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11:00 – 13:00
20min (presentation) + 5 min
(discussant)
+ 5 min (Q&A)
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Session 2A Aula I: Financial
spillovers & risk, Chair: Yuthana Sethapramote (National Institute of Development
Administration, Bangkok)
Presentation: Fabio Calonaci (Queen Mary
University of London) “Forecasting Asset Market Volatility: ‘the HAR model
with Jump and Leverage components”
Discussion: Mikhail Stolbov
(MGIMO-University Moscow)
Presentation: Mikhail Stolbov
(MGIMO-University), Maria Shchepeleva (Bank of Russia) "Financial stress
in emerging markets: patterns, real effects, and cross-country
spillovers"
Discussion: Yuthana Sethapramote (National Institute of Development
Administration, Bangkok)
Presentation: Yuthana Sethapramote
(National Institute of Development Administration, Bangkok), Suthawan Prukumpai
(Kasetsart University, Bangkok) and Tiwa Kanyamee (National
Institute of Development Administration, Bangkok) “Evaluation of
Value-at-Risk Estimation using Long Memory Volatility Models: Evidence from
Stock Exchange of Thailand”
Discussion: Jérémy Leymarie (University of Orleans)
Presentation: Michał Chojnowski, Piotr Dybka (SGH Warsaw School of Economics) "IS EXCHANGE
RATE MOODY? ESTIMATING THE INFLUENCE OF MARKET SENTIMENTS WITH GOOGLE
TRENDS"
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Session 2B Room 1B: Lending &
funding, Chair: Sylwester Kozak (Warsaw University of Life Sciences – SGGW)
Presentation: Marco Botta, Luca Colombo (Universita Cattolica del Sacro Cuore, Milano) “Macroeconomic
and institutional determinants of capital structure decisions”
Discussion: Oskar
Krzesicki (Narodowy Bank Polski)
Presentation: Oskar Krzesicki, Krzysztof Gajewski (Narodowy Bank Polski) “International Banking and Cross-border effects
of regulation”
Discussion: Oleksandr Talavera (University
of Sheffield)
Presentation: Tho Pham, Oleksandr Talavera, Junhong Yang (University of Sheffield) “Multimarket Competition and Profitability:
Evidence from Ukrainian banking”
Discussion: Małgorzata Pawłowska (Warsaw School of
Economics)
Presentation: Małgorzata
Pawłowska (Warsaw School of Economics) “The
Role of Market Structure and Competitive Framework for Sound Banking Sector
in EU”
Discussion: Marco Botta (Universita Cattolica del Sacro Cuore, Milano)
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Session 2C Aula II: Asset pricing, Chair:
Gerardo Hernandez-del-Valle (Banco de Mexico)
Presentation: Michał
Rubaszek (SGH Warsaw School of Economics) “Forecasting the Yield Curve
With Macroeconomic Variables”
Presentation: Enrique Covarrubias, Gerardo Hernandez-del-Valle (Banco de Mexico) “Inflation
expectations derived from a portfolio model”
Discussion: ANMAR AL WAKIL (University of Paris-Dauphine)
Presentation: ANMAR AL WAKIL (University of Paris-Dauphine) “The Smart Vega
Factor-Based Investing: Disentangling Risk Premia
from Implied Volatility Smirk”
Discussion: Gerardo Hernandez-del-Valle (Banco de Mexico)
Presentation: Tomasz Piotr Kasprowicz (University
of Dąbrowa Górnicza),
Andrzej Bednorz “THRESHOLD THEORY – MODELLING RISK ATTITUDE”
Discussion: Marek Kwas (Warsaw
School of Economics)
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14:30 – 16:00
20 min (presentation) + 5
min (discussant)
+ 5 min (Q&A)
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Session 3A Aula
I: Trading strategies, Chair:
Ken-ichi Tatsumi (Gakushuin University Tokyo)
Presentation: Pierre L. Siklos (Wilfrid Laurier University, Waterloo CAN), Martin
T. Bohl and Claudia Wellenreuther (Westphalian
Wilhelminian University of Münster)
“The Speculative Component in Chinese Agricultural Commodity Futures”
Discussion: Barbara
Będowska-Sójka (Poznań
University of Economics)
Presentation: Tadaaki Komatsubara, Tatsuyoshi Okimoto, Ken-ichi Tatsumi (Gakushuin
University Tokyo) "Dynamics of Integration in East Asian Equity
Markets"
Discussion: Claudia
Wellenreuther (Westphalian Wilhelminian University
of Münster)
Presentation: Barbara Będowska-Sójka (Poznań University of
Economics) "Beta estimation: The evidence from the Warsaw Stock
Exchange"
Discussion: Taufiq Choudhry (University of Southampton)
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Session 3B Room
1B: Credit risk, Chair: Pavel Gertler (National Bank of Slovakia)
Presentation: Konrad Kostrzewa, Tomasz Szabluk,
Maciej Kowalczyk (SGH Warsaw School of Economics) “Modelling CDS
spreads with copula-GARCH models”
Presentation: Pavel Gertler (National Bank of Slovakia), Boris Hofmann (Bank
of International Settlements) “Monetary facts revisited”
Discussion: Sylwester
Kozak (Warsaw University of Life Sciences – SGGW)
Presentation: Aleksandra Wójcicka (Uniwersytet Ekonomiczny w Poznaniu) “Neural
networks in credit risk evaluation of construction sector”
Discussion: Mariusz
Górajski (University of Łódź)
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Session 3C Aula
II: Monetary policy effects, Chair:
Thomas Nitschka (Swiss National Bank)
Presentation: Thomas Nitschka (Swiss National Bank) “Bond market evidence of
time variation in exposures to global risk factors and the role of US
monetary policy”
Discussion: Piotr
Fiszeder (Nicolaus Copernicus University in Torun)
Presentation: Piotr Fiszeder,
Ilona Pietryka (Nicolaus Copernicus University in
Torun) “Monetary Policy in Steering the EONIA and POLONIA Rates in the Eurosystem and Poland — a Comparative Analysis”
Discussion: Gábor
Dávid Kiss (University of Szeged)
Presentation: Gábor Dávid Kiss (University
of Szeged) “Currency Stability and Unconventional Balance Sheet Practices – a
Panel Approach”
Discussion: Thomas Nitschka (Swiss National Bank)
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