| Plenary talk 1 | Thursday, 2006-06-22 | 18:20 - 19:20 | Room: R1+R2 |
| O curse of dimensionality, where is thy sting? | |||
| Speaker: Kenneth L. Judd | Chair: Manfred Gilli | ||
| Plenary talk 2 | Friday, 2006-06-23 | 18:10 - 19:10 | Room: R1+R2 |
| Agent-Based Computational Economics: A Constructive Approach to Economic Theory | |||
| Speaker: Leigh Tesfatsion | Chair: Anna Nagurney | ||
| Plenary talk 3 | Saturday, 2006-06-24 | 14:00 - 15:00 | Room: R1+R2 |
| Learning, structural instability and present value calculations | |||
| Speaker: M. Hashem Pesaran | Chair: Berc Rustem | ||
| Parallel session A | Thursday, 2006-06-22 | 08:00 - 10:00 |
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| Session 1 | Room: Med-1 |
| Empirical Macro Modeling | Chair: Andreas Beyer |
| #43: Fiscal Policy in an estimated open-economy model for the EURO area. Authors: Ratto Marco, Roeger Werner, Veld Jan |
| #47: Exploring the International Linkages of the Euro Area: a Global VAR Analysis Authors: Stephane Dees, Filippo di Mauro, L. Vanessa Smith, M. Hashem Pesaran |
| #69: Markov-Switching Structural Vector Autoregressions: Theory and Application Authors: Juan F. Rubio-Ramirez, Daniel Waggoner, Tao Zha |
| #81: Factor Analysis in a New-Keynesian Model Authors: Andreas Beyer, Roger E.A. Farmer, Jerome Henry, Massimiliano Marcellino |
| Tutorial | Room: Med-2 |
| DYNARE: Presentation of new features | Chair: Michel Juillard |
| Session 99 | Room: R3 |
| Inference in Multivariate Settings | Chair: Veni Arakelian |
| #57: A Unified Copula Framework for VaR forecasting Authors: Dean Fantazzini, Alessandro Carta, Elena Maria DeGiuli |
| #94: Financial applications of flexible copula families based on mixing Authors: Arakelian Veni, Karlis Dimitris |
| #382: Evaluating the Predictive Abilities of Semiparametric Multivariate Models Authors: Valentyn Panchenko |
| #271: Forecasting VARMA processes: VAR models vs. subspace-based state space models Authors: Segismundo Izquierdo, Cesareo Hernandez, Juan del Hoyo |
| #460: Uncertainty and Irreversible Investment : A Bayesian approach of DSGE models Authors: Jean-Francois Piferini |
| Session 10 | Room: R4 |
| Asset pricing under learning | Chair: Klaus Adam |
| #25: Asset pricing with adaptive learning Authors: Eva Carceles Poveda, Chryssi Giannitsarou |
| #173: Learning about Stock Volatility: A Local Scale Model with Homoskedastic Innovations Authors: J. Huston McCulloch |
| #367: Learning to Forecast the Exchange Rate: Two Competing Approaches. Authors: Paul De Grauwe, Agnieszka Markiewicz |
| #15: Learning and Stock Market Volatility Authors: Klaus Adam, Albert Marcet, Juan Pablo Nicolini |
| Session 11 | Room: R7 |
| Stabilization and Labour Markets | Chair: Marcel Jansen |
| #11: Are Indexed Bonds a Remedy for Sudden Stops? Authors: C. Bora Durdu |
| #416: Exchange-Rate-Based Stabilization, Durables Consumption, and Stylized Facts Authors: Manoj Atolia, Edward F. Buffie |
| #123: Unemployment, Capital and Hours: On the quantitative performance of a DSGE Authors: Philip Jung |
| #383: Endogenous Labor Market Participation and the Business Cycle Authors: Christian Haefke, Michael Reiter |
| #204: Employment Fluctuations with Downward Wage Rigidity Authors: James Costain, Marcel Jansen |
| Parallel session B | Thursday, 2006-06-22 | 10:30 - 12:40 |
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| Session 22 | Room: Med-1 |
| Structural Change | Chair: Simon van Norden |
| #493: Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective Authors: Maria Heracleous, Andreas Koutris, Aris Spanos |
| #177: How Much Do We Know about Recent Trends in US Productivity Growth? Authors: Simon van Norden |
| #226: Re-examining the Structural and the Persistence Approach Authors: Tino Berger, Gerdie Everaert |
| #390: A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function Authors: George Monokroussos |
| Session 69 | Room: Med-2 |
| Optimization and Monetary Policy | Chair: Bill Goffe |
| #296: Simulating job-search models using simulating annealing Authors: Matej Steinbacher |
| #444: Particle Swarm Optimization in Economics Authors: Mico Mrkaic |
| #470: Transitioning out of Poverty Authors: David Brasington, Mika Kato, Willi Semmler |
| #105: Macroeconomic Models and the Yield Curve Authors: Jagjit Chadha, Sean Holly |
| #517: The Independent Monetary Policy under the Fixed Exchange Regime Authors: Gang Gong, Jian Gao |
| Session 59 | Room: Med-3 |
| Monetary policy and DSGE modelling | Chair: Michel Juillard |
| #243: Monetary regime choice in the accession countries - a theoretical analysis Authors: Anna Lipinska |
| #292: Monetary Policy with Heterogeneous Agents and Credit Constraints Authors: Yann Algan, Xavier Ragot |
| #441: Linear-Quadratic Approximation, Efficiency and Target-Implementability Authors: Paul Levine, Joseph Pearlman, Richard Pierse |
| #211: Relative Price Distortion and Optimal Monetary Policy in Open Economies Authors: Jinill Kim, Andrew Levin, Tack Yun |
| #521: Optimal Monetary Policy in a Small Open Economy with Home Bias Authors: Ester Faia, Tommaso Monacelli |
| Session 49 | Room: R1 |
| Agent-based Computational Economics 1 | Chair: Al Wilhite |
| #103: Ideological and Pragmatic Decision-making in Networks Authors: Allen Wilhite |
| #348: Emergence in multi-agent systems, part II: Axtell,
Epstein and Young's revisited Authors: Jean Louis Dessalles, Serge Galam, Denis Phan |
| #361: The emergence of knowledge exchange: an agent-based model of a software market. Authors: Maria Chli, Philippe De Wilde |
| #442: Multiagent modelling for telecommunication market structure evolution Authors: Bogumil Kaminski, Maciek Latek |
| #450: Group formation and Mass Media effects in Cultural Dynamics: The power of being subtle Authors: J.C. Gonzalez-Avella, Victor M. Eguiluz, M. San Miguel |
| Session 101 | Room: R2 |
| International and Financial Markets | Chair: Herman VanDijk |
| #78: Modelling option prices using neural networks Authors: L.F. Hoogerheide, H.K. van Dijk |
| #478: Estimating Multi-country VAR models Authors: Fabio Canova, Matteo Ciccarelli |
| #259: A Bayesian Approach to Counterfactual Analysis of Structural Change Authors: Chang-Jin Kim, James Morley, Jeremy Piger |
| #496: The combination of volatility forecasts Authors: Alessandra Amendola, Giuseppe Storti |
| Session 31 | Room: R3 |
| Dynamic Modeling and Applied Econometrics | Chair: Pedro Gomis-Porqueras |
| #49: Oil crisis, Energy Saving Technological Change, and the Stock Market Collapse of 1974 Authors: Adrian Peralta-Alva, Sami Alpanda |
| #185: Computing the Distributions of Economic Models via Simulation Authors: John Stachurski |
| #48: A Geometric Approach to Computing Center Manifolds Authors: Pedro Gomis Porqueras, Alex Haro |
| #229: Synchronization between CEECs and the euro area - a structural factor model approach Authors: Sandra Eickmeier, Joerg Breitung |
| #45: Monetary policy and exchange rate overshooting: Dornbusch was
right after all Authors: Hilde C. Bjørnland |
| Session 95 | Room: R4 |
| Nonlinear Modeling | Chair: Geraldine Ryan |
| #463: Is the relationship between ination and its uncertainty linear? Authors: M. Karanasos, S. Schurer |
| #281: On the stability of the wealth effect Authors: Fernando Alexandre, Pedro Bação, Vasco J. Gabriel |
| #113: Private information and the use of a so called 'information function' Authors: Emmanuel Haven |
| #526: Using wavelets to approximate the risk-neutral MGF for options Authors: Liya Shen, Emmanuel Haven |
| #102: The predictive power of the present value model of stock prices Authors: Geraldine Ryan |
| Session 24 | Room: R6 |
| Derivative Pricing 1 | Chair: Carl Chiarella |
| #68: Pricing the CBT T-Bonds Futures Authors: Ramzi Ben Abdallah, Hatem Ben Ameur, Michèle Breton |
| #186: Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments Authors: Dominique Pujal, Patrick Saint-Pierre |
| #44: Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics Authors: Carl Chiarella, Sydney Andrew Ziogas |
| #331: Asset Prices and asset Correlations in Illiquid Markets Authors: Celso Brunetti, Alessio Caldarera |
| #54: A closed form approach to valuing and hedging basket options Authors: Svetlana Borovkova, Ferry Permana |
| Session 18 | Room: R7 |
| Portfolio Optimization | Chair: Manfred Gilli |
| #404: A Stochastic Programming Framework for International PortfolioManagement Authors: Hercules Vladimirou, Nikolas Topaloglou, Stavros A. Zenios |
| #251: A Sensitivity Analysis of Non-uniformity in Random Portfolios Authors: Patrick Burns |
| #489: Forecasting stock prices using Genetic Programming and Chance Discovery Authors: Alma Lilia Garcia-ALmanza, Edward P.K. Tsang |
| #355: A Data-Driven Optimization Heuristic for Downside Risk Minimization Authors: M. Gilli, E. Kellezi, H. Hysi |
| Session 46 | Room: R8 |
| Computational Macro 1 | Chair: Peter Zadrozny |
| #126: Interest Rates and Investment Redux Authors: Simon Gilchrist, Fabio Natalucci, Egon Zakrajsek |
| #387: Real-Time Measurement of Business Conditions Authors: S.Boragan Aruoba, Francis X. Diebold, Chiara Scotti |
| #401: Estimation of Industry Distribution of Statistical Discrepancy in National Accounts Authors: Baoline Chen |
| #167: The Firm Size Distribution and Productivity Growth Authors: Danny Leung, Cesaire Meh, Yaz Terajima |
| #158: The Great Moderation and the ‘Bernanke Conjecture’ Authors: Luca Benati, Paolo Surico |
| Session 33 | Room: R9 |
| Monetary and Fiscal Interactions and the Price Level | Chair: Leopold von Thadden |
| #376: Speculative Hyperinflations: When Can We Rule Them Out? Authors: Oscar J. Arce |
| #306: Optimal Monetary Policy Response to Distortionary Tax Changes Authors: Michael Krause, Wolfgang Lemke |
| #86: A Ricardian Perspective of the Fiscal Theory of the Price Level Authors: Stefan Niemann |
| #75: Distortionary Taxation, Debt, and the Price Level Authors: A. Schabert, L. v. Thadden |
| #407: Forecasting Inflation: the Relevance of Higher Moments Authors: Jane M. Binner, C. Thomas Elger, Barry E. Jones, Birger Nilsson |
| Parallel session C | Thursday, 2006-06-22 | 14:00 - 16:00 |
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| Session 71 | Room: Med-1 |
| Monetary Policy and Open Economies | Chair: Niki Papadopoulou |
| #61: Skewed policy responses and IT in Latin America Authors: Marco Vega |
| #30: Thick Modeling and the Choice of Monetary Policy in Mexico Authors: Arnulfo Rodriguez, Pedro N. Rodriguez |
| #46: Estimation of Precautionary Demand caused by Financial Anxieties Authors: Y. Morita, Md. J. Rahman, S. Miyagawa |
| #136: Monetary Policy and the Distribution of Money and Capital Authors: Miguel Molico, Yahong Zhang |
| Session 9 | Room: Med-3 |
| Monetary policy, communication, and learning | Chair: Vitor Gaspar |
| #183: Optimal Monetary Policy under Adaptive Learning Authors: Vitor Gaspar, Frank Smets, David Vestin |
| #38: Inflation Targeting under Imperfect Knowledge Authors: Athanasios Orphanides, John C Williams |
| #195: Price level targeting and adaptive learning Authors: Vitor Gaspar, David Vestin |
| #213: A Quantitive Assessment of the Qualitative Aspects of Chairman Greenspan's Communications Authors: Michelle Bligh, Gregory D. Hess |
| Session 54 | Room: R1 |
| Agent-Based Computational Economics 2 | Chair: Matteo Richiardi |
| #277: Validating and Calibrating Agent-based Models: a Case Study Authors: Carlo Bianchi, Pasquale Cirillo, Mauro Gallegati, Pietro Vagliasindi |
| #235: Modeling the strategic trading of electricity assets Authors: Derek W. Bunn, Fernando S. Oliveira |
| #374: E-consumers' search and emerging structure of B-to-C coalitions Authors: Jacques Laye, Charis Lina, Herve Tanguy |
| #232: Policies Against Poverty: an Evalution Authors: Dalit Contini, Matteo Richiardi |
| #155: Agent-based Investigation of Price Inflation In Health Insurance Authors: Carl A. Johnston |
| Session 86 | Room: R2 |
| Option pricing | Chair: Paolo Foschi |
| #252: Pricing Basket spread options Authors: Kostas Giannopoulos |
| #268: Degenerate Kolmogorov equations in option pricing Authors: Andrea Pascucci, Francesco Corielli |
| #344: Non-constant volatility models a comparison Authors: Paolo Foschi |
| #118: Artificial Neural Network Enhanced Parametric Option Pricing Authors: Panayiotis C. Andreou, Chris Charalambous, Spiros H. Martzoukos |
| #530: Implied binomial trees and calibration for the volatility smile Authors: C. Charalambous, N. Christofides, E. D. Constantinide, S. H. Martzoukos |
| Session 30 | Room: R3 |
| Modelling Nonlinear dynamics | Chair: Christian Francq |
| #63: A class of stochastic unit-root bilinear processes: mixing Authors: Christian Francq, Svetlana Makarova, Jean-Michel Zakoïan |
| #388: A component GARCH model with time varying weights Authors: Giuseppe Storti, Luc Bauwens |
| #462: Analisys of Hidden Cointegration in Financial Time Series Authors: Pizzi Claudio, Procidano Isabella, Parpinel Francesca |
| #497: A multiple testing procedure for neural network model selection Authors: Michele La Rocca, Cira Perna |
| Session 92 | Room: R4 |
| Latent Variable Models and Expectations Data | Chair: Irini Moustaki |
| #319: Analysing Website Choice and Consumer Loyalty: the Case of Book and CD Markets Authors: Asmaa Khariji |
| #518: Nonlinear Effects in the Generalized Latent Variable Model Authors: Dimitris Rizopoulos, Irini Moustaki |
| #261: Opinion Formation in Business Surveys: Empirical Evidence from German Micro Data Authors: Klaus Wohlrabe |
| #3: Disagreement and Biases in Inflation Expectations Authors: Carlos Capistrán, Allan Timmermann |
| Session 4 | Room: R6 |
| Consumption: Theory and Evidence | Chair: Christopher Carroll |
| #27: Equity Culture and the Distribution of Wealth Authors: Yiannis Bilias, Dimitris Georgarakos, Michael Haliassos |
| #29: Precautionary Saving Unfettered Authors: James Feigenbaum |
| #133: An approximate consumption function Authors: Mario Padula |
| #21: Sticky Expectations and Consumption Dynamics Authors: Christopher D. Carroll |
| Session 15 | Room: R7 |
| Viability Theory for Economics | Chair: Jacek Krawczyk |
| #188: A Viable Solution to a Small Open-Economy Monetary Policy Problem Authors: Jacek B. Krawczyk, Kunhong Kim |
| #91: Sustainable management of fisheries: an illustration of viability concepts and methods Authors: Michel De Lara, Luc Doyen, Therese Guilbaud, Marie-Joelle Rochet |
| #100: Goodwin's models through viability analysis Authors: Hélène Clément-Pitiot, Patrick Saint Pierre |
| #10: A sustainable management of renewable resource with a quota market Authors: L. Doyen, J.C. Pereau |
| Session 47 | Room: R8 |
| Computational Macro 2 | Chair: Massimiliano Marzo |
| #51: The discounted economic stock of money with VAR forecasting Authors: William A. Barnett, Unja Chae, John W. Keating |
| #352: Monetary Policy and the Term Structure: A Fully Structural DSGE approach Authors: Massimiliano Marzo, Ulf Sodestrom, Paolo Zagaglia |
| Session 73 | Room: R9 |
| Health, Education and Growth | Chair: Jean-Pierre Laffargue |
| #107: Determinants of Public Health Outcomes: A Macroeconomic Perspective Authors: Francesco Ricci, Marios Zachariadis |
| #191: The money-age distribution: Empirical facts and economic modelling Authors: Burkhard Heer, Alfred Maussner, Paul McNelis |
| #209: The economic dynamics of epidemics Authors: Raouf Boucekkine, Jean-Pierre Laffargue |
| Parallel session D | Thursday, 2006-06-22 | 16:30 - 17:55 |
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| Session 2 | Room: Med-1 |
| Optimal Government Policy | Chair: Michael Gapen |
| #71: Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation Authors: Sunghyun Henry Kim, Jinill Kim |
| #72: The Optimal Long-Run Inflation Rate for the U.S. Economy Authors: Roberto M. Billi |
| #34: Optimal Fiscal and Monetary Policy in the Presence of Remittances Authors: Ralph Chami, Thomas Cosimano, Michael Gapen |
| Session 104 | Room: Med-2 |
| Lending Frictions, Optimal policy and dynamic modelling | Chair: Eva Carceles-Poveda |
| #174: Inequality Constraints in Recursive Economies Authors: Rendahl Pontus |
| #222: Ramsey Meets Hosios: The Optimal Capital Tax and Labor Market Efficiency Authors: David M. Arseneau, Sanjay K. Chugh |
| #320: Complete Markets, Enforcement Constraints and Intermediation Authors: Arpad Abraham, Eva Carceles-Poveda |
| Session 3 | Room: Med-3 |
| Dealing with heterogeneity in applied GE models | Chair: Jean Mercenier |
| #132: Combining microsimulation and CGE models: Effects on equality of VAT reforms Authors: Turid Avitsland, Jorgen Aasness |
| #109: Analysing Welfare Reform in a Microsimulation-AGE Model : The Value of Disaggregation Authors: Melanie Arntz, Stefan Boeters, Nicole Gürtzgen, Stefanie Schubert |
| #96: Introducing heterogeneous discrete-choice making agents in applied GE models Authors: Riccardo Magnani, Jean Mercenier |
| Session 41 | Room: R3 |
| Computational Statistics and Econometrics 1 | Chair: Michele La Rocca |
| #472: A New Optimization Approach to Maximum Likelihood Estimation of Structural Models Authors: Ken Judd, Che-Lin Su |
| #301: Bootstrapping Neural tests for conditional heteroskedasticity Authors: Carole Siani, Christian de Peretti |
| #304: Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions Authors: Christian de Peretti, Carole Siani |
| Session 94 | Room: R4 |
| Factor Adjustment Decisions of Firms | Chair: Andrea Pascucci |
| #144: Employment stickiness in small manufacturing firms Authors: Philip Vermeulen |
| #424: Labor Demand Dynamics And the Structure of Adjustment Costs: Evidence From French Firms Authors: Nicolas Roys |
| #486: Equilibrium Specification and Structure of Technology Authors: Sourour Baccar |
| Session 45 | Room: R6 |
| Computational Macro 3 | Chair: William Barnett |
| #55: Bifurcation analysis of new Keynesian models Authors: William A. Barnett, Evgeniya A. Duzhak |
| #139: Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models Authors: Peter Zadrozny, Baoline Chen |
| Session 100 | Room: R7 |
| Identification and Inference in Structural Models | Chair: Maral Kichian |
| #206: Identification of Social Effects through Networks and Groups Authors: Yann Bramoullé, Habiba Djebbari, Bernard Fortin |
| #161: Structural Estimation and Evaluation of Calvo-Style Inflation Models Authors: Jean-Marie Dufour, Lynda Khalaf, Maral Kichian |
| #233: Testing Financial Integration: Finite Sample Motivated Mothods Authors: Marie-Claude Beaulieu, Marie-Hélène Gagnon, Lynda Khalaf |
| Session 85 | Room: R8 |
| Economic Dynamics | Chair: Hans Amman |
| #264: Nonlinear Dynamical Model of Economy with Embodied Technological Progress Authors: Kodera Jan, Vosvrda |
| #466: Asset price volatilities and trading volumes in heterogeneous agent economies Authors: Costas Xiouros, USA |
| #349: Optimal banks behaviour and procyclicality Authors: Costanza Torricelli, Chiara Pederzoli |
| Session 70 | Room: R9 |
| Teaching Computational Economics | Chair: Kurt Schmidheiny |
| #36: Teaching Computational Economics to Graduate Students Authors: David A. Kendrick |
| #35: Teaching Computational Economics Authors: Viktor Winschel, Alexander Ludwig |
| #37: Teaching simulation methods in economics Authors: Michael Reiter |
| Parallel session E | Friday, 2006-06-23 | 08:00 - 10:00 |
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| Session 97 | Room: Med-1 |
| Exchange Rate Modeling | Chair: Alexander Mihailov |
| #12: Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time? Authors: Yunus Aksoy, Kurmas Akdogan |
| #474: The Forward Premium Anomaly at Long Horizons Authors: Stuart Snaith, Neil Kellard, Jerry Coakley |
| #419: Dynamic equilibrium conditions used for building a family of FX rate simulation models Authors: Lukas Ladislav |
| #33: The Triple-Parity Law Authors: Jean-Christian Lambelet, Alexander Mihailov |
| Session 8 | Room: Med-2 |
| Monetary policy and exchange rate uncertainty | Chair: Kai Leitemo |
| #217: A Habit-Based Explanation of the Exchange Rate Risk Premium Authors: Adrien Verdelhan |
| #148: Optimal Exchange Rate Stabilization in a Dollarized Economy with Inflation Targets Authors: Nicoletta Batini, Joseph Pearlman, Paul Levine |
| #214: Caution or Activism? Monetary Policy Strategies in an Open Economy Authors: Martin Ellison, Lucio Sarno, Jouko Vilmunen |
| #14: Monetary Policy and Model Uncertainty in a Small Open Economy Authors: Richard Dennis, Kai Leitemo, Ulf Söderström |
| Session 58 | Room: Med-3 |
| Labor market and DSGE models | Chair: Giuseppe Storti |
| #227: Demographic Uncertainty and Labour Market Imperfections in a Small Open Economy Authors: Juha Kilponen, Helvi Kinnunen, Antti Ripatti |
| #415: Labor Market Search, Inflation and Emloyment Dynamics Authors: Chahnez Boudaya, Günes Kamber |
| #426: Business Cycles in the Model of Labor Search and
Self-Insurance Authors: Makoto Nakajima |
| #432: Job Creation and Investment in Imperfect Capital and Labor Markets Authors: Silvio Rendon |
| Session 81 | Room: R1 |
| Computational Intelligence in Economics and Finance | Chair: Serge Hayward |
| #311: Competition among Payment Card Networks using Generalized Population Based Incremental Learning Authors: Biliana Alexandrova Kabadjova, Andreas Krause, Edward Tsang |
| #417: Genetically Optimised Artificial Neural Network for Financial Time Series Data Mining Authors: Serge Hayward |
| Session 52 | Room: R2 |
| Emerging Markets and Transition Economies | Chair: Emine Boz |
| #19: Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises Authors: Emine Boz |
| #157: Monetary Policy under Balance Sheet Uncertainty Authors: Saki Bigio, Marco Vega |
| #154: Transition Economy Convergence in a Two-Country Model Authors: Jan Bruha, Jiri Podpiera |
| #221: Inflation Targeting Versus Joining a Monetary Union Authors: Nicoletta Batini, Michael Kumhof, Douglas Laxton |
| Session 40 | Room: R3 |
| Computational Statistics and Econometrics 2 | Chair: Michele La Rocca |
| #76: Detrending and Output Growth-Rate Distributions Authors: Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini University of Modena and Reggio Emilia |
| #257: What do we know about fiscal policy shocks effects? A comparative analysis Authors: Christophe Kamps, Dario Caldara |
| #260: Filtering Approach to Interest Rate Model Estimation Authors: Carl Chiarella, Hing Hung, Thuy Duong To |
| #249: Analysis of Regime Switching Behaviour of Indian Stock Markets Authors: Arnab Kumar Laha |
| Session 103 | Room: R4 |
| Panel data econometrics | Chair: Cira Perna |
| #285: Nonlinear State-Space Models for Microeconometric Panel Data Authors: Florian Heiss |
| #287: Advanced estimates of regional accounts: an alternative approach by spatial panels Authors: Riccardo Corradini |
| #341: Breaking trend panel unit root tests Authors: Pui Sun Tam |
| #368: Approximately Exact Inference in Dynamic Panel Models Authors: Simon Broda, Marc Paolella, Yianna Tchopourian |
| Session 5 | Room: R6 |
| Macroeconomics and Finance | Chair: Alexander Michaelides |
| #351: Income Risk and Household Debt with Endogenous Collateral Constraints Authors: Thomas Hintermaier, Winfried Koeniger |
| #5: New Evidence on the Puzzles: Monetary Policy and Exchange Rates Authors: Almuth Scholl, Harald Uhlig |
| #20: Revisiting q-theory Authors: Dimitrios Christelis, Thomas Steinberger |
| #23: Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts Authors: Francisco Gomes, Alex Michaelides, Valery Polkovnichenko |
| Session 17 | Room: R7 |
| Heterogeneity and Interactions in Financial Markets | Chair: Diemo Urbig |
| #178: The effect of social interaction and herd behaviour on the formation of agent expectations Authors: Mark Bowden, Stuart McDonald |
| #108: Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis Authors: Carl Chiarella, Roberto Dieci, Tony He |
| #16: The Coordination Channel of Foreign Exchange Intervention Authors: Stefan Reitz, M.P Taylor |
| #410: Comparative study of central decision makers versus groups of evolved agents trading in equity markets Authors: Cyril Schoreels, Jonathan M. Garibaldi |
| #266: Base rate neglect for the wealth of populations Authors: Diemo Urbig |
| Parallel session F | Friday, 2006-06-23 | 10:30 - 12:40 |
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| Session 108 | Room: Med-1 |
| Macro, Labor and Industry Dynamics | Chair: Willi Semmler |
| #171: On Artificial Structural Unemployment Authors: Maciej K. Dudek |
| #406: Dismissal Protection or Wage Flexibility Authors: Jens Rubart |
| #242: The Econometrics of the Old and New Phillips Curve Authors: Romulo A. Chumacero |
| #369: Credit Cycles in a OLG Economy with Money and Bequest Authors: Anna Agliari, Tiziana Assenza, Domenico Delli Gatti, Emiliano Santoro |
| Session 38 | Room: Med-2 |
| Monetary Policy and Expectations Formation | Chair: Kevin Lansing |
| #40: Optimal Monetary Policy when Agents are Learning Authors: Krisztina Molnar, Sergio Santoro |
| #120: Exchange Rate Regimes, Determinacy, and Learnability in a Two-Block World Economy Authors: Eric Schaling, Marco Hoeberichts |
| #420: Learning, the Stock Market and Monetary Policy Authors: Marco Airaudo, Salvatore Nistico, Luis-Felipe Zanna |
| #488: Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve Authors: Kevin J. Lansing |
| Session 105 | Room: Med-3 |
| Dynamic Macroeconomic Models and Applications | Chair: Paul Levine |
| #149: The Costs of EMU for Transition Countries Authors: Alexandra Ferreira Lopes |
| #403: Welfare Gains from Monetary Commitment in a Model of the Euro-Area Authors: Paul Levine, Peter McAdam, Joseph Pearlman |
| #112: Macroeconomic fluctuations and firm entry: theory and evidence Authors: Vivien Lewis |
| #131: A State-Level Analysis of the Great Moderation Authors: Michael T. Owyang, Jeremy Piger, Howard J. Wall |
| Session 13 | Room: R1 |
| Heuristics in Modeling and Estimation | Chair: Peter Winker |
| #360: The impact of expectations in an agent-based model of the Austrian economy Authors: Gottfried Haber |
| #398: Co evolution of Genetic Programming Based Agents in an Artificial Stock Market Authors: Martinez Jaramillo, Tsang Edward P. K. Department of Computer Science University of Essex, Markose |
| #147: An Objective Function for Simulation Based Inference on Exchange Rate Data Authors: Manfred Gilli, Peter Winker, Vahidin Jeleskovic |
| #379: Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods Authors: Anna Staszewska |
| #456: Smooth Transition Autoregressive (STAR) Models: Heuristic Approaches to the Model Selection Problem Authors: Dietmar Maringer, Mark Meyer |
| Session 96 | Room: R2 |
| Financial Modeling | Chair: Andrea Cipollini |
| #180: Generalized variance ratio tests in the presence of statistical dependence Authors: Periklis Kougoulis, John C. Nankervis, Jerry Coakley |
| #492: A Broad-Spectrum Computational Approach for Market Efficiency Authors: Olivier Brandouy, Philippe Mathieu |
| #523: Long Memory and Structural Breaks in Commodity Futures Basis and Market Authors: Jerry Coakley, Jian Dollery, Neil Kellard |
| #477: Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis Authors: Andrea Cipollini, George Kapetanios |
| #569: Simulation the probability of failure for a financial
intermediary Authors: Jenny Li |
| Session 63 | Room: R3 |
| Computational Statistics and Econometrics 3 | Chair: Petko Yanev |
| #282: A graph approach to generate all possible subset regression models Authors: Cristian Gatu, Petko Yanev, Erricos J. Kontoghiorghes |
| #294: ML Estimators for SEM-GARCH Models: Relative Performance of Different Computational Algorithms Authors: Andi Kabili, Jaya Krishnakumar |
| #288: Parallel algorithms for downdating the least-squares estimator of the regression model Authors: Petko Yanev, Erricos John Kontoghirghes |
| #395: Parallel particle filters for likelihood evaluation in DSGE models: An assessment Authors: Ingvar Strid |
| #409: New strategies for the detection of influential observations Authors: Marc Hofmann, Cristian Gatu, Erricos John Kontoghioghes |
| Session 82 | Room: R4 |
| Financial time series | Chair: Alessandra Amendola |
| #1: Comparing Value-at-Risk Methodologies Authors: Luiz Renato Lima, Breno de Andrade, Pinheiro Néri |
| #22: Semiparametric estimation in perturbed long memory series Authors: Josu Arteche |
| #64: Quasi-likelihood inference in GARCH processes when some coefficients are equal to zero Authors: Christian Francq, Jean-Michel Zakoian |
| #429: VaR competition: Measuring the degree of adjustment of Value at Risk methodologies Authors: Clara I. Gonzalez, Ricardo Gimeno |
| Session 7 | Room: R6 |
| Growth Theory | Chair: Thomas Vallee |
| #77: Endogenous growth and time to build: the AK case. Authors: Mauro Bambi |
| #95: Natural volatility, welfare and taxation Authors: Olaf Posch, Klaus Wälde |
| #101: Multiple Equilibria in a Modified Solow-Swan Model Authors: Thomas Bassetti |
| #7: The trade-off technological Vs environmental efficiency at glance Authors: Raouf Boucekkine, Thomas Vallee |
| #290: Resource Exploitation and Growth: Domestic Innovation vs. Foreign Direct Investment Authors: Francisco Cabo, Guiomar Martín-Herrán, María Pilar Martínez-García |
| Session 28 | Room: R7 |
| Dynamic Games | Chair: Georges Zaccour |
| #274: The air pollution emission permits market in the EU and moral hazard Authors: Francisco Alvarez, Ester Camiña |
| #505: Gullibility and Welfare in an Environmental Taxation Game Authors: Herbert Dawid, Christophe Deissenberg, Pavel Ševčík |
| #515: Myopia in Marketing Channel: A Differential Game Analysis Authors: Guiomar Martín-Herrán, Sihem Taboubi, Georges Zaccour |
| #250: On Coordination of Dynamic Marketing Channels and Two-part Wholesale Tariff Authors: Georges Zaccour |
| Session 65 | Room: R8 |
| Computational Dynamic Macroeconomics | Chair: Kenneth Judd |
| #215: Recovering from Crash States: A ''New'' Algorithm for Solving Dynamic Stochastic Macroeconomic Models Authors: Viktor Dorofeenko, Gabriel S. Lee, Kevin D. Salyer |
| #291: A Reliable Technique for Accurately Computing Unconditional Variances Authors: Gary S. Anderson |
| #453: Computation of heterogenous agent models: Krusell/Smith vs. backwardinduction Authors: Michael Reiter |
| #42: Global sensitivity analysis for macro-economic models Authors: Marco Ratto |
| Session 42 | Room: R9 |
| Consumption, Assets, and Debts | Chair: Paul McNelis |
| #31: Tax-Deferred Savings and Early Retirement Authors: Gaobo Pang |
| #425: International Wealth Effects Authors: Jiri Slacalek |
| #212: Consumption, (Dis)Aggregate Wealth and Asset Returns Authors: Ricardo M. Sousa |
| #431: Household debt, house prices, and consumption in the UK: a theoretical analysis of recent developments Authors: Matt Waldron, Fabrizio Zampolli |
| #104: Inflation Targeting, Learning and Q Volatility in Small Open Economies Authors: Paul D. McNelis, Guay Lim |
| Parallel session G | Friday, 2006-06-23 | 14:00 - 16:00 |
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| Session 79 | Room: Med-1 |
| Nominal Inertia and Inflation Persistence | Chair: Richard Mash |
| #152: Real Price and Wage Rigidities in a Model with Matching Frictions Authors: Keith Kuester |
| #128: The Role of Consumer's Risk Aversion on Price Rigidity Authors: Sergio A Lago Alves, Mirta N S Bugarin |
| #314: Aggregating Phillips Curves Authors: Jean Imbs, Eric Jondeau, Florian Pelgrin |
| #457: Optimising Microfoundations for Inflation Persistence Authors: Richard Mash |
| Session 80 | Room: Med-2 |
| Monetary Policy under Uncertainty | Chair: Carl Claussen |
| #321: (Un)naturally low? Authors: Marco J. Lombardi, Silvia Sgherri |
| #414: Robust monetary policy under Knightian uncertainty Authors: Q. Farooq Akram, Yakov Ben-Haim, Øyvind Eitrheim |
| #353: Uncertainty and Judgment Aggregation in Monetary Policy Committees Authors: Carl Andreas Claussen, Øistein Røisland |
| Session 20 | Room: Med-3 |
| Recent Advances in DSGE Models | Chair: Fabio Milani |
| #500: What are shocks capturing in DSGE modelling? Structure versus misspecification. Authors: Domenico Giannone, Lucrezia Reichlin |
| #219: The Time Varying Volatility of Macroeconomic Fluctuations Authors: Alejandro Justiniano, Giorgio Primiceri |
| #332: The Conquest of U.S. Inflation in an Estimated DSGE Model with Labor Market Search Authors: Fabio Milani |
| Session 27 | Room: R1 |
| Economic Complexity | Chair: Christophe Deissenberg |
| #238: Language competition with bilinguals in social networks Authors: Xavier Castelló, Víctor M. Eguíluz, Maxi San Miguel, |
| #244: Emerging cooperation in the prisoner's dilemma on dynamic networks Authors: Christoly Biely, Klaus Dragosits, Stefan Thurner |
| #333: Finite Memory Distributed Systems Authors: Victor Dorofeenko, Jamsheed Shorish |
| Session 61 | Room: R2 |
| Finance Applications | Chair: Elena Kalotychou |
| #520: Prediction of bank rating transition probabilities Authors: Paraskevi Dimou, Alistair Milne, Francesca Campolongo |
| #507: Profitability of Index-based Size and Style Rotation Strategies in the UK Equity Markets Authors: Natasha Todorovic, Bhavesh Gokani |
| #506: Valuation of participating contracts and risk capital assessment: the importance of market modelling Authors: Laura Ballotta |
| #509: On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics Authors: Ana-Maria Fuertes, Elena Kalotychou |
| #510: Financial Transparency and Stock Returns: An International Study Authors: Christina Dargenidou, Stuart McLeay, Ivana Raonic |
| Session 109 | Room: R3 |
| Approximations of Dynamic Models and Applications | Chair: Cristian Gatu |
| #469: Comparing Accuracy of Second Order Approximation and Dynamic Programming Authors: Stephanie Becker, Lars Gruene, Willi Semmler |
| #377: An Alternative to Stationarization Authors: Michel Juillard |
| #358: Asset pricing implications of a New Keynesian model Authors: Bianca De Paoli, Alasdair Scott, Olaf Weeken |
| #198: The Market Pricing of Mutual Insurance Authors: Charles S. Tapiero |
| Session 14 | Room: R4 |
| Modelling Financial Market Data | Chair: Peter Winker |
| #276: Using genetic algorithms to improve the term structure of interest rates fitting Authors: Ricardo Gimeno, Juan M. Nave |
| #256: Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm Authors: Y. Kahiri, A. Shmilovici, S. Hauser |
| #127: Mathematical methods of market risk valuation in application to Russian stock market Authors: Andrey M. Boyarshinov |
| Session 60 | Room: R6 |
| Inflation dynamics | Chair: Niki Papadopoulou |
| #347: Euro area inflation persistence in an estimated nonlinear Authors: Gianni Amisano, Oreste Tristani |
| #386: Impact of oil prices in an estimated EU12 open economy model Authors: M. Ratto, R. Girardi, R. Liska, W. Roeger, J. In't Veld |
| #418: Sticky Prices vs. Limited Participation:What Do We Learn From the Data? Authors: Niki Papadopoulou |
| #422: Multi-Sectoral Cascading and Price Dynamics - A Bayesian Econometric Evaluation Authors: Alejandro Justiniano, Michael Kumhof, Federico Ravenna |
| Session 75 | Room: R7 |
| Modelling, Valuation, Optimization and Equilibria | Chair: Berc Rustem |
| #322: Optimal Endogenous Carbon Taxes for Electric Power Supply Chains with Power Plants Authors: Anna Nagurney, Zugang Liu, Trisha Woolley |
| #482: Equilibria, Supernetworks, and Evolutionary Variational Inequalities Authors: Anna Nagurney, Zugang Liu |
| #483: Towards A Grid Market Authors: Panos Parpas, Berc Rustem |
| #512: On the valuation of constant maturity swaps Authors: Tetsuya Noguchi |
| Session 76 | Room: R8 |
| Innovation and Market Dynamics | Chair: Herbert Dawid |
| #467: Firm Dynamics with Infrequent Adjustment and Learning Authors: Eugenio Pinto |
| #307: The Impact of Cost Reducing R&D Spillovers on the Ergodic Distribution of Market Structures Authors: Christopher A. Laincz, Ana Rodrigues |
| #216: Do Thick Venture Capital Markets Foster Innovation? A Strategic Analysis Authors: Luca Colombo, Herbert Dawid |
| Session 21 | Room: R9 |
| The term structure and the macroeconomy | Chair: Thomas Laubach |
| #83: Macroeconomic factors in the term structure of interest rates when agents learn Authors: Thomas Laubach, Robert J. Tetlow, John C. Williams |
| #236: A Structural Macro Model of the Yield Curve Authors: Hans Dewachter, Marco Lyrio |
| #6: Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules Authors: Ramón Maria-Dolores, Jesus Vazquez |
| #350: Economic Growth Rates and Recession Probabilities: the predictive power of the spread in Italy. Authors: Costanza Torricelli, Marianna Brunetti |
| Parallel session H | Friday, 2006-06-23 | 16:30 - 17:55 |
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| Session 23 | Room: Med-1 |
| Modeling Monetary Policy | Chair: Maria Demertzis |
| #135: The effects of monetary policy shocks on flow of funds: the case of Italy Authors: Riccardo Bonci, Francesco Columba |
| #392: Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model Authors: Massimiliano Marzo, Paolo Zagaglia |
| #150: Aiming for the Bull's Eye: Uncertainty and Inertia in Monetary Policy Authors: Maria Demertzis, Nicola Viegi |
| Session 6 | Room: Med-2 |
| Optimal Experimentation | Chair: Michael Gapen |
| #32: Robustness of computer algorithms to simulate optimal experimentation problems. Authors: Thomas Cosimano, Michael Gapen, David Kendrick, Volker Wieland |
| #129: The robust permanent income model revisited Authors: Marco P. Tucci |
| Session 67 | Room: Med-3 |
| Dynamic CGE Models | Chair: Jean Mercenier |
| #315: Population Ageing, Time allocation and Human Capital: a General Equilibrium Analysis for Canada Authors: Maxime Fougère, Simon Harvey, Jean Mercenier, Marcel Mérette, |
| Session 12 | Room: R3 |
| Structural Estimation and Identification | Chair: Alejandro Justiniano |
| #196: Back to square one: identification issues in DSGE models Authors: Fabio Canova, Luca Sala |
| #187: The Empirical Relevance of the Lucas Critique Authors: Thomas Lubik, Paolo Surico |
| #153: Cheap Dollar and exchange rate pass-through in the US Authors: Juan F. Rubio-Ramirez, Diego Vilan |
| Session 111 | Room: R4 |
| Financial markets | Chair: Manfred Gilli |
| #182: Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market Authors: Daxue Wang |
| #393: Regular, Discrete-Time Implementation of Continuous-Time Portfolio Strategies Authors: Nicole Branger, Beate Breuer, Christian Schlag |
| #399: Currency Predictions for Multi-Currency Instruments Authors: Baldur P. Magnusson, Daniel R. Plante |
| Session 55 | Room: R6 |
| Life-cycle economies | Chair: Alexander Ludwig |
| #192: Education and Crime over the Lifecycle Authors: Giovanni Gallipoli, Giulio Fella |
| #116: Optimal Pension Policy in a Life-Cycle Economy with Demographic Uncertainty Authors: Alexander Ludwig, Michael Reiter |
| #511: Explaining Life-Cycle Profiles of Home-Ownership and Labour Supply Authors: Orazio Attanasio, Renata Bottazzi, Hamish Low, Lars Nesheim, Matthew Wakefield |
| Session 64 | Room: R7 |
| Games, Mechanisms, and Imperfect Competition | Chair: Kenneth Judd |
| #471: Optimal Income Taxation with Multidimensional Taxpayer Types Authors: Kenneth L. Judd, Che-Lin Su |
| Session 74 | Room: R8 |
| Financial Economics | Chair: Paolo Foschi |
| #273: Scenario Generation Methods for Public Debt Management Authors: Massimo Bernaschi, Marco Papi, Davide Vergni |
| #254: Extreme observations in developed and emerging equity
markets Authors: Pilar Grau-Carles |
| #140: Evolutionary Learning in Principal/Agent Models Authors: Jasmina Arifovic |
| Session 56 | Room: R9 |
| Term structure of interest rates | Chair: Cira Perna |
| #197: Monetary Policy and the Term Structure of Interest Rates Authors: Federico Ravenna, Juha Seppala |
| #203: The term structure of inflation risk premia and macroeconomic dynamics Authors: Peter Hördahl, Oreste Tristani, David Vestin |
| #270: Nelson and Siegel, no-arbitrage and risk premium Authors: Le Grand François |
| Parallel session I | Saturday, 2006-06-24 | 08:00 - 10:00 |
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| Session 110 | Room: Med-1 |
| Fiscal Policy | Chair: Leonardo Gambacorta |
| #328: Fiscal Policy and Microstructure of Treasury Bonds Authors: Oscar Mauricio Valencia |
| #364: Bank Profitability and Taxation Authors: Ugo Albertazzi, Leonardo Gambacorta |
| #494: Secular Trends in U.S Saving and Consumption Authors: Kaiji Chen, Ayse Imrohoroglu, Selahattin Imrohoroglu |
| #231: Democracy and Growth Volatility: exploring the links Authors: Malik Shukayev, Partha Chatterjee |
| Session 37 | Room: R1 |
| Beyond E-Stability in Learning | Chair: Michele La Rocca |
| #475: Learning Hyperinflations Authors: Atanas Christev |
| #312: Sufficient Conditions and Necessary Conditions for delta-stability Authors: Anna Bogomolova, Dmitri Kolyuzhnov |
| #446: Stochastic Gradient versus Recursive Least Squares Learning Authors: Sergey Slobodyan, Anna Bogomolova, Dmitri Kolyuzhnov |
| #451: On learnability of E–stable equilibria Authors: Sergey Slobodyan, Atanas Christev |
| Session 87 | Room: R2 |
| Financial engineering | Chair: Spiridon Martzoukos |
| #495: Financial Products with Guarantees: Applications, Models and Internet-based services Authors: Stavros A. Zenios, Andrea Consiglio |
| #345: Pricing problems of perpetual Bermudan options Authors: Yoshifumi Muroi, Takashi Yamada |
| #74: Testing foe Stochastic Dominance Efficiency Authors: Nikolas Topaloglou, Olivier Scaillet |
| #220: Computational Finance Techniques for Valuing Customers Authors: David Colliings. BT Group, Nicola Baxter |
| #58: A new framework for firm value using copulas Authors: Elena Maria De Giuli, Mario Maggi, Dean Fantazzini |
| Session 91 | Room: R3 |
| Oil Price Fluctuations and Energy Issues | Chair: Gianni Lombardo |
| #402: Monetary and Fiscal Policy Interactions in a Three-Country Model with Oil Authors: Fiorella de Fiore, Giovenni Lombardo, Viktors Stebunovs |
| #18: Inflation Premium and Oil Price Volatility Authors: Paul Castillo, Carlos Montoro |
| #190: A Decomposition Analysis of Energy Use in the Japanese Economy Authors: Makoto Tamura, Shinichiro Okushima |
| Session 53 | Room: R4 |
| Recent Developments in New Keynesian Models | Chair: Kai Christoffel |
| #525: Unemployment Fluctuations with Staggered Nash Wage Bargaining Authors: Mark Gertler, Antonella Trigari |
| #59: Assessing different drivers for the great moderation in the U.S. Authors: Efrem Castelnuovo |
| #346: Labor Taxation and Shock Propagation in a New Keynesian Model with Search Frictions Authors: Juuso Vanhala |
| #146: Identifying the Role of Labor Markets for Monetary Policy in an Estimated DSGE Model Authors: Kai Christoffel, Keith Kuester, Tobias Linzert |
| Session 57 | Room: R6 |
| Open economy models | Chair: Giuseppe Storti |
| #309: Assessing the structural VAR approach to exchange rate pass-through Authors: Ida Wolden Bache |
| #84: The External Finance Premium and the Macroeconomy: US post-WWII Evidence Authors: Ferre De Graeve |
| #87: Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model Authors: Pau Rabanal, Vicente Tuesta |
| #343: Exchange Rate Variability in the Small Open Economy with Currency Substitution Authors: Luca Colantoni |
| Session 25 | Room: R7 |
| Derivative Pricing 2 | Chair: Carl Chiarella |
| #137: Numerical Methods for American Spread Options under Jump Diffusion Processes Authors: Gerald H. L. Cheang, Carl Chiarella, Gunter Meyer, Andrew Ziogas |
| #265: A Spectral Method for Bonds Authors: Javier de Frutos |
| #275: Firm Value, Diversified Capital Assets and Credit
Risk: Towards a Theory of Default Correlation Authors: Lars Grüne, Willi Semmler, Lucas Bernard |
| Parallel session J | Saturday, 2006-06-24 | 10:30 - 12:40 |
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| Session 29 | Room: Med-1 |
| Topics in Empirical International Macroeconomics | Chair: Diego Vilan |
| #166: Inflation Globalization and the Fall of Country Specific Fluctuations Authors: Haroon Mumtaz, Paolo Surico |
| #334: An Estimated Dynamic Stochastic General Equilibrium Model of Taiwanese Economy Authors: Wing Leong Teo |
| #436: Misspecification of Space: An Illustration Using Growth Convergence Regressions Authors: Jan Mutl |
| #338: Regional Inflation Dynamics within and across Euro Area and a Comparison with the US Authors: Guenter Beck, Massimiliano Marcellino |
| Session 39 | Room: Med-2 |
| Technology and Business Cycle | Chair: Gerd Weinrich |
| #224: Impact of International Technological-Knowledge Diffusion on Southern Convergence Authors: Oscar Afonso, Paulo B Vasconcelos |
| #267: Foreign direct investment in the presence of technological spillovers and international competition Authors: Herbert Dawid, Alfred Greiner, Benteng Zou |
| #516: Persistence of Monopoly, Innovation, and R-and-D Spillovers: Static versus Dynamic Analysis Authors: Kresimir Zigic, Viatcheslav Vinogradov, Eugen Kovac |
| #445: Labour market institutions and aggregate fluctuations in a search and matching model Authors: Francesco Zanetti |
| #65: The Role of Expectations in a Macroeconomic Model with Inventories Authors: Luca Colombo, Gerd Weinrich |
| Session 102 | Room: Med-3 |
| Tax Reforms, Business Cycles and Growth | Chair: Spiros Martzoukos |
| #400: Flat Tax Reforms in the U.S.: a Boon for the Income Poor Authors: Javier Diaz-Gimenez, Josep Pijoan-Mas |
| #298: pproximating tax effects in an infinitely lived agent growth
model using Chebyshev collocation Authors: Mitja Steinbacher |
| #370: Testing the impact of disaggregated investment on Economic growth Authors: Meryem Duygun Fethi, Sami Fethi, Salih Turan Katirciglu |
| #142: The estimated general equilibrium effects of fiscal policy: the case of the euro area Authors: Lorenzo Forni, Libero Monteforte and Luca Sessa |
| #175: Do european business cycles look like one? Authors: Maximo Camacho, Gabriel Perez-Quiros and Lorena Saiz |
| Session 32 | Room: R1 |
| Information Technology Applications | Chair: Ric Herbert |
| #440: Optimal Control Response to Multiplicative Uncertainty with a Constant Term Authors: Fidel Gonzalez |
| #258: Learning Parameters in Non Linear Ecological Models Authors: W. Davis Dechert, Sharon I. O'Donnell, William A. Brock |
| #427: The effect of supply and demand in a dynamic limit order based financial market Authors: Dan Ladley, Klaus Reiner, Schenk-Hoppé |
| #202: Creating and Using a Non-Dedicated HPC Cluster with ParallelKnoppix Authors: Michael Creel |
| #67: Space-filling Techniques in Visualizing Output from Computer Based Economic Models Authors: Richard Webber, Ric D Herbert, Wei Jiang |
| Session 90 | Room: R2 |
| Asset Pricing | Chair: Turalay Kenc |
| #13: Cooperative home financing Authors: M. Shahid Ebrahim, Ehsan Ahmed |
| #194: The Fractional OU Process: Term Structure Theory and Application Authors: Esben Hoeg, Per Frederiksen |
| #423: Competing or Colluding in a Stochastic Environment Authors: Adriana Breccia, Hector Salgado-Banda |
| #499: A Structural Model of Credit Risk with Counter-Cyclical Risk Premia Authors: Turalay Kenc, Martin Sola, Marzia Raybaudi |
| #514: Worst-case Robust Approach to the Equity Premium Puzzle Authors: Nalan Gulpinar, Turalay Kenc, Berc Rustem |
| Session 62 | Room: R3 |
| Computational Statistics and Econometrics 4 | Chair: Cira Perna |
| #317: Applications of Kernel Methods in Financial Risk Management Authors: Andreas Mitschele, Stephan Chalup, Frank Schlottmann, Detlef Seese |
| #484: Lag or Error? - Detecting the Nature of Spatial Correlation Authors: Mario Larch, Janette Walde |
| #437: Structured Hidden Markov Models Authors: Jan Bulla, Ingo Bulla |
| #438: Semi-Markov Regime Switching Regression Models Authors: Ingo Bulla |
| Session 88 | Room: R4 |
| Time series | Chair: Michele La Rocca |
| #359: Comparing Time Series Authors: K. Fokianos |
| #380: Dynamic cointegration and relevant vector machine: the relationship between gold and silver Authors: Margherita Gerolimetto, Isabella Procidano, Silio Rigatti Luchini |
| #396: Local Polynomials vs Neural Networks: some empirical evidences Authors: Giordano Francesco, Parrella Maria Lucia |
| #151: Spurious regression and econometric trends Authors: Antonio E. Noriega, Daniel Ventosa-Santaulària |
| Session 66 | Room: R6 |
| Capital and Growth | Chair: Walter Fisher |
| #92: Should the Private Sector Provide Public Capital? Authors: Santanu Chatterjee |
| #318: The Dynamics of Wealth and Income distribution in a Neoclassical Growth Model Authors: Cecilia Garcia Penalosa, Stephen Turnovsky |
| #362: Government expenditure, capital adjustment, and economic growth Authors: Ingrid Ott, Susanne Soretz |
| #60: The Quest for Status and Endogenous Labor Supply: The Relative Wealth Framework Authors: Walter H. Fisher, Franz X. Hof |
| #248: Technological Transfers, Limited Commitment and Growth Authors: Alexandre Dmitriev |
| Session 16 | Room: R7 |
| Dynamic Optimal Decision Making | Chair: Alfredo Ibanez |
| #302: Social Security and the search behavior of advanced-age workers in Spain Authors: J. Ignacio Garcia Perez, Alfonso Sanchez Martin |
| #357: A Genetic Algorithm for UPM/LPM Portfolios Authors: David Moreno, David Nawrocki, Ignacio Olmeda |
| #473: A Robust Approach to Bond Portfolio Immunization Authors: Alejandro Balbás, Alfredo Ibáñez |
| #435: A Karush-Kuhn-Tucker test of convexity for univariate observations Authors: Sofia Georgiadou, Ioannis C. Demetriou |
| Session 84 | Room: R8 |
| Heterogeneous Agent Models | Chair: Roberto Dieci |
| #225: Behavioral Consistent Market Equilibria under Procedural Rationality Authors: Mikhail Anufriev, Giulio Bottazzi |
| #412: Duopolistic competition in an electricity markets with heterogeneous cost functions Authors: Eric Guerci, Stefano Ivaldi, Marco Raberto, Silvano Cincotti |
| #449: Learning From the Expectations of Others Authors: Jim Granato, Eran Guse, Sunny Wong |
| #340: Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets Authors: Bertrand Melenberg, Bas Donkers, Hendri Adriaens |
| #181: A Dynamic Heterogeneous Beliefs CAPM Authors: Carl Chiarella, Roberto Dieci, Xue-Zhong He |
| Session 78 | Room: R9 |
| Asset pricing, credit risk, and forecasting | Chair: Paolo Foschi |
| #487: Evaluating hedge fund managers: A Bayesian investigation of skill and persistence Authors: Vrontos Ioannis, Vrontos Spyridon, Giamouridis Daniel |
| #179: CART analysis of qualitative variables to improve credit rating processes Authors: Giampaolo Gabbi, Massimo Matthias, Marco De Lerma |
| #193: The Information Contained in the Exercise of Executive Stock Options Authors: Kyriacos Kyriacou, Bryan Mase |
| #428: Financial Market Imperfections: Does it Matter for Firm Size Dynamics? Authors: Kim P. Huynh, Robert J. Petrunia |