11th OxMetrics
User Conference
March 15-16, 2012
Department of Economics,
Co-chairs: Neil R. Ericsson and Frederick L. Joutz
Location
The
1957 E Street NW, Room 212, Washington, DC 20052
U.S.A.
Conference Program
Thursday, March 15
8:30-9:00am Registration, and coffee/tea/pastries
9:00-10:30am Session 1: Finance Models and Jumps
Chairperson: Vincenzo L. Maini
Announcements: Neil R. Ericsson and Frederick L. Joutz (co-chairs)
Sébastien Laurent* (Maastricht University), Christelle Lecourt, and Franz C. Palm
“Testing for jumps in GARCH models, a robust approach”
Eric Jondeau, Jérôme Lahaye* (University of Lausanne), and Michael Rockinger
“High-Frequency Jump Filtering in a Microstructure Model”
Vincenzo L. Maini* (Cass Business School) and Giovanni Urga* (Cass Business School)
“The Liquidity to Price Trasmission Mechanism: A Combination of Nonparametric Tests for Jumps”
10:30-11:00am Coffee/Tea Break
11:00am-12noon Session 2: Gets Modeling I
Chairperson: Neil R. Ericsson
Jurgen A. Doornik* (University of Oxford) and David F. Hendry
“Automatic Selection of Multivariate Dynamic Econometric Models”
Neil R. Ericsson* (Federal Reserve Board and George Washington University)
“Detecting Parameter Nonconstancy and Changes in Regime”
12noon-1:30pm Lunch and Poster Session (posters listed below)
Nicoletta Batini* (International Monetary Fund) and Joshua Felman
"Why Are U.S. Firms Hoarding Money?"
Deniz Erdemlioglu* (CeReFiM-FundP and K.U. Leuven)
"Intraday Periodicity and Intraday Lévy-type Jump Detection"
Marwan Izzeldin and Peiran Shi* (Lancaster University)
"The Impact of Jumps on the Stylised Facts of Returns and Volatility: Do Jumps Matter?"
Christian Müller and Eva Köberl (presented by Boriss Silverstovs*, KOF Swiss Economic Institute)
"Catching a Floating Treasure: A Genuine ex-ante Forecasting Experiment in Real Time"
Anjan Panday* (American University)
"Impact of Monetary Policy on Exchange Market Pressure: The Case of Nepal"
Issouf Samake* (International Monetary Fund) and Frederick L. Joutz
George B. Tawadros* (RMIT University)
"The Cyclicality of the Demand for Crude Oil: Evidence from the OECD"
Shuangyuan Wei* (George Washington University)
"An Analysis of U.S. Gasoline Demand Elasticities"
1:30-3:00pm Session 3: Interest Rates and Term Structure
Chairperson: Jaime Marquez
Welcome: Barry R. Chiswick (Chair, Department of Economics, GWU)
Daniel Beltran* (Federal Reserve Board), Maxwell Kretchmer, Jaime Marquez, and Charles Thomas
"Foreign Holdings of U.S. Treasuries and U.S. Treasury Yields"
Wachindra Bandara* (George Washington University) and Richard Munclinger
"A Feasible Regime-Switching Model of the Term Structure"
Jaime Marquez* (Federal Reserve Board), Ari Morse, and Bernd Schlusche
"Overnight Interest Rates and Reserve Balances: Econometric Modeling of Exit Strategies"
3:00-3:30pm Coffee/Tea Break
3:30-4:30pm Session 4: Round Table with OxMetrics Developers
Chairperson: Frederick L. Joutz
Jurgen A. Doornik (
Siem Jan Koopman (Tinbergen Institute)
Sébastien
Laurent (
5:00-6:30pm Reception and Conference Dinner at Aroma Restaurant
1919 "I" Street, NW (pink awning), 2nd floor, (202) 833-4700
7:00pm-app. 9:30pm Concert at the Kennedy Center Concert Hall
2700 F Street, NW (Across from the Watergate; tickets required)
Friday, March 16
8:30-9:00am Coffee/tea/pastries
9:00-10:00am Session
5: Volatility Modeling
Chairperson: Grayham E. Mizon
Dobrislav Dobrev* (Federal Reserve Board) and Pawel Szerszen (Federal Reserve Board)
Siem Jan Koopman* (VU University Amsterdam and Tinbergen Institute) and Marcel Scharth
"The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures"
10:00-10:30am Coffee/Tea Break
10:30am-12noon Session 6: Gets Modeling II
Chairperson: Felix Pretis
J. James Reade* (University of Birmingham) and Ulrich Volz
"From the General to the Specific: Modelling Inflation in China"
Poonpat Leesombatpiboon and Frederick L. Joutz*
(
"A Multivariate Cointegration Analysis of the Role of Oil in the Thai Macroeconomy"
David F. Hendry and Felix Pretis* (University of Oxford)
"Anthropogenic Influences on Atmospheric CO2"
12noon-1:30pm Lunch and Poster Session (posters listed below)
Alexie Ciprian Alupoaiei, Ana Maria Sandica* (Academy of Economic Studies, Bucharest), and Monica Dudian
"The Analysis of Exchange Rate Dependence in Central and Eastern Europe Countries"
John B. Guerard, Jr.* (McKinley Capital Management, LLC)
"Mergers, the Leading Economic Indicators, and Stock Prices: Additional Evidence"
Fakhri Hasanov* (George Washington University)
"Forecasting Inflation in Azerbaijan"
Navneet Kaur* (Chandragupt Institute of Management Patna) and A. Kanagaraj
"Application of Multi Factor Risk Model for Estimating Value-at- Risk in Indian Stock Market"
Tidiane Kinda* (International Monetary Fund)
Tucker S. McElroy* (U.S. Census Bureau)
"When Are Direct Multi-Step and Iterative Forecasts Identical?"
Subramanian S. Sriam* (International Monetary Fund)
"The Gambia: Demand for Broad Money and Implications for Monetary Policy Conduct"
Thomas M. Trimbur* (Federal Reserve Board) and Tucker S. McElroy
1:30-2:30pm Session 7: Ana Timberlake Memorial Lecture
Chairperson: Giovanni Urga
Introduction: Giovanni Urga, Frederick L. Joutz, Neil R. Ericsson
David F. Hendry and Grayham E. Mizon* (University of Southampton and University of Oxford)
"Expectations and Economic Policy in the Presence of Unanticipated Changes"
2:30-3:00pm Coffee/Tea Break
3:00-4:00pm Session
8: Unobserved Variables
Chairperson: Boriss Silverstovs
Yueqing Jia* (George Washington University)
Boriss Silverstovs* (KOF Swiss Economic Institute)
"Are GDP Revisions Predictable? Evidence for Switzerland"
4:00-4:30pm Coffee/Tea Break
4:30-5:30pm Session 9: Forecasts and Forecasting
Chairperson: Jennifer L. Castle
Andrew B. Martinez* (George Washington University)
"Comparing Government Forecasts of the United States' Gross Federal Debt"
Jennifer L. Castle* (University of Oxford), Michael P. Clements, and David F. Hendry
"Forecasting by Factors, by Variables, by Both, or Neither?"
Closing Remarks: Teresa Timberlake and others
7pm Conference Farewell Dinner (light buffet)
Acknowledgements
We are deeply grateful for support from the following institutions.
Department of Economics, The
Research Program on Forecasting, The
Elliott School of International Affairs,
The
Institute for International Economic Policy,
The
In addition, we wish to acknowledge the following people, who were invaluable in the preparations for and the running of this conference.
David Corbett
Noelia Germino
Jason Jorgensen
Kyle Renner
Mira Selim
Tara Sinclair
Teresa Timberlake
Ashley Williams
Program Committee
Neil R. Ericsson (co-chair)
Frederick L. Joutz (co-chair)
Jennifer L. Castle
Jurgen A. Doornik
David F. Hendry
Siem Jan Koopman
Sébastien Laurent
Giovanni Urga
