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Second Conference of the ESCB Macro-prudential Research Network (MaRs)
30-31 October 2012, Frankfurt am Main
Name of presenters are in bold.
Tuesday
| 08:15 – 08:45 | Registration |
| 08:30 – 09:00 | Welcome coffee |
| 09:00 – 09:15 | Opening remarks Mario Draghi (President, European Central Bank) |
| 9:15-10:15 | Policy keynote: “The future of financial regulation: back to fundamentals”
download Stephen Cecchetti (Economic Adviser and Head of the Monetary and Economic Department, Bank for International Settlements) |
| 10:15 – 11:05 | “Report on the first two years of the macroprudential research network”
report,
presentation Philipp Hartmann (European Central Bank and Chair of MaRs) |
| 11:05 – 11:20 | Coffee break |
| 11:20 – 13:10 | Parallel sessions |
| Room: CIV | Session 1: Financial instability and the macroeconomy Chair: Heinz Herrmann (Deutsche Bundesbank) |
| Paper 1: ‘Booms and Systemic Banking Crises’
presentation
paper Frederic Boissay (European Central Bank), Fabrice Collard (University of Bern) and Frank Smets (European Central Bank) |
|
| Paper 2: ‘Stress-testing US Bank Holding Companies: A Dynamic Quantile Regression Approach’
presentation
paper Francisco Covas (Federal Reserve Board), Ben Rump (Federal Reserve Board) and Egon Zakrajsek (Federal Reserve Board) |
|
| Paper 3: ‘Bank Overleverage and Economic Fragility’
presentation
paper Ryo Kato (Bank of Japan) and Takayuki Tsuruga (Kyoto University) |
|
| Discussant: Xavier Freixas (Universitat Pompeu Fabra)
presentation General Discussion |
|
| Room: CV | Session 2: Early Warning Models Chair: Carsten Detken (European Central Bank) |
| Paper 1: ‘Predicting Bank Distress and Identifying Interdependencies amongst European Banks’
presentation
paper Frank Betz (European Central Bank), Silviu Oprica (European Central Bank), Tuomas Peltonen (European Central Bank) and Peter Sarlin (Abo Akademi University) |
|
| Paper 2: ‘Banking, Debt and Currency Crises: Early Warning Indicators for Developed Economies’
presentation
paper Jan Babecky (Czech National Bank), Thomas Havranek (Czech National Bank), Jakub Mateju (Czech National Bank), Marek Rusnak (Czech National Bank), Katerina Smidkova (Czech National Bank) and Borek Vasicek (Czech National Bank) |
|
| Paper 3: ‘Formal Identification of Sentiment Effects in Asset Markets’
presentation
paper Peter Dunne (Central Bank of Ireland), John Forker (University of Bath), Ronan Powell (University of New South Wales) and Andrey Zholos (Queen’s University Management School) |
|
| Discussant: Philip Davis (National Institute of Economic and Social Research)
presentation General Discussion |
|
| 13:10 – 14:20 | Lunch |
| 14:20 – 16:10 | Parallel sessions |
| Room: CIV | Session 3: Macro-prudential Policy Chair: Ignazio Angeloni (European Central Bank) |
| Paper 1: ‘A Macro-economic Model of Endogenous Systemic Risk-taking’
presentation
paper David Martinez-Miera (Carlos III) and Javier Suarez (CEMFI) |
|
| Paper 2: ‘An Integrated Framework for Analysing Multiple Financial Regulations’
presentation
paper Charles Goodhart (London School of Economics), Anil Kashyap (Chicago Booth), Dimitrios Tsomocos (Oxford University) and Alexandros Vardoulakis (European Central Bank) |
|
| Paper 3: ‘A Model for Assessing Macro-prudential Regulatory Policies’
presentation Laurent Clerc (Banque de France), Alexis Derviz (Czech National Bank), Caterina Mendicino (Bank of Portugal), Livio Stracca (European Central Bank) and Alexandros Vardoulakis (European Central Bank) |
|
| Discussant: Michael Kumhof (International Monetary Fund)
presentation General Discussion |
|
| Room: CV | Session 4: Contagion in Financial Networks Chair: John Fell (European Central Bank) |
| Paper 1: ‘Derivatives and Credit Contagion in Inter-connected Networks’
presentation
paper Sebastian Heise (King’s College, London) and Reimer Kuehn (King’s College, London) |
|
| Paper 2: ‘Size and Complexity in Model Financial Systems’
presentation
paper Nim Arinaminpathy (Princeton University), Sujit Kapadia (Bank of England) and Robert May (Oxford University) |
|
| Paper 3: ‘Bank Networks, Inter-bank Liquidity Runs and the Identification of Banks that are too Inter-connected to Fail’
presentation
paper Alexei Karas (Roosevelt Academy) and Koen Schoors (Ghent University) |
|
| Discussant: Ester Faia (Goethe University Frankfurt) General Discussion |
|
| 16:10 – 16:25 | Coffee break |
| 16:25 – 18:15 | Parallel sessions |
| Room: CIV | Session 5: Cross-border Bank Contagion Chair: Mauro Grande (European Central Bank) |
| Paper 1: Determinants of Banking System Fragility: A Regional Perspective’
presentation
paper Hans Degryse (Tilburg University and KU Leuven), Mohamed Elahi (CBER) and Maria Penas (Tilburg University) |
|
| Paper 2: ‘Shocks Abroad, Pain at Home? Bank-Firm Level Evidence on Financial Contagion During the Recent Financial Crisis’
presentation
paper Steven Ongena (Tilburg University), Jose-Luis Peydro (Universitat Pompeu Fabra) and Neeltje van Horen (De Nederlandsche Bank) |
|
| Paper 3: ‘Vulnerable Banks’
presentation
paper Robin Greenwood (Harvard University), Augustin Landier (University of Toulouse) and David Thesmar (HEC Paris) |
|
| Discussant: Robert DeYoung (University of Kansas)
presentation General Discussion |
|
| Room: CVII | Session 6: Leverage Cycles and Macro-financial Linkages Chair: Heather Gibson (Bank of Greece) |
| Paper 1: ‘House Prices, Credit Growth and Excess Volatility: Implications for Monetary and Macro-prudential Policies’
presentation
paper Paolo Gelain (Norges Bank), Kevin Lansing (Federal Reserve Bank of San Francisco and Norges Bank) and Caterina Mendicino (Bank of Portugal) |
|
| Paper 2: ‘Bank Leverage Shocks and the Macro-economy: A New Look in a Data-rich Environment’
presentation
paper Jean-Stéphane Mésonnier (Banque de France) and Dalibor Stevanovic (UQAM) |
|
| Discussant: Kim Abildgren (Danmarks Nationalbank)
presentation General Discussion |
|
| 20:00 | Dinner (by invitation only) |
| Dinner Remarks: “Insights into the Work of the ESRB” Francesco Mazzaferro (Head, Secretariat of the European Systemic Risk Board) |
Wednesday
| 08:30 – 09:00 | Coffee |
| 09:00 – 10:50 Room: CIV |
Session 7 Sovereign Contagion and Runs on Money-market Funds Chair: Cornelia Holthausen (European Central Bank) |
| Paper 1: ‘Conditional Probabilities for Euro-area Sovereign Default Risk’
presentation
paper Andre Lucas (University of Chicago), Bernd Schwaab (European Central Bank) and Xin Zhang (Sverige Riksbank) |
|
| Paper 2: ‘Liquidity Shocks, Dollar Funding Costs and the Bank Lending Channel during European Sovereign Crisis’
presentation
paper Ricardo Correa (Federal Reserve Board), Horacio Sapriza (Federal Reserve Board), and Andrei Zlate (Federal Reserve Board) |
|
| Paper 3: ‘Runs on Money-market Mutual Funds’
presentation
paper Lawrence Schmidt (University of California, San Diego), Allan Timmermann (University of California, San Diego) and Russ Wermers (University of Maryland) |
|
| Discussant: Sascha Steffen (ESMT European School of Management and Technology)
presentation General Discussion |
|
| 10:50 – 11:05 | Coffee break |
| 11:05 – 12:55 Room: CIV |
Session 8 Financial Imbalances and Policy Responses Chair: Diego Rodriguez Palenzuela (European Central Bank) |
| Paper 1: ‘Macro-prudential Regulation Versus Mopping Up After the Crash’ presentation paper Anton Korinek (University of Maryland) and Olivier Jeanne (Johns Hopkins University) |
|
| Paper 2: ‘Optimal Monetary and Prudential Policies’
presentation
paper Fabrice Collard (University of Bern), Harris Dellas (University of Bern), Behzad Diba (Georgetown University) and Olivier Loisel (ENSAE ParisTech) |
|
| Paper 3: ‘Prudential Policy for Peggers’
presentation
paper Stephanie Schmitt-Grohe (Columbia University) and Martin Uribe (Columbia University) |
|
| Discussant: Enrico Perotti (University of Amsterdam)
presentation General Discussion |
|
| 12:55 – 14:15 | Lunch |
| 14:15 – 16:15 Room: CIV |
Policy Panel on “The European Banking Union” Chair: Vítor Constâncio (Vice-President, European Central Bank) Speakers: Sharon Bowles (Chair, Committee on Monetary and Economic Affairs of the European Parliament) Nathalie De Basaldua (Head, Financial Stability Unit of the Directorate General Internal Market and Services, European Commission) Thomas Hoenig (Director, US Federal Deposit Insurance Corporation) Erkki Liikanen (Governor, Bank of Finland) André Sapir (Professor of Economics, Université Libre de Bruxelles, and Chair of the Advisory Scientific Committee of the European Systemic Risk Board) |
| 16:15 – 16:25 | Closing |
Purpose
European System of Central Banks (ESCB) Network on "Macro-prudential Research" (MaRs). The objectives of the conference are:
- to present state-of-the-art international research answering the main research questions of MaRs
- to provide a forum for debate among market participants, policy makers and researchers.