E X C H A N G E  R A T E S

Marseilles
March 2003, 6 & 7

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PROGRAMME - EXCHANGE RATE CONFERENCE

Marseilles (France), March 6 - 7, 2003

Download the programm (version pdf)

Thursday, March 6, 2003
Friday, March 7, 2003
   
08h00 - 08h30 Registration and coffee
08h30 - 08h45 Opening address
 
08h45 - 10h15 Session 1
                        Exchange Rates and Financial dynamics
08h45 - 10h00 Session 5
                        Central Banks interventions
10h15 - 10h45 Break et Poster Session 1 10h00 - 10h30 Break et Poster Session 2

10h45 - 12h00 Session 2
                        Exchange Rates and Transition economies

10h30 - 12h00 Session 6
                        Exchange rate regimes
12h00 - 13h30 Lunch et Poster Session 1 12h00 - 13h30 Lunch et Poster Session 2
13h30 - 15h45 Keynote speech
                        Richard Lyons & Mark Taylor   
13h30 - 15h00 Session 7
                        Equilibrium exchange rates I
15h45 - 16h15 Coffee break et Poster Session 1 15h00 - 15h30 Break et Poster Session 2
16h15 -17h 15Session3
                        Exchange rates and Emerging countries
15h30 - 16h30 Session 8
                        Equilibrium exchange rates II
17h15 - 17h45 Break et Poster Session 1 16h30              Last Drink
17h45 - 19h00 Session 4
                        Switching regimes
 
20h00              Conference dinner  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

08h00 - 08h30 Registration and coffee

08h30 Opening address

Emilio Fontela (AEA President)
Michel Laurent (President of "Université de Méditerranée")

Vêlayoudom Marimoutou (Greqam Director )
Sandrrine Lardic (Modem, UniversitéParis 10)
Valérie Mignon (Thema, Université Paris 10)


08h45 - 10h15 Session I : Exchange Rates and Financial dynamics
Chairperson : Michael MOORE, Queens University, Belfast


CHAMLEY Christophe (Boston Univ. and EHESS DELTA),
Dynamic speculative attacks.
Abstract on line

DELLAS Harris (Univ. of Bern),
Monetary policy in an open economy under imperfect information.
Abstract on line

DE GRAUWE Paul, GRIMALDI Marianna (Leuven Univ.),
Heterogeneity of agents, transaction costs and the exchange rate.
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HAU Harald (INSEAD et CEPR), REY Hélène (Princeton Univ., CEPR et NBER),
Exchange rates, Equity prices and capital flows.
Abstract on line

Discutants : Nikolaos PANIGIRTZOGLOU, Bank of England
and Catherine BRUNEAU, Thema, Univ. Paris X

10h15 - 10h45 Break
Poster Session 1

Chairperson : Gilles DUFRENOT, Univ. Paris 12, Greqam


Poster session 1a : Exchange Rates and Financial dynamics

BELLALAH Mondher, BESBES Sana Mahfoudh (THEMA, Univ. Cergy),
L’équilibre du marché international en présence de différents taux d’intérêt et d’une information incomplète.
Abstract on line

BJONNES G.H. (Stockholm Inst. for Financial Research), RIME Dagfinn (Norges Bank, Norway), SOLHEIM H.O. Aa. (Norwegian School of Management),
Large vs. small players: A closer look at the dynamics of speculative attacks.
Abstract on line

CAPPIELLO Lorenzo (BCE), CASTREN Olli (BCE), JAASKELA Jarkko (Univ. of London),
Measuring the euro exchange rate risk premium: the conditional international CAPM approach.
Abstract on line

DE GRAUWE Paul, GRIMALDI Marianna (Leuven Univ.),
The exchange rate in a model with heterogeneous agents and transaction costs.
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DERVIZ Alexis (Czech National Bank),
Dealer Quotes, Order Flow et Indirect Foreign Currency Utility in a Multiple Dealership Market.
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MARTIN Ben (Bank of England),
Assessing risks to the exchange rate.

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MAREY Philip S. (Maastricht Univ.), D
Uncovered interest parity tests and exchange rate expectations.

Abstract on line

PHYLAKTIS Kate, RAVAZZOLO Fabiola (City Univ. Business School, London),
Stock prices and exchange rate dynamics.
Abstract on line

VERGIL Hasan (Zonguldak Karaelmas Univ., Turquie), D
Analyzing the impact of real exchange rate volatility on export flows.

Abstract on line

 

Poster session 1b : Exchange Rates, Transition economies and emerging countries


BEN ABDALLAH Mohamed, MATEI Iuliana (TEAM, Univ. Paris I),
Crise et contagion : cas des pays de l’Europe de l’Est.
Abstract on line

BRZESZCZYNSKI Janusz, KELM Robert (Univ. Lodz, Polet),
Short-term dependencies between volatility of currency, money and capital markets. The case of Poland.
Abstract on line

CINCIBUCH Martin, PODPIERA Jiri (Czech National Bank),
Real appreciation in the Czech republic: assessing sectoral disparities.
Abstract on line

CORREA Rafael (Univ. San Francisco de Quito, Ecuador),
One market, one currency ? The economic desirability of a monetary union for the CAN.

Abstract on line

EGERT Balazs (Modem, Univ. Paris X), LAHRECHE-REVIL Amina (CRIISEA, CEPII et TEAM),
Estimating the fundamental equilibrium exchange rate of central and eastern European countries.
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FERREIRA Afonso (Univ. Federal de Minas Gerais, Brazil), TULLIO Giuseppe (LUISS Univ., Italy),
Exchange rate pegs and unemployment: a model of the Brazilian currency crisis of 1999.
Abstract on line

KARPOWICZ Izabela (Kiel Institute for World Economics),
Competitiveness and the Equilibrium Real Exchange Rate in Croatia.
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KOCENDA Evzen (CERGE-EI, Prague),
Structural Breaks in Exchange Rates of the CEE Transition Countries
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MATHUR Somesh.K. (Univ. New Delhi, Inde),
Real Currency Appreciation: Test of Balassa Samuelson Model
Abstract on line

STRAHILOV Kiril (European Univ. Institute, Italy),
The dynamics of wages and relative prices in Estonia: Does the Balassa-Samuelson effect hold ?
Abstract on line

 

Poster session 1c : Exchange Rate dynamics

BHANUMURTHY N.R. (Univ. Enclave, Delhi),
Microstructures in Indian Foreign Exchange Market.
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BISPHAM Francesco Devere (Hull Univ.),
Testing for Long Run PPP: An Approach using Panel Data Methods.
Abstract on line

CAMARERO Mariam (Jaume I Univ. et INTECO), ORDONEZ Javier (Jaume I Univ. et INTECO),
TAMARIT Cecilio (Valencia Univ. et INTECO),
The Euro-Dollar exchange rate : is it fundamental ?
Abstract on line

DE PERETI Christian (GREQAM), URGA Giovanni (City Univ. Bus. School),
Bootstrapping sequential tests for multiple structural breaks: A Monte Carlo analysis
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FILLOL Jérôme (Modem, Univ. Paris X),
Structure multifractale des exchange rates USD/FF, USD/GB, USD/Euro et USD/Yen.
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GOUX Jean-François (Univ. Lyon II),
Le exchange rates euro-dollar :
les leçons du passé à la lumière des nouvelles approches économétriques de la co-intégration avec break structurel.
Abstract on line

OMRANI Walid (Modem, Univ. Paris X),
Etude de l’efficience du marché des changes par le biais des processus à mémoire longue.
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SARTORE Domenico, TREVISAN Lucia, TROVA Michele, VOLO Francesca (Univ. Ca' Foscari di Venezia),
Euro/Dollar Exchange Rates: A Multy-Country Structural Monthly Econometric Model for Forecasting.
Abstract on line

VALACHY Juraj (CERGE-EI, Charles Univ., Czech Republic),
Incorporation of Poisson Jumps into a model with nonparametrically estimated diffusion and application on the CE countries' exchange rate.
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10h45 - 12h00 Session II  Exchange Rates and transition economies
Chairperson : Michel BEINE, DULBEA, Univ. Libre de Bruxelles

EGERT Balazs (Modem, Univ. Paris X),
Nominal and real convergence in Estonia: The Balassa-Samuelson (dis)connection.
Does disaggregation provide better understeting ?
Abstract on line

JAKAB Zoltan M., KOVACS Mihaly etras (Magyar Nemzeti Bank),
Explaining the Exchange Rate Pass-Through in Hungary: Some Simulations with the NIGEM Model.
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LOMMATZSCH Kirsten, TOBER Silke (German Institute of Economic Research),
What is behind the real appreciation of the accession countries currencies?
An investigation of the PPI based real exchange rate.
Abstract on line

BENCZUR Peter (Bank of Hungary),
The behavior of the nominal exchange rate at the beginning of disinflations.
Abstract on line

McDONALD Ronald (Strathclyde University, Glasgow), WÓJCIK Cezary (Warsaw School of Economics), D
Catching up: the role of demand and supply side effects on the real exchange rates of accession countries.

Abstract on line

Discutants : Agnès BENASSY-QUERE, THEMA, Univ. Paris 10 et CEPII

 

12h00 - 13h30 Lunch

13h30 - 15h45 Keynote speeches
Chairperson : Orhan GÜVENEN, President, Development Bank, Council of Europe

Denise FLOUZAT
Professor, Recteur
Delegate Administrator Banque de France's foundation

Taux de change asiatiques et équilibres américains
Abstract on line

Richard K. LYONS
Berkeley University, Columbia and Stanford
Abstract on line

Mark P. TAYLOR
University of Warwick, United Kingdom
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15h45 - 16h15 Break


16h15 -17h 15 Session III : Exchange rates and emerging countries
Chairperson : Vêlayoudom MARIMOTOU, GREQAM

GUILLAUMONT JEANNENEY Sylviane, ROUMEGOUS Emmanuelle (CERDI, Univ.Auvergne),
Exchange Rate Dynamics with Currency Substitution: the Case of Ghana, Paraguay and Uruguay.
Abstract on line

BOINET Virginie, NAPOLITANO Oreste, SPAGNOLO Nicola (Brunel Univ., Londres),
Are currency crises self-fulfilling? The case of Argentina.

Abstract on line

CERRATO Mario, SARANTIS Nicholas (London Metropolitan Univ.),
Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates.
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GRANDES Martin (DELTA, ENS, EHESS),
Sustainable debt dynamics and the endogenous role of sovereign risk.
Vicious and virtuous circles in a VECM framework
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MULLER Aline, VERSCHOOR Willem F.C (LIFE, Maastricht Univ.),
The Latin-American exchange rate exposure of U.S. multinationals.
Abstract on line

Discutants : Balazs EGERT, MODEM, Univ. Paris 10.
and
Enrique ALBEROLA, Banque d'Espagne

 

17h15- 17h45 Break

17h45 - 19h00 Session IV : Switching Models
Chairperson : Anne PEGUIN- FEISSOLLE, GREQAM, Marseille

 

CALDERON Cesar (Central Bank of Chile), DUNCAN Roberto (Central Bank of Chile),
Testing the Monetary Model of Exchange Rates: A Threshold Cointegration Approach.

Abstract on line

CHEUNG Y-W. (Univ. California), ERLANDSSON Ulf (Lund Univ., Suède),
Exchange Rates and Markov Switching Dynamics.
Abstract on line

KIRIKOS Dimitris G. (TEI Crete and Hellenic Open Univ., Greece),
A reconsideration of uncovered interest rate parity under switching policy regimes.
Abstract on line

MÜLLER-PLANTENBERG Nikolas (LSE),
Long swings in Japan’s current account and in the yen.
Abstract on line

Discutants : Michel BEINE, DULBEA, Univ. Libre de Bruxelles,
and Gilles DUFRENOT, ERUDITE, Univ. Paris XII et GREQAM

 

 

 

 

Friday, March 7, 2003


08h45 -10h00 Session V : Central Banks interventions and exchange rates dynamics
Chairperson : Eric GIRARDIN (GREQAM, Univ. de la Méditerranée)

 

BEINE Michel (DULBEA, Univ. Libre Bruxelles), BENASSY-QUERE Agnes (THEMA, Univ.Paris X et CEPII), DAUCHY Estelle (TEAM, Univ. Paris I) and MAC DONALD Ronald (Strathclyde Univ., Glasgow),
The impact of central bank intervention on forecast heterogeneity.
Abstract on line

TONKOV Boyan (BGSE and ZEI, Univ. of Bonn),
The interplay between the foreign exchange traders and the central bank.
Abstract on line

DAUCHY Estelle (TEAM, Univ. Paris I), BOUBEL Aurélie (CDC Ixis), LECOURT Christelle (CADRE, Univ. Lille II),
How do non anticipated E.C.B. et FED actions affect the EUR/USD dynamics ?

Abstract on line

FAUST Jon, ROGERS John H., WRIGHT Jonathan H. (Federal Reserve Board),
Time Variation in the High-Frequency Response of Exchange Rates to Announcements.
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REITZ Stefan (Bundesbank, Univ. Giessen),
Central bank intervention and exchange rate expectations – Evidence from the daily DM/US dollar exchange rate.

Abstract on line

Discutants : Rebecca DRIVER, Banque d'Angleterre
and Jesus RODRIGUEZ LOPEZ, Univ. Pablo de Olavide, Sevilla

10h00 - 10h30 Break et Poster Session 2
Chairperson :
Sandrine LARDIC, Modem, Univ. Paris X

Poster session 2a : Central Banks interventions

ALI Leïla (CEFI, Marseille),
Optimal informational policy and currency crisis toward a new analysis on the institutionalisation of ex-post crisis exchange-rate management.
Abstract on line

ASENSIO Angel (CEPN, Univ. Paris Nord),
Politiques de stabilisation, volatilité et distorsion des exchange rates : les effets de la coopération monétaire internationale.
Abstract on line

BRANDNER Peter, GRECH Harald (Oesterreichische National Bank),
Why did central banks intervene in the EMS ? The post 1993 experience.

Abstract on line

FERNANDEZ-ARIAS Eduardo, PANIZZA Ugo, STEIN Ernesto (Inter-American Development Bank),
Trade agreements, exchange rate dissagreements.
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LEDESMA-RODRÍGUEZ Francisco (Univ. de La Laguna), NAVARRO-IBÁÑEZ Manuel (Univ. de La Laguna), PÉREZ-RODRÍGUEZ Jorge (Univ. de Las Palmas de Gran Canaria), SOSVILLA-RIVERO Simón (FEDEA et Univ. Complutense de Madrid),
Assessing the credibility of a target zone: A History of the EMS.
Abstract on line

LOPEZ Jesus Rodriguez (Univ. Pablo de Olavide de Sevilla), MENDIZABAL Hugo Rodriguez (Univ. Autonoma de Barcelona),
How tight should central bank’s hand be tied? Credibility,volatility and the band width of a target zone.
Abstract on line

MENGUY Séverine (FORUM, Univ. Paris X),
La Banque Centrale Européenne doit-elle avoir un objectif de change ?
Abstract on line

SIBI Frédérique (TEAM, Univ. Paris I),
Taux de change de l’euro vis-à-vis du dollar : évolution et réaction de la Banque Centrale Européenne.
Abstract on line

SOLIMAN MOHAMED M. (Univ. Oregon),
The effect of currency crises on foreign direct investment.
Abstract on line

STAMATOPOULOS Theodoros V. (Univ. of Piraeus et C.E.F.I.),
Hellenic Export Prices and European Monetary Integration, 1970-1995.
Abstract on line

 

Poster session 2b : Exchange rate regimes, Equilibrium exchange rates

BALDI Anne-Laure (FORUM, Univ. Paris X),
Fixed exchange rate regimes and national price levels: Evidence from Latin American countries.
Abstract on line

BINEAU Yannick, DUPONT Bernard (MEDEE, Univ. Lille),
L’adhésion du Royaume-Uni dans la zone euro : une évaluation en terme de taux de change réel d’équilibre.
Abstract on line

CALDERON Cesar (Central Bank of Chile),
What Drives Volatility in Real Exchange Rates? Evidence for Industrial Countries.

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DUTU Richard (FORUM, Univ. Paris X),
Concurrence entre monnaies et taux de changedans un modèle de prospection.
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FOUNTAS Stilianos (Macedonia Univ.), ARISTOTELOUS Kyriacos (Otterbein College, Ohio),
Does the Exchange Rate Regime Affect Export Volumes? Evidence from Bilateral Exports in the US-UK trade: 1900-1998.

Abstract on line

GUO Lujian (Singapore National Univ.),
Capital Account Liberalization and the Choice of Exchange Rate Regimes: the Case in China.

Abstract on line

JEDIDI KCHIR Fatma (ISG Tunis, LIEI, FSEGT Tunis),
Libéralisation des mouvements de capitaux et taux de change réel : cas de la Tunisie
Abstract on line

JEONG Se-Eun, MAZIER Jacques (CEPN, Univ. Paris Nord),
Les taux de change dans les pays de l’Asie de l’Est : une approche en termes de taux de change d’équilibre.
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KANG Sammo (KIEP), WANG Yunjong (KIEP),
Fear of Inflation: Exchange Rate Pass-Through in East Asia.

Abstract on line

KHARROUBI Enisse (DELTA),
Financial openness, exchange rates and macroeconomic volatility.
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LALONDE René, SABOURIN Patrick (Banque du Canada),
Modélisation et prévision du taux de change réel effectif américain.
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PONSOT Jean-François (LATEC, Univ. Bourgogne),
Essai de typologie des régimes de dollarisation.

Abstract on line

10h30 - 12h00 Session VI Exchange rate regimes
Chairperson : Valérie MIGNON, THEMA, Univ. Paris 10

BAILLIU Jeannine, LAFRANCE Robert, PERRAULT Jean-François (Banque du Canada),
Does exchange rate policy matter for growth ?
Abstract on line

BERGER Wolfram (Univ. of Hagen),
Dollarization of liabilities, fear of floating and optimal exchange rate volatility.
Abstract on line

BESSEC Marie (EUREQUA, Univ. Paris I), ROBINEAU François-Mathieu (ESSEC),
Comportements chartistes et fondamentalistes : coexistence ou domination alternative sur le marché des changes ?
Abstract on line

STRAHILOV Kiril (European Univ. Institute, Italy),
The use of the Euro as a national currency substitute.
Abstract on line

Discutants : Anne-Laure BALDI, FORUM, Univ. Paris 10
and Eric GIRARDIN, GREQAM, Univ. Méditerranéee

 

12h00 - 13h30 Lunch

13h30 - 15h00 Session VII : Equilibrium Exchange rate I
Chairperson : Paul DE GRAUWE, Leuven University

 

ALBEROLA Enrique (Banque d’Espagne),
Misalignment, liabilities dollarization and exchange rate in Latin America.
Abstract on line

BERGVALL eters (Uppsala Univ., Suède),
What determines real exchange rates ? The Nordic countries.
Abstract on line

IMBS Jean (London Business School et CEPR), MUMTAZ Haroon (London Business School),RAVN Morten O. (London Business School et CEPR), REY Hélène (CEPR, Princeton Univ.,NBER),
PPP strikes back : aggregation and the real exchange rate.
Abstract on line

TESSIER David, GAUTHIER Céline (Banque du Canada),
Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence.
Abstract on line

Discutants : Robert LAFRANCE, Bank of Canada
and Yannick BINEAU, MEDEE, Univ. Lille

15h00 - 15h30 Break


15h30 - 16h30 Session VIII Equilibrium Exchange rate II
Chairperson : Georges PRAT, Modem, Univ. Paris 10

BOUAKEZ Hafedh (Bank of Canada),
Nominal rigidity, desired markup variations, and real exchange rate persistence.
Abstract on line

BOWDEN Roger J. (Victoria University of Wellington, New Zealand), D
Asset prices, Tobin’s Q, and the real exchange rate.

Abstract on line

PISCITELLI Laura, WESTAWAY Peter (Bank of England),
FEER computation: a model based approach.
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SCHNATZ Bernd, VIJSELAAR Focco, OSBAT Chiara (BCE),
Productivity and the euro-dollar exchange rate.
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LAFRANCE Robert, BOUAKEZ Hafed, DESROCHES Brigitte, DJOUDAD Ramdane (Bank of Canada),
Estimating Equilibrium Exchange Rate for Canada.

Abstract on line

Discutants : Zsolt DARVAS, Central Bank of Hungary

 

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