Agenda
| Thursday, November 19, 2015 | |
| 8:15 a.m. | Continental breakfast |
| 8:50 | Welcome |
| 9:00 | Shadow Banking Chair: Larry Wall, Federal Reserve Bank of Atlanta Giovanni di Iasio, Bank of Italy and INET Shadow Banking Colloquium Zoltan Pozsar, Credit Suisse and INET Shadow Banking Colloquium "A Model of Shadow Banking: Crises, Central Banks and Regulation"  (Presentation )Stephan Luck, University of Bonn and Max Planck Institute for Research on Collective Goods Paul Schempp, Max Planck Institute for Research on Collective Goods "Regulatory Arbitrage and Systemic Liquidity Crises"  (Presentation )
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| 10:30 | Break |
| 11:00 | Capital and Liquidity Chair: Enrico Biffis, Georgia State University Gazi Ishak Kara, Office of Financial Stability Policy and Research, Board of Governors of the Federal Reserve System S. Mehmet Ozsoy, Ozyegin University "Bank Regulation under Fire Sale Externalities" (Presentation )Santiago Carbo-Valverde, Bangor Business School Eduardo Maqui, Universidad de Granada and European Central Bank Francisco Rodrıguez-Fernandez, Universidad de Granada "Insolvency and Liquidity Risk: Which Is More Systemic?" |
| Lunch | |
| 1:30 | Information and Bank Liquidity Chair: Lixin Huang, Georgia State University Francisco Blasques, VU University Amsterdam and Tinbergen Institute Falk Bräuning, Federal Reserve Bank of Boston Iman van Lelyveld, De Nederlandsche Bank and Bank for International Settlements "A Dynamic Network Model of the Unsecured Interbank Lending Market" (Presentation )Michal Kowalik, Federal Reserve Bank of Boston "To Sell or to Borrow? A Theory of Bank Liquidity Management" (Presentation )
Fabio Castiglionesi, Tilburg University Zhao Li, Universitat Pompeu Fabra Kebin Ma, Warwick Business School "Bank Information Sharing and Liquidity Risk" (Presentation ) |
| 3:45 | Break |
| 4:15 | Measuring Liquidity Risk Chair: Gerald Dwyer, Clemson University Kartik Anand, Deutsche Bundesbank Céline Gauthier, Université du Québec en Outaouais Moez Souissi, International Monetary Fund "Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach" (Presentation )
Jennie Bai, Georgetown University Arvind Krishnamurthy, Stanford University Charles-Henri Weymuller, French Treasury "Measuring Liquidity Mismatch in the Banking Sector" |
| 6:00 | Reception |
| 6:45 | Dinner |
| 7:30 | Speaker Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets (Presentation )Larry Harris, University of Southern California |
| Friday, November 20 | |
| 7:30 a.m. | Continental breakfast |
| 8:00 | Liquidity in Financial Markets Chair: Pete Kyle, University of Maryland Daniel Bauer, Georgia State University Enrico Biffis, Georgia State University Luz Rocio Sotomayor, Georgia State University "Optimal Collateralization with Bilateral Default Risk" (Presentation )
Itay Goldstein, Wharton School Hao Jiang, Michigan State University David T. Ng, Cornell University "Investor Flows and Fragility in Corporate Bond Funds" (preliminary)
Jonathan Goldberg, Federal Reserve Board "What Drives Liquidity? Identifying Shocks to Market Makers' Supply of Liquidity and Their Role in Economic Fluctuations" (Presentation ) |
| 10:15 | Break |
| 10:45 | Central Bank Lending Programs Chair: Maria Nieto, Banco de España Celine Gauthier, Université du Québec Alfred Lehar, University of Calgary Hector Perez-Saiz, Bank of Canada Moez Souissi, International Monetary Fund "Emergency Liquidity Facilities, Signaling, and Funding Costs" (Presentation )Allen N. Berger, University of South Carolina Lamont K. Black, DePaul University Christa H.S. Bouwman, Texas A&M University Jennifer Dlugosz, Washington University in St. Louis "The Federal Reserve's Discount Window and TAF Programs: 'Pushing on a String?' " (Presentation ) |
| 12:15 p.m. | Lunch |
| 1:15 | Impact of Unconventional Policy Chair: Bin Wei, Federal Reserve Bank of Atlanta Nathan Foley-Fisher, Federal Reserve Board Rodney Ramcharan, University of Southern California Edison Yu, Federal Reserve Bank of Philadelphia "The Impact of Unconventional Monetary Policy on Firm Financing Constraints: Evidence from the Maturity Extension Program" (Presentation )
Viral Acharya, New York University Diane Pierret, HEC-University of Lausanne Sascha Steffen, European School of Management and Technology "Do Central Bank Interventions Limit the Market Discipline from Short-Term Debt?" (Presentation ) |