Interest Rate Variability and the Financial Sector

Conference Details

Date: October 19-20, 2023
Location: Georgia State University

Organized by the Center for Financial Innovation and Stability at the Federal Reserve Bank of Atlanta and the Center for the Economic Analysis of Risk at Georgia State University.

The Center for Financial Innovation and Stability (Federal Reserve Bank of Atlanta) and the Center for the Economic Analysis of Risk (Georgia State University) are organizing a workshop on Interest Rate Variability and the Financial Sector. We will hold the conference in person at Georgia State University on October 19–20, 2023. The workshop's goal is to bring together economists, finance and risk management professionals, and regulators to discuss the effects of interest rates on the stability of the financial system.

Agenda

Time	Session
Thursday, October 19
8:30 a.m.	Breakfast
8:55	Welcoming remarks
9:00	Measuring Bank Interest Rate Risk Chair: Vladimir Yankov, Federal Reserve Board Monetary Tightening and U.S. Bank Fragility in 2023: Mark-to-Market Losses and Uninsured Depositor Runs? Erica X. Jiang, University of Southern California Greg Matvos, Northwestern University Tomasz Piskorski, Columbia University Amit Seru, Stanford University Interest Rate Risk in the U.S. Banking Sector Azamat Abdymomunov, Richmond Fed Jeff Gerlach, Richmond Fed Yuji Skurai, Richmond Fed
10:30	Break
11:00	Measuring Risk Exposures with Equity Data Chair: Ali Ozdagli, Dallas Fed Measuring Interest Rate Management by Financial Institutions Celso Brunetti, Federal Reserve Board Nathan Foley-Fisher, Federal Reserve Board Stephane Verani, Federal Reserve Board Bank Convexity Risk Martin Cremers, University of Notre Dame Priyank Gandhi, Rutgers University Jun Yang, University of Notre Dame
12:30 p.m.	Lunch
1:30	Bank Risk Hedging Chair: Alex Hsu, Georgia Institute of Technology Do Banks Hedge Using Interest Rate Swaps? Lihong McPhail, Commodity Futures Trading Commission Philipp Schnabl, New York University Bruce Tuckman, New York University Deposit Convexity, Monetary Policy, and Financial Stability Emily Greenwald, Dallas Fed San Schulhofer-Wohl, Dallas Fed Joshua Younger, New York Fed
3:00	Break
3:30	Fixed Income Mutual Funds Chair: Gabriele La Spada, New York Fed Hidden Duration: Interest Rate Derivatives in Fixed Income Funds Jaewon Choi, University of Illinois at Urbana-Champaign Minsoo Kim, University of Melbourne Oliver Randall, University of Melbourne Similar Investors Co-Pierre Georg, EDHEC Business School Diane Pierret, University of Luxembourg Sascha Steffen, Frankfurt School of Finance & Management
5:00	Keynote: Mark Flannery, University of Florida
5:45	Reception and dinner (invitation only)

Friday, October 20
9:00 a.m.	Banks and Monetary Policy Chair: Marcelo Rezende, Federal Reserve Board Monetary Policy Transmission through Bank Securities Portfolios Daniel Greenwald, NYU Stern John Krainer, Federal Reserve Board Pascal Paul, San Francisco Fed Relationship Lending and Monetary Policy Pass-Through Jin Cao, Norges Bank Pierre Dubuis, University of Zurich Karolis Liaudinskas, Norges Bank Bank's Risk Exposures at the Zero Lower Bound Andres Schneider, Federal Reserve Board
11:00	Break
11:30	Monetary Policy and Financial Stability: Historical Evidence Chair: Ralf Meisenzahl, Chicago Fed Monetary Policy, Inflation, and Crises: Evidence from History and Administrative Data Gabriel Jimenez, Bank of Spain Dmitry Kuvshinov, Pompeu Fabra University (UPF), Barcelona GSE Jose-Luis Peydro, Imperial College, UPF-CREI Bjorn Richter, Pompeu Fabra University (UPF), Barcelona GSE Loose Monetary Policy and Financial Stability Maximilian Grimm, University of Bonn Oscar Jorda, San Francisco Fed, University of California Davis Moritz Schularik, University of Bonn Alan M. Taylor, University of California Davis
1:00 p.m.	Lunch
2:00	Consequences of "Leaning Against the Wind" Chair: Divya Kirti, International Monetary Fund "Sowing the Wind" Monetary Policy Jonathan Goldberg, Board of Governors David Lopez-Salido, Board of Governors Interest Rate Hikes, Collateral Deterioration, and Search for Yield: Evidence from Shadow Banks Angela Gallo, Bayes Business School Barbara Casu, Bayes Business School
3:30	Adjournment

Interest Rate Variability and the Financial Sector

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