University of Crete

8th International Conference
Macroeconomic Analysis and International Finance

May 27-29, 2004

Announcement and Call for papers for the

9th International Conference on Macroeconomic Analysis and International Finance.
more info....

Dept. of Economics,
Rethymno, Crete

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Conference Programme

Thursday 27 May
12:00-14:00 Registration at the Department of Economics, University of Crete

14:00-16:00 Parallel Session 1A : MACROECONOMIC THEORY
Lecture Room : Δ1-A
Chair: Moise Sidiropoulos
Duncan, R. (Central Bank of Chile)
The Harberger-Laursen-Metzler Effect Revisited: An Indirect-Utility-Function Application
Discussant: Moise Sidiropoulos
Komulainen Tuomas (Bank of Finland and BOFIT)
Borrowing and Balance-of-Payments Crises
Discussant: Duncan, R.
Meixing Dai and Moise Sidiropoulos (University Louis Pasteur of Strasbourg and BETA)
Inflation targeting, capital mobility and macroeconomic stability
Discussant: Ishikawa, T.

14:00-16:00 Parallel Session 1B : REAL EXCHANGE RATES
Lecture Room : Δ2-A
Chair: Fischer, C.
Ahmad Zubaidi Baharumshah (University of Putra), Raj Aggrawal (Kent State University) and Chan Tze Hwa (University of Putra Malaysia)
Mean Reversion of real Asian Exchange Rates Before and after the 1997 Crises: New Evidence
Discussant: Fischer, C.
Osbat, Chiara (European University Institute)
An I(2) cointegration analysis of purchasing power parity between the euro area
Discussant: Ahmad Zubaidi Baharumshah
Fischer, C. (Deutsche Bundesbank)
PPP: a Disaggregated View
Discussant: Osbat, Chiara

14:00-16:00 Parallel Session 1C : FINANCIAL ECONOMICS I
Lecture Room : Δ2-B
Chair: Kevin James Daly
Calmes Christian (University of Quebec, Bank of Canada)
Financial market imperfection, overinvestment and speculative precaution

Discussant: Vardas Giannis
Belke, A., (University of Hohenheim) Geisslreither, K., (University of Hohenheim) Gros, D. (Centre for European Policy Studies)
Is There A Volatility Trade-off in the Southern Cone?
Discussant: Kevin James Daly
Vardas Giannis, (University of Crete) and Anastasios Xepapadeas (University of Crete)
Uncertainty Aversion, robust control and asset holdings
Discussant: Calmes Christian
Kevin James Daly (University of Western Sydney) and Xuan Vinh Vo (University of Western Sydney)
Trading Relationships In European Equity Markets - Implications For U.S Investors
Discussant: Geisslreither, K.

14:00-16:00 Parallel Session 1D : MONETARY POLICY I
Lecture Room : Δ2-Γ
Chair: Kim, Kunhong
Samuel Bates (CEREGMIA, French West Indies University)
Temporal aggregation inside the causation between real and financial spheres: some lessons from monetary policy
Discussant: Kim, Kunhong
Belke, A. (University of Hohenheim) and D. Gros (Centre for European Policy Studies)
Asymmetries in Trans-Atlantic Monetary Policy Making: Does the ECB Follow the Fed?
Discussant: Samuel Bates
Buckle, R.A., (New Zealand Treasury) Kim Kunhong, (Victoria University of Wellington) and McLellan, N. (New Zealand Treasury)
The Impact of Monetary Policy on New Zealand Business Cycles and Inflation Variation
Discussant: Belke, A.

16:00-16:30 Coffee Break

16:30-18:30 Parallel Session 2A : EMPIRICAL MACROECONOMICS
Lecture Room : Δ1-A
Chair: Balfoussia, C.
Apergis, N., (University of Macedonia) Lyroudi, K., (University of Macedonia) and Papanastasiou, J. (University of Macedonia)
Consumption and budget deficits in transitional economies: Does the Ricardian Equivelance hold? Evidence from Panel Data
Discussant: Balfoussia C
Sideris, D. (University of Ioannina)
Testing for long-run PPP in a system context: evidence for the US, Germany and Japan
Discussant: Apergis, N.
Balfoussia C, (University of York) and Wickens M.R. (University of York and CEPR)
Macroeconomic sources of risk in the term structure
Discussant: Sideris, D.

16:30-18:30 Parallel Session 2B : THEORETICAL MODELS
Lecture Room : Δ2-A
Chair: Paustian, Matthias
Chowdhury Ibrahim, (University of Cologne) Mathias Hoffmann, (University of Cologne) Andreas Schabert (University of Cologne)
Inflation dynamics and the cost channel of monetary transmission
Discussant: Paustian, Matthias
Frey, Rainer (Deutsche Bundesbank)
Coordinated or uncoordinated monetary policy under a regime of flexible exchange
Discussant: Chowdhury Ibrahim
Busato, Francesco (Columbia University)
Relative Demand Shocks: An exploration
Discussant: Frey, Rainer
Paustian, Matthias (Center for European Integration Studies (ZEI) and Bonn Graduate School of Economics)
Optimal Simple Monetary Policy Rules with Nominal Rigidities and Asymmetric Information
Discussant: Busato, Francesco

16:30-18:30 Parallel Session 2C : GROWTH MODELS
Lecture Room : Δ2-B
Chair: Stiegert, R.
Benos, N. (University of Cyprus)
Education policies and economic growth
Discussant: Stiegert, R.
Ken Miyajima (UCLA)
The Link between Economic Growth and the Real Exchange Rate
Discussant: Benos, N.
Economides, G., (Athens University of Economics and Business), Kalyvitis, S. (Athens University of Economics and Business) and Philippopoulos, A.(Athens University of Economics and Business)
Does foreign aid distort incentives and hurt growth? Theory and Evidence
Discussant: Ken Miyajima
Castren, O. (European Central Bank) , Miller, M (Warwick University) and Stiegert, R. (European Central Bank)
Growth Expectations, Capital Flows and International Risk Sharing
Discussant: : Economides, G.

20:00 Welcome Dinner at Theartemis Papace Hotel

Friday 28 May
09:00-11:00 Parallel Session 3A : JIMF Session - Micro Approaches to Exchange Rates
Lecture Room : Δ1-A
Chair: Michael Melvin
Bjonnes, Geir H. (Stockholm Institute for Financial Research and Norwegian School of Management) Rime, Dagfinn (Norges Bank) and Solheim, Haakon O. Aa. (Norwegian School of Management (BI) and Statistics)
Liquidity provision in the overnight foreign exchange market
Discussant: Mark Taylor
Evans, M.D., (Georgetown University and NBER) and Lyons, R.K. (UC Berkeley and NBER)
How is Macro News Transmitted to Exchange Rates?
Discussant: Carol Osler
Carol L. Osler (Brandeis University)
Stop-Loss Orders and Price Cascades in Currency Markets
Discussant: Michael Melvin

Lecture Room : Δ2-A
Chair: Lam, Jean-Paul
Cavallaro, E. (University of Rome La Sapienza) and Mulino, M. (University of L’Aquila)
External Debt in Emerging Economies: A Macrodynamic Model of Financial Fragility
Discussant: Lam, Jean-Paul
Makris, M. (University of Exeter, CMPO, University of Bristol)
Capital Tax Competition: Is There A Gain from Monetary Integration?
Discussant: Cavallaro, E.
Tagkalakis, Athanasios (European University Institute)
The asymmetric effects of fiscal policy on private consumption over the business
Discussant: Makris, M.
Lam, Jean-Paul (Bank of Canada)
Alternative Targeting Regimes, Transmission lags and the Exchange Rate Channel
Discussant: Tagkalakis, A.

09:00-11:00 Parallel Session 3C : FINANCIAL AND CURRENCY CRISES
Lecture Room : Δ2-B
Chair: Tarasev,, N.
Vanessa Smith (Cambridge Endowment for Research in Finance (CERF)) and D. Tambakis (Pembroke College, Cambridge and (CERF))
Did The Asian And Russian/Ltcm Financial Crises Affect U.S. Treasury Liquidity Premia?
Discussant: Schwierz, C.
Schwierz, C. (Norges Bank)
Economic Costs of the Nordic Banking Crises
Discussant: Tomsik, V.
Brada, J.C.(Arizona State University) and Vladimir Tomsik, V. (Arizona State University, Prague University of Economics and Newton Holding a.s.)
Foreign Direct Investment and Perceptions of Vulnerability to Foreign Exchange Crises: Evidence from Transition Economies
Discussant: Tarashev, N.
Tarashev, N. A. (Bank for International Settlements)
Currency Crises and the Informational Role of Interest Rates
Discussant: D. Tambakis

09:00-11:00 Parallel Session 3D : FINANCIAL ECONOMICS II
Lecture Room : Δ2-Γ
Chair: Dimitrios Georgoutsos
Roman Kräussl (University of Crete and Center for Financial Studies (CFS)
Do Changes in Sovereign Credit Ratings Contribute to Financial Contagion in Emerging Market Crises?
Discussant: Piazolo, Marc
Piazolo, Marc (University of Applied Sciences Kaiserslautern)
Why have Official Rating Agencies Failed in the Past, and Will They in the Future
Discussant: Roman Kräussl
Georgoutsos, D. (Athens University of Economics and Business) and S. Bekiros (Athens University of Economics and Business)
Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus
Discussant: Christis Hassapis

11:00-11:30 Coffee Break

11:30-13:00 The Athens Stock Exchange Plenary Session
Amphitheater-Room : Δ3
Chair: Angelos Kanas
Michael Melvin (Arizona State University)
The Choice of Direct Dealing or Electronic Brokerage in Foreign Exchange Trading

13:00-14:15 Lunch

14:30-16:00 The Emporiki Bank Plenary Session
Amphitheater-Room : Δ3
Chair: Anastasios Xepapadeas
Tryphon Kollintzas (Athens University of Economics and Bussiness)
Public goods, merit goods and consumption behaviour

16:00-16:30 Coffee Break

16:30-18:30 Parallel Session 4A : JIMF Session - Exchange Rate Models
Lecture Room : Δ1-A
Chair: Mark Taylor
Kanas Angelos (University of Crete)
A note on the linkages between the US/UK real exchange rate and the real interest rate differential, 1921-2002
Discussant: James Lothian
Jansen, D. (De Nederlandsche Bank) and De Haan, J.(University of Groningen)
Talking heads: The effects of ECB statements on the euro-dollar exchange rate
Discussant: Ansgar Belke
Lucio Sarno (University of Warwick and CEPR) and Giorgio Valente (University of Warwick)
Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts
Discussant: Han, Young Wook

16:30-18:30 Parallel Session 4B : EXCHANGE RATE ECONOMICS
Lecture Room : Δ2-A
Chair: Menoncin Francesco
Yannacopoulos, A. N. (University of the Aegean)
A novel approach to exchange rate control using controlled stochastic differential equations
Discussant: Menoncin Francesco
Menoncin Francesco, (Universita degli Studi di Brescia) Tronzano M. (Universita degli Studi di Genova)
Optimal real exchange rate targeting: a stochastic analysis
Discussant: Yannacopoulos, A. N.

16:30-18:30 Parallel Session 4C : PARITY RELATIONS
Lecture Room : Δ2-B
Chair: Malliaropoulos D.
Baharumshah, A., (Universiti Putra Malaysia) Hwa, C-T., (Universiti Putra Malaysia) Fountas, S. (University of Macedonia)
A panel study on Real Interest Parity in East-Asian Countries: Pre- and Post-liberalization era
Discussant: Montanes, A.
Clemente, J., (University of Zaragoza) Montanes, A. (University of Zaragoza) and Reyes, M. (University of Zaragoza)
Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries
Discussant: Malliaropulos D.
Ebrahim, M. Shahid (University of Nottingham, UK.); and Mathur, I. (Southern Illinois University, Carbondale, IL, USA)
Multinational Corporate Financing and Parity Relations
Discussant: Fountas, S.
Malliaropulos D. (University of Piraeus and National Bank of Greece) Panopoulou E.(University of Piraeus and National Bank of Greece) Pantelidis T. (University of Piraeus) and Pittis N. (University of Piraeus)
Sticky Prices and the Purchasing Power Parity Puzzle
Discussant: Ebrahim, M. Shahid

16:30-18:30 Parallel Session 4D : FINANCIAL ECONOMETRICS I
Lecture Room : Δ2-Γ
Chair: Mueller, C.
Russell, Jeffery (Graduate School of Business University of Chicago) and Yang, Chen (Graduate School of Business University of Chicago)
A Preliminary Model for Estimating the Impact of Price Limits on Taiwan Stock Exchange
Discussant: Siourounis, G.
Kruszka, M. (The Poznan University of Economics)
The Monthly Transactional Demand for Money in Countries under Transition: Evidence from Cointegration Test
Discussant: Mueller, C.
Siourounis, G. (London Business School)
Capital Flows and Exchange Rates: An Empirical Analysis
Discussant: Kruszka, M.
Mueller, C. (Konjunkturforschungsstelle (KOF) an der Eidgenossischen Technischen Hochschule Zurich)
Interpretation of Cointegration Coefficients - A Paradox, a Solution and Empirical Evidence
Discussant: Yang, Chen

Saturday 29 May
09:00-11:00 Parallel Session 5A : JIMF Session - Exchange Rates Regimes
Lecture Room : Δ1-A
Chair: Paul de Grauwe
Dellas, H.(University of Bern, CEPR and IMOP) and G. Tavlas (Bank of Greece)
The global implications of regional exchange rate regimes
Discussant: Athanasios P. Papadopoulos
Ehrmann, M. (European Central Bank) and M. Fratzscher (European Central Bank)
Exchange rates and fundamentals: New evidence from real-time data
Discussant: Paul de Grauwe
Kollmann, Robert (University of Bonn and CEPR)
Macroeconomic Effects of Nominal Exchange Rate Regimes: New Insights into the Role of Price Dynamics
Discussant: George Kouretas

09:00-11:00 Parallel Session 5B : EU ECONOMICS
Lecture Room : Δ2-A
Chair: Bernhard Herz
Barbier-Gauchard Amelie (University of Orleans)
Fiscal federalism, discipline and selection adverse in the EU: lessons from a theoretical model
Discussant: Bernhard Herz
Andrew Hughes Hallett (Cardiff University and CEPR), Sevend Hougaard Jensen (CEBR and EPRU), Christian Richter (Cardiff University)
EMU, Structural Reform and Fiscal Policy
Discussant: Barbier-Gauchard Amelie
Nikkinen, J., Sahlstrom, P., and Vahamaa, S. (University of Vaasa)
Implied volatility linkages among major European currencies
Discussant: Christian Richter
Bernhard Herz (University of Bayreuth) and Christian Bauer (University of Bayreuth)
How credible are the exchange rate regimes of the EU accession countries?
Discussant: Sahlstrom, P.

Lecture Room : Δ2-B
Chair: Chetan Subramanian
Farrant Katie (Bank of England) and Peersman Gert (Ghent University)
Is the exchange rate a shock absorber or source of shocks? New empirical evidence
Discussant: Chetan Subramanian
Peter Benczur (Magyar Nemzeti Bank and Central European University)
The behavior of the nominal exchange rate at the beginning of disinflations
Discussant: Peersman Gert
Hsih-Chia Hsieh (Providence University) and Pei-Gin Hsieh (Case Western Reserve University)
Economics of exchange rates and policy options
Discussant: Peter Benczur

09:00-11:00 Parallel Session 5D : CURRENCY MARKETS
Lecture Room : Δ2-Γ
Chair: Vlaar, P.J.G.
Beine, M., (University of Brussels) Janssen, G. (Katholieke Universiteit Leuven) and Lecourt C. University of Namur)
Should Central Bankers Talk to the FX Market?
Discussant: Vlaar, P.J.G.
Jorge V. Perez , (University of Las Palmas de Gran Canaria) and Yolanda Santana (University of Las Palmas de Gran Canaria)
Post EMS exchange risk trends: a comparative perspective between Åuro, British Pound and Japanese Õen excess returns against US dollar
Discussant: Beine, M.
Choudhry, T., (University of Bradford) Ng, E . (National University of Singapore) and Peng, K. (University of Bradford )
Dynamic Interaction Among the Asian Exchange Rates: Evidence from Asian Crisis
Discussant: Yolanda Santana
Vlaar, P.J.G. (De Nederlandsche Bank)
On the strength of the US dollar: Can it be explained by output growth?
Discussant: Choudhry, T.

11:00-11:30 Coffee Break

11:30-13:00 The European Central Bank Plenary Session
Amphitheater-Room : Δ3
Chair: Athanassios Papadopoulos
Bennett T. McCallum (Carnegie-Mellon University)
Issues Regarding the Zero Lower Bound on Nominal Interest Rates

13:00-14:15 Lunch

14:30-16:00 The Bank of Greece Plenary Session
Amphitheater-Room : Δ3
Chair: George Kouretas
Mark P. Taylor (Warwick University)
Real Exchange Rates, Purchasing Power Parity and Central Relativity

16:00-16:30 Coffee Break

16:30-18:30 Parallel Session 6A : EXCHANGE RATES DETERMINATION
Lecture Room : Δ1-A
Chair: Brissimis Sophocles
Grimaldi, M. (Sveriges Riksbank) and De Grauwe, P. (University of Leuven)
Exchange Rates in a Behavioural Finance Framework
Discussant: Brissimis Sophocles
Crespo-Cuaresma, J., (University of Vienna), Fidrmuc, J., (Oesterreichische Nationalbank) and R. MacDonald (University of Strathclyde)
The Monetary Approach to Exchange Rates in the CEECs
Discussant: Aslanidis, N.
Brissimis S., (Bank of Greece and University of Piraeus) Kosma Theodora (Athens University of Economics and Business)
Market power, innovative activity and exchange rate pass-through
Discussant: Fidrmuc, J.

16:30-18:30 Parallel Session 6B : MONETARY POLICY: THEORY AND EVIDENCE
Lecture Room : Δ2-A
Chair: Daunfeldt, S-O
van Aarle, B., (University of Leuven) Garretsen, H. (Utrecht University) and Huart, F. (Universite des Sciences et Technologies de Lille)
Transatlantic Monetary and Fiscal Policy Interaction
Discussant: Daunfeldt, S-O
Chasiotis, N. (Athens University of Economics and Business) and Malliaropulos, D. (University of Pireus)
On the Effect of Monetary Policy of Fed and ECB on Market Expectations of Future Euro/Dolar exchange rates
Discussant: van Aarle, B.
Richard A. Werner (Sophia University, Tokyo)
Why has fiscal policy not succeeded in stimulating a lasting recovery in Japan?
Discussant: Malliaropulos, D.
Daunfeldt, S-O. (Umea University) and de Luna, X. (Umea University)
Central Bank Independence and Price Stability: Evidence from 23 OECD Countries
Discussant: Richard A. Werner

16:30-18:30 Parallel Session 6C : FINANCIAL ECONOMETRICS II
Lecture Room : Δ2-B
Chair: Kellard, N.
Conrad, C., (University of Mannheim) Jiang, F., (University of York) Karanasos, M. (University of York)
Modelling and predicting exchange rate volatility via power ARCH models: the role of long memory
Discussant: Kellard, N.
Krusec, Dejan (European University Institute)
The effects of fiscal policy on output in a structural VEC framework: The case of four EMU and four

Discussant: Conrad, C.
Erlandsson, U. G. (Lund University)
Reconnecting the Markov switching model with economic fundamentals
Discussant: Krusec, Dejan
Kellard, N (University of Essex) and Sarantis, N. (London Metropolitan University)
Explaining Bias in the Foreign Exchange Market: The Case of Traded Volatility and Fractional Cointegration
Discussant: Erlandsson, U. G.

16:30-18:30 Parallel Session 6D : NOMINAL EXCHANGE RATES
Lecture Room : Δ2-Γ
Chair: Mathias Hoffmann
Maeso-Fernandez, F., (University of Murcia) Osbat, C. (ECB) and Schnatz, B. (ECB)
Towards the estimation of equilibrium exchange rates for CEE acceding countries
Discussant: Mathias Hoffmann
Marin-Martinez, Carmen (Universidad de Murcia)
The Structural Approach of a Natrex Model on Equilibrium Exchange Rates
Discussant: Osbat, C.
Smedts, K. (CES, Catholic University of Leuven)
International Dynamic Asset Allocation and the Effect of the Exchange Rate
Discussant: Marin-Martinez, Carmen
Mathias Hoffmann (University of Cologne)
Fixed versus Flexible Exchange Rates: Evidence from Developing Countries
Discussant: Smedts, K.

18:45 Short Excursion at the Monastry of Arkadi
21:00 Dinner at a local tavern


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