NZESG - New Zealand Economic Study Group

Meeting 15 Report

Report by Dimitri Margaritis

The 15th Meeting of the New Zealand Econometric Study group (NZESG), 19-20 August, Auckland University of Technology

The 15th NZESG meeting held in Auckland on 19 and 20 August, 2005, at AUT, New Zealand’s newest University, was the first academic function to be held at the Faculty of Business’s new architecturally designed building. It is also the first time that the meeting has been hosted by a Finance Department. At least one third of the 18 papers presented during the meeting’s six sessions had a financial econometrics orientation thus providing the 15th meeting’s thematic focus.

Left to right: M. Angeles Carnero, Peter Phillips and Dimitri Margaritis
Left to right: Bart Frijns, Peter Phillips and Dimitri Margaritis

Two young scholars, Dr Bart Frijns from AUT, Finance and Dr M. Angeles Carnero from the University of Alicante in Spain, were the recipients of the RBNZ-NZESG research award, sponsored by the Reserve Bank of New Zealand, for best papers presented at the meeting. Dr. Frijn’s paper provided an insightful analysis of microstructure noise in relation to price persistence using ultra high-frequency financial transactions data while Dr. Carnero presented an eloquent analysis of the effects of outliers in GARCH models.

As with previous occasions the meeting provided a nice balance between theoretical and applied econometrics papers as well as being the outlet for young econometricians to present their work and benefit from the discussants and audience feedback.

The opening paper by Peter Phillips on how to do magic with irrelevant instruments, a thought provoking investigation on the role and attributes of deterministic trend instruments for stationary and integrated variables, set the stage for a whole array of presentations and discussions. They ranged from investigating the properties of tests on possibly unidentified parameters to tests for short memory against long memory, to a new family of panel unit root tests under cross-sectional dependence, analysing the asymmetries of policy response to inflation and output gaps, to an examination of the pass through from official rates to retail interest rates. Last but not least there was plenty of chance for social interaction among the participants inclusive of the savouring of fine Thai food matched by antipodean wines at Friday night’s dinner at Khao, hosted by the Finance Department.