MACROMODELS 2016 conference programme

Monday, November 14, 2016

from 16:00 Hotel registration

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


Tuesday, November 15, 2016

All conference sessions and lunch on Tuesday will be held at the Faculty of Economics and Sociology (3/5 POW Street)

7:45 – 8:45 Breakfast

9:00 Departure from the hotel to the Faculty of Economics and Sociology (University of Lodz). The conference bus will wait for the participants.

9:15 – 9:45 Conference registration

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

10:00 – 11:00 Invited Session I (room C101)

Chair: Aleksander WELFE

Anindya BANERJEE, Structural analysis using factor augmented VARs and three-pass regression filters

11:00 – 12:00 AMFET Session 1A: Panel data analysis I (room C101)

Chair: Piotr KĘBŁOWSKI

Thomas WALTHER, Tony KLEIN, Hien PHAM THU, Krzysztof PIONTEK, True or spurious long memory in European non-EMU currencies

Mateusz PIPIEŃ, Sylwia ROSZKOWSKA, Cross-country heterogeneity in convergence rates


11:00 – 12:00 Session 1B: Financial econometrics I I (room C140)


Jacek KOTŁOWSKI, Michał BRZOZA-BRZEZINA, The nonlinear nature of country risk

Dominik KORNILUK, Optimal financial policy of the Polish local government units


12:00 – 12:30 Break


12:30 – 14:00 Session 2: Econometric theory I (room C101)

Chair: Justyna WRÓBLEWSKA

Tony KLEIN, Thomas WALTHER, Fast fractional differencing in modelling long memory of conditional variance

Magdalena OSIŃSKA, Jerzy BOEHLKE, Marcin FAŁDZIŃSKI, Maciej GAŁECKI, Economic growth in Ireland - a comparison of GDP and GNP

Łukasz LENART, Properties of multi-frequency stochastic cycle


14:00 – 15:00 Lunch

15:15 – 16:15 Invited Session II I (room C101)

Chair: Anindya BANERJEE

Karim M. ABADIR, Gabriel TALMAIN, Forecastable timings of recession and recoveries: Econometric implications of a dynamic GE model with heterogeneous firms

16:15 – 16:45 Break

16:45 – 18:15 Session 3A: Bayesian econometrics I (room C101)

Chair: Andrzej TORÓJ

Jacek OSIEWALSKI, Krzysztof OSIEWALSKI, Hybrid MSV-MGARCH models – general remarks and GMSF-SBEKK specifications

Roman HUPTAS, Bayesian autoregressive conditional volume models for forecasting intra-daily traded volume

Anna PAJOR, JUSTYNA WRÓBLEWSKA, VEC-MSV models in Bayesian analysis of short- and long-run relationships


16:45 – 18:15 Session 3B: Cointegration analysis I (room C140)

Chair: Michał MAJSTEREK

Wojciech GRABOWSKI, Aleksander WELFE, Tobit Cointegrated VAR model. An application to the currency market

Dobromił SERWA, Piotr WDOWIŃSKI, Identification problem in structural VARs

Emilia GOSIŃSKA, Katarzyna LESZKIEWICZ-KĘDZIOR, Asymmetric price adjustments in the fuel market - threshold cointegration analysis


19:30 Ceremonial Dinner (restaurant „Klub Spadkobierców”, 77 Piotrkowska Street)


Wednesday, November 16, 2016

All conference sessions, breakfast, lunch and dinner on Wednesday will be held at the conference centre of Hotel “Stare Kino Cinema Residence” (120 Piotrkowska Street)

7:45 – 9:00 Breakfast

9:30 – 13:45 Sightseeing tour

14:00 – 15:00 Lunch

15:00 – 16:30 Invited Session III


Dirk BAUR, Brian LUCEY, Samuel VIGNE, The Extreme bounds of gold

16:30 – 18:00 AMFET Session 4A: Modelling European Union economies

Chair: Robert KELM

Jose CARRASCO; Margarita RUBIO, Coordinating macroprudential policies within the Euro area: The case of Spain

Andrzej TORÓJ, Regionalising input-output matrices using spatial econometrics: the case of NUTS-3 level in selected EU countries

Paulina BRONIATOWSKA, Population ageing and inflation in European Union countries


16:30 – 18:00 Session 4B: Financial crises

Chair: Samuel VIGNE

Boulis M. IBRAHIM, Janusz BRZESZCZYŃSKI, Geographical changes in influence of stock trading centres around the 2007 global financial crisis

Aleksandra MAJCHROWSKA, Jakub MUĆK, Real convergence in the EU: How has it changed after the crisis?

Wojciech GRABOWSKI, Ewa STAWASZ, Determinants of daily sovereign bond yields in the peripheral Euro area countries. Pre-crisis and post-crisis analysis


19:00 Dinner



Thursday, November 17, 2016

All conference sessions, breakfast and lunch on Thursday will be held at the conference centre of Hotel “Stare Kino Cinema Residence” (120 Piotrkowska Street)

7:45 – 9:00 Breakfast

9:30 – 10:30 Invited Session IV

Chair: Karim M. ABADIR

Margarita RUBIO, Rental housing market in a DSGE model

10:30 – 11:30 Session 5A: Financial econometrics II

Chair: Margarita RUBIO

Dorota CELIŃSKA, Paweł STRAWIŃSKI, Occupational risk wage premium

Adam CZERNIAK, Michał RUBASZEK, The size of the rental market and housing market fluctuations

10:30 – 11:30 Session 5B: Applications

Chair: Anna PAJOR

Karolina KONOPCZAK, Labour adjustment strategies over the business cycle - evidence from Polish industry

Janusz BRZESZCZYŃSKI, Jerzy GAJDKA, Ali M. KUTAN, Do foreign exchange market responses to interest rates announcements evolve over time? Evidence from Poland


12:30 – 13:30 Lunch


             14:00 Check out