MACROMODELS 2019 conference programme

Monday, November 18, 2019


from 15:00     Hotel registration

19:30 – 22:00 Dinner and Get Together Party


Tuesday, November 19, 2019

7:30 – 9:00    Breakfast


9:15 – 9:45    Conference registration


9:45 – 10:00  Opening of the conference – Aleksander WELFE


10:00 – 11:00 Invited Session I

Chair: Aleksander WELFE

Søren JOHANSEN, Weak exogeneity in a common trends causal model


11:00 – 12:30 Session 1:  Modelling of Nonstationary Data I

Chair: Søren JOHANSEN

Leopold SÖGNER, Martin WAGNER, Monitoring structural breaks of the cointegration rank in error correction models

Oliver STYPKA, Martin WAGNER, Peter GRABARCZYK, Rafael KAWKA, The asymptotic validity of “standard” fully modified OLS estimation and inference in cointegrating polynomial regressions

Justyna WRÓBLEWSKA, Bayesian analysis of seasonal cointegration - corrigendum


12:30 – 13:00 Break


13:00 – 14:00 Session 2: Modelling of Nonstationary Data II

Chair: Martin Wagner

Łukasz KWIATKOWSKI, Anna PAJOR, Justyna WRÓBLEWSKA, Jacek OSIEWALSKI, Predictive power comparison of VEC models featuring various structures of time-varying conditional covariance matrix

Piotr KĘBŁOWSKI, Panel or global? A VAR perspective of nonstationary panel data


14:00 – 15:00 Lunch


15:00 – 16:00 Invited Session II

Chair: Yongcheol SHIN

Anindya BANERJEE, Developments in testing for panel cointegration in the presence of structural breaks


16:00 – 17:00 Session 3: Econometric Methods


Grzegorz MARCJASZ, Artificial neural networks in EPF: Are deep structures beneficial?

Henryk GURGUL, Łukasz LACH, Composite indicators of eco-efficiency in generalized IO models


17:00 – 17:30 Break


17:30 – 18:30 Session 4: Regional Analyses

Chair: Marek DĄBROWSKI

Tomáš MIKLOŠOVIČ, Ivan LICHNER, Marek RADVANSKÝ, Sensitivity analysis of parameters of regional model HERMIN in case of Slovakia

Mateusz PIPIEŃ, Sylwia ROSZKOWSKA, Forecasting regional quarterly GDP. Do interregional cross dependencies matter?


19:30 Ceremonial Dinner


Wednesday, November 20, 2019

7:30 – 8:45     Breakfast


9:00 – 10:00 Invited Session III

Chair: Robert KAUFMANN

Katarina JUSELIUS, Financial deregulation and the real economy: the case of Denmark


10:00 – 11:00 Invited Session IV

Chair: Anindya BANERJEE

Robert KAUFMANN, A unified world oil market: divergences between the price of Brent and WTI


11:00 – 11:30 Break


11:30 – 13:00 Session 5A: Labour Market Modelling

Chair: Sylwia ROSZKOWSKA

Dorota CIOŁEK, Determinants of the spatial wage structure in Polish poviats in the light of the NEG models

Aleksandra MAJCHROWSKA, Paweł STRAWIŃSKI, Heterogeneous effects of minimum wage increases. The case of Poland

Paweł STRAWIŃSKI, Paulina BRONIATOWSKA, Does international firm come to bring technology or explore cheap labour? Study on wage gap due to foreign firm ownership


11:30 – 13:00 SMEthod Session 5B: Innovations in SMEs


Paweł NOWAKOWSKI, Dawid KRYSIŃSKI, SME innovativeness and economic development of regions

Wojciech GRABOWSKI, Anna STASZEWSKA-BYSTROVA, The role of public support in improving innovativeness and enhancing its effects for employment in SMEs

Katarzyna STACHURSKA-KADZIAK, Joanna SYRDA, SMEthod methodology of segmenting innovating SMEs: clusters, their characteristics and optimal support measures


13:00 – 14:30 Lunch


14:30 – 15:30 Invited Session V


Tomohiro ANDO, Matthew GREENWOOD-NIMMO, Yongcheol SHIN, Quantile connectedness: Modelling tail behaviour in the topology of financial networks


15:30 – 16:30 Session 6A: Quantile regression

Chair: Michał ŁUKOWSKI

Katarzyna MACIEJOWSKA, Assessing the impact of renewable energy sources on the electricity price level and variability - a quantile regression approach

Bartosz UNIEJEWSKI, Regularization for quantile regression averaging: A new approach to constructing probabilistic forecasts


15:30 – 16:30 SMEthod Session 6B: Policy analyses

Chair: Wojciech GRABOWSKI

Ageliki ANAGNOSTOU, Paweł GAJEWSKI, Eric TCHOUAMOU NJOYA, A CGE analysis of policy effects on the regions of the Polish economy

Rumiana GÓRSKA, Impact of the “500 plus” policy on the Polish economy using CGE model


16:30 – 17:00 Break


17:00 – 18:30  Session 7: Macromodelling


Jakub BORATYŃSKI, Bayesian estimation of a consumption system

Marek A. DĄBROWSKI, Jakub JANUS, Does the uncovered interest parity puzzle hold in Central European economies?

Andrzej KACPRZYK, Do we really need more IPR protection?


19:30 Dinner


The SMEthod project has received funding from the European Union’s Horizon 2020 research and innovation programme under grant agreement No 777491


Thursday, November 21, 2019

7:30 – 8:45 Breakfast


9:00 – 10:00 Invited Session VI

Chair: Katarina JUSELIUS

Helmut LÜTKEPOHL, Mika MEITZ, Aleksei NETSUNAJEV, Pentti SAIKKONEN, Testing identification via heteroskedasticity in structural vector autoregressive models


10:00 – 11:00 Session 8: Financial Markets Modelling


Michał ŁUKOWSKI, Equity premium puzzle

Tomasz WÓJTOWICZ, Changes in the impact of macroeconomic news from the US and EU on stock prices on the WSE


11:00 – 11:30 Break


11:30 – 12:30 Session 9: Risk analyses

Chair: Anna PAJOR

Olga KUTERA, Is fine wine hedge against turmoil on Chinese market?

Ewa RATUSZNY, Vine copula in risk measurement


12:30 – 13:30 Lunch


12:00 Check out