7th International Conference of the Society for Computational Economics
June 28-29, 2001
| THURSDAY | |
| SESSION 1. AGENT-BASED COMPUTATIONAL FINANCE | |
| Blake LeBaron (Brandeis University), "Volatility Magnification and Persistence in an Agent Based Financial Market" | |
| Manfred Gilli (University of Geneva), "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets" | |
| Sorin Solomon (Hebrew University), "Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in the LLS Stock Market Model" | |
| Guo Ying Luo (Rutgers University), "Evolution, Efficiency and Noise Traders in a One-Sided Auction Market" | |
| SESSION 2. FORECASTING, REAL-TIME DATA AND MONETARY POLICY | |
| Dean Croushore (Federal Reserve Bank of Philadelphia), "Forecasting with a Real-Time Data Set for Macroeconomists" | |
| Gunter Coenen (European Central Bank), "Evaluating Information Variables for Monetary Policy in a Noisy Economic Environment" | |
| Athanasios Orphanides (Federal Reserve Board), "Monetary Policy Rules, Macroeconmic Stability and Inflation: A View from the Trenches" | |
| John Williams (Federal Reserve Board), "Measuring the Natural Rate of Interest" | |
| SESSION 3. COMPUTATION AND DYNAMIC GAMES | |
| Andreas Novak (University of Vienna), "Extortion as an Obstacle to Economic Growth: A Dynamic Game Analysis" Discussant: Kenneth Judd (Hoover Institution) |
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| Armando Gomes Gomes (University of Pennsylvania), "Multilateral Negotiations and Formation of Coalitions" Discussant: Kenneth Judd (Hoover Institution) |
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| Désiré Vencatachellum (HEC, Université de Montréal), "Dynamic Production Teams with Strategic Behavior" Discussant: Kenneth Judd (Hoover Institution) |
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| Ulrich Doraszekski (Northwestern University), "An R&D Race with Learning and Forgetting" Discussant: Kenneth Judd (Hoover Institution) |
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| SESSION 4. COMPUTATIONAL ECONOMETRICS AND STATISTICS I: Estimation and Simulation | |
| Jenny Li (Penn State University), "Quasi Monte Carlo Methods for Macroeconometric Simulation" | |
| Siem Jan Koopman (Free University, Amsterdam), "An Efficient and Simple Simulation Smoother For State Space Time Series Analysis" | |
| Nikolay Gospodinov (Concordia University), "Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments" | |
| SESSION 5. EMPIRICAL AND NUMERICAL IO MODELS | |
| Ralph Siebert (WZB), "Testing for Asymmetric Dynamic Oligopoly Models" | |
| Ralph Siebert (WZB), "Strategic Choice of Partners: Research Joint Ventures and Market Power" | |
| Philip Auerswald (Harvard University), "The Complexity of Production, Technological Volatility and Inter-Industry Differences in the Persistence of Profits Above the Norm" | |
| Kislaya Prasad (Florida State University), "Stable Risk Sharing" | |
| SESSION 6. HOUSING AND LAND | |
| Brian Krauth (Simon Fraser University), "Small Neighborhoods" | |
| Heikki Kauppi, "Housing Markets, Liquidity Constraints and Labor Mobility" | |
| Sharon I. O'Donnell (University of Houston), "The Diversity of Neighborhood Transitions" | |
| Martin Diedrich (Keele University), "Land Rents and Competitive Equilibrium" | |
| SESSION 7. DYNAMIC STRUCTURAL MODELS IN LABOR, IO AND HEALTH ECONOMICS | |
| Linda Wong (SUNY Binghamton), "Structural Estimation of Marriage Models" | |
| Reuven Shnaps (University of Pennsylvania), "Estimating the Effect of Smoking on Birth Weight in a Dynamic Model when Fertility is a Choice" | |
| Frank Heiland (SUNY Stony Brook), "Measuring the Value of Children by Birth Order and Infant Health" | |
| SESSION 8. ECONOMICS OF DIGITAL COMMERCE | |
| Kanta Matsuura (University of Tokyo), "Digital Security Tokens and Their Derivatives" | |
| Mario Eboli (University of Naples II), "Imitation and the Diffusion of Innovation in E-commerce" | |
| Mark Kennet (George Washington University), "Calculating the Long-run Incremental Cost of Interconnection Using a Network Cost Simulation Model" | |
| Richard Hawkins (Pennsylvania State University, Dubois), "The Economics of Free and Open Source Software" | |
| SESSION 9. TERM STRUCTURE METHODOLOGIES | |
| Christian Richter (University of Strathclyde), "Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure" | |
| J. Huston McCulloch (Ohio State University), "The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates" | |
| Robert Connolly (University of North Carolina–Chapel Hill), "Is There More to Long Memory in Fixed-Income Excess Returns and Volatility than Structural Instability?" | |
| SESSION 10. GARCH MODELLING | |
| Jurgen Doornik (Nuffield College), "Multimodality and the GARCH Likelihood" | |
| Jean-Philippe Peters (University of Liege), "GARCH 2.0: An Ox Package for Estimating and ForecastingVarious ARCH Models" | |
| Charles Tapiero (ESSEC and Math Finance Inst. of Montreal), "The Inverse Range Process in a Random Volatility Random Walk" | |
| SESSION 11. STATISTICAL MECHANICS OF AGENT INTERACTION | |
| Giovanna Devetag (University of Trento), "Adaptive Learning and Emergent Coordination in Minority Games" | |
| Neil Johnson (Oxford University), "Profit Opportunities, Crash Prediction and Risk Minimization in Artificial and Real-world Markets" | |
| Giulia Iori (King's College), "Interbank Lending, Reserve Requirements and Systemic Risk" | |
| Taisei Kaizoji (University of Kiel), "An Interacting-Agents Approach to International Financial Contagion" | |
| SESSION 12. VOLATILITY AND RETURNS | |
| Thomas Lux (University of Kiel), "The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation" | |
| Laurens Swinkels (Tilburg University), "Return-based Style Analysis with Time-varying Exposures" | |
| Cars Hommes (University of Amsterdam), "Success and Failure of Technical Trading Strategies in the Cocoa Futures Market" | |
| SESSION 13. DYNAMIC MODELS OF HEALTH AND INSURANCE | |
| Eric French (Federal Reserve Bank of Chicago), "The Effects of Health Insurance and Self-Insurance on Retirement Behavior" Discussant: Frank Heiland (SUNY Stony Brook) |
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| Ahmed Khwaja (University of Minnesota), "Health Insurance, Habits and Health Outcomes: A Dynamic Stochastic Model of Investment in Health" Discussant: Eric French (Federal Reserve Bank of Chicago) |
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| Peter Arcidiacono (Duke University), "Living Rationally Under the Volcano? Heavy Drinking and Smoking Among the Elderly" Discussant: Eugene Choo (Yale University) |
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| SESSION 14. COMPUTATIONAL MACRO MODELLING II: Monetary Policy | |
| Stefano Siviero (Banca d'Italia), "Identifying the Monetary Policy Tranmission Channels: The Role of Simultaneity, Model Nonlinearity, Expectation Formation Mechanisms and Policy Rules" | |
| Eric Schaling (RAU), "New Economy: New Policy Rules?" | |
| Robert Tetlow (Federal Reserve Board), "Avoiding Nash Inflation: Does Robust Policy Help?" | |
| SESSION 15. COMPUTATIONAL MACRO MODELLING I: Solution Methods | |
| Richard Dennis (Federal Reserve Bank of San Francisco), "Solving for Optimal Simple Rules in Rational Expectations Models" | |
| Michael Haliassos (University of Cyprus), "Calibration and Computation of Household Portfolio Models" | |
| Michel Juillard (CEPREMAP and University Paris 8), "DYNARE: A Program for the Simulation of Rational Expectation Models" | |
| Kenneth Judd (Hoover Institution), "Parametric Path Method: An alternative to Fair-Taylor and L-B-J for Solving Perfect Foresight Models" | |
| SESSION 16. SIMULATION-BASED INFERENCE | |
| Patrick Waelbroeck (CREST), "Econometric Analysis of the Sequential Probit Model with an Application to Innovation Surveys" | |
| Jiahui Wang (Insightful Corporation), "One-Step and Two-Step Efficient Estimates of Multinomial Probit Models Based on Simulation: Some Asymptotic and Finite Sample Results" | |
| SESSION 17. COWLES FOUNDATION LECTURE | |
| Herbert Scarf, "Indivisibilities in Production: The Basic Computational Problem" | |
| SESSION 18. INTEGRATED AND COINTEGRATED PROCESSES | |
| Katsuhiro Sugita (University of Warwick), "Bayes Analysis of Partially Cointegrated VAR Systems with Markov Regime Switching" | |
| Uwe Hassler (Free University of Berlin), "Inference on the Cointegration Rank in Fractionally Integrated Processes" | |
| Nikolay Gospodinov (Concordia University), "Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity" | |
| Romulo Chumacero (University of Chile), "Testing For Unit Roots Using Economics" | |
| SESSION 19. PARALLEL IMPLEMENTATION AND NUMERICAL METHODS FOR LARGE SCALE PROBLEMS | |
| Gary Anderson (Board of Governors, Federal Reserve), "Algorithmic Design and Beowulf Cluster Implementation of Stochastic Simulation Code of Stochastic Simulation Code for Large Scale Non Linear Models" | |
| Alex Michaelides (University of Cyprus), "Parallelization and Performance of Portfolio Choice Models" | |
| Christopher Ferrall (Queen's University), "Solving and Estimating Finite Mixture Models in Parallel" | |
| SESSION 20. COMPUTATIONAL MACRO MODELLING IV: Heterogeneous Agents | |
| Michael Binder (University of Maryland), "Cross-Sectional Aggregation of Nonlinear Dynamic Models and Aggregate Consumption Dynamics" | |
| Michael Reiter (Universitat Pompeu Fabra), "Recursive Solution of Heterogeneous Agent Models" | |
| Michael Haliassos (University of Cyprus), "Debt Revolvers for Self-Control" | |
| SESSION 21. COMPUTATIONAL MACRO MODELLING III: Expectation Formation | |
| SaangJoon Baak (International University of Japan), "Dynamics of a Market with Market Participants Switching Their Expectation Formation Functions: an Empirical Application to the U.S. Hog Market" | |
| Luca Colombo (Università Cattolica), "The Phillips Curve as a Long-Run Phenomenon in a Macroeconomic Model with Complex Dynamics" | |
| Christophre Georges (Hamilton College), "Learning Dynamics in an Artificial Currency Market" | |
| Eric Ringhut (University Muenster), "Complex Dynamics and Adaptive Fuzzy Rule-based Expectations — Economic Simulations with GENEFER" | |
| SESSION 22. DERIVATIVE PRICING | |
| Chandrasekhar Gukhal (Cornell University), "The Compound Option Approach to American Options on Jump-Diffusions" | |
| Dietmar Leisen (McGill University), "A Partial Equilibrium Model of Option Markets" | |
| Grace Kuan (University of Warwick), "Pricing Barrier Bond Options with One-factor Interest Rate Models" | |
| Sudarshan Gururaj (Yale University), "Pricing Exotic Options with Fast Approximation Methods" | |
| SESSION 23. COMPUTATIONAL MODELS IN AGRICULTURAL AND ENVIRONMENTAL ECONOMICS | |
| Alfons Balmann (Humboldt-University Berlin), "Adjustment Costs of Agri-Environmental Policy Switchings: A Multi-Agent Approach" | |
| Jiangfeng Zhang (University of California, Berkeley), "Bayesian Learning and the Regulation of Greenhouse Gas Emissions" | |
| Dawn Parker (Indiana University), "Measuring Emergent Properties of Agent-Based Land Cover/and Land Use Models Using Spatial Metrics" | |
| Joelle Noailly (Free University Amsterdam/Tinbergen Inst.), "Evolution of Harvesting Strategies: Replicator and Resource Dynamics" | |
| SESSION 24. DYNAMIC MODELS WITH MULTIPLE EQUILIBRIA: Computational Methods | |
| Willi Semmler (CEM, Bielefeld Univ./New School Univer.), "History Dependence and Global Dynamics in Models with Multiple Equilibria" Discussant: Jess Benhabib (NYU) |
|
| Thorsten Pampel (University of Bielefeld), "Dynamic Optimization and Skiba Sets in Economic Examples" Discussant: Jess Benhabib (NYU) |
|
| Josef L Haunschmied (Vienna University of Technology), "A Numerically Computed DNS-curve in a Two State Capital Accumulation Model" Discussant: Jess Benhabib (NYU) |
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| Peter Kort (Tilburg University), "Multiple Equilibria and Thresholds due to Adjustment Costs" Discussant: Jess Benhabib (NYU) |
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| SESSION 25. BUSINESS CYCLES AND INCOMPLETE MARKETS | |
| Yann Algan (EUREQua, Université Paris 1), "The Welfare Benefits of Unemployment Insurance and Precautionary Savings over the Business Cycle" | |
| Francesc Obiols-Homs (ITAM), "Incomplete Unemployment Insurance and Aggregate Fluctuations" | |
| Michel Robe (Kogod School of Business, American University), "Magnitude X on the Richter Scale: Welfare Cost of Business Cycles in Developing Countries" | |
| Marcelo Bianconi (Tufts University), "The Impact of Idiosyncratic Shocks on Welfare and Asset Returns in a Stochastically Growing Economy" | |
| SESSION 26. AGENT-BASED MODELING OF EVOLUTIONARY MARKETS | |
| Myong-Hun Chang (Cleveland State University), "Consumer Search, Competition, and the Organizational Structure of Multi-Unit Firms" | |
| Fernando Oliveira (London Business School), "An Application of Agent-based Simulation to the New Electricity Trading Arrangements of England and Wales" | |
| Mark Pingle (University of Nevada), "Unemployment Insurance and the Evolution of Worker-Employer Cooperation: Experiments with Real and Artificial Agents" | |
| Christopher Birchenall (University of Manchester), "Economic Dynamics with Heterogeneous Agents" | |
| SESSION 27. AGENT-BASED MODELING OF COMMUNITY FORMATION AND THE DISTRIBUTION OF INCOME AND WEALTH | |
| Robert Axtell (The Brookings Institution), "Emergent Cities: A Microeconomic Explanation for Zipf's Law" | |
| Al Wilhite (University of Alabama in Huntsville), "Seeking Protection and the Origin of the State" | |
| Martin G. Zimmermann (University of Buenos Aires), "Evolution of Cooperative Networks and the Emergence of Leadership" | |
| Charlotte Bruun (Aalborg University), "Growth versus Equality in Agent-Based Macro Models" | |
| SESSION 28. SCALING AND POWER-LAWS IN ECONOMICS | |
| Sorin Solomon (Hebrew University), "Power, Levy, Exponential and Gaussian Regimes in Autocatalytic Financial Systems" | |
| Fabrizo Lillo (Palermo University), "Variety of Behavior of Equity Returns in Financial Markets" | |
| Mishael Milakovic (New School University), "A Statistical Equilibrium Model of Wealth Distribution" | |
| SESSION 29. HEURISTIC OPTIMIZATION IN FINANCE | |
| John-Paul Marney (University of Paisley), "Risk Adjusted Returns to Technical Trading Rules: a Genetic Programming Approach" | |
| Alfons Balmann (Humboldt-University Berlin), "Studying Real Options with Genetic Algorithms" | |
| Manfred Gilli (University of Geneva), "Threshold Accepting for Index Tracking" | |
| SESSION 30. MACROECONOMIS AND DISTRIBUTION | |
| Christopher Otrok (University of Virginia), "Spectral Implications of Security Market Data for Models of Dynamic Economies" | |
| Erdem Basci (Bilkent University), "Social Recommendations Rather than Social Values" | |
| Radim Bohacek (CERGE), "Efficiency and Equality in a Welfare State Economy" | |
| Michael Reiter (Universitat Pompeu Fabra), "Stabilization versus Insurance" | |
| SESSION 31. FISCAL POLICY DYNAMICS WITH AND WITHOUT UNCERTAINTY | |
| Toke Ward Petersen (University of Copenhagen), "General Equilibrium Tax Policy with Hyperbolic Consumers" | |
| Irina Yakadina (UPF), "Optimal Capital-Labor Taxes under Uncertainty and Default Constraints of the Government" | |
| Ayla Yilmaz (University of Pittsburgh), "Public Investment in Human Capital: Insurance Benefit versus Tax Distortions" | |
| Laurence Kotlikoff (Boston University), "Fiscal Policy and Aggregate Uncertainty" | |
| SESSION 32. MODELS OF SEARCH AND HUMAN CAPITAL | |
| Robert Hussey (Georgetown University), "Evaluating Business Cycle Models with Labor Market Search" | |
| Wouter Denhaan (UCSD), "Shocks and Institutions in a Job Market Model" | |
| Sisira Sarma (University of Manitoba), "Numerical Methods for the Solution of a Human Capital Model" | |
| Hugo Benitez-Silva (SUNY-Stony Brook), "A Dynamic Model of Job Search Behavior over the Life Cycle with Empirical Applications" | |
| FRIDAY | |
| SESSION 33. AGENT-BASED MODELING OF AUTOMATED MARKETS AND PRICING PROTOCOLS | |
| Utku Unver (Koç University), "Internet Auctions with Artificial Adaptive Agents" | |
| Zhangxi Lin (Texas Tech University), "Agent-Based Simulation of C2C Internet Auctions with Online Escrow" | |
| Christian Shelton (MIT), "An Adaptive Electronic Market-Maker" | |
| Robert Gazzale (University of Michigan), "Information Bundling in a Dynamic Environment" | |
| SESSION 34. MONETARY POLICY WITH IMPERFECT KNOWLEDGE | |
| Frank Smets (European Central Bank), "Uncertain Potential Output: Implications for Monetary Policy" | |
| Ruben Mercado (U.A.D.E.), "The Timing of Uncertainty and The Intensity of Policy" | |
| Volker Wieland (Goethe Universitaet Frankfurt am Main), "Learning, Stabilization and Credibility: Optimal Monetary Policy in a Changing Economy" | |
| John Williams (Federal Reserve Board), "Monetary Policy with Imperfect Knowledge" | |
| SESSION 35. COMPUTATIONAL ECONOMETRICS AND STATISTICS II: Panel Data | |
| Ana-Maria Fuertes (City University Business School), "Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach" | |
| Tiemen Woutersen (University of Western Ontario), "Robustness Against Priors and Mixing Distributions" | |
| Jerry Coakley (University of Essex), "Small Sample Properties of Panel Time-series Estimators with I(1) Errors" | |
| Michael Binder (University of Maryland), "Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration" | |
| SESSION 36. OPTIMAL MONETARY POLICY DESIGN | |
| Christophe Deissenberg (Université de la Méditerranée), "Pareto-Improving Cheating in an Economic Policy Game" | |
| Ric Herbert (University of Newcastle, Australia), "Constrained Optimal Control Under Limited Knowledge" | |
| Yunus Aksoy (Uni Frankfurt), "Real Exchange Rates and Monetary Policymaking in the EMU" | |
| SESSION 37. COMPUTATIONAL MACRO MODELLING V: Growth and Cycles | |
| Baoline Chen (Rutgers University), "Estimation of Poorly-Measured Service-Industry Output" | |
| Serdar Sayan (Bilkent University), "A Comparative Evaluation of the Performances of Different Filtering Techniques in Business Cycle Identification" | |
| SESSION 38. DIFFUSION EQUATIONS — ADVANCED TECHNIQUES | |
| Marina Resta (University of Genova), "Portfolio Selection Models Driven by Non Gaussian Price Dynamics" | |
| Esben Hoeg (Aarhus School of Business), "Estimation of Diffusions Using Wavelet Scaling Methods" | |
| SESSION 39. ISSUES IN BUSINESS CYCLE ANALYSIS | |
| Stefano Zambelli (Aalborg University-Denmark), "The 40% Neoclassical Aggregate Theory of Production" | |
| M. Ayhan Kose (Brandeis University), "How Different is the Cyclical Behavior of Home Production Across Countries?" | |
| Toshiya Ishikawa (Kyushu Kyoritsu University), "Technology Diffusion, Intertemporal Substitution, and Business Cycles" | |
| Christopher Erceg (Federal Reserve Board), "Imperfect Credibility and Inflation Persistence" | |
| SESSION 40. EXPECTATIONS AND GAMES | |
| Frank Westerhoff (University of Osnabrueck), "Expectations Driven Distortions in the Foreign Exchange Market" | |
| Peter Zadrozny (Bureau of Labor Statistics), "An Anticipative Feedback Solution for Infinite-Horizon Linear-Quadratic Dynamic Stackelberg Games" | |
| Gary Anderson (Board of Governors, Federal Reserve), "Practical Symbolic Algebra Techniques for Solving Moderate Sized Linear Rational Expectations Models" | |
| Roy van der Weide (CeNDEF, University of Amsterdam), "Asset Pricing with a Continuum of Belief Types" | |
| SESSION 41. PORTFOLIO CHIOCE AND ASSET PRICES | |
| Qi Zeng (University of Pennsylvania), "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States" | |
| Prasad Bidarkota (Kansas State University), "Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for the Equity Premium Puzzle" | |
| Alex Michaelides (University of Cyprus), "Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion" | |
| Vassil Konstantinov (University of Wyoming), "Intergenerational Risk Sharing and Asset Returns" | |
| SESSION 42. COMPUTATIONAL MACRO MODELLING VI: Open Economies | |
| Jinill Kim (University of Virginia), "Spurious Welfare Reversals in International Business Cycle Models" | |
| Christopher Erceg (Federal Reserve Board), "The Effects of Dollarization on Macroeconomic Stability" | |
| Jim Nason (University of British Columbia), "The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects" | |
| Stephen Turnovsky (University of Washington), "Intertemporal Substitution, Risk Aversion, and Economic Performance in a Stocastically Growing Open Economy" | |
| SESSION 43. PORTFOLIO MANAGEMENT | |
| Rita Laura D'Ecclesia (University of Foggia), "Modeling an Indexed Portfolio for the Italian Market" | |
| Chiu-Che Tseng (University of Foggia), "Refining Influence Diagram For Stock Portfolio Selection" | |
| Sébastien Laurent (University of Liège), "Value-at-Risk for Long and Short Trading Positions" | |
| Gonzalo García-Donato Layrón (University of Castilla-La Mancha), "Normal versus Student in Measuring Value at Risk. An Empirical Bayesian Overview" | |
| SESSION 44. APPLIED MACROECONOMETRICS | |
| Christopher Baum (Boston College), "Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data" | |
| Hans-Martin Krolzig (University of Oxford), "General-to-Specific Reductions of Vector Autoregressive Processes" | |
| Maral Kichian (Bank of Canada), "On Inflation and the Persistence of Shocks to Output" | |
| Jim Engle-Warnick (Nuffield College, Oxford University), "Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach" | |
| SESSION 45. HIGHER ORDER MOMENTS IN FINANCE | |
| Cars Hommes (University of Amsterdam), "Evolutionary Dynamics in Financial Markets with Many Trader Types" | |
| Chung-Chih Liao (AI-ECON Research Center), "Agent-Based Modeling of Price Discovery and Excessive Volatility in Financial Markets" | |
| Nalan Gulpinar (Imperial College), "Simulation and Optimization Approaches to Scenario Tree Generation" | |
| Renato Flôres (FGV), "Finding a Maximum Skewness Portfolio" | |
| SESSION 46. OPTIMIZATION METHODS | |
| Suheyla Ozyildirim (Bilkent University), "Optimal Discretization of Continuous-Time Control Problems" Discussant: Max Jerrell (Northern Arizona University) |
|
| Max Jerrell (Northern Arizona University), "The Network-Enabled Optimization System (NEOS) — A Means of Solving Optimization Problems over the Internet" Discussant: Andreas J. Novak (University of Vienna) |
|
| Andreas J. Novak (University of Vienna), "Increasing Returns and Cycles in Fishing" Discussant: Bruce McCullough (Drexel University) |
|
| Bruce McCullough (Drexel University), "Diagnosing Failure: When is an Estimation Problem Too Large for a PC?" Discussant: Suheyla Ozyildirim (Bilkent University) |
|
| SESSION 47. COMPUTATIONS IN ECONOMIC GROWTH | |
| Christiane Clemens (University of Hannover), "Government Expenditure and Long-Run Stochastic Growth" | |
| Pierre Le Mouël (ERASME-EUREQua, University of Paris I), "Semi Endogenous Growth in a Computable General Equilibrium Approach" | |
| Fernando Tohme (Universidad Nacional del Sur), "Economic Evolution and Structural Changes: a Non-Linear Model of Responses to Changes of Demand" | |
| Miloslav Vosvrda (Academy of Sciences), "Bifurcation Routes and Economic Stability" | |
| SESSION 48. JOURNAL OF APPLIED ECONOMETRICS LECTURE | |
| Laurence Kotlikoff, "The Coming Generational Storm" | |
| SESSION 49. LEARNING IN MARKETS | |
| Tad Hogg (HP Labs), "Using Unsuccessful Auction Bids to Identify Latent Demand" | |
| Koye Somefun (CWI), "Posted Offer versus Bargaining: An Example of how Institutions can Facilitate Learning" | |
| David van Bragt (CWI), "Evolving Automata Negotiate with a Variety of Opponents" | |
| SESSION 50. MODELS OF INTERNATIONAL TRADE AND FINANCE | |
| Alex Michaelides (University of Cyprus), "International Portfolio Choice and Liquidity Constraints: Can Small Information Costs Explain the Home Equity Bias Puzzle?" | |
| Jinill Kim (University of Virginia), "Patience, Persistence, and Welfare Costs of Incomplete Markets in Open Economies" | |
| Jerry Coakley (University of Essex), "Bootstrap LR Tests for Sign and Amplitude Asymmetries" | |
| SESSION 51. NON-EQUILIBRIUM DYNAMICS IN AGENT-BASED MODELS OF FINANCIAL MARKETS | |
| Tony He (University of Technology, Sydney), "A Non-Stationary Asset Pricing Model under Heterogeneous Expectations" | |
| David Goldbaum (Rutgers University), "Market Efficiency and Learning in an Endogenously Unstable Environment" | |
| Doyne Farmer (Santa Fe Institute), "Market Making, Price Formation, and Technical Trading" | |
| Bronka Rzepkowski (CEPII), "Heterogeneous Expectations, Currency Options and the Euro/dollar Exchange Rate" | |
| SESSION 52. COMPUTATIONAL FINANCE | |
| Nick Webber (University of Warwick), "Very High Order Lattice Methods for One Factor Models" | |
| Frank Niehaus (University of Hannover), "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model" | |
| Felix Kubler (Stanford University), "Asset Pricing in Models with Incomplete Markets and Default" | |
| SESSION 53. MACROECONOMIC DYNAMICS, LEARNING AND MONETARY POLICY | |
| Hans Amman (Technical University Eindhoven), "Modeling the Lucas Critique as an Open Loop Feedback Process with Time-varying Parameters" | |
| James Yetman (Bank of Canada), "Gaining Credibility for Inflation Targets | |
| Stanislav Zakavoic (Imperial College), "A Worst-Case Approach to Inflation Zone Targeting" | |
| SESSION 54. COMPUTATIONAL MACRO MODELLING VII: Trade | |
| Eric Fisher (The Ohio State University), "Economic Geography, Trade, and War" | |
| M. Ayhan Kose (Brandeis University), "Can Trade Theory Help Us Understand the Linkages Between International Trade and Business Cycles?" | |
| SESSION 55. APPLICATIONS OF SIMULATION-BASED INFERENCE | |
| Charles Romeo (US Department of Justice), "A Gibbs Sampler for Mixed Logit Analysis of Differentiated Product Markets Using Aggregate Data" | |
| George Hall (Yale University), "Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market" | |
| Vassilis Hajivassiliou (London School of Economics), "The Method of Maximum Smoothly Simulated Likelihood for LDV Models with Endogeneity, with an Application to Dynamic Euler Equations" | |
| SESSION 56. EVOLUTIONARY COMPUTING IN ECONOMICS AND FINANCE | |
| Chia-Hsuan Yeh (I-Shou University), "The Influence of Market Size in an Artificial Stock Market: The Approach Based on Genetic Programming" | |
| Malcolm Beynon (Cardiff University), "The Use of Fuzzy Decision Tree Analysis in Monitoring a Minimum Wage" | |
| Jane Binner (Nottingham Business School), "Evolutionary Strategies vs. Neural Networks; New Evidence from Taiwan on the Divisia Index Debate" | |
| SESSION 57. ARTIFICIAL ADAPTIVE AGENTS IN GAMES | |
| Thomas Riechmann (University of Hannover), "Evolutionary Learning in the Ultimatum Game" | |
| Christiane Clemens (University of Hannover), "Dynamic Voluntary Contribution to a Public Good: Learning to be a Free Rider" | |
| Robert Hoffmann (University of Nottingham in Malaysia), "Bounded Rationality and Social Cognition: A Computational Study" | |
| SESSION 58. FINANCIAL MARKET DYNAMICS | |
| Sorin Solomon (Hebrew University), "Stability of Pareto-Zipf Law in Non-Stationary Economies" | |
| Dietmar G. Maringer (University of Vienna), "On Genes, Insects, and Crystals: Determining Marginal Diversification Effects With Nature Based Algorithms" | |
| Taisei Kaizoji (University of Kiel), "Heterogeneous Interacting Agent Models and the Stylized Facts" | |
| Gilles Teyssier (European Commission), "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series" | |
| SESSION 59. DEMOGRAPHIC CHANGE IN GENERAL EQUILIBRIUM | |
| Jorge Soares (George Washington University), "Social Security Evaluation: A Critique" | |
| Jean Chateau (CEPII), "Demographic Transition and International Flows of Capital: What Can an OLG Model Tell Us?" | |
| Serdar Sayan (Bilkent University), "Patterns of Trade between Countries with Differing Age Compositions of Populations: An Overlapping Generations General Equilibrium Analysis" | |
| Felix Kubler (Stanford University), "Intergenerational Risk Sharing: Myth or Possibility" | |
| SESSION 60. DYNAMIC MODELS WITH MULTIPLE EQUILIBRIA: Applications | |
| Jess Benhabib (NYU), "Chaotic Interest Rate Rules" | |
| Wei Xiao (University of New Orleans), "Can Indeterminacy Resolve the Consumption Correlation Puzzle?" | |
| Giorgio Fagiolo (St. Anna Institute of Advanced Studies), "Endogenous Growth Paths in Economies with Locally Interacting Agents" | |
| SESSION 61. COMPUTATIONAL METHODS IN INDUSTRIAL ORGANIZATION | |
| Utku Unver (Koç University), "Reserve Price Auctions with a Strong Bidder" | |
| Michel Robe (Kogod School of Business, American Univ.), "What Can We Learn From Simulating a Standard Agency Model?" | |
| Herbert Dawid (University of Southern California), "Holdup and the Evolution of Bargaining Conventions" | |
| Juan D. Montoro-Pons (Universidad de Valencia), "A Computational Model for Incomplete Contracts" | |