The Role of Liquidity in the Financial System - November 19–20, 2015

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 RegulationPDF document (Presentation PDF document)

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 CrisesPDF document (Presentation PDF document)
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 ExternalitiesPDF document (Presentation PDF document)

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?"
12:30 p.m. 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" PDF document (Presentation PDF document)

Michal Kowalik
, Federal Reserve Bank of Boston
"To Sell or to Borrow? A Theory of Bank Liquidity ManagementPDF document (Presentation PDF document)

Fabio Castiglionesi
, Tilburg University
Zhao Li, Universitat Pompeu Fabra
Kebin Ma, Warwick Business School
"Bank Information Sharing and Liquidity RiskPDF document (Presentation PDF document)
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 ApproachPDF document (Presentation PDF document)

Jennie Bai
, Georgetown University
Arvind Krishnamurthy, Stanford University
Charles-Henri Weymuller, French Treasury
"Measuring Liquidity Mismatch in the Banking SectorPDF document
6:00 Reception
6:45 Dinner
7:30 Speaker
Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets PDF document (Presentation PDF document)
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 RiskPDF document (Presentation PDF document)

Itay Goldstein
, Wharton School
Hao Jiang, Michigan State University
David T. Ng, Cornell University
"Investor Flows and Fragility in Corporate Bond FundsPDF document (preliminary)

Jonathan Goldberg
, Federal Reserve Board
"What Drives Liquidity? Identifying Shocks to Market Makers' Supply of Liquidity and Their Role in Economic FluctuationsPDF document (Presentation PDF document)
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 CostsPDF document (Presentation PDF document)

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?' PDF document (Presentation PDF document)
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 ProgramPDF document (Presentation PDF document)

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?PDF document (Presentation PDF document)