NZESG - New Zealand Economic Study Group

NZESG 23rd Meeting Programme

Hosted by The University of Auckland Business School

Day One: Thursday, 21 FEBRUARY

Session 1: (10:30-12:00)
Chair: Shawna Grosskopf (Oregon State University)

Lorenzo Ductor (Massey University and Universidad de Alicante)
“Does Co-authorship Lead to Higher Academic Productivity?”
Discussant: Shawna Grosskopf

Rolf Färe (Oregon State University)
“Which Bad is Worst? An Application of Leif Johansen’s Capacity Model”
(co-authored with S. Grosskopf, T. Lundgren, P-O Marklund and W. Zhou)
Discussant: Paul Rouse

David Mayes (University of Auckland)
“The Effectiveness of Capital Adequacy Measures in Predicting Bank Distress”
(co-authored with Hanno Stremmel)
Discussant: Ozer Karagedikli

12:00 Lunch and Registration

13:00 Welcome
Professor Greg Whittred (Dean, The University of Auckland Business School)

Session 2: (13:10-15:10)
Chair: Dorian Owen (University of Otago)

Yae In Baek (Yonsei University, Korea)
“Testing the Linearity Using the Power Transformation”
(co-authored with Jin Seo Cho)
Discussant: Valentin Zelenyuk

Ryan Greenaway-McGrevy (US Bureau of Economic Analysis)
“Asymptotically Efficient Forecast Selection for Panel Data Vector Autoregressions”
Discussant: Ole Maneesoonthorn

Omorogbe Joseph Asemota (Kyushu University, Japan)
“Fisher Effect, Structural Breaks and Outliers Detection in ECOWAS Countries”
(co-authored with Dahiru Abdullahi Bala)
Discussant: Felix Chan

Felix Chan (Curtin University)
“Advantages of Non-normality in Testing Cointegration Rank”
Discussant: Weshah Razzak

15:10 Coffee Break

Session 3: (15:30-17:30)
Chair: David Mayes (University of Auckland)

Anella Munro (RBNZ)
“Exchange Rates and Uncovered Interest Arbitrage”
Discussant: Ryan Greenaway-McGrevy

Weshah Razzak (The Treasury)
“The Real Exchange Rate Dynamics”
Discussant: Anella Munro

Gael Price (RBNZ)
“What Drives New Zealand’s Terms of Trade?”
(co-authored with Ozer Karagedikli)
Discussant: Dorian Owen

Katy Bergstrom (RBNZ)
“The Interest Rate Conditioning Assumption: Investigating the Effects of Central Bank Communication in New Zealand”
(co-authored with Ozer Karagedikli)
Discussant: David Mayes

19:00 NZESG dinner Sukhothai Restaurant (Corner of Chancery & O’Connell Streets)

Day Two: Friday, 22 FEBRUARY

Session 4: (8:45-10:15)
Chair: Stan Hurn (Queensland University of Technology)

Vladimir Volkov (Queensland University of Technology)
“Intraday Volatility Patterns in Global Financial Markets”
(co-authored with A.E. Clements and A.S. Hurn)
Discussant: Bart Frijns

Geneviève Gauthier (HEC Montréal)
“Credit spreads recovery rates and bond portfolio risk measures in a hybrid credit risk model”
(co-authored with Mathieu Boudreault and Tommy Thomassin)
Discussant: Stan Hurn

Bart Frijns (Auckland University of Technology)
“On the Style Switching Behavior of Mutual Fund Managers”
(co-authored with Aaron Gilbert and Remco C. J. Zwinkels)
Discussant: Ken Lindsay

10:15 Coffee Break

Session 5: (10:30-12:00)
Chair: David Giles (University of Victoria, Canada)

Peter Phillips (Yale University and University of Auckland)
“On Confidence Intervals for Autoregressive Roots and Predictive Regression”
Discussant: David Giles

Jin Seo Cho (Yonsei University, Korea)
“Directionally Differentiable Econometric Models”
(co-authored with Halbert White)
Discussant: Erwann Sbai

Dorian Owen (University of Otago)
“Simulating distributions of competitive balance measures in sports leagues: The effects of variation in season length”
(co-authored with Nicholas King)
Discussant: Taesuk Lee

12:00 Lunch

Session 6: (13:00-15:00)
Chair: Peter Phillips (Yale University and University of Auckland)

Ole Maneesoonthorn (Monash University)
“Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures”
(co-authored with C.S. Forbes and G.M. Martin)
Discussant: Jose de Fonseca

Kenneth Lindsay (University of Glasgow and Queensland University of Technology)
“Estimating the Parameters of Stochastic Volatility Models using Option Price Data”
(co-authored with Stan Hurn and A.J. McClelland)
Discussant: Geneviève Gauthier

Kolawole Ogundari (Kyushu University, Japan)
“A Note on Maize Supply Response in Nigeria: Application of ARDL and Co-integration Analyses”
(co-authored with T. Nanseki)
Discussant: Omorogbe Joseph Asemota

Dimitris Margaritis (University of Auckland)
“The Global Financial Crisis, Competition and Loan Pricing in Australia”
(co-authored with Ming-Hua Liu and Zhuo Qiao)
Discussant: Katy Bergstrom

15:00 Coffee Break

Session 7: (15:30-17:30)
Chair: Geneviève Gauthier (HEC Montréal)

Valentin Zelenyuk (University of Queensland)
“To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regressions”
(co-authored with Leopold Simar)
Discussant: Peter Phillips

Masayuki Hirukawa (Setsunan University, Japan)
“Family of Generalized Gamma Kernels: A Unified Approach to the Asymptotics on Asymmetric Kernels”
(co-authored with Mari Sakudo)
Discussant: Jin Seo Cho

David Giles (University of Victoria, Canada)
“Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution”
(co-authored with Hui Feng and Ryan T. Godwin)
Discussant: Masayuki Hirukawa

Erwann Sbai (University of Auckland)
“Regularized Non Parametric Estimation of Game Theoretic Models”
(co-authored with Jean-Pierre Florens)
Discussant: Yae In Baek

17:30 Presentation of NZESG-RBNZ awards – best paper and presentation