SESSIONS - ECONOMIC AND FINANCIAL SYSTEMS
D1. Economic Development and the Knowledge EconomyOrganiser: Les Oxley, University of Canterbury, New Zealand (Les.Oxley@canterbury.ac.nz)
The session will comprise, but is not restricted to, empirical and theoretical contributions on the role, effect and impact of knowledge on economic growth, employment and productivity viewed from an economic perspective. How knowledge, both codified and tacit impacts upon and helps explain differential economic performance is the main focus of this session.
The session will comprise, but is not restricted to, empirical and theoretical contributions on the role, effect and impact of knowledge on economic growth, employment and productivity viewed from an economic perspective. How knowledge, both codified and tacit impacts upon and helps explain differential economic performance is the main focus of this session.
D2. Economic ModellingOrganiser: Les Oxley, University of Canterbury, New Zealand (Les.Oxley@canterbury.ac.nz)
This session includes theoretical and/or applied papers on economic modelling of national macroeconomic models, growth models, optimization models, general equilibrium modelling, and models of structural change. Papers which consider other, more general aspects of economic modelling, will also be considered.
This session includes theoretical and/or applied papers on economic modelling of national macroeconomic models, growth models, optimization models, general equilibrium modelling, and models of structural change. Papers which consider other, more general aspects of economic modelling, will also be considered.
D3. Modelling and Managing Tourism DemandOrganiser: Chialin Chang (changchialin@nchu.edu.tw)
The session focuses on modelling and managing international and domestic tourism demand. As environmental, political, and economic events affect international tourism, which has important consequences on economic diversification, employment and foreign exchange earnings, tourism demand should be modelled and managed sensibly. Empirical research and development of tourism demand is vital for marketing and policy formulation. Papers in the empirical analysis of international tourism demand are invited in time series modelling, economic modelling, model selection and evaluation, estimation procedures, forecasting and associated applications in modelling and managing tourism demand, using high frequency and ultra high frequency data.
The session focuses on modelling and managing international and domestic tourism demand. As environmental, political, and economic events affect international tourism, which has important consequences on economic diversification, employment and foreign exchange earnings, tourism demand should be modelled and managed sensibly. Empirical research and development of tourism demand is vital for marketing and policy formulation. Papers in the empirical analysis of international tourism demand are invited in time series modelling, economic modelling, model selection and evaluation, estimation procedures, forecasting and associated applications in modelling and managing tourism demand, using high frequency and ultra high frequency data.
D4. Econometric Modelling and Financial Econometrics Organiser: Michael McAleer (michael.mcaleer@gmail.com)
The session is concerned with theoretical, numerical and empirical papers in the following areas: econometrics; financial econometrics; statistics; estimation; inference; diagnostic testing and evaluation; forecasting in economics and finance; univariate and multivariate methods; conditional volatility; stochastic volatility; realized volatility; semi-parametric and non-parametric methods; Bayesian methods; testing causality in moments; financial economics and econometrics; testing models in finance; discrete time and continuous time techniques; missing data and interpolation for financial data; and modelling stock price dynamics.
The session is concerned with theoretical, numerical and empirical papers in the following areas: econometrics; financial econometrics; statistics; estimation; inference; diagnostic testing and evaluation; forecasting in economics and finance; univariate and multivariate methods; conditional volatility; stochastic volatility; realized volatility; semi-parametric and non-parametric methods; Bayesian methods; testing causality in moments; financial economics and econometrics; testing models in finance; discrete time and continuous time techniques; missing data and interpolation for financial data; and modelling stock price dynamics.
D5. Modelling and Managing Economic, Financial and Political RiskOrganiser: Michael McAleer (michael.mcaleer@gmail.com)
Risk considerations and complexity affect decision-making in the economic, financial and political environments. This session welcomes papers that deal with modelling the risks associated with domestic and foreign direct investment; portfolio investment (debt and equity) and international banking; innovation; intellectual property litigation; quantitative and qualitative risk ratings; agency country risk ratings; political risk ratings; economic risk ratings; financial risk ratings; intellectual property risk ratings; composite risk; andtheoretical, numerical and empirical papers concerned with modelling the trends, volatility, risk, dynamic correlations and dynamic covariances, and forecasting Value-at-Risk.
Risk considerations and complexity affect decision-making in the economic, financial and political environments. This session welcomes papers that deal with modelling the risks associated with domestic and foreign direct investment; portfolio investment (debt and equity) and international banking; innovation; intellectual property litigation; quantitative and qualitative risk ratings; agency country risk ratings; political risk ratings; economic risk ratings; financial risk ratings; intellectual property risk ratings; composite risk; andtheoretical, numerical and empirical papers concerned with modelling the trends, volatility, risk, dynamic correlations and dynamic covariances, and forecasting Value-at-Risk.
D6. Modelling Conditional, Stochastic and Realized Volatility Organiser: Felix Chan (Felix.Chan@cbs.curtin.edu.au)
This session invites papers concerned with modelling time-varying volatility, with an emphasis on conditional, stochastic and realized volatility.
Although the session focuses on the theoretical (namely, structural, mathematical and statistical) developments, numerical simulations and empirical applications of univariate and multivariate models in Finance, Financial Economics and Financial Econometrics, papers related to models of volatility in other disciplines are also welcome.
This session invites papers concerned with modelling time-varying volatility, with an emphasis on conditional, stochastic and realized volatility.
Although the session focuses on the theoretical (namely, structural, mathematical and statistical) developments, numerical simulations and empirical applications of univariate and multivariate models in Finance, Financial Economics and Financial Econometrics, papers related to models of volatility in other disciplines are also welcome.
D7. Modelling Innovations Processes In The EconomyOrganiser: Ken Carlaw, University of British Columbia, Canada (Kenneth.Carlaw@ubc.ca)
This session includes theoretical and/or applied papers on the modelling of innovation processes in the economy. Simulation-based economic models, optimization models, general equilibrium modeling, time series and panel-data applications are all relevant for this session.
This session includes theoretical and/or applied papers on the modelling of innovation processes in the economy. Simulation-based economic models, optimization models, general equilibrium modeling, time series and panel-data applications are all relevant for this session.
D8. Experimental EconomicsOrganisers: Maros Servatka, University of Canterbury (maros.servatka@canterbury.ac.nz)
Steven Tucker, University of Canterbury (steven.tucker@canterbury.ac.nz)
The session is concerned with experimental papers in the following areas: theory–testing laboratory and field economics experiments, experimental investigation of incentive compatible mechanisms and strategic behaviour; integration of experimental economics findings for policy advice and test–bed experiments; methodology of economics experiments.
Steven Tucker, University of Canterbury (steven.tucker@canterbury.ac.nz)
The session is concerned with experimental papers in the following areas: theory–testing laboratory and field economics experiments, experimental investigation of incentive compatible mechanisms and strategic behaviour; integration of experimental economics findings for policy advice and test–bed experiments; methodology of economics experiments.
D9. Behavioural EconomicsOrganisers: Maros Servatka, University of Canterbury (maros.servatka@canterbury.ac.nz)
Steven Tucker, University of Canterbury (steven.tucker@canterbury.ac.nz)
The session is concerned with theoretical, experimental, simulation, and empirical papers in the following areas: psychological foundation of incentives; psychological games; motivation schemes; behavioural game theory; behavioural finance; behavioural industrial organization, behavioural labor economics; agent–based modeling; bounded rationality; social norms; other–regarding preferences; trust; fairness; reciprocity; emotions; intentions and their perception.
Steven Tucker, University of Canterbury (steven.tucker@canterbury.ac.nz)
The session is concerned with theoretical, experimental, simulation, and empirical papers in the following areas: psychological foundation of incentives; psychological games; motivation schemes; behavioural game theory; behavioural finance; behavioural industrial organization, behavioural labor economics; agent–based modeling; bounded rationality; social norms; other–regarding preferences; trust; fairness; reciprocity; emotions; intentions and their perception.
D10. Modelling and Financial ManagementOrganiser: Professor David Allen (d.allen@ecu.edu.au), Edith Cowan University
This session involves the application of modelling and simulation techniques to corporate and financial management issues, which are defined broadly to include all private sectors of an economy including financial institutions. Possible topics include, but are not limited to, the following areas: (i) modelling corporate, earnings and dividend processes and linkages to stock price behaviour, including market microstructure issues; (ii) the modelling and simulation of agency relationships between stake holders in the corporation and the implications for corporate behaviour, contract design and organisational structure; (iii) the modelling of asymmetric information and its implications for suppliers and users of finance, including corporate relationships with bankers, debt holders and other financial institutions; (iv) the modelling and simulation of corporate investment behaviour, including applications of real option theory to investment and financial management decisions; (v) the modelling of corporate risk, including bankruptcy, credit spreads, loan agreements and bank portfolio decisions; (vi) the modelling and assessment of corporate performance, including profitability, and event study design; (vii) the benchmarking of financial institutions and investment fund performance, including modelling managed fund performance, the construction of portfolio benchmarks, active versus passive management, tracking error, and related issues.
This session involves the application of modelling and simulation techniques to corporate and financial management issues, which are defined broadly to include all private sectors of an economy including financial institutions. Possible topics include, but are not limited to, the following areas: (i) modelling corporate, earnings and dividend processes and linkages to stock price behaviour, including market microstructure issues; (ii) the modelling and simulation of agency relationships between stake holders in the corporation and the implications for corporate behaviour, contract design and organisational structure; (iii) the modelling of asymmetric information and its implications for suppliers and users of finance, including corporate relationships with bankers, debt holders and other financial institutions; (iv) the modelling and simulation of corporate investment behaviour, including applications of real option theory to investment and financial management decisions; (v) the modelling of corporate risk, including bankruptcy, credit spreads, loan agreements and bank portfolio decisions; (vi) the modelling and assessment of corporate performance, including profitability, and event study design; (vii) the benchmarking of financial institutions and investment fund performance, including modelling managed fund performance, the construction of portfolio benchmarks, active versus passive management, tracking error, and related issues.
D11. Time Series AnalysisOrganiser: Colin McKenzie, Keio University (mckenzie@econ.keio.ac.jp)
The session is concerned with theoretical, empirical and simulation papers in the following areas: pure time series analysis (including ARIMA and ARMAX models); multivariate time series analysis; non-stationary processes and unit roots; seasonality; cointegration; causality testing; VAR models; structural change; forecasting; and the estimation, diagnostic testing and model evaluation of econometric time series models.
The session is concerned with theoretical, empirical and simulation papers in the following areas: pure time series analysis (including ARIMA and ARMAX models); multivariate time series analysis; non-stationary processes and unit roots; seasonality; cointegration; causality testing; VAR models; structural change; forecasting; and the estimation, diagnostic testing and model evaluation of econometric time series models.
D12. Corporate Finance Organiser: Colin McKenzie, Keio University (mckenzie@econ.keio.ac.jp)
The session is concerned with theoretical, simulation and empirical papers in the following areas: options and derivative pricing models; event study analysis; choice of financing instruments; market microstructure; capital asset pricing models; multifactor pricing models; fixed income securities; bank-borrower relationships; capital structure and dividend policy; borrowers' investment and financing decisions; and the relationship between banks, firms and underwriters.
The session is concerned with theoretical, simulation and empirical papers in the following areas: options and derivative pricing models; event study analysis; choice of financing instruments; market microstructure; capital asset pricing models; multifactor pricing models; fixed income securities; bank-borrower relationships; capital structure and dividend policy; borrowers' investment and financing decisions; and the relationship between banks, firms and underwriters.