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Hong Kong Institute for Monetary Research (HKIMR)

Conference on "International Financial Markets and the Macroeconomy"

13 July 2006 (Thursday) - 14 July 2006 (Friday)



Thursday, July 13
8:15 a.m. - 8:50 a.m. Registration and coffee
8:50 a.m. - 9:00 a.m. Welcome and Opening Remarks (HKMA/HKIMR)
Session 1 - International investments
Chair: Matthew Yiu, Hong Kong Institute for Monetary Research
9:00 a.m. - 9:45 a.m. International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences
Authors: Guidolin, M., Federal Reserve Bank of St. Louis
Timmermann, A., UC San Diego
Discussant: Engel, C., University of Wisconsin, Madison

9:45 a.m. - 10:30 a.m. Valuing Foreign Exchange Rate Options with a Mean-Reverting Process
Authors: Hui, C., Hong Kong Monetary Authority
Lo, C-F., Chinese University of Hong Kong
Yeung, V., Hong Kong Monetary Authority
Fung, L., Hong Kong Monetary Authority
Discussant: Sin, C-Y., Hong Kong Baptist University

10:30 a.m. - 10:45 a.m. Coffee Break
Session 2 - International financial markets and price determination
Chair: Menzie Chinn, University of Wisconsin, Madison
10:45 a.m. - 11:30 a.m. Price Discovery in Currency Markets
Authors: Osler, C., Brandeis University
Mende, A., University of Hannover
Menkhoff, L., University of Hannover
Discussant: Cheung, Y-W., UC Santa Cruz

11:30 a.m. - 12:15 p.m. Persistence, Performance and Prices in Foreign Exchange Markets
Author: Ramadorai, T., University of Oxford
Discussant: Osler, C., Brandeis University

12:15 p.m. - 1:00 p.m. The US Treasury market in August 1998: Untangling the effects of Hong Kong and Russia with high frequency data
Authors: Dungey, M., University of Cambridge
Goodhart, C., London School of Economics
Tambakis, D., University of Cambridge
Discussant: Remolona, E., Bank for International Settlements

1:00 p.m. - 2:00 p.m. Lunch
Session 3 - International bond markets
Chair: Giorgio Valente, Chinese University of Hong Kong
2:00 p.m. - 2:45 p.m. The pricing of sovereign risks and the macroeconomy
Author: Remolona, E., Bank for International Settlements
Wu, E., University of New South Wales
Discussant: Guidolin, M., Federal Reserve Bank of St Louis

2:45 p.m. - 3:30 p.m. Modelling Sovereign Bond Yield Curves of US, Japan and Germany
Authors: Tam, C-S., Hong Kong Monetary Authority
Yu, I-W., Hong Kong Monetary Authority
Discussant: Ma, Y., Lingnan University, Hong Kong

3:30 p.m. - 4:15 p.m. The Term Structure of Credit Spreads in Project Finance
Authors: Sorge, M., World Bank
Gadanecz, B., Bank for International Settlements
Discussant: Meredith, G., International Monetary Fund

4:15 p.m. - 4:30 p.m. Tea
Session 4 - Keynote Lecture
4:30 p.m. - 6:00 p.m. Portfolio Choice in a Monetary Open-Economy DSGE Model
Authors: Engel, C., University of Wisconsin, Madison
Matsumoto, A., International Monetary Fund

6:00 p.m. Conference adjourns
7:00 p.m. Conference dinner
Friday, July 14
8:30 a.m. - 9:00 a.m. Coffee
Session 5 - Exchange rates, monetary policy and the business cycle
Chair: Paul McNelis, Fordham University
9:00 a.m. - 9:45 a.m. Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
Author: Mark, N., University of Notre Dame
Discussant: Genberg, H., Hong Kong Institute for Monetary Research

9:45 a.m. - 10:30 a.m. Risk Management and Systemic Risk
Author: Eatwell, J., University of Cambridge
Discussant: Ho, C., Bank for International Settlements

10:30 a.m. - 11:15 a.m. Markups and the Euro
Author: Cook, D., Hong Kong University of Science and Technology
Discussant: McNelis, P, Fordham University

11:15 a.m. - 11:30 a.m. Coffee
Session 6 - Empirical exchange rate dynamics
Chair: Yin-Wong Cheung, UC Santa Cruz
11:30 a.m. - 12:15 p.m. Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment
Authors: Chinn, M., University of Wisconsin, Madison
Alquist, R., University of Michigan
Discussant: Mark, N., University of Notre Dame

12:15 p.m. - 1:00 p.m. Real Exchange Rates and Productivity: Evidence from Asia
Author: Yan, I. K-M., City University of Hong Kong
Kakkar, V., City University of Hong Kong
Discussant: Chinn, M., University of Wisconsin, Madison

1:00 p.m. - 2:00 p.m. Lunch
Session 7 - International financial markets and China
Chair: Wensheng Peng, Hong Kong Monetary Authority
2:00 p.m. - 2:45 p.m. Does the Chinese Interest Rate Follow the US Interest Rate?
Author: Cheung, Y-W., UC Santa Cruz
Yiu, M., Hong Kong Institute for Monetary Research
Tam, D., Hong Kong Institute for Monetary Research
Discussant: Dungey, M., University of Cambridge

2:45 p.m. - 3:30 p.m. Incomplete Financial Market and the Sequence of International Trade Liberalization
Author: Ma, Y., Lingnan University, Hong Kong
Discussant: Du, J., Chinese University of Hong Kong

3:30 p.m. - 4:15 p.m. FDI Location Choice in China: The Role of Agglomeration Economies and Government Institutions
Author: Du, J., Chinese University of Hong Kong
Lu, Y., University of Hong Kong
Tao, Z., University of Hong Kong
Discussant: Sorge, M., World Bank

4:30 p.m. Conference ends


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