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)
|
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 |