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

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

1. Presenting state-of-the-art international research that answers the main research questions of MaRs.
2. Reporting on the results of the work carried out by MaRs.
3. 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.