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April, 07& 08, 2005

Last Update, 2005/03/21 at 2.00pm

Index of authors

Akçaglayan
Albuquerque
Antonucci
Ayadi
Balazs
Bauer
Beine
Belkacem
Benczur
Bensafta
Bergman
Bonga-Bonga
Borsic
Boubaker
Carlson
Cerrato
Cheung
Coudert
Crespo-CuaresmaI
Darvas
Davradakis
De Walque
Dobrynskaya
Dropsy
Dropsy
El meddeb
Ertugrul
Essahbi
Farooq
Federici
Garretsen
Grainville
Grimaldi
Hachicha
Hee Sik
Huart
Ioannidis
Jarko
Johnson
Kabundi
Kamar
Kanas
Karadi
Karfakis
Karsten
Kellard
Khallouli
Knedlik
Kon
Levando
Lindblad
Lommatzsch
Lopes
Lopez
Louargant
Lubos
Lubos,
MacDonald
Mannai
Marrakchi-Charfi
Matei
Melecky
Mende
Menkhoff
Minford
Mwale
Naszódi
Nautz
Neuberg
Nowell
Osler
Osler
Payaslioglu
Payaslioglu T,
Portugal
Portugal Duarte
Prakriti
Prieto
Protinn
Ramachandran
Rappai
Razgallah
Riadh
Rizlane

Rubaseck
Sadler
Santoroz
Sarantis
Schepp
Sellin
Setzer
Silgoner
Silke
Šverko
Tarashev
Tavares
Terraza
Temimi
Tivegna
Touil
Van Aarle
Várpalotai
Wajih
Wurth

Overview of the Scientific Program

Thurdsay April 07th
09.00 - 10.00
 Opening & Keynote Speech 
09.00 - 10.00
10.00 - 10.30 A 10.00 - 10.30 F
10.30 - 12.00 B Exchange Rate Pass Trough 10.30 - 12.00 G Macroeconomic Impacts
12.00 - 13.00 A 12.00 - 13.00 F
13.00 - 14.30 C Purchasing Power Parity 13.00 - 14.30 H Short Term Analysis
14.30 - 15.00 A 14.30 - 15.00 F
15.00 - 16.30 D Exchange Rate Regimes 15.00 - 17.00  I  Fondamentals and Echange Rate
16.30 - 17.00 A    
17.00 - 18.30 E Exchange Rate Volatility    



Thurdsay April 07th

09.00 - 10.00: Opening Session
Chair : ………..Pavlos KARADELOGLOU [AEA & BCE] et Virginie TERRAZA [AEA & U. Luxembourg]

Welcome Speech
Rolf TARRACH
Recteur de l'Université du Luxembourg

Keynote
Michel WURTH
Chief Financial Officer of Arcelor
Exchange Rate Movements and Multinational Companies
A Steel Producer's Position

Opening



Session A : Poster Presentation during all Breaks

Chair : ……….. Virginie TERRAZA [AEA & U. Luxembourg]

Antonucci Daniele, Centro Studi Confindustria (IT)
Structural Changes and Deviations from the Purchasing Power Parity within the Euro Area

Boudhina Riadh, Khallouli Wajih, Univ. El Mannouba (TN)
Modèles à correction d'erreur (ECM) non linéaire : Application sur la contagion des marchés de change asiatiques

Essaadi Essahbi, Ayadi Mohamed, ISG Tunis (TN)
Amélioration des prévisions des taux de change par les études de sous période

Grainville Philippe, Univ. Nice (FR)
Une analyse économétrique de l'impact du taux de change sur les prix des biens primaires

Komarek Lubos, Czech National Bank (CZ)
The Real Exchange Rate Misalignment of the Five Central European Countries – Single Equation Approach

Marrakchi-Charfi Fatma, Fac. Scs Eco. de Tunis (TN)
Forecasting and Comparison of Tunisian Dinar Parity Using a Constant Real Exchange Rate Rule and a Fundamantal Equilibrium Exchange Rate Model.

Matei Iuliana, Univ. Paris 1 (FR)
Pegging The Currencies To The euro: An Empirical Investigation

Melecky Martin, Univ. New South Wales (AU)
Third-Currency Effects in a Tripolar Model of Foreing Exchange

Prieto Flora, FP Inversiones Planificacion Research (ES)
Is There an ‘Internationalization Effect’ on Exchange Rates?

Ramachandran Muthiah, ISEC (IN)
High Capital Mobility and Precautionary Demand for International Reserves.

ŠŠverko Ivan, Ivica Prga, Erste & Sterimarkische Bank (ZA)
Croatian Exchange Rate Regime Looking Forward EMU?

Temimi Bayram, ISG Tunis (TN)
Perspectives d'émergence d'un bloc Euro : Analyse par modèles dynamiques

Touil Ahmed, Univ. Tlemcen (AL)
Pertinence du taux de change d'une monnaie inconvertible

Van Aarle Bas, Harry Garretsen, Florence Huart, Univ. Leuven (BE)
Policy Rules in the Euro-Area and International Interdependencies

10.30 - 12.00 - B : Exchange Rate Pass Through

Chair : ………..Paolo GUARDA [Central Bank of Luxembourg]

Albuquerque Christianne, Marcelo S. Portugal, Banco Central do Brazil (BR)
Pass-Through from Exchange Rate to Prices in Brazil, an Analysis Using Time-Varying Parameters for the 1980-2002 Period

Dobrynskaya Victoria V., Levando D.V., State Univ. (RU)
Exchange Rate Pass-Through Effect and Monetary Policy in Russia

Portugal Duarte António Manuel, Univ. Coimbra(PT)
The Portuguese Disinflation Process Analysis of Some Costs and Benefits

Razgallah Brahim, Univ. Paris 2 (FR)
Trends in Real Exchange Rates and the Relative Price of Traded Goods: An Empirical Investigation

Sadler Armand Arcelor; Terraza Virginie, Univ. Luxembourg (LU)
Exchange Rates and the Steel Market

Várpalotai Viktor, National Bank of Hungary (HU)
Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary

13.00 - 14.30 - C : Purchasing Power Parity

Chair : ………..Zolt DARVAS [Central Bank of Hungary]

Borsic Darja, Univ. of Maribor (SI)
Prices and Exchange Rates in New Members of EU

Cerrato Mario, Neil Kellard, Nicholas Sarantis, London Metropolitan Univ. (UK)
The Purchasing Power Parity Paradigm: Evidence from Black Currency Markets

Hachicha Nejib, Fac. Scs Eco. de Tunis (TN)
The Purchasing Power Parity and the Symmetry, Proportionality Conditions: Panel Cointegration Evidence from African Countries

Lopez Claude, Univ. of Cincinnati (US)
Evidence of Purchasing Power Parity for the Floating Regime Period

Lommatzsch Kirsten, Silke Tober, Deutsche Institut für Wirtschaftsforschung (DE)
Productivity Growth and the Real Appreciation of the Accession Countries' Currencies

Mannai Rania, ESSEC de Tunis (TN)
Dynamique du taux de change et des prix relatifs dans le cadre d'un modèle à tendances communes

 

15.00 - 16.30 - D : Exchange Rate Regimes

Chair : ………..Giovanna PALADINO [LUISS University & SanPaoloIMI]

Egert Balazs , Univ. Paris 10 (FR)
Daily Foreign Exchange Interventions in Emerging Europe: Should We Give a Damn?

Komarek Lubos, Czech National Bank (CZ)
Real Equilibrium Exchange Rate for the New EU-Member States – Panel Data Approach

Naszódi Anna, Magyar Nemzeti Bank (HU)
Target Zone Rearrangements And Exchange Rate Behaviour In An Options-Based Model

Payaslioglu Cem, Eastern Mediterranean Univ. (TR)
A Tail Index Tour Across Foreing Exchange Regimes in Turkey

Setzer Ralph, Univ. Hohenheim (DE)
The Political Economy of Exchange Rate Regime Duration: A Survival Analysis

Tavares José, José Lopes, Univ. Nova de Lisboa (PT)
Trade Areas versus Currency Agreements

 

17.00 - 18.30 - E : Exchange Rate Volatility

Chair : ……….. Frédéric FLAMENT [Dexia Luxembourg]

Beine Michel, Univ. Lille & ULB (BE)
The Impact of Central Bank FX Interventions on Currency Components

Boubaker Heni, El meddeb Zahra, Belkacem Lotfi, IHEC de Sousse (FR)
Cointégration fractionnaire et efficience informationnelle du Marché des Changes

Davradakis Emmanuel, Warwick Univ. (UK)
Macroeconomic Fundamentals and Exchange Rates: A Non-Parametric Cointegration Analysis

Louargant Christine, Univ. Metz, Luc Neuberg, Fortis Investments, Philippe Protinn Univ. of Grenoble II (FR)
Agents Based Model Applied to Exchange Rate Dynamics

Lumengo Bonga-Bonga, Rand Afrikaans Univ. (ZA)
Modeling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach.

Tivegna Massimo, Luiss Roma Univ. (IT)
Day-Trading the Euro-Dollar With a News-Based Model of Exchange Rates: Descriptive Results

 

 


Friday April 08th

09.00 – 10.00 : Keynote Speech
Chair : ………..
Sanvi AVOUYI DOVI [AEA & BdF] & Armand SADLER [Arcelor]

10.00 - 10.30 - Coffee & Poster Session F


Session F : Poster Presentation during all Breaks

Chair : ……….. Pavlos KARADELOGLOU [AEA & BCE]

Bauer Christian, Univ. Bayreuth (DE)
A Better Asymmetric Model of Changing Volatility in Stock Returns: Trend-GARCH

Benczur Peter, National Bank of Hungary (HU)
Bond Spreads, Exchange Rate Movements and Risk
s

Bensafta Malik Kamel, Univ. Hassiba Ben Bouali (AL)
Analyse univariée et multivariée de la volatilité du taux de change du Dinar Algériens, au moyen des modèles de type GARCH univariée et multivariée, Gaussiens et Non Gaussiens

Dropsy Vincent, California State Univ. (US)
Currency Overvaluation and External Debt Unssustainability

Grimaldi Silvia, Banca Intesa (IT)
The Evolution of Italian Stock Market in the Last Decay

Johnson Christian, Univ. Adolfo Ibañez (CL)
A Neural Network Model to Forecast Exchange Rate

Kabundi Alain, Edmund Mwale, Standard Bank (ZA)
Tracking South African All-Share Index Using Exchange Rates: a Kalman Filter Approach

Kamar Bassem, Univ. Monaco (MC)
Real Exchange Rate Determinants in Egypt : a Var Cointegration Approach

Kanas Angelos, Christos Ioannidis, Univ. Crete (GR)
Revisiting The Spot - Forward Relationship :a Non Parametric Approach

Khallouli Wajih, Essahbi Essaadi, Univ. Tunis (TN)
La contagion de la crise asiatique : Analyse par l'approche de corrélation

Knedlik Tobias, Bremen Univ. ( DE)
Estimating the Monetary Conditions Index for South Africa

Lukas Menkhoff, Alexander Mende, Univ. of Hannover, Carol L. Osler, Brandeis Univ. (US)
Asymmetric Information and the Cross-Section of Currency Spreads

Payaslioglu Tuna Gulcay, Eastern Mediterranean Univ. (TR)
The Effectiveness of Central Bank Intervention on Exchange Rate Volatility:Evidence from Turkey

 

10.30 - 12.00 - G : Macroeconomics Impacts of Exchange Rate

Chair : ……….. Yves WAGNER [Director's Office Luxembourg]

Bergman Michael, Kon S. Lai, Univ. Copenhagen, Yin Wong Cheung, Univ. of California (DK)
The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations

De Walque Grégory, Raf Wouters, National Bank of Belgium (BE)
An Open Economy DSGE Model Linking the Euro Area and the US Economy

Anil Akçaglayan, Univ. Ankara, Ertugrul Ayse, Univ. Paris 1 (FR)
Monetary Policy and the Exchange Rate: a VAR Analysis

Federici Daniela, Sergio Santoroz, Univ. of Rome La Sapienza (IT)
Monetary Shocks and Real Exchange Rate Dynamics

Hee Sik Kim, Central Bank (KR)
Structural Change in the Effects of Exchange Rate on Output in Korea

Lindblad Hans, Peter Sellin, Sveriges Riksdag (SE)
A Simultaneous Model of the Swedish Krona, the US Dollar and the Euro

 

13.00 - 14.30 - H : Short Term Analysis of Exchange Rate

Chair : ……….. Jean-François FORTEMPS [Fortis Investments]

Darvas Zsolt, Corvinus Univ. , Gábor Rappai, Zoltán Schepp, Univ. of Pécs (HU)
Uncovering Yield Parity

Karadi Peter, Central Bank of Hungary (HU)
Implicit Exchange Rate Target An Application to Hungary

John A. Carlson, Purdue Univ. , Osler Carol, Brandeis Int.Business (US)
Currency Risk Premiums: Theory and Evidence

Ruth Karsten, Dieter Nautz, Goethe-Univ. (DE)
Monetary Disequilibria and the Euro/Dollar Exchange Rate

Eric Nowell, Liverpool Univ. ,Sofat Prakriti, Patrick Minford, Cardiff Univ. (UK)
Real Exchange Rate Overshooting RBC Style

Tarashev Nikola, Bank for International Settlements (CH)
Are Speculative Attacks Triggered by Sunspots? A New Test

 

15.00 - 17.00 - I : Fundamentals and Exchange Rate

Chair : ……….. Michel BEINE [ULB & Lille U.]

Akram Q. Farooq, Central Bank of Norway (NO)
Oil wealth and Real Exchange Rates: The FEER for Norway

Coudert Virginie, Bank of France & CEPII (FR)
Real Equilibrium Exchange Rate in China

Dropsy Vincent, California State Univ. (USA)
Real Exchange Rate Valuation in China

Fidrmuc Jarko, Jesús Crespo-CuaresmaI, Maria Antoinette Silgoner, Oesterreichische Nationalbank (AT)
Fundamentals, the Exchange Rate and the next EU Enlargement Rounds - Evidence from Bulgaria, Croatia, Romania and Turkey

Guati Rizlane, ENS-Lyon (FR)
Estimation des comptes courants et des taux de change d'équilibre fondamentaux: une approche basée sur les données de panel

Karfakis Costas, Univ. Macedonia (GR)
Is There an Empirical Link between the Dollar Price of the Euro and the Monetary Fundamentals?

Rubaseck Michael, National Bank of Poland (PL)
The Optimal ERM II Central Parity for the Polish Zloty.

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