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- ECB Workshop on
Markets for inflation protection: recent developments, modelling tools and policy implications
Venue: European Central Bank, Frankfurt am Main
| 9.45 a.m. | Registration |
| 10.15 a.m. | Opening remarks Benoît Cœuré, Member of the Executive Board, European Central Bank |
| Session 1 Recent market developments Chair: Thomas Werner, European Central Bank |
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| 10.30 a.m. | Euro inflation markets Alan James, Barclays |
| 10.55 a.m. | Regional CPI markets in Europe Markus Heider, Deutsche Bank |
| 11.20 a.m. | Coffee break |
| 11.35 a.m. | US inflation markets Christophe Duval Kieffer, BNP Paribas |
| 12 p.m. | What can we learn from inflation markets? Matthew Crawford, BlackRock |
| 12.25 p.m. | Lunch and coffee Foyer of conference room CII, 36th floor, Eurotower |
| 2 p.m. | Keynote speech The inflation-indexed bond market and inflation expectations Luis M. Viceira, Harvard Business School |
| Session 2 Modelling inflation-linked products and markets Chair: Manfred Kremer, European Central Bank |
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| 3 p.m. | Extracting deflation probability forecasts from Treasury yields Authors: Jens H. E. Christensen (presenting author), Federal Reserve Bank of San Francisco, Jose A. Lopez, Federal Reserve Bank of San Francisco and Glenn D. Rudebusch, Federal Reserve Bank of San Francisco Discussant: Tom Smith, Bank of England |
| 3.40 p.m. | Why does the Treasury issue TIPS? The TIPS-Treasury bond puzzle Authors: Matthias Fleckenstein, University of California, Los Angeles, Francis A. Longstaff, University of California, Los Angeles and NBER and Hanno N. Lustig (presenting author), University of California, Los Angeles and NBER Discussant: Søren Autrup, European Central Bank |
| 4.20 p.m. | Coffee break |
| 4.30 p.m. | Modelling UK inflation compensation: inflation expectations and risk premia during the Bank of England's inflation-targeting years Author: Meredith Beechey, Sveriges Riksbank Discussant: Marcello Pericoli, Banca d’Italia |
| 5.10 p.m. | Extraction of financial market expectations about inflation and interest rates from a liquid market Authors: Ricardo Gimeno (presenting author), Banco de España, José Manuel Marqués Banco de España Discussant: Jens H. E. Christensen, Federal Reserve Bank of San Francisco |
| 7.30 p.m. | Conference dinner |
| 8.45 a.m. | Registration Session 3 The central bank and treasury perspective Chair: Flemming Würtz, European Central Bank |
| 9.30 a.m. | Analysing break-even inflation rates in times of financial market turmoil Thomas Werner, European Central Bank |
| 10 a.m. | Option-implied inflation pdfs Tom Smith, Bank of England |
| 10.30 a.m. | Coffee break |
| 10.45 a.m. | The Kingdom of Denmark's inaugural inflation-linked issue: motivations and first experiences Jacob Ejsing, Danmarks Nationalbank |
| 11.15 a.m. | The importance of inflation-linked gilts in UK government financing Tim Riddington, UK Debt Management Office |
| 11.45 a.m. | Coffee break |
| 12 p.m. | Panel session The role of inflation-linked products from the policy perspective Chair: Thomas Werner, European Central Bank Panellists: Alan James, Barclays, Marcello Pericoli, Banca d’Italia, Tim Riddington, UK Debt Management Office, Luis M. Viceira, Harvard Business School |
| 1.30 p.m. | Farewell lunch Foyer of conference room CII, 36th floor, Eurotower |
| Conference dates | Thursday, 30 August 2012 and Friday, 31 August 2012 |
| Conference location | European Central Bank Conference room CII, 36th floor, Eurotower Kaiserstrasse 29 60311 Frankfurt am Main |
| Dress code | Business attire |
| Conference language | English |
| Programme | The workshop programme may be changed without notice. |
| Organising committee | Søren Autrup, Magdalena Grothe, Thomas Werner |
| Dinner venue | Restaurant Opéra Opernplatz 1 60313 Frankfurt am Main |
| Contact details of organisers | Thomas Werner Deputy Head of the Capital Markets and Financial Structure Division Directorate General Economics, European Central Bank Tel.: +49 69 1344 8707 E-mail: [email protected] Magdalena Grothe Capital Markets and Financial Structure Division Directorate General Economics, European Central Bank Tel.: +49 69 1344 5360 E-mail: [email protected] |
| Administrative support | Michaela Petakova Capital Markets and Financial Structure Division Directorate General Economics, European Central Bank Tel: +49 69 1344 5083 E-mail: [email protected] Silvia Vigilante Publishing, Events and Protocol Division Directorate Communications, European Central Bank Tel.: +49 69 1344 5187 E-mail: [email protected] |