Financial stability, macroprudential regulation and microprudential supervision

Welcome address

Luc Laeven, European Central Bank

Session A

Chair: Luc Laeven, European Central Bank

Negative monetary policy rates and systemic banks’ risk-taking: evidence from the euro area administrative securities register

Johannes Bubeck, University of Mannheim
Angela Maddaloni*, European Central Bank
José-Luis Peydró, Universitat Pompeu Fabra

Discussant: Ugo Albertazzi, European Central Bank

Credit risk under IFRS 9 accounting reforms: an application to Irish mortgages

Edward Gaffney*, Central Bank of Ireland
Fergal McCann, Central Bank of Ireland

Discussant: Mathias Lé, Banque de France

Estimating probability of default for the household sector using microeconomic data

Irina Mihai*, Banca Naţională a României
Radu Popa, Banca Naţională a României
Elena Banu, European Systemic Risk Board

Discussant: Dimitris Mokas, European Central Bank

Session B

Chair: Klaus Düllmann, European Central Bank

On a quest for robustness: about model risk, randomness and discretion in credit risk stress tests

Thomas Siemsen*, Deutsche Bundesbank
Johannes Vilsmeier, European Central Bank

Discussant: Dimitrios Louzis, Bank of Greece

Risk endogeneity at the lender/investor of last resort

Diego Caballero Orduna, European Central Bank
André Lucas, Vrije Universiteit Amsterdam
Bernd Schwaab*, European Central Bank
Xin Zhang, Sveriges Riksbank

Discussant: Ana Dumitru, Deutsche Bundesbank

Repo market functioning: the role of capital regulation

Antonis Kotidis, University of Bonn
Neeltje van Horen*, Bank of England

Discussant: Michiel Van Leuvensteijn, Netherlands Authority for Consumers and Markets

Keynote speech

Thorsten Beck, Cass Business School and Centre for Economic Policy Research

Session C

Chair: Heather Gibson, Bank of Greece

The interdependence of bank capital and liquidity

Elena Carletti, Bocconi University
Itay Goldstein, University of Pennsylvania
Agnese Leonello*, European Central Bank

Discussant: Caterina Lepore, Bank of England

Banks’ liquidity management and financial fragility

Luca G. Deidda, University of Sassari
Ettore Panetti*, Banco de Portugal

Discussant: Tuomas Takalo, Bank of Finland

Liquidity ratios as monetary policy tools: some historical lessons for macroprudential rules

Eric Monnet*, Banque de France
Miklos Varis, International Monetary Fund

Discussant: Anna Grodecka, Sveriges Riksbank

Break

Session D

Chair: Thomas Kick, Deutsche Bundesbank

Should bank capital requirements be less risk-sensitive?

Gene Ambrocio*, Suomen Pankki – Finlands Bank
Esa Jokivuolle, Suomen Pankki – Finlands Bank

Discussant: Christoph Bertsch, Sveriges Riksbank

Bank capital forbearance

Natalya Martynova*, Deutsche Bundesbank
Enrico Perotti, University of Amsterdam
Javier Suarez, CEMFI

Discussant: Anatoli Segura, Banca d'Italia

How do banks tackle macroprudential capital requirements?

Sergio Mayordomo, Banco de España
María Rodríguez Moreno*, Banco de España

Discussant: Rhiannon Sowerbutts, Bank of England

End of day one

Dinner

Session E

Chair: David Marqués-Ibáñez, European Central Bank

The impact of sovereign debt ratings on euro area cross-border holdings of euro area sovereign debt

Leo de Haan, De Nederlandsche Bank
Robert Vermeulen*, De Nederlandsche Bank

Discussant: Stine Louise Daetz, Danmarks Nationalbank

Macroprudential policy and the housing market: evidence from the United Kingdom

José-Luis Peydró, Universitat Pompeu Fabra
Francesc Rodriguez Tous, Cass Business School
Jagdish Tripathy, Bank of England
Arzu Uluc*, Bank of England

Discussant: Nicolás Albacete, Oesterreichische Nationalbank

Session F

Chair: Jean-Stéphane Mésonnier, Banque de France

Interest rate pass-through in the euro area: are policy measures efficient in crisis periods? Evidence from a multi-state markov model on a panel dataset

Vasilis Siakoulis*, Bank of Greece
Anastasios Petropoulos, Bank of Greece
Panagiotis Lazaris, Bank of Greece
Georgia Lialiouti, Bank of Greece

Discussant: Fabrizio Venditti, European Central Bank

Credit supply and demand in unconventional times

Carlo Altavilla, European Central Bank
Miguel Boucinha, European Central Bank
Sarah Holton*, European Central Bank
Steven Ongena, University of Zurich

Discussant: Francesca Lenoci, European Central Bank

Unexpectedly broke: expectation errors and credit cycles

Carsten Detken, European Central Bank
Anna Kalbhenn*, European Central Bank
Eric Persson, European Central Bank
Lukas Püttmann, University of Bonn

Discussant: Irina Stanga, De Nederlandsche Bank

Break

Session G

Chair: Hiona Balfoussia, Bank of Greece

Credit risk taking and banks’ business model: the role of the yield curve

Giuseppe Ferrero*, Banca d'Italia
Andrea Nobili, Banca d'Italia
Gabriele Sene, Banca d'Italia

Discussant: Dawid Zochowski, European Central Bank

Empowering central bank asset purchases: the role of financial policies

Matthieu Darracq Pariès, European Central Bank
Jenny Körner, European Central Bank
Niki Papadopoulou*, Central Bank of Cyprus

Discussant: Federico Lubello, Banque centrale du Luxembourg

Bank capital constraints, lending supply and economic activity

Antonio Maria Conti, Banca d'Italia
Andrea Nobili*, Banca d'Italia
Federico Maria Signoretti, Banca d'Italia

Discussant: Cyril Couaillier, Banque de France

Lunch

End of conference