Bishop-staff@brunel.ac.uk

 

Brunel University - West London

 

http://www.qass.org.uk/images/spirallogo.gif  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