E X C H A N G E  R A T E S

March 2003, 6 & 7

(restricted area)


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.
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DELLAS Harris (Univ. of Bern),
Monetary policy in an open economy under imperfect information.
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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.
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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.
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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.
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CAPPIELLO Lorenzo (BCE), CASTREN Olli (BCE), JAASKELA Jarkko (Univ. of London),
Measuring the euro exchange rate risk premium: the conditional international CAPM approach.
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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.

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PHYLAKTIS Kate, RAVAZZOLO Fabiola (City Univ. Business School, London),
Stock prices and exchange rate dynamics.
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VERGIL Hasan (Zonguldak Karaelmas Univ., Turquie), D
Analyzing the impact of real exchange rate volatility on export flows.

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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.
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BRZESZCZYNSKI Janusz, KELM Robert (Univ. Lodz, Polet),
Short-term dependencies between volatility of currency, money and capital markets. The case of Poland.
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CINCIBUCH Martin, PODPIERA Jiri (Czech National Bank),
Real appreciation in the Czech republic: assessing sectoral disparities.
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CORREA Rafael (Univ. San Francisco de Quito, Ecuador),
One market, one currency ? The economic desirability of a monetary union for the CAN.

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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.
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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
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STRAHILOV Kiril (European Univ. Institute, Italy),
The dynamics of wages and relative prices in Estonia: Does the Balassa-Samuelson effect hold ?
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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.
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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 ?
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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.
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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.
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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 ?
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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.
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BENCZUR Peter (Bank of Hungary),
The behavior of the nominal exchange rate at the beginning of disinflations.
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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.

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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

Professor, Recteur
Delegate Administrator Banque de France's foundation

Taux de change asiatiques et équilibres américains
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Richard K. LYONS
Berkeley University, Columbia and Stanford
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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.
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BOINET Virginie, NAPOLITANO Oreste, SPAGNOLO Nicola (Brunel Univ., Londres),
Are currency crises self-fulfilling? The case of Argentina.

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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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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.
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Discutants : Balazs EGERT, MODEM, Univ. Paris 10.
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.

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CHEUNG Y-W. (Univ. California), ERLANDSSON Ulf (Lund Univ., Suède),
Exchange Rates and Markov Switching Dynamics.
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KIRIKOS Dimitris G. (TEI Crete and Hellenic Open Univ., Greece),
A reconsideration of uncovered interest rate parity under switching policy regimes.
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Long swings in Japan’s current account and in the yen.
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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.
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TONKOV Boyan (BGSE and ZEI, Univ. of Bonn),
The interplay between the foreign exchange traders and the central bank.
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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 ?

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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.

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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.
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ASENSIO Angel (CEPN, Univ. Paris Nord),
Politiques de stabilisation, volatilité et distorsion des exchange rates : les effets de la coopération monétaire internationale.
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BRANDNER Peter, GRECH Harald (Oesterreichische National Bank),
Why did central banks intervene in the EMS ? The post 1993 experience.

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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.
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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.
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MENGUY Séverine (FORUM, Univ. Paris X),
La Banque Centrale Européenne doit-elle avoir un objectif de change ?
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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.
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SOLIMAN MOHAMED M. (Univ. Oregon),
The effect of currency crises on foreign direct investment.
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STAMATOPOULOS Theodoros V. (Univ. of Piraeus et C.E.F.I.),
Hellenic Export Prices and European Monetary Integration, 1970-1995.
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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.
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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.
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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.

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

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Libéralisation des mouvements de capitaux et taux de change réel : cas de la Tunisie
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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.

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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.

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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 ?
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BERGER Wolfram (Univ. of Hagen),
Dollarization of liabilities, fear of floating and optimal exchange rate volatility.
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BESSEC Marie (EUREQUA, Univ. Paris I), ROBINEAU François-Mathieu (ESSEC),
Comportements chartistes et fondamentalistes : coexistence ou domination alternative sur le marché des changes ?
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STRAHILOV Kiril (European Univ. Institute, Italy),
The use of the Euro as a national currency substitute.
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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.
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BERGVALL eters (Uppsala Univ., Suède),
What determines real exchange rates ? The Nordic countries.
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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.
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TESSIER David, GAUTHIER Céline (Banque du Canada),
Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence.
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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.
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BOWDEN Roger J. (Victoria University of Wellington, New Zealand), D
Asset prices, Tobin’s Q, and the real exchange rate.

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PISCITELLI Laura, WESTAWAY Peter (Bank of England),
FEER computation: a model based approach.
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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.

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Discutants : Zsolt DARVAS, Central Bank of Hungary


Download the programm (pdf version)








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