The 9th International Conference of
The Society for Computational Economics
Computing in
Economics and Finance
Final Schedule of Parallel Sessions
(Revised July 7, 2003)
The 9th International Conference of
The Society for Computational Economics
Computing in
Economics and Finance
Final Schedule of Parallel Sessions
(Revised July 7, 2003)
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Friday, July 11, 2003 8:30 to 10:10
A1 Computational Macro Modelling I: Macro Dynamics Chair: Sharon Kozicki
108 “Structural Time-Series Models with Common Trends and Common Cycles” Christoph Schleicher
172 “Consistent High-Frequency Calibration” David Aadland and Kevin X.D. Huang
28 “Employment Protection, Exit and Macroeconomic Dynamics” Roberto M. Samaniego
A2 Control Applications to Macroeconomic Problems Chair: Ric D. Herbert
249 “Big Government as an Accidental Controller in Minsky's Financial” Steve Keen
264 “Strategic Interactions between Fiscal and Monetary Policies in a Monetary Union” Reinhard Neck and Doris A. Behrens
207 “Robust Control: A Note on the Response of the Control to Changes in the “Free” Parameter” Fidel Gonzalez and Arnulfo Rodriguez
248 “Model Based Predictive Control of Unemployment” Ric D. Herbert and Gareth D. Leeves
A3 Information Asymmetry and Monetary Policy Chair: James Yetman
263 “Optimal Monetary Policy with Imperfect Common Knowledge” Klaus Adam
295 “The Believability of Central Bank Forecasts” James Yetman
171 “Evolving Post-World War II U.K. Economic Performance” Luca Benati
A4 Agent-Based Modelling of Financial Markets Chair: Michael Maschek
112 “Tick Size and Market Performance” Chia-Hsuan Yeh
241 “Treasury Auctions, Uniform or Discriminatory?: An Agent-based Approach” Deddy Koesrindartoto
245 “Expectations and Currency Crisis - An Experimental Approach” Jasmina Arifovic and Michael Maschek
A5 Computational Statistics and Econometrics: Technical Developments Chair: Swamy Paravastu
217 “Testing Stationarity of AR(1) Process with Symmetric Stable Disturbance” Michal Greszta
192 “Computation of the Information Matrix for the Models of Spatial Interactions” Oleg Smirnov
P.A.V.B. Swamy, George S. Tavlas and I-Lok Chang
A6 Estimation by Monte-Carlo Integration Chair: James Bullard
91 “Estimating Nonlinear Dynamic Economies: A Likelihood Approach” Jesus Fernandez-Villaverde and Juan Rubio-Ramirez
219 “Statistical Nonlinearities in the Business Cycle: A Challenge for the Canonical RBC Model” Diego Valderrama
225 “Estimating Monetary Policy Rules in Small Open Economies: A Structural Approach” Thomas A. Lubik and Frank Schorfheide
A7 Topics in Exchange Rates and International Finance Chair: Walter H. Fisher
61 “Does Exchange Rate Risk Matter for Welfare?” Paul Bergin and Ivan Tchakarov
259 “Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation” Jinill Kim and Sunghyun Henry Kim
235 “Exchange Rate Regimes and Relative Prices: An Industry-Level Empirical Investigation” Prasad S. Bhattacharya, Cem A. Karayalcin, Dimitrios D. Thomakos
165 “Status Preference and World Economic Dynamics” Walter H. Fisher
Friday, July 11, 2003 10:40 to 12:20
B1 Computational Macro Modelling II: Limited Information Chair: Jeffery D. Amato
206 “Macroeconomics and the Yield Curve” Glenn Rudebusch and Tao Wu
38 “Public and Private Information in Monetary Policy Models” Jeffery D. Amato and Hyun Song Shin
49 “How Important is Precommitment for Monetary Policy?” Richard Dennis and Ulf Soderstrom
Fabio Milani
B2 Structural Breaks and Inflation Dynamics Chair: Jeremy Piger
298 “Is Inflation Persistence Intrinsic in Industrial Economies?” Andrew Levin and Jeremy Piger
169 “Structural Breaks in Inflation Dynamics” Luca Benati and George Kapetanios
Todd E. Clark and Michael W. McCracken
B3 Heterogeneous Agents, Learning, and Market Stability Chair: Alexander Karaivanov
88 “Multi-Asset Market Dynamics” Frank Westerhoff
209 “Learning Dynamics, Nonlinear Misspecification, and Trading” Christophre Georges and John C. Wallace
86 “Complex Dynamics and Financial Fragility in an Agent Based Model.” Mauro Gallegati, Gianfranco Giulioni, Nozomi Kichiji
25 “Financial Contracts and Occupational Choice” Alexander Karaivanov
B4 Option pricing I Chair: Andrew Ziogas
Alfons Balmann, Norbert Hirschauer, Oliver Musshoff, and Martin Odening
45 “A Stochastic Seasonal Model for Commodity Option Pricing” Monica Barbu, Kevin Burrage
39 “McKean’s Method Applied to American Call Options on Jump-Diffusion Processes” Carl Chiarella and Andrew Ziogas
B5 Computational Statistics and Econometrics: Financial Applications Chair: Ana-Maria Fuertes
284 “Hedge Fund Classification using K-means Clustering Method” Nandita Das
Thomas Lux
307 “Robust Bootstrap Inference on Long Run Dependence Using Panels” Ana-Maria Fuertes
B6 Labor Market Search and Business Cycle Propagation Chair: James M. Nason
53 “Business Cycles, Wage Stickiness and Nonclearing Labor Market” Gang Gong and Willi Semmler
230 “Real Wage Dynamics in a Monetary Business Cycle Model with Search Frictions” Michael U. Krause and Thomas A. Lubik
270 “Along the New Keynesian Phillips Curve with Nominal and Real Rigidities” James M. Nason and George A. Slotsve
B7 Beyond Linearization: Theory Chair: Jinill Kim
162 “Calculating and Using Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models” Jinill Kim, Sunghyun Kim, Ernst Schaumburg, and Christopher A. Sims
286 “What is the Contribution of a K Order Approximation” Michel Juillard
239 “Perturbation Methods and Change of Variable Transformations” Kenneth L. Judd
Friday, July 11, 2003 15:00 to 16:40
C1 Computational Macro Modelling III: Methodological Issues Chair: Stephen J Turnovsky
279 “A Parallel Implementation of Perturbation Method Calculations on a Beowulf Cluster” Gary Anderson
240 “Uncertainty, Political Preferences, and Economic Stabilization” Seung-Rae Kim
19 “Solving a Saddlepath Unstable Model with Complex-Valued Eigenvalues” Peter J. Stemp and Ric D. Herbert
277 “The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply” [Tables] Stephen J. Turnovsky and Marcelo Bianconi
C2 Monetary Policy and Volatility Chair: Zeno Rotondi
301 “Feedback Rules and Time Consistent Policymaking in an Open Economy” Andrew P. Blake and Tatiana Kirsanova
292 “Delegation of Monetary Policy: More than a Relocation of the Time-Inconsistency Problem” John Driffill and Zeno Rotondi
300 “Volatility and Policy Regimes: The UK Joining the Euro” Luisa Corrado and Sean Holly
C3 Option Pricing II Chair: Ricardo Rochman
201 “An Implementation of the Shirakawa Jump-Diffusion Term Structure Model” Carl Chiarella and Christina Nikitopoulos-Sklibosios
110 “Issues in Evaluating Multifactor Options in a PDE Framework” C. Chiarella, J. Dewynne, N. El-Hassan and M. Gilli
152 “Asset and Liability Management for a Defined Benefit Pension Fund Using Heuristic Optimization” Ricardo Ratner Rochman
C4 Computational Statistics and Econometrics: Computational Efficiency and Algorithms Chair: Giuseppe Bruno
175 “Evaluating the Extremal Index in GARCH Processes Through Double Random Walk” Fabrizio Laurini
283 “On a CAPM Monitoring Based on the EWMA Process Control” Bakhodir A Ergashev
Giuseppe Bruno
C5 Evolutionary Dynamics and Learning Chair: Roger McCain
18 “The Dynamics of Reputations” Fang Wu and Bernardo A. Huberman
271 “When a Fad Ends: An Agent-Based Model of Imitative Behavior” Margo Bergman
244 “Computer Testbeds: The Dynamics of Groves-Ledyard Mechanisms” Jasmina Arifovic and John Ledyard
9 “Specifying Agents: Probabilistic Equilibrium with Reciprocity” Roger A. McCain
C6 Beyond Linearization: Application Chair: Jinill Kim
202 “Is There a Role for Asset Prices in Monetary Rules? Some Welfare Analysis Based on Perturbation Methods” Michel Juillard, Douglas Laxton, and Paolo Pesenti
215 “Parameter Uncertainty and the Central Bank's Objective Function” Andrew T. Levin and John C. Williams
64 “Higher-Order Solutions to Dynamic, Discrete-Time Rational Expectations Models: Methods and an Application to Optimal Monetary Policy” Gary Anderson, Andrew Levin, and Eric Swanson
C7 Computational Industrial Dynamics I Chair: Thomas Brenner
166 “Innovation Process? Fuel Cell Vehicle?: What Strategy Promises To Be Most Successful?” Maik Schneider, Burkhard Schade, Professor Hariolf Grupp
Giulio Bottazzi, Giorgio Fagiolo and Giovanni Dosi
145 “An Intertemporal Competition Model for Water Levels” J.B. Krawczyk and M. Tidball
Friday, July 11, 2003 17:10 to 18:50
D1 Dynamic Games and Oligopoly Chair: Kenneth Judd
26 “Cartel Pricing Dynamics in the Presence of an Antitrust Authority” Joseph E. Harrington, Jr.
229 “Competitive Convergence and Divergence: Capability and Position Dynamics” Patricia Langohr
127 “Lattice Methods for Computing Markovian Equilibrium in Dynamic Games” Manjira Datta, Leonard J. Mirman, Olivier F Morand, and Kevin L. Reffett
D2 Explaining Macroeconomic Dynamics Chair: James Morley
190 “In Search of the Natural Rate of Unemployment” Thomas King and James Morley
33 “Global Dynamics and Hyperinflations” Pedro Gomis Porqueras and Alex Haro
287 “Instability of Sunspot Equilibria in RBC Models Under Adaptive Learning” John Duffy and Wei Xiao
308 “A Non-Linear Model of Economic Production Processes” A.Ponzi, A.Yasutomi, K.Kaneko
D3 Learning and Macroeconomic Dynamics Chair: Robert Tetlow
129 “Did the Great Inflation Occur Despite Policymaker Commitment to a Taylor Rule?” James Bullard and Stefano Eusepi
132 “Learning Dynamics and Endogenous Currency Crises” In-Koo Cho and Kenneth Kasa
126 “Inflation in the 1970s in the U.S.: Misspecification, Learning and Sunspots” Robert J. Tetlow and Peter von zur Muehlen
125 “Inflation Scares and Monetary Policy” Athanasios Orphanides and John C. Williams
D4 Time Series Modelling Chair: Christopher Baum
32 “Long Memory Models and Tests for Cointegration: A Synthesizing Study” Aaron D. Smallwood and Stefan C. Norrbin
59 “Signal Extraction can Generate Volatility Clusters” Prasad V. Bidarkota and J. Huston McCulloch
109 “Kolmogorov-Wiener Filters for Finite Time Series” Christoph Schleicher
160 “A New Interpretation of the Exchange Rate - Yield Differential Nexus” Jerry Coakley, Ana-Maria Fuertes and Andrew Wood
D5 Financial Modelling Chair: Li Chen
Richard Taylor and David E. Giles
195 “Dynamic Neural Network Based Inflation Forecasts for the UK” J. Binner, A.M.Gazely, T. Lund
22 “Parametric Estimation of Quadratic Term Structure Models of Interest Rates” Li Chen and H. Vincent Poor
D6 Spatial Interaction Models Chair: Leigh Tesfatsion
Phan Denis, Pajot Stéphane, Nadal Jean-Pierre
170 “Complex Dyanmics in a Simple Model of Economic Specialization” Andrea Mario Lavezzi
63 “Schelling's Spatial Proximity Model of Segregation Revisited” Romans Pancs and Nicolaas J. Vriend
Burkhard Schade and Wolfgang Schade
D7 Economic Growth Chair: Santanu Chatterjee
13 “Educational Systems, Growth and Income Distribution: A Quantitative Study” Hung-ju Chen
182 “The Timing of Childbearing Among Heterogeneous Women” Charles Mullin and Ping Wang
174 “Status and Risk-Taking in a Stochastic Growth Model” Christiane Clemens and Susanne Soretz
41 “Capital Utilization, Economic Growth and Convergence” Santanu Chatterjee
Saturday, July 12, 2003 8:30 to 10:10
E1 Computational Methods in Dynamic Macroeconomics Chair: Kenneth Judd
133 “Comparing Linear and Nonlinear Solution Methods for Dynamic Equilibrium Economies” Boragan Aruoba, Jesus Fernandez-Villaverde, Juan F. Rubio
250 “Using Markov Chain Monte Carlo and Particle Filters to Compute Invariant Distributions for Nonlinear Rational Expectations Models” Gary S. Anderson
208 “Dynamic Programming and Shape-preserving Interpolation” Michael Reiter
238 “Solution Methods for Models with Quasi-Geometric Discounting” Kenneth L. Judd
E2 New Keynesian Models and Policy Chair: Andrew Levin
299 “Forward-Looking Rules in a 2-country Context” N Batini, P Levine, J Pearlman
290 “Equity Prices and Monetary Policy: An Overview with an Exploratory Model” Fernando Alexandre and Pedro Bacao
296 “Monetary Policy, Investment and Non-fundamental Shocks” Fernando Alexandre
122 “Monetary Policy Implications of Endogenous Capital Accumulation” Andrew Levin and J. David López-Salido
E3 Computational Statistics and Econometrics: Estimation and Resampling Chair: M. A. Kaboudan
70 “Conditional Distribution Resampling for Time Series” Svetlana Borovkova and Cees Diks
17 “Hybrid Real Estate Valuation Models with Neighborhood Effects: Marrying Geographic Information Systems and Nonlinear Econometrics” Roger A. McCain, Paul Jensen, and Stephen Meyer
44 “Forecasting Demand for Natural Gas Using GP-Econometric Integrated Systems” M. A. Kaboudan
E4 Agent-Based Models of Financial Markets Chair: Alfons Balmann
79 “Examining Risk Attitudes” Margo Bergman
111 “The Great Influence of Less Risk Averse Agents” Frank Niehaus
246 “Credit Contagion and Aggregate Losses” Kay Giesecke and Stefan Weber
Alfons Balmann and Oliver Musshoff
E5 Heterogeneous Agents Models Chair: Koye Somefun
211 “Endogenous Trading Constraints in Asset Markets” Arpad Abraham and Eva Carceles-Poveda
43 “The States vs. the states: On the Welfare Cost of Business Cycles in the U.S.” Stephane Pallage and Michel A. Robe
37 “Finding and Verifying All Solutions of a System of Nonlinear Equations Using Public Domain” Max Jerrell and Wendy Campione
D.J.A. Somefun and J.A. La Poutre
E6 Networks Chair: Hans Amman
68 “Endogenous Networks in Random Population Games” Giorgio Fagiolo, Luigi Marengo and Marco Valente
221 “Network Formation, Preferential Meeting and Equilibrium Selection” Nicolas Carayol and Pascale Roux
6 “Intermediaries in an Electronic Trade Network” Floortje Alkemade, Han la Poutre and Hans Amman
E7 Computational Industrial Dynamics II Chair: Thomas Brenner
Johann Peter Murmann and Thomas Brenner
189 “A Dynamic Stochastic Analysis of International Patent Application and Renewal Processes” Yi Deng
Monika Friedrich-Nishio and Burkhard Schade
Saturday, July 12, 2003 10:40 to 12:20
F1 Robust Policy Design Chair: Robert Tetlow
291 “Robust Monetary Polciy with Competing Reference Models” Andrew T. Levin and John C. Williams
185 “Robust Monetary Policy Rules for the Short and Long Run” Alexei Onatski and Noah Williams
118 “A Real Time Tax Smoothing Based Fiscal Policy Rule” Elena Loukoianova, Shaun P. Vahey, Elizabeth C. Wakerly
F2 Dynamic Factor Analysis of Macroeconomic Data Chair: Peter Zadrozny
242 “Eurocoin: A Real Time Coincident Indicator of the Euro Area Business Cycle” Filippo Altissimo, Antonio Bassanetti, Riccardo Cristadoro and Mario Forni, Marco Lippi, Lucrezia Rei
260 “Factor Based Leading Indicators for Euro Area Business Cycle: A Comparative Assessment” Angelini; Henry; Mestre (European Central Bank)
143 “The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting” M. Forni, M. Hallin, M. Lippi, L. Reichlin
123 “Extended Yule-Walker Estimation and Principal Components Variance Decomposition of a Many-Variable VAR Model to a Few-Factor VARMA Model: Applied to U.S. Macro Data” Baoline Chen and Peter A. Zadrozny
F3 Computational Derivative Pricing Chair: Claudia Ribeiro
4 “Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge” Claudia Ribeiro and Nick Webber
135 “A Numerical Solution to American Style Options on Commodities” Jamie Alcock, Monica Barbu and Kevin Burrage
247 “Successive Correlated Defaults: Compensators and Simulation” Kay Giesecke
Claudia Ribeiro and Nick Webber
F4 Learning and Dynamics Chair: Charlotte Bruun
266 “Consumer Behaviour, Interpersonal Interaction and Fashions” Thomas Brenner
213 “Coordinated Investing with Feedback and Learning” David Goldbaum
188 “A Moving Horizon Approach to Disequilibrium Dynamics” Sander van der Hoog
205 “The Economy as a Whole - Simulating Schumpetarian Dynamics” Charlotte Bruun
F5 TOPICS IN INTERNATIONAL MACROECONOMICS Chair: Paul Bergin
106 “Endogenous Nontradability and Macroeconomic Implications” Paul Bergin and Reuven Glick
47 “Indeterminacy, Demand Shocks, and International Business Cycles” Wei Xiao
140 “Dynamics of a Small Open Economy” J. Kodera and M. Vosvrda
130 “The Non-Linearity of the Financial Accelerator” Andrew Levin and Fabio Natalucci
F6 Computable General Equilibrium Chair: Maik Heinemann
58 “Global Warming Policy and Distributional Effects: A General Equilibrium Analysis” Shinichiro Okushima
83 “Calibration, Forecasts and Sensitivity Analysis in Overlapping Generations Models” Alexander Ludwig
267 “Are Rational Expectations Equilibria with Private Information Eductively Stable?” Maik Heinemann
F7 Empirical Micro Chair: Sourour Baccar
99 “Optimal Settlement Duration Under Holdout Threat” Suheyla Ozyildirim
128 “An Empirical Study of Darwin's Theory of Mate Choice” Linda Y. Wong
222 “Peer Effects and Selection Effects in Youth Smoking” Brian Krauth
285 “User Cost of Capital and Cost Function : Does the Margin in the Modelling Yields Robust Results?” Sourour Baccar
Saturday, July 12, 2003 15:10 to 16:50
G1 Dynamic Factor Analysis of Macroeconomic Data II Chair: Peter Zadrozny
251 “Asymptotic Principal Components Estimation of Large Factor Models” Chris Heaton and Victor Solo
255 “Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data” Jean Boivin and Serena Ng
278 “Structural Factor-Augmented VAR (SFAVAR)” Francesco Belviso and Fabio Milani
G2 Habit Formation and Macroeconomics Chair: Paul Bergin
29 “Habit Formation, the World Real Interest Rate, and the Present Value Model of the Current Account” Takashi Kano
72 “Habit Formation and the Persistence of Monetary Shocks” Hafedh Bouakez, Emanuela Cardia, Francisco Ruge-Murcia
289 “Habit Formation, Catching Up with the Joneses, and Non-Scale Growth” Francisco Alvarez, Goncalo Monteiro, Stephen Turnovsky
G3 Financial and Monetary Modeling Chair: Jerry Coakley
65 “An Empirical Examination of Term Structure Models with Regime Shifts” John Driffil, Turalay Kenc and Martin Sola
310 “Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes” Lucio Sarno, Mark Wohar, Giorgio Valente
69 “The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial Firms” Christopher F. Baum, Mustafa Caglayan, Neslihan Ozkan, Oleksandr Talavera
G4 Matching, Networks and Labor-Market Dynamics Chair: Leigh Tesfatsion
Mark Pingle and Leigh Tesfatsion
151 “Optimal Tenure Choice with Random Mobility” Z. Onder and S. Ozyilidirim
164 “Housing Markets and Labor Mobility” Markus Haavio and Heikki Kauppi
35 “Agriculture: Transition Buffer or Black Hole? A Three-state Model of Employment Dynamics” Alexandru Voicu
G5 Extensions of R & D Based Growth Models Chair: Fidel Perez-Sebastian
40 “Endogenous Life Expectancy and the Wealth of Nations” Chris Papageorgiou and Fidel Perez-Sebastian
81 “A Decompositional Approach to the Estimation of Technological Change” Makoto Tamura and Shinichiro Okushima
173 “Occupational Choice under Risk in an Overlapping Generations Economy with Monopolistic Competition” Christiane Clemens
G6 General Equilibrium Chair: Jean Chateau
Thomas Weitzenblum
228 “Capital Ownership Under Market Incompleteness: Does it Matter?” Eva Carceles-Poveda
Shu-Heng Chen and Ya-Chi Huang
187 “Demographic and Economic Uncertainties in a Large Scale Computable OLG Model” Jean Chateau
G7 Robust Policies Chair: David Kendrick
20 “Stability of Multicountry Unions” Paolo Caravani
21 “Linear Discrete Time Systems with Box Constraints” Paolo Caravani and Elena De Santis
102 “Stochastic Optimisation and Worst-Case Analysis in Monetary Policy” S. Zakovic, B. Rustem, V. Wieland
114 “A Classification System for Economic Stochastic Control Models” David A. Kendrick and Hans M. Amman
Sunday, July 13, 2003 8:30 to 10:10
H1 Topics in Financial Modelling Chair: Jerry Coakley
274 “Wavelet Estimation of Integrated Volatility” Esben Hoeg and Asger Lunde
236 “Comparing Artificial Intelligence Systems for Stock Portfolio Selection” Chiu-Che Tseng
Marina Velikova and Hennie Daniels
H2 Local Interactions and Aggregate Fluctuations Chair: Paul Ormerod
156 “Unemployment and Inventories in the Business Cycle” Luca Colombo and Gerd Weinrich
252 “Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices” P. Boswijk, C.H. Hommes and S. Manzan
90 “The US Business Cycle: an Agent-based Model of Heterogenous Firms Operating Under Uncertainty” Paul Ormerod
H3 Issues Regarding the Design of Monetary Policy Chair: John Williams
138 “The Zero-Interest-Rate Bound and the Role of the Exchange Rate for Monetary Policy in Japan” Gunter Coenen and Volker Wieland
93 “The Optimal Monetary Policy Response to Shifts in Trend MFP Growth: A DGE Analysis” Rochelle Edge, Thomas Laubach, John C. Williams
55 “Indeterminacy and Interest Rate Rules: The Role of Fiscal Policy” Maik Heinemann
227 “The Road to Adopting the Euro: Monetary Policy and Exchange Rate Regimes in EU Candidate Countries” Fabio Natalucci and Federico Ravenna
H4 Stochastic Growth, Labor Market and Asset Market Chair: Willi Semmler
54 “Solving Asset Pricing Models with Stochastic Dynamic Programming” Lars Grüne and Willi Semmler
167 “Endogenous Fertility in a Stochastic Endogenous Growth Model with Human Capital” Andreas Schäfer
198 “Security Prices as Probabilities” Christopher Rude
H5 Agent Based Modeling of Game and Microeconomic Issues Chair: Thomas Reichmann
Thomas Riechmann and Christiane Clemens
107 “A Functional-Modularity Approach to Preferences” Shu-Heng Chen and Bin-Tzong Chie
Takao Terano and Kenichi Naitoh
Richard E. Hawkins
Sunday, July 13, 2003 10:40 to 12:20
I1 Adaptive Learning and Macroeconomic Dynamics Chair: Seppo Honkapohja
297 “Learning to Forecast and Cyclical Behavior of Output and Inflation” Author: Klaus Adam Discussant: John Williams
Author: Bruce McGough Discussant: Jim Bullard
312 “Intrinsic Heterogeneity in Expectation Formation” Authors: William Branch and George Evans Discussant: Kenneth Kasa
I2 Computational Macro Modelling IV: New Keynesian Phillips Curves Chair: Peter Tinsley
12 “Endogenous Price Stickiness, Trend Inflation, and the New Keynesian Phillips Curve” Hasan Bakhshi, Pablo Burriel-Llombart, Hashmat Khan, Barbara Rudolf
92 “Alternative Sources of the Lag Dynamics of Inflation” Sharon Kozicki and Peter Tinsley
181 “Can Rational Expectations Sticky-Price Models Explain Inflation Dynamics?” Jeremy Rudd and Karl Whelan
303 “Inflation Dynamics in Seven Industrialised Open Economies” Nicoletta Batini and Ryan Banerjee
I3 Perturbation Methods Chair: Kenneth Judd
71 “Optimal Experimentation and the Perturbation Method.” Author: Thomas F. Cosimano Dicussant: Kenneth Judd
94 “Second- and Higher-Order Consumption Functions: A Precautionary Tale” Author: James Feigenbaum Discussant: Kenneth Judd
262 “Small Noise Asymptotics for a Stochastic Growth Model” Author: Noah Williams Discussant: Kenneth Judd
I4 The Performance of Monetary Policy Rules in Models of the Euro Area Chair: Gunter Coenen
258 “Robust Monetary Policy Rules in the Area Wide Model” Alistair Dieppe, Jérôme Henry and Peter McAdam
256 “Output Gaps: Theory Versus Practice” Frank Smets and Raf Wouters
158 “Aggregate and Disaggregate Information in Euro-area Monetary Policy-making” Paolo Angelini, Paolo del Giovane, Libero Monteforte, Stefano Siviero, Daniele Terlizzese
137 “Persistence, the Transmission Mechanism and Robust Monetary Policy” Ignazio Angeloni, Gunter Coenen and Frank Smets
I5 Empirical Approaches to Volatility Dynamics Chair: Xiaojun He
199 “The Evolution of Expectations Towards Expiration” Remco Peters and Roy van der Weide
180 “The Correlation Dimension of Returns with Stochastic Volatility” Cees Diks
281 “Goodness-of-fit of the Heston Model” Gilles Daniel, David S. Bree and Nathan L. Joseph
257 “Commonality, Information and Cross-Sectional Return / Volume Interactions” Xiaojun He and Chunnan Chen
I6 Forecasting Time Series with Computational Intelligence Chair: Mahmoud Kaboudan
36 “Financial Modeling Based on the Trajectory Domain” Shu-Heng Chen and Chueh-Yung Tsao
74 “Genetic Programming and International Short-Term Capital Flow” Shu-Heng Chen and Tzu-Wen Kuo
97 “Genetic Programming Software to Forecast Time Series” M. A. Kaboudan
I7 Computational Models of Retirement and Social Security Chair: James Nason
144 “Welfare Effects of Alternative Pension Reforms : Assessing the Transition Costs for French Socio-occupational Groups” Thomas Weitzenblum and Pierre-Yves Henin
161 “How Can We Increase the Elderly's Participation Rate? The Effectiveness of Incentive Schemes in a Model of Retirement Behavior and Wealth” Jean-Olivier Hairault, Francois Langot and Thepthida Sopraseuth
Sunday, July 13, 2003 15:10 to 16:50
J1 Heterogeneous Agent Models Chair: Shu-Heng Chen
31 “Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers” Carl Chiarella, Tony He and Peiyuan Zhu
276 “Variety of Agent-based Models for Computer Simulation of FX Rate” Ladislav Lukas
155 “Agent-Based Modeling of Lottery Markets” Shu-Heng Chen and Bin-Tzong Chie
J2 Computational Macro Modelling V: Economic Growth Chair: Brian Peterson
153 “Economic Growth and the Evolution of Preferences Under Uncertainty” Stuart McDonald, Rodney Beard, and John Foster
178 “Aggregate Uncertainty, Individual Uncertainty and the Housing Market” Brian Peterson
J3 Business Cycle and Unemployment Chair: Salvador Ortigueira
273 “The Beveridge Curve, Job Creation, and the Propagation of Shocks” Shigeru Fujita
85 “Organizational Depressions” Roberto M. Samaniego
27 “Unemployment Benefits and the Persistence of European Unemployment” Salvador Ortigueira
J4 Networks: Modeling Frameworks and Tools Chair: Kanta Matsurra
113 “An Agent-based Model of Information Contagion in a Network of Consumers” Floortje Alkemade and Carolina Castaldi
2 “A Network Model of Market Prices and Trading Volume” Andrei Kirilenko
Kanta Matsuura
J5 Topics in International Economics Chair: Turalay Kenc
1 “Is International Trade Guilty for an Enlarging Wage Differential? A Dynamic Intertemporal General Equilibrium Model” Hsiao-chuan Chang
52 “Nominal Rigidity, Desired Markup Variations, and Real Exchange Rate Persistence” Hafedh Bouakez
196 “How Does the Spirit of Capitalism Affect Stock Market Prices in a Small-open Economy” Sel Dibooglu and Turalay Kenc
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