Concluding Conference of the Macro-prudential Research (MaRs) Network of the European System of Central Banks
Conference dates: Monday, 23 and Tuesday, 24 June 2014
Meeting room: Eurotower conference rooms CIV, CV and CVII
Venue: European Central Bank, Frankfurt am Main
Workshop Agenda
| 8.15 a.m. | Registration |
| 8.45 a.m. | Welcome coffee |
| 9 a.m. | POLICY KEYNOTE more Vítor Constâncio, Vice President, European Central Bank |
| 10 a.m. | "Results of the ESCB Macro-prudential Research Network"
presentation more Philipp Hartmann, European Central Bank and Chair of MaRs |
| 11 a.m. | Coffee break |
| 11.15 a.m. | PLENARY SESSION Session 1, Room CIV Tools for Assessing Macro-prudential Regulatory Instruments Chair: Anil Kashyap, University of Chicago Booth School of Business Paper 1: 'Capital Regulation in a Macroeconomic Model with Three Layers of Default' presentation Laurent Clerc, Banque de France; Alexis Derviz, Česká národní banka; Caterina Mendicino, Banco de Portugal; Stephane Moyen, European Central Bank; Kalin Nikolov*, European Central Bank; Livio Stracca, European Central Bank; Javier Suarez, Center for Monetary and Financial Studies; Alexandros Vardoulakis, Federal Reserve Board (25 mins) Paper 2: 'Examples of Macro-prudential Policy Experiments in MAPMOD' paper Jaromir Benes, International Monetary Fund; Michael Kumhof, International Monetary Fund; Douglas Laxton*, International Monetary Fund (25 mins) Paper 3: 'Bank Capital Requirements: A Quantitative Analysis' presentation Thiên Nguyen*, University of Pennsylvania (25 mins) Discussant: Skander van den Heuvel, Federal Reserve Board (20 mins) presentation General discussion (15 mins) |
| 1.05 p.m. | Lunch |
| 2.30 p.m. | PARALLEL SESSIONS Session 2, Room CIV Systemic Financial Instability Versus Financial Business Cycles in Empirical Macroeconomics Chair: George Tavlas, Bank of Greece Paper 1: 'Melting Down: Systemic Financial Instability and the Macro-economy' presentation paper Philipp Hartmann, European Central Bank; Kirstin Hubrich*, European Central Bank; Manfred Kremer, European Central Bank; Robert Tetlow, Federal Reserve Board (25 mins) Paper 2: 'Financial Conditions and Density Forecasts for US Output and Inflation' presentation paper Piergiorgio Alessandri*, Banca d'Italia; Haroon Mumtaz, Queen Mary University (25 mins) Paper 3: 'Credit Risk in the Euro Area' paper Simon Gilchrist, Boston University and National Bureau of Economic Research; Benoit Mojon*, Banque de France (25 mins) Discussant: Harald Uhlig, University of Chicago (20 mins) presentation General discussion (15 mins) Session 3, Room CV Contagion and Interbank Networks Chair: Simone Manganelli, European Central Bank and MaRs WS3 co-ordinator Paper 1: 'Marginal Contagion: A New Approach to Systemic Credit Risk' Tomohiro Ota*, Bank of England (25 mins) Paper 2: 'Cross-border Interbank Contagion in the European Banking Sector' paper Silvia Gabrieli, Banque de France; Dilyara Salakhova*, Banque de France; Guillaume Vuillemey, Banque de France (25 mins) Paper 3: 'Financial Firm Bankruptcy and Contagion' presentation paper Jean Helwege*, University of South Carolina; Gaiyan Zhang, University of Missouri – St. Louis (25 mins) Discussant: Hans Degryse, KU Leuven (20 mins) presentation General discussion (15 mins) |
| 4.20 p.m. | Coffee break |
| 4.35 p.m. | PARALLEL SESSIONS Session 4, Room CIV Regulatory Policy Instruments Chair: Laurent Clerc, Banque de France and MaRs WS1 co-ordinator Paper 1: 'Lending Pro-cyclicality and Macro-prudential Policy: Evidence from Japanese LTV Ratios' presentation paper Arito Ono*, Mizuho Research Institute; Hirofumi Uchida, Kobe University; Gregory Udell, Indiana University; Iichiro Uesugi, Hitotsubashi University (25 mins) Paper 2: Bank Networks: Contagion, Systemic Risk and Prudential Policy' presentation Inaki Aldasoro*, Goethe University Frankfurt; Domenico Delli Gatti, Catholic University of Milan; Ester Faia, Goethe University Frankfurt (25 mins) Paper 3: 'Centrality-based Capital Allocations and Bailout Funds' presentation paper Adrian Alter*, International Monetary Fund; Ben Craig, Deutsche Bundesbank; Peter Rauppach, Deutsche Bundesbank (25 mins) Discussant: Martin Summer, Oesterreichische Nationalbank (20 mins) presentation General discussion (15 mins) Session 5, Room CV Early Warning Models Chair: Katerina Smidkova†, Česká národní banka and MaRs WS2 co-ordinator; Carsten Detken, European Central Bank and MaRs WS2 co-ordinator Paper 1: 'Comparing Different Early Warning Systems: Results from a Horse Race Competition Among Members of the MaRs Network' presentation paper Bořek Vašíček*, Česká národní banka, et al. (25 mins) Paper 2: 'News and Narratives in Financial Systems: Exploiting Big Data for Systemic Risk Assessment’ David Gregory, Bank of England; Sujit Kapadia, Bank of England; Rickard Nyman*, University College London; Robert Smith, University College London; David Tuckett, Bank of England (25 mins) Paper 3: 'Identifying Excessive Credit Growth and Leverage’ presentation paper Lucia Alessi*, European Central Bank; Carsten Detken, European Central Bank (25 mins) Discussant: Mathias Drehmann, Bank for International Settlements (20 mins) presentation General discussion (15 mins) |
| 8 p.m. | Dinner (by invitation only) Dinner speech on "Challenges for Policy-relevant Research" Richard Portes, London Business School and President of the Centre for Economic Policy Research |
| 8.30 a.m. | Coffee |
| 9 a.m. | PARALLEL SESSIONS Session 6, Room CIV Interaction of Macro-prudential and Monetary Policies Chair: Massimo Rostagno, European Central Bank Paper 1: 'Monetary Policy, Financial Regulations and Industry Growth' presentation paper Philippe Aghion, Harvard University; Enisse Kharroubi*, Bank for International Settlements (25 mins) Paper 2: ‘Optimal Monetary and Liquidity Policies: Gains and Pitfalls of a Macro-prudential Approach’ Michael Kiley*, Federal Reserve Board; Jae Sim, Federal Reserve Board (25 mins) Paper 3: ‘Liquidity Trap and Excessive Leverage’ presentation paper Anton Korinek*, Johns Hopkins University; Alp Simsek, Massachusetts Institute of Technology (25 mins) Discussant: Panicos Demetriades, University of Leicester (20 mins) presentation General discussion (15 mins) Session 7, Room CVII International Spillovers and Capital Flows Chair: Kamil Janáček, Česká národní banka Paper 1: ‘Global Liquidity and Drivers of Cross-border Bank Flows’ presentation paper Eugenio Cerutti, International Monetary Fund; Stijn Claessens, International Monetary Fund; Lev Ratnovski*, International Monetary Fund (25 mins) Paper 2: ‘Crisis Transmission in the Global Banking Network’ presentation paper Galina Hale, Federal Reserve Bank of San Francisco; Tümer Kapan, Fannie Mae; Camelia Minoiu*, International Monetary Fund (25 mins) Paper 3: ‘Macro-prudential Capital Controls and the Shadow Economy’ paper Julien Bengui*, Université de Montreal; Javier Bianchi, University of Wisconsin (25 mins) Discussant: Alessandro Rebucci, Johns Hopkins University (20 mins) presentation General discussion (15 mins) |
| 10.50 a.m. | Coffee break |
| 11.10 a.m. | Keynote discussion on “What Type of Economic Research can Support Macro-prudential Policy” Chair: Frank Smets, European Central Bank John Geanakoplos, James Tobin Professor of Economics, Yale University (30 mins) presentation Anil Kashyap, Edward Eagle Brown Professor of Economics and Finance, University of Chicago Booth School of Business (30 mins) presentation General discussion (30 mins) |
| 12.40 p.m. | Lunch |
| 1.45 p.m. | PLENARY SESSION Session 8, Room CIV Measuring Systemic Risk Chair: Garry Schinasi, Independent Advisor (formerly International Monetary Fund) Paper 1: ‘Structural GARCH: The Volatility-leverage Connection’ presentation paper Robert Engle*, New York University; Emil Siriwardane, New York University (25 mins) Paper 2: ‘Syndication, Interconnectedness, and Systemic Risk’ paper Jian Cai, Fordham University; Anthony Saunders, New York University; Sascha Steffen*, European School of Management and Technology (25 mins) Paper 3: ‘Bank Size, Capital Requirement, and Systemic Risk: Some International Evidence’ presentation paper Luc Laeven, International Monetary Fund; Lev Ratnovski*, International Monetary Fund; Hui Tong, International Monetary Fund (25 mins) Discussant: Christian Gourieroux, University of Toronto and Paris Graduate School of Economics, Statistics and Finance (20 mins) General discussion (15 mins) |
| 3.35 p.m. | Coffee break |
| 3.50 p.m. | Policy panel on "Rethinking Economics After the Crisis" more Chair: Benoît Coeuré, Member of the Board, European Central Bank Speakers: Robert Engle, Michael Armellino Professor of Finance, New York University Stern School of Business; presentation John Geanakoplos, James Tobin Professor of Economics, Yale University; presentation Stefan Gerlach, Deputy Governor, Central Bank of Ireland presentation |
| 5.50 p.m. | End of conference |
After more than three years of conducting research, the Macro-prudential Research Network (MaRs) of the European System of Central Banks (ESCB) will come to an end in 2014. The central banks involved will mark this fact with a conference, for which they invite the submission of papers.
Objectives of the conference
- Presenting state-of-the-art international research that answers the main research questions of MaRs.
- Reporting on the results of the work carried out by MaRs.
- Providing a forum for debate among market participants, policy-makers and researchers.
Relevant empirical, policy-oriented and theoretical research papers will be considered.
Confirmed speakers
- Vitor Constancio (ECB, Vice-President)
- John Geanakoplos (Yale University)
- Anil Kashyap (University of Chicago)
Topics
The submission of research papers in the following fields is especially encouraged.
1. Macro-financial models linking financial stability and the performance of the economy:
- representations of widespread financial instability in aggregate models;
- transmission channels of financial instability in aggregate models, in particular the role of non-linearities, amplification, feedback and confidence effects;
- characterisations of the leverage cycle;
- models assessing the effectiveness of macro-prudential policies and their interaction with monetary policy.
2. Models and tools for the early identification and assessment of systemic risk:
- financial stress and systemic risk indices, in particular comparative assessments of their performance;
- early-warning models and indicators (e.g. for the early identification of risks of banking crises or boom/bust episodes in credit and asset markets), in particular comparative assessments of their performance;
- vulnerabilities emerging from the link between fiscal activities and the financial sector;
- conceptual frameworks of early warning systems;
- major advances in stress-testing methodologies.
3. Assessing contagion risks:
- cross-border and cross-sectoral contagion risks among financial intermediaries;
- distinctions and relationships between financial contagion and the unravelling of widespread financial imbalances (e.g. credit bubbles);
- mechanisms amplifying contagion;
- sovereign contagion and the transmission of instability between sovereigns and financial intermediaries.
4. Macro-prudential regulatory policy instruments:
- regulations that lead banks and other financial intermediaries (insurance and reinsurance companies, pension funds, etc.) to internalise any systemic risks they may cause;
- how to contain regulatory arbitrage across different intermediaries and markets, which would circumvent macro-prudential regulations;
- market regulations and accounting rules contributing to systemic stability (e.g. margin requirements, short-sale restrictions, and fair-value versus historical-cost accounting);
- policy instruments limiting pro-cyclicality in the financial system and the emergence of credit booms and asset price bubbles, including measures addressing the incentive problems that contribute to the widespread build-up of imbalances.
Expenses
Travel and accommodation expenses will be covered for academic speakers.
Submission of papers
Research papers should be sent electronically (MS Word or pdf versions only) to [email protected] by 31 March 2014. The authors of the papers selected will be informed by end-April 2014.
The submission of papers on related topics falling within the scope of the network is also welcome. The selection committee will choose papers on the basis of the quality of the research and its fit with the above topics/its policy relevance, to compose a programme that combines MaRs research with external research. Each paper selected will be assigned a discussant. Furthermore, the papers selected will be placed on the network website.