MACROMODELS 2017 conference programme

Monday, November 13, 2017

from 16:00 Hotel registration

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

Tuesday, November 14, 2017


7:45 – 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

Helmut LÜTKEPOHL, George MILUNOVICH , Minxian YANG, Inference in partially identified heteroskedastic simultaneous equations models

11:00 – 12:30 AMFET Session 1A: Macromodelling I

Chair: Marcin KOLASA

Jakub GROWIEC, Jakub MUĆK, Isoelastic elasticity of substitution production functions

Michał GOSTKOWSKI, Bolesław BORKOWSKI, Complete demand systems and their practical issues

Liwiusz WOJCIECHOWSKI, Kamil MAKIEŁA, Foreign direct investment and total factor productivity. Empirical verification of the theoretical model of conditional interdependencies. The case of V4 countries


11:00 – 12:30 Session 1B: Labour market


Sylwia ROSZKOWSKA, Structural unemployment in Poland

Paulina BRONIATOWSKA, Population ageing and its macroeconomic consequences

Pawel STRAWIŃSKI, Paulina BRONIATOWSKA, Maciej NASIŃSKI, Does extension of general education period enhances labour market performance. Evidence from natural experiment


12:30 – 13:00 Break


13:00 – 14:00 Session 2: Demographics and Monetary Policy

Chair: Stephen G. HALL

Marcin BIELECKI, Michał BRZOZA-BRZEZINA Marcin KOLASA, The demographic transition and monetary policy in a small open economy

Jan ACEDAŃSKI, Julia WŁODARCZYK, Demographics and real interest rates in a monetary union


14:00 – 15:00 Lunch


15:00 – 16:00 Invited Session II

Chair: Helmut LÜTKEPOHL

Harris DELLAS, Heather D. GIBSON, Stephen G. HALL, George S. TAVLAS, The macroeconomic and fiscal implications of inflation forecast errors


16:00 – 17:00 Session 3: Exchange Rate Modelling

Chair: Robert KELM

Marek DĄBROWSKI, Łukasz KWIATKOWSKI, Justyna WRÓBLEWSKA, Sources of real exchange rate variability in Poland – Evidence from a Bayesian SVAR model with Markov Switching Heteroscedasticity

Adrian BURDA, Błazej MAZUR, Mateusz PIPIEŃ, Linear VECM with many variables or ESTVECM for PPP variables? Which strategy drives to better forecasts of EUR/PLN exchange rate?

17:00 – 17:30 Break

17:30 – 18:30 Session 4: Global Value Chains and Economic Growth

Chair: Wojciech CHAREMZA

Jan HAGEMEJER, Jakub MUĆK, Unraveling the economic performance in the CEE countries – the role of exports and GVCs

Henryk GURGUL, Łukasz LACH, Measuring value added in global value chains: Evidence from a dynamic IO model with layers of techniques


19:30 Ceremonial Dinner

Wednesday, November 15, 2017


7:45 – 8:45 Breakfast

9:00 – 13:45 Sightseeing tour

14:00 – 15:00 Lunch


15:00 – 16:00 Invited Session III


Wojciech CHAREMZA, Carlos DÍAZ, Svetlana MAKAROVA, Quasi ex-ante inflation forecast uncertainty

16:00 – 17:00 AMFET Session 5A: Emerging Economies Modelling

Chair: Andrzej TORÓJ

Marek DĄBROWSKI, Sławomir ŚMIECH, Why do foreign exchange reserves fluctuate? A quantitative assessment of actively managed component of reserves in emerging market economies

Wojciech GRABOWSKI, Determinants of sensitivity of stock markets in Central and Eastern European countries to external shocks


16:00 – 17:00 Session 5B: Non-linear Models

Chair: Piotr KĘBŁOWSKI

Magdalena OSIŃSKA, Jerzy BOEHLKE, Marcin FAŁDZIŃSKI, Maciej GAŁECKI, Modeling economic growth in the TECM framework

Emilia GOSIŃSKA, Katarzyna LESZKIEWICZ-KĘDZIOR, Aleksander WELFE, Asymmetric price adjustment in the fuel market: A threshold cointegration analysis


17:00 – 17:30 Break


17:30 – 18:30 Session 6: Macromodelling II

Chair: Magdalena OSIŃSKA

Piotr DYBKA, Michał KOWALCZUK, Bartosz OLESIŃSKI, Marek ROZKRUT, Andrzej TORÓJ, Currency demand and MIMIC models: towards a structured hybrid model-based estimation of the shadow economy size

Bogumił KAMIŃSKI, Bartosz PANKRATZ, A metodology for assessment of metamodel quality


19:00 Dinner

Thursday, November 16, 2017


7:45 – 9:00 Breakfast


9:15 – 10:15 Invited Session IV

Chair: Michał MAJSTEREK

Marek GRUSZCZYŃSKI, Tadeusz SMUGA, 86 years of Gospodarka Narodowa (National Economy)


10:15 – 11:15 Session 7: Forecasting


Roman HUPTAS, Density forecasting performance of linear ACV models for intra-daily traded volume - an application to the Polish stock market

Daniel KOSIOROWSKI, Dominik MIELCZAREK, Jerzy P. RYDLEWSKI, Forecasting of a hierarchical functional time series on example of macromodel for day and night air pollution in Silesia region – a critical overview


11:15 – 11:45 Break


11:45 – 12:45 Session 8: Bayesian econometrics

Chair: Wojciech GRABOWSKI

Justyna WRÓBLEWSKA, Łukasz KWIATKOWSKI, Identifying macroeconomic shocks within a Markov-switching heteroskedastic VEC model: a Bayesian approach

Przemysław WŁODARCZYK, A change in volatility or an asymmetry: monetary transmission mechanism in small open European economies during a crisis


12:45 – 13:45 Lunch

14:00 Check out