Institute for International Economic Policy

International Conference on "The Economics of Ultra-poverty: Causes and Remedies"

March 15 & 16, 2012

Location: The Elliott School
1957 E St NW, Washington DC
9:00 am - 5:00 pm

Conference Schedule

Day 1: 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
Welcome: Barry R. Chiswick (Chair, Department of Economics, GWU)
Announcements: Neil R. Ericsson and Frederick L. Joutz (co-chairs)
Sebastien Laurent* (Maastricht University), Christelle Lecourt and Franz C. Palm present "Testing for jumps in GARCH models, a robust approach"
Eric Jondeau, Jerome Lahaye* (University of Lausanne) and Michael Rockinger present "High-Frequency Jump Filtering in a Microstructure Model"
Vincenzo L. Maini* (Cass Business School) and Giovanni Urga* (Cass Business School) present "The Liquidity to Price Trasmission Mechanism: A Combination of Nonparametric Tests for Jumps"

10:30-11:00am Coffee/Tea Break

11:00-12:00pm Session 2: Gets Modelling I
Chairperson: Neil R. Ericsson
Jurgen A. Doornik* (University of Oxford) and David F. Hendry present "Automatic Selection of Multivariate Dynamic Econometric Models"
Neil R. Ericsson* (Federal Reserve Board and George Washington University) presents "Justifying Empirical Macro-econometric Evidence in Practice"

12:00-1:30pm Lunch and Poster Session (posters listed below)

Nicoletta Batini* (International Monetary Fund) and Joshua Felman present "Why Are U.S. Firms Hoarding Money?
Deniz Erdemlioglu* (CeReFiM-FundP and K.U. Leuven) presents "Intraday Periodicity and Intraday Levy-type Jump Detection"
Marwan Izzeldin and Peiran Shi* (Lancaster University) present "The Impact of Jumps on the Stylised Facts of Returns and Volatility: Do Jumps Matter?"
Christian Muller and Eva Koberl (presented by Boriss Silverstovs*, KOF Swiss Economic Institute) present "Catching a Floating Treasure: A Genuine ex-ante Forecasting Experiment in Real Time"
Anjan Panday* (American University) presents "Impact of Monetary Policy on Exchange Market Pressure: The Case of Nepal"
Issouf Samake* (International Monetary Fund) and Frederick L. Joutz present "Fiscal and Political Instability and the Growth Nexus in Developing Countries: An Application to Nigeria"
George B. Tawadros* (RMIT University) presents "The Cyclicality of the Demand for Crude Oil: Evidence from the OECD"
Shuangyuan Wei* (George Washington University) presents "An Analysis of U.S. Gasoline Demand Elasticities"

1:30-3:00pm Session 3: Interest Rates and Term Structure
Chairperson: Jaime Marquez
Daniel Beltran* (Federal Reserve Board), Maxwell Kretchmer, Jaime Marquez and Charles Thomas present "Foreign Holdings of U.S. Treasuries and U.S. Treasury Yields"
Wachindra Bandara* (George Washington University) and Richard Munclinger present "A Feasible Regime-Switching Model of the Term Structure"
Jaime Marquez* (Federal Reserve Board), Ari Morse and Bernd Schlusche present "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
Chairpersons: Frederick L. Joutz, Jurgen A. Doornik (University of Oxford), Siem Jan Koopman (Tinbergen Institute) and Sebastien Laurent (Maastricht University).

5:00-6:30pm Reception and Conference Dinner at Aroma Restaurant

7:00pm-app. 9:30pm Concert at the Kennedy Center Concert Hall

Day 2: 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) present
"The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk"
Siem Jan Koopman* (VU University Amsterdam and Tinbergen Institute) and Marcel Scharth present "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures"

10:00-10:30am Coffee/Tea Break

10:30am-12:00pm Session 6: Gets Modelling II
Chairperson: Felix Pretis
J. James Reade* (University of Birmingham) and Ulrich Volz present "From the General to the Specific: Modelling Inflation in China"
Poonpat Leesombatpiboon and Frederick L. Joutz* (George Washington University) present "A Multivariate Cointegration Analysis of the Role of Oil in the Thai Macroeconomy"
David F. Hendry and Felix Pretis* (University of Oxford) present "Anthropogenic Influences on Atmospheric CO2"

12:00-1:30pm Lunch and Poster Session (posters listed below)

Alexie Ciprian Alupoaiei, Ana Maria Sandica* (Academy of Economic Studies, Bucharest) and Monica Dudian present "The Analysis of Exchange Rate Dependence in Central and Eastern Europe Countries"
John B. Guerard, Jr.* (McKinley Capital Management, LLC) presents "Mergers, the Leading Economic Indicators, and Stock Prices: Additional Evidence"
Fakhri Hasanov* (George Washington University) presents "Forecasting Inflation in Azerbaijan"
Navneet Kaur* (Chandragupt Institute of Management Patna) and A. Kanagaraj present "Application of Multi Factor Risk Model for Estimating Value-at- Risk in Indian Stock Market"
Tidiane Kinda* (International Monetary Fund) presents "Modelling Inflation in Chad"
Tucker S. McElroy* (U.S. Census Bureau) presents "When Are Direct Multi-Step and Iterative Forecasts Identical?"
Subramanian S. Sriam* (International Monetary Fund) presents "The Gambia: Demand for Broad Money and Implications for Monetary Policy Conduct"
Thomas M. Trimbur* (Federal Reserve Board) and Tucker S. McElroy present "Signal Extraction for Nonstationary Multivariate Time Series with an Illustration for Trend Inflation"

1:30-2:30pm Session 7: Ana Timberlake Memorial Lecture
Chairperson: Giovanni Urga
Introduction: Giovanni Urga, Frederick L. Joutz and Neil R. Ericsson David F. Hendry and Grayham E. Mizon* (University of Southampton and University of Oxford) present "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) presents "A New Look at China's Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach"
Boriss Silverstovs* (KOF Swiss Economic Institute) presents "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) presents "Comparing Government Forecasts of the United States' Gross Federal Debt"
Jennifer L. Castle* (University of Oxford), Michael P. Clements and David F. Hendry present "Forecasting by Factors, by Variables, by Both, or Neither?"
Closing Remarks: Teresa Timberlake and others

7:00pm-onwards Conference Farewell Dinner (light buffet)

Upcoming Events

October 13 Tuesday
Trade and Development Workshop: "The Heterogeneous Effects of Transportation Investments: Evidence from Sub-Saharan Africa 1960-2010"
» Remi Jedwab (George Washington University)
» Location: John W. Kendrick Seminar Room, Room 321 at 2115 G Street
» RSVP here

Recent Events

October 6 Tuesday
Trade and Development Workshop: "Good Jobs, Bad Jobs: What's Trade Got To Do With It?"
» James Lake (Southern Methodist University)
» Location: John W. Kendrick Seminar Room, Room 321 at 2115 G Street
» Read the paper here
» RSVP here

September 22 Tuesday
Trade and Development Workshop: "The Intergenerational Transmission of War"
» Filipe Campante (HKS)
» Location: John W. Kendrick Seminar Room, Room 321 at 2115 G Street
» Read the paper here
» RSVP here

September 15 Tuesday
Trade and Development Workshop: "News Shocks in Open Economies: Evidence from Giant Oil Discoveries"
» Liugang Sheng (Chinese University of Hong Kong)
» Location: John W. Kendrick Seminar Room, Room 321 at 2115 G Street
» Read the paper here
» RSVP here

Please contact for more information.