10

QASS

Conference on “Macro and Financial Economics”

May 24, 2012

PROVISIONAL PROGRAMME

Parallel Session I

Gaskell Building, Room 210

9.30-10.00: Coffee Reception

ECONOMICS. Chair: John Dr Evangelos Dioikitopoulos (Brunel University)

10.00-10.30	Sushanta Mallick (Queen Mary, University of London): Selection into Exporting, Market Size and Export Prices: Evidence from China and India.
10.30-11.00	Rafael López-Monti (Inter-American Development Bank, Washington): The Welfare Cost of Real Volatility: a Comparative Analysis.
11.00-11.30	Katja Ahoniemi (Aalto University School of Economics, Finland): Trading Hours, Non-Trading Hours and Daily Value-at-Risk Prediction for Equity Trading.

11.30-12.00: Coffee Break

FINANCIAL ECONOMETRICS. Chair: Dr Alessandra Canepa (Brunel University)

12.00-12.30	Thomas Nitschka (Swiss National Bank): Global and Country-Specific Business Cycle Risk in Time-Varying Excess Returns on Asset Markets.
12.30-13.00	Matthew Greenwood-Nimmo (University of Leeds): The Decoupling of Monetary Policy from Long-Term Rates in the U.S. and Germany During the Great Moderation.
13.00-13.30	Daniele Bregantini (University of York): Moment-Based Estimation of Stochastic Volatility.

13.30-14.30: Lunch (Room GB239)

ECONOMIC GROWTH. Chair: Dr Panagiotis Konstantinou (Brunel University)

14.30-15.00

Lorenzo Carbonari (University of Rome): When Elders Rule: Is Gerontocracy Harmful for Growth.

15.00-15.30

Shalini Mitra (University of Connecticut): Does Financial Development Causes Higher Firm Volatility and Lower Aggregate Volatility.

15.30-16.00

Keshab Bhattarai (University of Hull): Macroeconomic Impacts of Policy Shocks

in UK: A DSGE Analysis.

16.00-16.30: Coffee Break

FINANCIAL ECONOMETRICS. Chair: Dr Aris Kartsaklas (Brunel University)

16.30-17.00	Alexandros Kostakis (University of Liverpool): Asset Pricing for Commodity Futures: A puzzle.
17.00-17.30	John Hunter (Brunel University): A Multifactor Consumption Based Asset Pricing Model of the UK Stock Market: The US Stock Market as a Wealth Reference
17.30-18.00	Yongdeng Xu (Cardiff University): The Lognormal Autoregressive Conditional Duration (LNACD) Model and a Comparison With an Alternative Autoregressive Conditional Duration model.

Dinner: 19.30