International Conference
Econometrics for Macroeconomics and Finance


Date: March 15-16, 2014
Venue: Faculty Building 3, Hitotsubashi University
Organizer: Etsuro Shioji (Hitotsubashi University) and Toshiaki Watanabe (Hitotsubashi University)
Time: 30 minutes for presentation and 10 minutes for discussion


March 15, Saturday

10:40-10:45 Opening Remarks
Toshiaki Watanabe (Hitotsubashi University)

Financial Econometrics (Stochastic Volatility and Jump)
Chair: Yasuhiro Omori (University of Tokyo)
10:45-11:25 Makoto Takahashi (Osaka University),“Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution”(Coauthors: Toshiaki Watanabe and Yasuhiro Omori)
11:25-12:05 Yoshihiko Sugihara (Hitotsubashi University*),“Simultaneity of Price Jump: a Measure of Systemic Risk in the Global Financial Markets

12:05-12:55 Lunch

Financial Econometrics (Invited Session)
Chair: Toshiaki Watanabe (Hitotsubashi University)
12:55-13:35 Torben Andersen (Northwestern University),“The Risk Premia Embedded in Index Options”(Coauthors: Nicola Fusari and Viktor Todorov)
13:35-14:15 Luc Bauwens (Université Catholique de Louvain),“Estimation and Empirical Performance of Non-scalar Dynamic Conditional Correlation Models”(Coauthors: Lyudmila Grigoryeva and Juan-Pablo Ortega)
14:15-14:55 Tatsuyoshi Okimoto (Australian National University),“Decreasing Trends in Stock-Bond Correlations”(Coauthor: Harumi Ohmi)

14:55-15:10 Coffee Break

Econometric Theory (Invited Session)
Chair: Yukinobu Kitamura (Hitotsubashi University)
15:10-16:50 Yoosoon Chang (Indiana University),“Regime Switching Model with Endogenous Autoregressive Latent Factor”(Coauthors: Yongok Choi and Joon Park)
16:50-16:30 Joon Park (Indiana University),“Understanding Regressions with Observations Collected at High Frequency over Long Span,”(Coauthor: Yoosoon Chang)

17:00- Reception


March 16, Sunday

Macroeconometrics (Macroeconomic Policy)
Chair: Jouchi Nakajima (Bank of Japan)
10:00-10:40 Hiroshi Morita (Hitotsubashi University*),“Time-Varying Effects of Fiscal and Monetary Policy in Japan: New Identification for Monetary Policy at the Zero Lower Bound
10:40-11:20 Yasuharu Iwata (Hitotsubashi University*, Nagasaki University and ESRI, Cabinet Office),“Time-Varying Effects of Government Spending Shocks in the Post-War U.S”(Coauthor: Hirokuni Iiboshi)
11:20-12:00 Yoichi Ueno (Hitotsubashi University*),“A New Multi Factor Shadow Rate Model: A Solution Method and an Empirical Investigation

12:00-12:50 Lunch

Macroeconometrics (Invited Session)
Chair: Yohei Yamamoto (Hitotsubashi University)
12:50-13:30 Kyu Ho Kang (Korea University),“International Diversification Gains by Bond Maturity: Evidence from an Affine Term Structure Model with Regime Shifts”(Coauthors: Siddhartha Chib and Dong-Hyun Ahn)
13:30-14:10 Sungbae An (Singapore Management University),“Measuring Intangible Capital with Uncertainty”(Coauthor: Nan Li)
14:10-14:50 Fabio Milani (University of California, Irvine),“Sentiment and the U.S. Business Cycle

14:50-15:05 Coffee Break

Macroeconometrics (Price and Firm)
Chair: Etsuro Shioji (Hitotsubashi University)
15:05-15:45 Kyosuke Shiotani (Hitotsubashi University*),“An Analysis of Price Level Heterogeneity across Households based on Geary-Khamis Price Index”(Coauthor: Naohito Abe)
15:45-16:25 Yumi Saita (Hitotsubashi University*),“Aging and Real Estate Prices: Evidence from Japanese and US Regional Data”(Coauthors: Chihiro Shimizu and Tsutomu Watanabe)
16:25-17:05 Kazufumi Yamana (Hitotsubashi University*),“Estimating Model of Firm Dynamics with Entry and Exit Using Approximate Bayesian Computation

17:05-17:10 Closing Remarks
Etsuro Shioji (Hitotsubashi University)

*Doctoral student in the Graduate School of Economics, Hitotsubashi University