MACROMODELS 2011 conference programme

Wednesday, November 30, 2011

from 14:00      Hotel registration

18:00 – 19:00  Conference registration

19:30 – 21:30  Dinner and Get Together Party

 

Thursday, December 1, 2011

8:00 – 9:00      Breakfast

9:45 – 10:00    Opening of the conference – Władysław Welfe

10:00 – 11:00   Invited Session I

Chair: Aleksander Welfe

Rafał WERON, The European CO2 Emissions Trading System (EU-ETS): the Good, the Bad and the Interesting

 

 11:00 – 12:30  Session 1: Macroeconomics

Chair: Rafał Weron

Barbora VOLNÁ KALIČINSKÁ, Potential Existence of Devaney, Li-York and Distributional Chaos in two Modifications of Macroeconomic IS-LM Model

Robert KRUSZEWSKI, The Role of Endogenous Government Spending in the Hicksian Model with Investment Floor and Income Ceiling

Michał BURZYŃSKI, The Investors` Risk Aversion and the Log-term Economic Growth in a Schumpeterian Framework


12:30 – 13:00  Break

13:00 – 14:00  Session 2: Bayesian Econometrics I

Chair: Mateusz Pipień

 

Łukasz KWIATKOWSKI, Bayesian Regime Switching SV Models in Market Risk Evaluation

Anna PAJOR, A Bayesian Analysis of Exogeneity in Models with Latent Variables

14:00 – 15:00  Lunch

  

15:00 – 16:00  Session 3: Bayesian Econometrics II

Chair: Ryszard Doman

Jacek OSIEWALSKI, Krzysztof OSIEWALSKI, General Hybrid MSV-MGARCH Models of Multivariate Volatility. Bayesian Approach

Łukasz GĄTAREK, Lennart F. HOOGERHEIDE, Koen HOONING, Herman K. VAN DIJK, Censored Posterior and Censored Predictive Likelihood in Left-tail Prediction

 

16:00 – 17:00  Session 4: Stock Market

Chair: Małgorzata Doman

Eliza BUSZKOWSKA, Linear Combinations of Volatility Forecasts for the  WIG20 and Polish Exchange Rates

Barbara BĘDOWSKA-SÓJKA, American versus German Macro Announcements: the Comparison of the Intraday Effects on the German and the French Stock Markets

 

17:00 – 17:30  Break

17:30 – 19:00  Session 5: Financial Econometrics

Chair: Jacek Osiewalski

Magdalena OSIŃSKA, Dettecting risk transfer at financial markets using different risk measures

Łukasz LENART, Mateusz PIPIEŃ, Almost Periodically Correlated Time Series in Business Fluctuations Analysis

Piotr PŁUCIENNIK, The Impact of the World Financial Crisis on the Polish Interbank Market: a Swap Spread Approach


19:30               Ceremonial Dinner

 

Friday, December 2, 2011

 

8:00 – 8:45     Breakfast

8.45 – 9.45    Session 6: Economic Growth Modelling

Chair: Barbora Volná Kaličinská

Emilia GOSIŃSKA, Władysław WELFE, Business Investment Functions

 Michał KONOPCZYŃSKI, Investment In Human Capital As The Best Source     Of Economic Growth After The Adoption Of The Euro

 

10:00-14:00    Sightseeing Tour

14:00 – 15:00  Lunch

15.00 – 15.30  AMFET Meeting

15:30 – 16:30  Invited Session II

Chair: Władysław Welfe

 

Dawn HOLLAND, Modelling the Euro Area Debt Crisis

16:30 – 17:30  Session 7: Applied Econometrics I

Chair: Dawn Holland

 

Dorota CIOŁEK, External Effects of Industrial Clustering in Poland

Jan GADOMSKI, Time-Varying Distributed Lag Models in the Flow Systems

 

17:30 – 18:00  Break

18:00 – 19:00  Session 8: Financial Crises

Chair: Magdalena Osińska

Małgorzata DOMAN, Ryszard DOMAN, Linkages in Global Stock Market During the Recent Crisis: A Comparison of Acute and Creeping Phases

Agata KLIBER, Dynamics of the Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Central Europe

 

19:30-21.00    Dinner


Saturday, December 3, 2011

 

8:00 – 9:00      Breakfast

 9:00 – 10:30   Session 9: Bayesian Econometrics III

Chair: Marek Gruszczyński

Justyna WRÓBLEWSKA, Bayesian Analysis of Common Cyclical Features in VEC Models

Roman HUPTAS, Bayesian Analysis of the ACD Models for Financial UHF Data: Some Specifications and Empirical Results

Krzysztof OSIEWALSKI, Jacek OSIEWALSKI, Missing Observations in Volatility Contagion Analysis. Bayesian Approach Using the MSV-MGARCH Framework


10:30 – 12:30  Session 10: Applied Econometrics II

Chair: Waldemar Florczak

 

Marta SKRZYPCZYŃSKA, Transition Dynamics and the Business Cycle Phases in Poland

Katarzyna LESZKIEWICZ-KĘDZIOR, Władysław WELFE, Consumption Function for Poland. Is Life-cycle Hypothesis Legitimate?

Andrzej TORÓJ, Excessive Imbalance Procedure in the EU: a Welfare Evaluation

Michał BRZOZA-BRZEZINA, Jacek KOTŁOWSKI, Measuring the Natural Yield Curve

 

13:00-14.00    Lunch