NEW FINANCIAL INSTRUMENTS AND EMERGING MARKETS

Paris
June 11-12, 1998

Programme
Registration
Abstracts
Documents
(private access)
 

PROGRAMME
NEW FINANCIAL INSTRUMENTS AND EMERGING MARKETS
Financial Markets III

Thursday, June 11th, 1998 & Friday, June 12th, 1998

 

Thursday, June 11th, 1998
Friday, June 12th 1998
   
08h30 - 09h00 Registration
09h00 - 10h00 Keynote Speeches
09h00 - 09h30 Keynote Speech 3
10h30 - 12h15 Session 1
                        Exchange Rate
09h30 - 12h00 Session 4
                        Emerging Markets
12h15 - 13h30 Lunch 12h00 - 12h30 Keynote Speech 4

13h30 - 15h00 Session 2
                        New Instruments

 
15h00 - 16h00 Poster Session 1  
16h00 -17h30 Session3
                        Financial Markets
 
17h40 - 18h30 Keynote Speech 2  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Thursday, June 11th

08h30 - 09h00 Registration


 

09h00 - 10h15


Eric JONDEAU Chairman - Banque de France


Kevin CHANG, University of Southern California
Marchés financiers et Analyse quantitative

Eric GIRARDIN, Université Montesquieu - Bordeaux
Eclairages sur le contexte des crises de change dans les économies émergentes



10h45 - 12h15 EXCHANGE RATE

Pavlos KARADELOGLOU, Banque Centrale Européenne


A. ANDREOU, G. ZOMBANAKIS, S. LIKOTHANASSES, E. GEORGOPOULOS;
U. Patras, Banque de Grèce
Modelling and Forecasting Exchange Rate Shocks

A. MATHIS; Banque Nationale de Paris
Parité dollar/yen: modèle dynamique en termes de fondamentaux

F. NUGNES; ISTAT - Rome
1 Money, n Countries: Asymetric Shocks in a Monetary Union

A. BENASSY-QUERE, B. MOJON, U. Lille II, CEPII
EMU and Transaction Exchange Rate Stability

 

Papiers associés Contributed Papers

M. BEN SALEM, F. BEC; Mad Paris I &Thema Cergy-Pontoise
Trading Cost for Goods and PPP a Nonlinear Alternative for Real Exchange Rate Dynamics

L. LABAH; BETA U. Louis Pasteur - Strasbourg
Les déterminants des crises de change

B. MOJON; Cepii - Paris
What did French Monetary Policy Do since the last Realignment of the Franc ?

F. PANSARD; U. Littoral - Dunkerque
Interest Rate, Speculative Attacks and Target Zones

 

Lunch

13h15 - 15h00 NEW INSTRUMENTS

Ignacio MAULEON, University of Salamanque

I MAULEON, J. PEROTE; Universita Salamanca
Testing Densities with Financial Data (Edgeworth-Sargan/Student’s)

M. HERENCIA, L. HOTTA, P. VALLS PEREIRA. Unicamp
Effect of Misspecification on Prediction in Stochastic Volatility Models

J. TEÏLETCHE; Lare - U. Bordeaux IV
Tranmission of Volatility when Markets Trading Hours Overlap

V. BROUSSEAU, Cl. GUILLAUMOT; MATIF - Paris
Structure fractale des données intraday du MATIF, de la DTB

B. MAILLET, Th. MICHEL; CEBI U. Paris I
Volume-Time Scale and Intra-day Returns Density

K. MALATYALI; State Planing Organisation - Ankara
A Dynamic Cointegration Analysis Among the Stock Markets


Contributed Papers

Th. CHAUVEAU, B. MAILLET; CDC, CEBI U. Paris I
Estimation de bêtas « flexibles » : le cas du marché parisien

Th. CHAUVEAU, B. MAILLET; CDC & U. Paris 1
Two new Measures of Performance

Ch.DUNIS, M. GAVRIDIS, P. LEQUEUX; BNP - Londres
Hedge Ratios and Spread Trading with High Frequency Data

X. DAM; Gammap - U. Pierre Mendes-France - Grenoble
Controlling the Chaos on a Oligopoly Market

15h00 - 16h00
POSTER SESSION

All Contributed Papers will be Displayed Here

16h00 - 17h30
FINANCIAL MARKETS

 

Michel BOUTILLIER, CDC & Université d’Evry


E. JONDEAU; Banque de France
Les marchés des actions dans les zones émergents

Ch. BISIERE, Th. KAMIONKA; GREMAQ U. Toulouse I
Timing of Orders, Orders Aggressiveness and Orders Book

JP INDJEHAGOPIAN, F. LANTZ, V. SIMON; ESSEC, IFP
Dynamique des prix du fioul domestique en Europe

J. SEQUEIRA, M. Mc ALEER; U. of Western Australia
A Market augmented Model for SIMEX Brent Futures Contrats

S. AVOUYI-DOVI, E. OYNOYAN; BNP - Paris
Modélisation de l’écart PER actions / PER obligations

17h40 - 18h30

Fabrice Di MEGLIO Chairman
Directeur Général de BNP Finances


Patrick ARTUS
Caisse des Dépôts et Consignations
Conséquenses de la déconnexion en Asie entre marchés financiers et économie réelle

Friday, June 12th


08h45 - 09h30


Roger GUESNERIE Chairman
AEA
President

Athar HUSSAIN London School of Economics
Lessons from the Asian Financial Crisis



09h30 - 12h15

EMERGING MARKETS


J. KAEHLER; U. of Exeter - UK
Market Organisation and Information Efficiency of the Stock Exchange in the Visegrad Countries

A. BENASSY-QUERE, A. LAHRECHE-REVIL; Lille II & Cepii
L’euro comme monnaie d’ancrage pour les Pecos

S. LARDIC, A. MPACKO PRISO; CCF, Modem Paris1
L’intégration des pays de l’Est à l’Union européenne : Facteur de stabilité accrue pour l’Union ?

C. KYRTSOU, V. GUIRAUD, J. ASIMAKOPOULOS, M. TERRAZA, C. SIRIOPOULOS;
U. Montpellier 1 & Salonique
Evidence of non Linearity in Small European Capital Markets

A-E CASTRO, JF TEIXEIRA; U. Vigo - Spain
New Financial Markets and Recent Tendencies in Household Financial Decisions

E. CLARK, R. CUSIN, JB LESOURD; Ceram Nice, Greqam
Risk Assessment and Sovereign Debt Instruments : a Multicriteria Approach

I. MAULEON, R. SANCHEZ LARRION; U. Salamanca - SP
A Foreign Trade Empirical Model for Malaysia and Singapore : Implication for the Exchange Rate


12h15 - 13h00


Sanvi AVOUYI-DOVI Chairman
Banque Nationale de Paris

André ICARD
Banque des Réglements Internationaux
Nouveaux problèmes posés par la crise asiatique aux organismes internationaux


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