ESRC Seminar Series: Nonlinear Economics and Finance Research Community

About the Seminar Series

Recent research has used the nonlinear perspective to gain new insights that have increased our understanding of a number of topics. These topics include: (i) the slow adjustment of exchange rates to international price differences or productivity differentials, (ii) the slow adjustment of stock prices towards their equilibrium values, (iii) the asymmetric/time-varying response of output/unemployment to monetary policy shocks, (iv) the greater sensitivity of stock market volatility to negative rather than positive news, and (v) the introduction of non-linear panel data models at the firm level motivated by the idea that investment opportunities are affected by financial constraints and other capital imperfections that vary across firms and over time . The topics above have been analysed by regime-switching models of various types (e.g. TAR/STAR/Markov switching models).

This new ESRC Research Seminar series on “Nonlinear Economics and Finance Research Community” aims to facilitate the bringing together of existing researchers for a series of seminars. It is expected that the seminar series will focus (although not exclusively) on some of the topics listed above. Although the seminars are valuable in themselves, it is hoped that further added value will result by leading to the establishment of a research community for UK-based researchers in this area. The seminars will build on the work by a group of researchers at the following Universities: Brunel, CASS Business School, East Carolina, Essex, Keele, Kent, Lancaster, Loughborough, Manchester, Sheffield, Stockholm, Strathclyde, Rotterdam and Warwick. The seminar series also envisages research students being involved in the seminars and the research network that will hopefully emerge from it, thus increasing the UK’s research capacity in this area.

Four 1-day ESRC funded seminar series will run over the academic years 2007-2008 and 2008-2009, respectively. Two of these will take place at Keele University and two at Brunel University. For each seminar series, the total number of participants is expected to be around thirty (30) with at least five (5) places reserved for research students. The seminar series will attract invited and a limited number of contributed papers.

Thanks to the ESRC grant, participation will be free and we will be able to pay accommodation and some travell expenses for those attending the seminars.

A free mailing list for discussion of all aspects of Nonlinear Economics, including calls for papers etc, has been set up and will continue after the seminar series. The mailing list is hosted at Keele University, and academics and postgraduate students are welcome to register. The list currently has over 140 subscribers from the UK and abroad.

The first seminar will be held at Keele on Friday 2nd February 2007. Subsequent seminars will take place at Brunel in summer 2007, Keele in winter 2007/8, and Brunel in summer 2008.

CALL FOR PAPERS

Recent research has used the nonlinear perspective to gain new insights that have increased our understanding of a number of topics, including: (i) the slow adjustment of exchange rates to international price differences, (ii) the slow adjustment of stock prices towards their equilibrium, (iii) the asymmetric response of output to monetary shocks, (iv) the greater sensitivity of stock market volatility to negative rather than positive news, and (v) the introduction of nonlinear panel data models at the firm level motivated by the idea that investment opportunities are affected by time-varying financial constraints. The topics above have been analysed by regime-switching models of various types (e.g. TAR/STAR/Markov switching models).

The ESRC Seminar series will focus (although not exclusively) on some of the topics above, and associated methodological issues. The first meeting will consist of invited and contributed papers.

1^st Workshop - 2nd February 2007 at Keele University

Printable version of the Call for Papers (.pdf file)

Confirmed invited speaker:
Clive W.J. Granger (University of California, San Diego).

The final programme for the first workshop is now available.

Studies in Nonlinear Dynamics and Econometrics. Special Issue on Regime-Switching Models in Economics and Finance:
Papers submitted to the first seminar can be considered for publication in a special issue of Studies in Nonlinear Dynamics and Econometrics, edited by Gary Koop (Strathclyde University), Denise Osborn (University of Manchester) and Costas Milas (Keele University). All papers submitted to the SNDE special issue will be subject to SNDE's standard review process.

2nd Workshop - 10th July 2007 at Brunel University

• Printable version of the Call for Papers (.pdf file)
• Printable version of the timetable (.pdf file)
• Directions to Brunel University
• Brunel Campus Map - conference venue is the Cavendish Room in the Hamilon Building.
  

9:00-9:30: Coffee and Welcome by Christopher Martin ( Brunel University).

9:30-11:00: Session (Chair: Christopher Martin, Brunel University).

Karim M. Abadir ( Imperial College London) and Gabriel Talmain ( University of York). Distilling co-movements from persistent macro and financial series.

Gianna Boero ( University of Warwick), Jeremy Smith ( University of Warwick) and Kenneth F. Wallis ( University of Warwick). Uncertainty and disagreement in economic prediction: The Bank of England Survey of External Forecasters.

Simon Potter (Federal Reserve Bank of New York) . A new approach to measuring natural rates.

11:00-11:11:30: Coffee.

11:30-12:15: Talk by John C. Williams (Senior Vice President and Advisor, Federal Reserve Bank of San Francisco).

12.15-13.15: Lunch.

13:15-14:45: Session (Chair: Theodore Panagiotidis, Loughborough University).

Cinzia Alcidi (Graduate Institute of International Studies, Geneva), Alessandro Flamini ( Keele University) and Andrea Fracasso (Graduate Institute of International Studies, Geneva). “Taylored'' rules. Does one fit (or hide) all?

Ana Beatriz Galvão (Queen Mary, University of London) . Changes in predictive ability with mixed frequency data.

Themis Pavlidis ( Lancaster University), Ivan Paya ( Lancaster University) and David A. Peel ( Lancaster University) . Linearity testing in the presence of heteroskedasticity.

14:45-15:15: Coffee.

15:15-16:45: Session (Chair: Costas Milas, Keele University).

Denise R. Osborn ( Manchester University) and Marianne Sensier ( Manchester University). Modelling UK inflation: Persistence, seasonality and monetary policy.

Christopher Martin ( Brunel University) and Costas Milas ( Keele University). The impact of uncertainty on monetary policy rules in the UK.

Antonello D'Agostino (Central Bank and Fiscal Authority of Ireland) , Luca Gambetti (Universitat Autonoma de Barcelona) and Paolo Surico (Bank of England). Monetary policy and the evolution of the long-term interest rate.

16:45-17:00: Coffee.

17:00-17:30: John Galbraith (McGill) and Simon van Norden (HEC Montréal). The calibration and resolution of probabilistic economic forecasts.

17:30: End.

3rd Workshop - Friday 1st February 2008 at Keele University

Printable verions of Call for Papers (pdf file)

PROGRAMME

Papers:

• Mohammad R Jahan-Parvar et al
• Ana-Maria Fuertes et al
• Massimo Guidolin et al
• Valentina Corradi et al
• Andrew Patton
• Georgios Chortareas et al
• Francesco Ravazzolo et al
• Amine Lahiani and Olivier Scaillet
• Cem Cakmakli and Dick van Dijk
• Katja Ahoniemi and Markku Lanne

4th Workshop on Tuesday 1 July 2008 at Brunel University

Information on the seminar

Programme

Papers:

• David Meenagh/Patrick Minford
• Martin Ellison/Andrew Scott