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Thursday, July 13
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| 8:15 a.m. - 8:50 a.m. |
Registration and coffee
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| 8:50 a.m. - 9:00 a.m. |
Welcome and Opening Remarks (HKMA/HKIMR)
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Session 1 - International investments
Chair: Matthew Yiu, Hong Kong Institute for Monetary Research
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| 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
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| 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
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| 10:30 a.m. - 10:45 a.m. |
Coffee Break
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Session 2 - International financial markets and price determination
Chair: Menzie Chinn, University of Wisconsin, Madison
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| 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
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| 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
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| 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
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| 1:00 p.m. - 2:00 p.m. |
Lunch
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Session 3 - International bond markets
Chair: Giorgio Valente, Chinese University of Hong Kong
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| 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
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| 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
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| 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
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| 4:15 p.m. - 4:30 p.m. |
Tea
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Session 4 - Keynote Lecture
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| 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
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| 6:00 p.m. |
Conference adjourns
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| 7:00 p.m. |
Conference dinner
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Friday, July 14
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| 8:30 a.m. - 9:00 a.m. |
Coffee
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Session 5 - Exchange rates, monetary policy and the business cycle
Chair: Paul McNelis, Fordham University
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| 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
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| 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
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| 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
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| 11:15 a.m. - 11:30 a.m. |
Coffee
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Session 6 - Empirical exchange rate dynamics
Chair: Yin-Wong Cheung, UC Santa Cruz
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| 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
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| 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
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| 1:00 p.m. - 2:00 p.m. |
Lunch
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Session 7 - International financial markets and China
Chair: Wensheng Peng, Hong Kong Monetary Authority
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| 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
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| 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
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| 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
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| 4:30 p.m. |
Conference ends
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