International Conferences on Sovereign Bond Markets



Wednesday, June 4 2014 - at Palace Hotel Tokyo

09.30 - 10.50 Credit Risk and Liquidity (1)


Liquidity and Credit Risk Premia in Government Bond Yields
Jacob Ejsing (Danmarks Nationalbank)
Magdalena Grothe (European Central Bank)
Oliver Grothe (University of Cologne)
Discussant: Toshinao Yoshiba (Bank of Japan)


A Structural View of Sovereign Risk Contagion in the Euro Zone
Manuel Mayer (Vienna Graduate School of Finance)
Stefan Pichler (Vienna University of Economics and Business)
Josef Zechner (Vienna University of Economics and Business)
Discussant: Dragon Yongjun Tang (University of Hong Kong)


11.00 - 12.20 Limit to Arbitrage


Limits to Arbitrage: Empirical Evidence from Euro Area Sovereign Bond Markets
Stefano Corradin (European Central Bank)
Maria Rodriguez-Moreno (Universidad de Navarra)
Discussant: Yusho Kagraoka (Musashi University)


The Scarcity Value of Treasury Collateral: Repo Market Effects of Security‐specific Supply and Demand Factors
Stefania D'Amico (Federal Reserve Bank of Chicago)
Roger Fan (Federal Reserve Bank of Chicago)
Yuriy Kitsul (Federal Reserve Board of Governors)
Discussant: Toshiki Yotsuzuka (Waseda University)


12.20 - 13.30



13.40 - 14.40 Keynote Speech

The Global Outlook on Systemic Risk
Robert F. Engle (New York University, Nobel Prize Laureate 2003)


14.40 - 16.00 Effects of Intervention in Case of Euro

A High Frequency Assessment of the ECB Securities Markets Programme
Eric Ghysels (University of North Carolina)
Julien Idier (Banque de France & European Central Bank)
Simone Manganelli (European Central Bank)
Olivier Vergote (European Central Bank)
Discussant: Alexander Eisl (Vienna University of Economics and Business)



Swiss Unconventional Monetary Policy: Lessons for the Transmission of Quantitative Easing
Jens H. E. Christensen (Federal Reserve Bank of San Francisco)
Signe Krogstrup (Swiss National Bank)
Discussant: Davide Tomio (Copenhagen Business school)


16.10 - 18.00 Panel Discussion

Kenichiro Watanabe (Bank of Japan, Deputy Director-General, Financial Market Department)
Torsti Silvonen (European Central Bank, the Head of Bond Markets & International Operations Division)
Michael J. Fleming (Federal Reserve Bank, NY)
Kazuto Uchida (Mitsubishi UFJ Group, Executive Officer & General Manager)
Asoka Woehrmann (Deutsche Asset & Wealth Management, Co-Chief Investment Officer)


Marti G. Subrahmanyam (New York University)



Conference Dinner


Thursday, June 5 2014 - at Waseda University, Nihombashi Campus

09.30 - 10.50 Event Study in US Treasury Market


Government Intervention and Strategic Trading in the U.S. Treasury Market
Paolo Pasquariello (University of Michigan)
Jennifer Roush (Federal Reserve Board of Governors)
Clara Vega (Federal Reserve Board of Governors)
Discussant: Kentaro Iwatsubo (Kobe University)


Intraday Pricing and Liquidity Effects of U.S. Treasury Auctions
Michael J. Fleming (Federal Reserve Bank)
Weiling Liu (Federal Reserve Bank)
Discussant: Mariko Fujii (University of Tokyo)


11.00 - 13.00 Credit Risk and Liquidity (2)


Flight to Liquidity in the Sovereign Debt Crisis of the Euro Area
Juan Ángel García (European Central Bank)
Ricardo Gimeno (Banco de España)
Discussant: Daisuke Miyakawa (Nihon University)


Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
Loriana Pelizzon (University of Venice & Goethe University Frankfurt)
Marti G. Subrahmanyam (New York University)
Davide Tomio (Copenhagen Business School)
Jun Uno (Waseda University)
Discussant: R. Ben-Abdallah (Ecole des sciences de la gestion, UQAM Montréal)



Dealing with Dealers: Sovereign CDS Comovements in Europe
Miguel Antón (IESE Business School)
Sergio Mayordomo (Universidad de Navarra)
María Rodríguez-Moreno (Universidad de Navarra)
Discussant: Sven Klingler (Copenhagen Business School)



End of Conference




Mitsubishi UFJ Financial Group
Deutsche Asset & Wealth Management
CFA Institute

CREDIT Network