archive_program

Program na rok 2013

21.11

Tuesday

From 15:00 Hotel registration
From 18:00 Conference registration
19:00–21:00 Dinner and Get Together Party

22.11

Wednesday

7:45–9:00 Breakfast
9:00–9:10 Welcome – Aleksander Welfe
9:10–9:30 Opening of the conference – Marek Belka, President of Narodowy Bank Polski
9:30–10:15 Invited Session I
Chair: Aleksander Welfe
Badi H. Baltagi, Peter H. Egger, Michaela Kesina, Firm-level productivity spillovers in China’s chemical industry: A spatial Hausman-Taylor approach
10:15–10:30 Coffee Break
10:30–12:00 Invited Session II
Chair: Badi H. Baltagi
Helmut Lütkepohl, Identifying structural vector autoregressions via changes in volatility
Timo Teräsvirta, Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
12:00–13:30 AMFET Session 1a: Exchange rate modelling
Chair: Katarina Juselius
Marek A. Dąbrowski, Justyna Wróblewska, Sources of real exchange rate fluctuations in Poland – results from the Bayesian structural VAR models
Wojciech Grabowski, Aleksander Welfe, An exchange rate model with market pressures and contagion effects
Robert Kelm, Rational expectations vs. imperfect knowledge economics: What does really drive Polish zloty?
Session 1b: Econometric theory
Chair: Helmut Lütkepohl
Katarzyna Łasak, Carlos Velasco, Fractional cointegration rank estimation
Katarzyna Maciejowska, Assessing the number of components in a normal mixture: an alternative approach
Łukasz Lenart, Mateusz Pipień, Seasonality revisited – statistical testing for almost periodically correlated stochastic processes
13:30–14:30 Lunch
14:30–16:00 Invited Session III
Chair: Søren Johansen
Stephen Hall, Generalised Cointegration
Martin Wagner, Some Generalizations of Regression Based Cointegration Analysis
16:00–17:30 Session 2a: International macroeconomics
Chair: Paul Mizen
Marcin Humanicki, Robert Kelm, Krzysztof Olszewski, Foreign Direct Investment and Foreign Portfolio Investment in the contemporary globalized world: should they be still treated separately?
Aleksandra Parteka, Joanna Wolszczak-Derlacz, Integrated sectors – diversified earnings: the (missing) impact of offshoring on wages and wage convergence in the EU27
Yulia V. Vymyatnina, Common economic area of Russia, Kazakhstan and Belarus: Spillover effects
Session 2b: Business cycle modeling I
Chair: Robert Kruszewski
Łukasz Lenart, Mateusz Pipień, Detecting almost periodicity in mean function with application to business cycle co-movement
Marta Skrzypczyńska, The cyclical processes of Polish economic activity
Magdalena Osińska, Tadeusz Kufel, Marcin Błażejowski, Paweł Kufel, Business cycle synchronization in the EU after the crisis 2007-2009
17:30–18:00 Coffee Break
18:00–19:30 Session 3a: Inference in cointegration models
Chair: Magdalena Osińska
Łukasz Gątarek, Multiperiod hedging in cointegrated system
Emilia Gosińska, Testing for structural break in vector error correction models
Anna Pajor, Justyna Wróblewska, VEC-SV models in Bayesian analysis of short- and long-run relationships
Session 3b: Business cycle modelling II
Chair: Mateusz Pipień
Robert Kruszewski, Expectations in a Kaldor-like business cycle model
Wiesław Łuczyński, Volatility of economic dynamics of Germany (1947-2013)
Piotr Piękoś, Identification of relationship between business cycle and monetary sphere of the economy
20:00 Ceremonial Dinner

23.11

Thursday

7:45–9:00 Breakfast
9:00–9:45 Invited Session IV
Chair: Ryszard Doman
Søren Johansen, Katarina Juselius, An Asymptotic Invariance Property of the Common Trends under Linear Transformations of the Data
9:45–11:15 AMFET Session 4a: Modelling Central and Eastern European economies
Chair: Anindya Banerjee
Victor Bystrov, A factor-augmented model of markup on mortgage loans in Poland
Agata Kliber, Hungary or Greece – what drives the sCDS dynamics in Central Europe
Karolina Konopczak, Aleksander Welfe, The Balassa-Samuelson effect and the channels of its absorption in the Central and Eastern European Countries
Session 4b: Modelling and forecasting of exchange rates and inflation
Chair: Robert Kelm
Michele Ca’ Zorzi, Jakub Mućk, Michał Rubaszek, Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk
Błażej Mazur, Are periodic effects in other macroeconomic variables relevant to inflation forecasts? The case of Poland
Victor Shevchuk, Exchange rate flexibility as a stabilization tool in Poland
11:15–11:30 Coffee Break
11:30–13:00 Invited Session V
Chair: Peter Winker
Karim Abadir, Lies, Damned Lies, and Statistics? Examples From Finance and Economics
Anindya Banerjee, Massimiliano Marcellino, Igor Masten, Structural FECM: Cointegration in Large-scale Structural FAVAR Models
13:00–14:00 Lunch
14:00–15:30 Invited Session VI
Chair: Martin Wagner
Paul Mizen, Michael Bleaney, Veronica Veleanu, Bond Spreads as Predictors of Economic Activity in Eight European Economies
Peter Winker, Helmut Lütkepohl, Anna Staszewska-Bystrova, Constructing Joint Confidence Bands for Impulse Response Functions and Forecast Paths
15:30–17:00 Session 5a: Financial econometrics
Chair: Karim Abadir
Barbara Będowska-Sójka, News effects on intraday volatility in good and bad times
Katarzyna Bień-Barkowska, Timing of Order Submissions and Cancellations in the Reuters Dealing 3000 Spot Matching System
Małgorzata Doman, Ryszard Doman, A competitive influence of the USD and the EUR on the patterns of currency co-movement
Session 5b: Policy and input-output analysis
Chair: Krzysztof Makarski
Jakub Boratyński, Magdalena Zachłod-Jelec, Uncertainty of climate policy effects in a global CGE model
Miroslav Kľúčik, Econometric model for fiscal policy analysis
Jean-François Emmenegger, Helmut Knolle, Daniel Chable, Sraffa and Leontief revisited: ‘Production of Commodities by Means of Commodities’
17:00–17:30 Coffee Break
17:30–19:00 Session 6a: Bayesian econometrics
Chair: Herman van Dijk
Roman Huptas, The UHF-GARCH model in analysis of intraday volatility and durations – Bayesian approach and example from the Polish stock market
Jacek Osiewalski, Krzysztof Osiewalski, Long-run relations among daily prices on several markets: Bayesian VAR(2) – GMSF-SBEKK model
Justyna Wróblewska, Common trends and common cycles – Bayesian approach
Session 6b: Modelling and estimation
Chair: Miroslav Kľúčik
Jan Acedański, Adaptive learning and approximate aggregation in heterogeneous agent models
Daniel Kosiorowski, Małgorzata Snarska, Robust procedures for multivariate location and scatter monitoring in economic data stream
20:00 Dinner

24.11

Friday

7:45–9:00 Breakfast
9:00–9:45 Invited Session VII
Chair: Jacek Osiewalski
Herman van Dijk, Combining Forecast Densities in Macroeconomic and Financial Models
9:45–11:15 AMFET Session 7a: Macroeconometrics
Chair: Timo Teräsvirta
Michał Brzoza-Brzezina, Marcin Kolasa, Krzysztof Makarski, A penalty function approach to occasionally binding credit constraints
Kamil Makieła, Investigating the structure of aggregated production function
Frauke Schleer, Willi Semmler, Financial sector-output dynamics in the euro area: Non-linearities reconsidered
Session 7b: Panel data analysis
Chair: Stephen Hall
Ewa Lechman, Technology-driven competitiveness of selected OECD countries. A macroeconomic evidence for the period 2000-2011
Agnieszka Chłoń-Domińczak, Paweł Strawiński, Labour market entry of young people in Poland
Katarzyna Sum, Banking regulation and bank performance in the EU-countries
11:15–11:30 Break
11:30–12:15 Invited Session VIII
Chair: Małgorzata Doman
Katarina Juselius, Mikael Juselius, Balance sheet recessions and time-varying coefficients in a Phillips curve relationship: An application to Finnish data
12:00 Hotel check-out
12:15–13:15 Lunch
13:30–17:00 Sightseeing