NZESG - New Zealand Economic Study Group

The 12th New Zealand
Econometrics Study Group Meeting
University of Auckland, Auckland
17-18 October, 2003


The NZESG will be opened by Dr Alan Bollard, Governor, Reserve Bank of New Zealand.

The Friday sessions will focus on the special theme applied econometric modelling for policy purposes, with one session devoted to microeconomic and the other to macroeconomic applications. Papers for these sessions will be selected from those submitted and/or solicited from applied econometricians whose work has interesting policy implications. The Saturday sessions will contain the more traditional mix of theoretical and applied econometrics.

It is a pleasure to announce that Professor Clive Granger (University of California, San Diego), one of the world's leading econometricians, has kindly agreed to speak at the Wellington NZESG. Professor Granger has recently been awarded the Nobel Prize in Economics jointly with Professor Engle (New York University). His invited paper is scheduled for Saturday morning.

The informal, collegial and supportive atmosphere of past NZESG meetings has been a key factor in their success. The Wellington NZESG meeting aims to continue this tradition and econometricians of all persuasions, from novice to experienced, are very welcome to attend and speak about their work.


This will be updated and augmented as further information becomes available.

Friday 17 October 2003

  • 12.30 Registration
  • 13.00 Tribute to Professor Clive Granger
  • 13.15 Opening by Alan Bollard (Governor, Reserve Bank of New Zealand)
  • 13.30 Parity Reversion in Real Exchange Rates: Fast, Slow or Not at All? by Paul Cashin (International Monetary Fund) and C. John McDermott (National Bank of New Zealand).
  • 14.00 Asymmetric Central Bank Responses: Evidence from Australia and New Zealand by Ozer Karagedikli (Reserve Bank of New Zealand) and Kirdan Lees (Reserve Bank of New Zealand).
  • 14.30 Characterizing Global Investors' Risk Appetite for Emerging Market Debt during Financial Crises by Mardi Dungey (Australian National University and CERF, Cambridge University), Renee Fry (Australian National University), Brenda Gonzalez-Hermosillo (International Monetary Fund) and Vance L. Martin (University of Melbourne).
  • 15.00 Afternoon tea
  • 15.30 Practice Makes Profit: Business Practices and Firm Success by Richard Fabling (Ministry of Economic Development) and Arthur Grimes (Motu and University of Waikato).
  • 16.00 The Built-in Flexibility of Income and Consumption Taxes in New Zealand by John Creedy (New Zealand Treasury) and Norman Gemmell (University of Nottingham).
  • 16.30 Youth Minimum Wage Reform and the Labour Market by Dean Hyslop (New Zealand Treasury) and Steven Stillman (New Zealand Department of Labour).
  • 17.00 A Simulation Model for Future Youth Justice Residential Needs by Alistair Gray (Statistics Research Associates Limited) and Peter Thomson (Statistics Research Associates Limited).
  • 17.30 Drinks and nibbles

Saturday 18 October 2003

  • 08.45 Country Models and Global Models: A New Set of Research Tools? by Clive W.J. Granger (University of California, San Diego).
  • 09.30 Empirical Modelling of Contagion: A Review of Methodologies by Mardi Dungey (Australian National University and CERF, Cambridge University), Renee Fry (Australian National University), Brenda Gonzalez-Hermosillo (International Monetary Fund) and Vance L. Martin (University of Melbourne).
  • 10.00 The Performance of the Tests of Linear and Logarithmic Transformations for Integrated Processes with Stochastic Unit Roots by Gawon Yoon (Pusan National University).
  • 10.30 Morning tea
  • 11.00 Efficient Estimation of Markov Processes Where the Transition Density is Unknown by George J. Jiang (University of Arizona) and John L. Knight (University of Western Ontario).
  • 11.30 Testing for Regime Switching by Jin Seo Cho (Victoria University of Wellington) and Halbert White (University of California San Diego).
  • 12.00 Testing for No Autocorrelation with Good Power and Size by Jen-Je Su (Massey University).
  • 12.30 Lunch
  • 13.30 Exploring the Role of Inventories in the Business Cycle by Louis J. Maccini (Johns Hopkins University) and Adrian Pagan (Australian National University and University of New South Wales).
  • 14.00 New Zealand's Production Structure: An International Comparison by Iris Claus (The Treasury) and Kathy Li (University of Canterbury).
  • 14.30 The Persistence of NZ Dollar Misalignments Relative to Purchasing Power Parity by Robin Luo (Auckland University of Technology) and L. Christopher Plantier (Reserve Bank of New Zealand).
  • 15.00 Afternoon tea
  • 15.30 Order Submission: the Choice between Limit and Market Orders by Ingrid Lo (The University of Waikato) and Stephen Sapp (Richard Ivey School of Business).
  • 16.00 NYSE Stocks as M/M/1 Information Processing Queues by John Owens (Victoria University of Wellington).
  • 16.30 Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: an Intertemporally Consistent Approach with an Economic Interpretation by Leo Krippner (University of Waikato and Reserve Bank of New Zealand).
  • 18.00 Arrive at boat
  • 18.30 Harbour cruise and dinner