovkova, Vrije Universiteit Amsterdam
 

Commodity and Equity Markets: Some Stylized Facts from a Copula Approach.
By Claude Lopez; Banque de France
Anne-Laure Delatte; Rouen Business School
   Presented by: Claude Lopez, Banque de France
 

Modeling Contagion in the EMU Crisis: A Conditional Copula Approach
By Christian Leschinski; Leibniz Universität Hannover
Philip Bertram; University of Hanover
   Presented by: Christian Leschinski, Leibniz Universität Hannover
 

Copula-Based Nonlinear Models of Spatial Market Linkages
By Gulcan Onel; University of Florida
Barry Goodwin; North Carolina State University
Matthew Holt; Univesity of Alabama
Jeffrey Prestemon; Forest Service, Southern Research Servi
   Presented by: Gulcan Onel, University of Florida
 
Session ID 18: International Macro I
March 28, 2013 14:30 to 16:00
1f
 
Session Chair: Efthymios Pavlidis, Lancaster University Management School
 

Consistent Expectations and the Behavior of Exchange Rates
By Kevin Lansing; Federal Reserve Bank of San Francisco and Norges Bank
Jun Ma; University of Alabama-Tuscaloosa
   Presented by: Jun Ma, University of Alabama
 

The Cost of Adjustment: On Comovement between the Trade Balance and the Terms of Trade
By Alexandre Dmitriev; University of Tasmania
Ivan Roberts; Reserve Bank of Australia
   Presented by: Alexandre Dmitriev, University of Tasmania
 

A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation
By Efthymios Pavlidis; Lancaster University Management School
Ivan Paya; Lancaster University Management School
David Peel; Lancaster University Management School
   Presented by: Ivan Paya, Lancaster University Management School
 
Session ID 20: Forecasting I
March 28, 2013 16:30 to 18:00
1a
 
Session Chair: Richard Ashley, Virginia Tech
 

Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE Model
By Stelios Bekiros; European University Institute (EUI)
Alessia Paccagnini; Bicocca University
   Presented by: Alessia Paccagnini, Bicocca University
 

Markov-Switching Mixed Frequency VAR Models
By Claudia Foroni; Norges Bank
Pierre Guerin; Bank of Canada
Massimiliano Marcellino; European University Institute
   Presented by: Pierre Guerin, Bank of Canada
 

Forecasting the Distribution of Economic Variables in a Data-Rich Environment
By Sebastiano Manzan; Baruch College, CUNY
   Presented by: Sebastiano Manzan, Baruch College, CUNY
 
Session ID 21: Financial Market Volatility and Speculation
March 28, 2013 16:30 to 18:00
1b
 
Session Chair: Carl Chiarella, University of Technology Sydney
 

Two Volatility Term Structures
By Xiaoyu Shen; VU University Amsterdam
   Presented by: Xiaoyu Shen, VU University Amsterdam
 

It’s All About Volatility (of volatility): Evidence from a Two-Factor Stochastic Volatility Model
By Stefano Grassi; Aarhus University
Paolo de Magistris; CREATES - University of Aarhus
   Presented by: Stefano Grassi, Aarhus University
 

Fear or Fundamentals? Speculative Behaviour in the European CDS Market
By Saskia Ellen; Erasmus University Rotterdam
Carl Chiarella; University of Technology Sydney
Tony He; University of Technology Sydney
Eliza Wu; University of Technology, Sydney
   Presented by: Saskia Ellen, Erasmus University Rotterdam
 
Session ID 22: International Macro II
March 28, 2013 16:30 to 18:00
1c
 
Session Chair: Dimitris Korobilis, University of Glasgow
 

Symmetry and Separability in Two--Country Cointegrated VAR Models: Representation and Testing
By Hans-Martin Krolzig; The University of Kent
Reinhold Heinlein; University of Kent
   Presented by: Hans-Martin Krolzig, The University of Kent
 

Measuring the Connectedness of the Global Economy
By Matthew Greenwood-Nimmo; University of Leeds
viet nguyen; Melbourne Institute of Applied Economic and Social Research
yongcheol shin; university of york
   Presented by: Matthew Greenwood-Nimmo, University of Leeds
 

Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis
By Yvonne Adema; Erasmus University Rotterdam
Lorenzo Pozzi; Erasmus University Rotterdam
   Presented by: Lorenzo Pozzi, Erasmus University Rotterdam
 
Session ID 23: Multivariate Modeling
March 28, 2013 16:30 to 18:00
1e
 
Session Chair: Philip Bertram, University of Hanover
 

Testing Non-linearity in Multivariate Time Series
By Marian Vavra; NBS
   Presented by: Marian Vavra, National Bank of Slovakia
 

Inference for Impulse Response Functions From Multivariate Strongly Persistent Processes
By Richard Baillie; Michigan State University
George Kapetanios; Queen Mary, University of London
   Presented by: Richard Baillie, Michigan State University
 

Testing the Constancy of Conditional Correlations in Multivariate GARCH-Type Models
By Anne Péguin-Feissolle
Bilel Sanhaji; Aix-Marseille University -- Aix-Marseille School of Economics
   Presented by: Bilel Sanhaji, Aix-Marseille University -- Aix-Marseille School of Economics
 
Session ID 24: Learning
March 28, 2013 16:30 to 18:00
1f
 
Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco and Norges Bank
 

On the Plausibility of Adaptive Learning in Macroeconomics: A Puzzling Conflict in the Choice of the Representative Algorithm
By Jaqueson Galimberti; The University of Manchester
Michele Berardi; University of Manchester
   Presented by: Jaqueson Galimberti, The University of Manchester
 

E-stability That Does Imply Learnability
By Anna Bogomolova; CERGE-EI
Dmitri Kolyuzhnov; Charles University-Academy of Sciences
   Presented by: Dmitri Kolyuzhnov, Charles University-Academy of Sciences
 

Adaptive Learning and Survey Data
By Agnieszka Markiewicz; Erasmus University Rotterdam
Andreas Pick; Erasmus School of Economics (ESE)
   Presented by: Agnieszka Markiewicz, Erasmus University Rotterdam
 
Session ID 25: Macro-Finance Linkages
March 28, 2013 16:30 to 18:00
1d
 
Session Chair: Tara Sinclair, George Washington University
 

Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
By Gaetano Antinolfi; Washington University and Federal Reserve Board
Celso Brunetti; Federal Reserve Board
   Presented by: Gaetano Antinolfi, Washington University and Federal Reserve Board
 

Does the Central Bank, in Reacting to Macroeconomic Indicators, Influence the Term Structure of Interest Rates When Faced with a Binding Constraint at the Zero Lower Bound?
By Laura Jackson; UNC Chapel Hill
   Presented by: Laura Jackson, UNC Chapel Hill
 

Forecasting with DSGE Models with Financial Frictions
By Marcin Kolasa; National Bank of Poland
Michal Rubaszek; National Bank of Poland
   Presented by: Marcin Kolasa, National Bank of Poland
 
Session ID 26: Forecasting II
March 29, 2013 9:00 to 10:30
1a
 
Session Chair: Michael McCracken, Federal Reserve Bank of St. Louis
 

Parameter Estimation with Out-of-Sample Objective
By Elena-Ivona Dumitrescu; European University Institute
Peter Hansen; European University Institute
   Presented by: Elena-Ivona Dumitrescu, European University Institute
 

Bayesian Model Averaging and Forecasting with the Self-Perturbed Kalman Filter
By Stefano Grassi; Aarhus University
Nima Nonejad; CREATES - Aarhus University
Paolo de Magistris; CREATES - University of Aarhus
   Presented by: Paolo de Magistris, CREATES - University of Aarhus
 
Session ID 27: Financial Econometrics I
March 29, 2013 9:00 to 10:30
1b
 
Session Chair: Jun Ma, University of Alabama
 

Modelling Changes in the Unconditional Variance of Long Stock Return Series
By Timo Teräsvirta; Aarhus University
   Presented by: Timo Teräsvirta, Aarhus University
 

On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Crude Oil and Stock Markets
By Christian Conrad; University of Heidelberg
Karin Loch; University of Heidelberg
Daniel Rittler; University of Heidelberg
   Presented by: Karin Loch, University of Heidelberg
 

Spatial GARCH: A Spatial Approach to Multivariate Volatility Modelling
By Svetlana Borovkova; Vrije Universiteit Amsterdam
   Presented by: Svetlana Borovkova, Vrije Universiteit Amsterdam
 
Session ID 28: Oil Price Shocks
March 29, 2013 9:00 to 10:30
1c
 
Session Chair: Francesco Furlanetto, Norges Bank
 

The Effects of Oil Price Uncertainty on the Macroeconomy
By Soojin Jo; Bank of Canada
   Presented by: Soojin Jo, Bank of Canada
 

The Oil Price-Real Output Relationship: Does Persistence Matter?
By Richard Ashley; Virginia Tech
Kwok Ping Tsang; Virginia Tech
   Presented by: Richard Ashley, Virginia Tech
 

Inflation Dynamics and The Role of Oil Shocks: How Different Were the 1970s?
By Benjamin Wong; Australian National University
   Presented by: Benjamin Wong, Australian National University
 
Session ID 29: Structural Breaks
March 29, 2013 9:00 to 10:30
1e
 
Session Chair: Hans-Martin Krolzig, The University of Kent
 

A Test of Structural Change of Unknown Location with Wavelets
By M. Ege Yazgan; Istanbul Bilgi University
Ramo Gencay; Simon Fraser University
Harun Ozkan; Istanbul Bilgi University
   Presented by: M. Ege Yazgan, Istanbul Bilgi University
 

Regime-Switching Cointegration
By Markus Jochmann; Newcastle University
Gary Koop; University of Strathclyde
   Presented by: Markus Jochmann, Newcastle University
 

The Lasso for High-Dimensional Regression with a Possible Change-Point
By Myung Hwan Seo; London School of Economics
   Presented by: Myung Hwan Seo, London School of Economics
 
Session ID 30: Financial Frictions I
March 29, 2013 9:00 to 10:30
1f
 
Session Chair: Riccardo DiCecio, Federal Reserve Bank of St. Louis
 

Occasionally Binding Credit Constraints
By Michal Brzoza-Brzezina; National Bank of Poland
Marcin Kolasa; National Bank of Poland
Krzysztof Makarski; National Bank of Poland
   Presented by: Krzysztof Makarski, National Bank of Poland
 

Coordinating Monetary and Macro-Prudential Policies
By Alessandro Rebucci; Inter-American Development Bank
Ambrogio Cesa-Bianchi; Universita Cattolica del Sacro Cuore
   Presented by: Alessandro Rebucci, Inter-American Development Bank
 

Risk Channel of Monetary Policy
By Oliver de Groot; Federal Reserve Board
   Presented by: Oliver de Groot, Federal Reserve Board
 
Session ID 31: Purchasing Power Parity and Interest Rate Parity
March 29, 2013 9:00 to 10:30
1d
 
Session Chair: Claude Lopez, Banque de France
 

Dynamic Estimation of Trade Costs from Real Exchange Rates
By Efthymios Pavlidis; Lancaster University Management School
Nicos Pavlidis; Lancaster University Management School
   Presented by: Efthymios Pavlidis, Lancaster University Management School
 

On the Empirical Failure of Purchasing Power Parity Tests
By Matteo Pelagatti; Università degli Studi di Milano-Bicocc
Emilio Colombo; University Milano-Bicocca
   Presented by: Matteo Pelagatti, Università degli Studi di Milano-Bicocca
 

An Event Study Analysis of ECB Unconventional Monetary Policy
By Giulia Rivolta; University of Milan
   Presented by: Giulia Rivolta, University of Milan
 
Session ID 32: Oil Prices and Financial Markets
March 29, 2013 11:00 to 12:30
1a
 
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
 

Oil Price Density Forecasts: Exploring the Linkages with Stock Markets
By Marco Lombardi; Bank for International Settlements
Francesco Ravazzolo; Norges Bank
   Presented by: Marco Lombardi, Bank for International Settlements
 

Risk Premia in Crude Oil Futures Prices
By Jing Cynthia Wu; University of Chicago
   Presented by: Jing Cynthia Wu, University of Chicago
 

Can Oil Prices Forecast Exchange Rates?
By Domenico Ferraro; Duke University
Kenneth Rogoff; Harvard University
Barbara Rossi; ICREA-UPF and BGSE
   Presented by: Barbara Rossi, ICREA-UPF and BGSE
 
Session ID 33: Financial Econometrics II
March 29, 2013 11:00 to 12:30
1b
 
Session Chair: Michael Rockinger, HEC Lausanne
 

EarlyWarning Signals for Critical Transitions in Finance
By Juanxi WANG; University of Amsterdam
Cees Diks; University of Amsterdam
   Presented by: Juanxi WANG, University of Amsterdam
 

The Time-Varying Leading Properties of the High Yield Spread in the United States
By Pierangelo De Pace; Pomona College
Kyle Weber; Pomona College
   Presented by: Pierangelo De Pace, Pomona College
 
Session ID 34: Macroeconometrics I
March 29, 2013 11:00 to 12:30
1c 1c 1c
 
Session Chair: Pao-Lin Tien, Wesleyan University
 

Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles
By David POLLOCK; Department of Economics
   Presented by: David POLLOCK, Department of Economics
 

Seventy Five Years Later: Constructing a Coincident Index of Global Economic Activity
By Enrique Martinez-Garcia; Federal Reserve Bank of Dallas
Shushanik Papanyan; University of North Texas
   Presented by: Shushanik Papanyan, University of North Texas
 

To What Extent Can We Identify and Time Gradual Change?
By Luiggi Donayre; University of Minnesota Duluth
Neil Wilmot; University of Minnesota Duluth
   Presented by: Luiggi Donayre, University of Minnesota Duluth
 
Session ID 35: Skewness
March 29, 2013 11:00 to 12:30
1e
 
Session Chair: Lorenzo Pozzi, Erasmus University Rotterdam
 

Regime Switching Skew-normal Model for Measuring Financial Crises and Contagion
By Yu-Ling Hsiao; ANU
   Presented by: Yu-Ling Hsiao, ANU
 

Currency Returns, Skewness and Crash Risk
By Barry Rafferty; University of Melbourne
   Presented by: Barry Rafferty, University of Melbourne
 

Capturing Skewness and Kurtosis by Fitting the QQ-Plot: A Simple Approach with an Application to Option Pricing
By Unai Ansejo; Itzarri
Aitor Bergara; Univesity of the Basque Country
Antoni Vaello-Sebastià; University of Illes Balears
   Presented by: Antoni Vaello-Sebastià, University of Illes Balears
 
Session ID 36: Financial Frictions II
March 29, 2013 11:00 to 12:30
1f
 
Session Chair: Oliver de Groot, Federal Reserve Board
 

Uncertainty in a Model with Credit Frictions
By Ambrogio Cesa-Bianchi; Inter-American Development Bank & Universita Cattolica del Sacro Cuore
Emilio Fernandez-Corugedo; Bank of England
   Presented by: Ambrogio Cesa-Bianchi, Universita Cattolica del Sacro Cuore
 

Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
By TengTeng Xu; Bank of Canada
Professor M. Hashem Pesaran; University of Southern California
   Presented by: TengTeng Xu, Bank of Canada
 

Monetary Policy with Consumption Externalities and Limited Asset Market Participation
By Luca Bossi; University of Pennsylvania
   Presented by: Luca Bossi, University of Pennsylvania
 
Session ID 38: Oil Prices and the Macroeconomy
March 29, 2013 14:00 to 15:30
1a
 
Session Chair: Barbara Rossi, ICREA-UPF and BGSE
 

What Central Bankers Need to Know About Forecasting Oil Prices
By Christiane Baumeister; Bank of Canada
Lutz Kilian; University of Michigan
   Presented by: Christiane Baumeister, Bank of Canada
 

Business Cycles in Commodity Exporter Countries
By Francesco Furlanetto; Norges Bank
   Presented by: Francesco Furlanetto, Norges Bank
 
Session ID 39: Financial Econometrics III
March 29, 2013 14:00 to 15:30
1b
 
Session Chair: Xiaoyu Shen, VU University Amsterdam
 

Moment Component Analysis: An Illustration with International Stock Markets
By Michael Rockinger; HEC Lausanne
   Presented by: Michael Rockinger, HEC Lausanne
 

Exact Likelihood Inference for Autoregressive Gamma Stochastic Volatility Models
By Drew Creal; University of Chicago
   Presented by: Drew Creal, University of Chicago
 

Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown
By Genaro Sucarrat; BI Norwegian Business School
   Presented by: Genaro Sucarrat, BI Norwegian Business School
 
Session ID 40: Macroeconometrics II
March 29, 2013 14:00 to 15:30
1c
 
Session Chair: Ming Lo, St. Cloud State University
 

Trends and Cycles in U.S. Output and Unemployment
By Amy Guisinger; The George Washington University
Tara Sinclair; George Washington University
   Presented by: Tara Sinclair, George Washington University
 

The Asymmetric Effects of Fiscal Cuts and Expansions Across the Business Cycle
By Steven Fazzari; Washington University in St. Louis
James Morley; University of New South Wales
Irina Panovska; Washington University in St. Louis
   Presented by: Irina Panovska, Washington University in St. Louis
 

Did the Financial Crisis Cause a Regime Shift in Euro Area Government Bond Risk Pricing ?
By Lorenzo Pozzi; Erasmus University Rotterdam
Barbara Sadaba; Erasmus University - Tinbergen Institute
   Presented by: Barbara Sadaba, Erasmus University - Tinbergen Institute
 
Session ID 41: Macroeconomics and Growth
March 29, 2013 14:00 to 15:30
1f
 
Session Chair: Alexandre Dmitriev, University of Tasmania
 

Nonhomothetic Preferences with Habit Formation in Nondurable and Durable Consumption: Implications for Sectoral Comovement
By Engin Volkan; Istanbul Bilgi University
Kevin X.D. Huang; Vanderbilt University
M. Ege Yazgan; Istanbul Bilgi University
   Presented by: Engin Volkan, Istanbul Bilgi University
 

Firm Dynamics, Endogenous Markups and the Labor Share of Income
By Andrea Colciago; Dutch National Bank and university of Milano Bicocca
Lorenza Rossi; University of Pavia
   Presented by: Andrea Colciago, Dutch National Bank and university of Milano Bicocca
 

Neoclassical, Semi-Endogenous or Endogenous Growth Theory? Evidence Based on New Structural Change Tests
By Nuno Sobreira; Insper Institute of Education and Research
Luis Nunes; Nova School of Business and Economics
Paulo Rodrigues; Economics and Research Department
   Presented by: Nuno Sobreira, Insper Institute of Education and Research
 
Session ID 42: Craig Hiemstra Memorial Lecture with Prof. Sir David F. Hendry, University of Oxford, "Deciding between Alternative Approaches in Macroeconomics"
March 29, 2013 16:00 to 17:30
U6-4
 
Session Chair: James Morley, University of New South Wales

This program was last updated on 2013-03-27 11:23:19 EDT